Self-Regulatory Organizations; New York Stock Exchange, Inc. (n/k/a New York Stock Exchange LLC); Notice of Filing of Proposed Rule Change and Amendment No. 1 Thereto Relating to the Proposal To List and Trade Index-Linked Securities of Barclays Bank PLC Linked to the Performance of the Dow Jones-AIG Commodity Index Total, 20741-20749 [06-3761]

Download as PDF rwilkins on PROD1PC63 with NOTICES Federal Register / Vol. 71, No. 77 / Friday, April 21, 2006 / Notices purchased directly from an Underwriting Affiliate have changed significantly from prior years. The Board shall take any appropriate actions based on its review, including, if appropriate, the institution of procedures designed to assure that purchases of securities in Affiliated Underwritings are in the best interest of shareholders. 7. The Fund shall maintain and preserve permanently in an easily accessible place a written copy of the procedures described in the preceding condition, and any modifications to such procedures, and shall maintain and preserve for a period of not less than six years from the end of the fiscal year in which any purchase from an Affiliated Underwriting occurred, the first two years in an easily accessible place, a written record of each purchase of securities in Affiliated Underwritings once an investment by a Fund of Funds in the securities of a Fund exceeds the limit in section 12(d)(1)(A)(i) of the Act, setting forth from whom the securities were acquired, the identity of the underwriting syndicate’s members, the terms of the purchase, and the information or materials upon which the Board’s determinations were made. 8. Before investing in shares of a Fund in excess of the limits in section 12(d)(1)(A), each Fund of Funds and Fund will execute a Participation Agreement stating, without limitation, that their Boards and their investment advisers understand the terms and conditions of the order and agree to fulfill their responsibilities under the order. At the time of its investment in shares of a Fund in excess of the limit in section 12(d)(1)(A)(i), a Fund of Funds will notify the Fund of the investment. At such time, the Fund of Funds will also transmit to the Fund a list of the names of each Fund of Funds Affiliate and Underwriting Affiliate. The Fund of Funds will notify the Fund of any changes to the list of the names as soon as reasonably practicable after a change occurs. The Fund and the Fund of Funds will maintain and preserve a copy of the order, the agreement, and the list with any updated information for the duration of the investment and for a period of not less than six years thereafter, the first two years in an easily accessible place. 9. Prior to approving any advisory contract under section 15 of the Act, the Board of each Fund of Funds, including a majority of the Disinterested Directors, will find that the advisory fees charged under such advisory contract are based on services provided that will be in addition to, rather than duplicative of, the services provided under the VerDate Aug<31>2005 17:21 Apr 20, 2006 Jkt 208001 advisory contract(s) of any Fund in which the Fund of Funds may invest. These findings and their basis will be recorded fully in the minute books of the appropriate Fund of Funds. 10. A Fund of Funds Adviser will waive fees otherwise payable to it by the Fund of Funds in an amount at least equal to any compensation (including fees received pursuant to any plan adopted by a Fund under rule 12b–1 under the Act) received from a Fund by the Fund of Funds Adviser, or an affiliated person of the Fund of Funds Adviser, other than any advisory fees paid to the Fund of Funds Adviser or its affiliated person by the Fund, in connection with the investment by the Fund of Funds in the Fund. Any Fund of Funds Subadvisor will waive fees otherwise payable to the Fund of Funds Subadvisor, directly or indirectly, by the Fund of Funds in an amount at least equal to any compensation received from a Fund by the Fund of Funds Subadvisor, or an affiliated person of the Fund of Funds Subadvisor, other than any advisory fees paid to the Fund of Funds Subadvisor or its affiliated person by the Fund, in connection with the investment by the Fund of Funds in the Fund made at the direction of the Fund of Funds Subadvisor. In the event that the Fund of Funds Subadvisor waives fees, the benefit of the waiver will be passed through to the Fund of Funds. 11. Any sales charges and/or service fees charged with respect to shares of a Fund of Funds will not exceed the limits applicable to a fund of funds as set forth in NASD Conduct Rule 2830. 12. No Fund will acquire securities of any investment company or company relying on section 3(c)(1) or 3(c)(7) of the Act in excess of the limits contained in section 12(d)(1)(A) of the Act, except to the extent permitted by an exemptive order that allows the Fund to purchase shares of an affiliated money market fund for short-term cash management purposes. 13. The Boards of any Fund of Funds and of any Fund will satisfy the fund governance standards as defined in rule 0–1(a)(7) under the Act by the later of (i) the compliance date for the rule or (ii) the date on which the Fund of Funds and the Fund execute a Participation Agreement. For the Commission, by the Division of Investment Management, pursuant to delegated authority. Jill M. Peterson, Assistant Secretary. [FR Doc. E6–5974 Filed 4–20–06; 8:45 am] BILLING CODE 8010–01–P PO 00000 Frm 00102 Fmt 4703 Sfmt 4703 20741 SECURITIES AND EXCHANGE COMMISSION [Release No. 34–53639; File No. SR–NYSE– 2006–16] Self-Regulatory Organizations; New York Stock Exchange, Inc. (n/k/a New York Stock Exchange LLC); Notice of Filing of Proposed Rule Change and Amendment No. 1 Thereto Relating to the Proposal To List and Trade IndexLinked Securities of Barclays Bank PLC Linked to the Performance of the Dow Jones-AIG Commodity Index Total April 12, 2006. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 19b–4 2 thereunder, notice is hereby given that on March 6, 2006, the New York Stock Exchange, Inc. (n/k/a New York Stock Exchange LLC) (‘‘NYSE’’ or ‘‘Exchange’’) filed with the Securities and Exchange Commission (‘‘SEC’’ or ‘‘Commission’’) the proposed rule change as described in Items I, II and III below, which Items have been prepared by the Exchange. On March 27, 2006, NYSE filed Amendment No. 1 to the proposed rule change.3 The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The NYSE is proposing to list and trade notes issued by Barclays Bank PLC (‘‘Barclays’’) linked to the performance of the Dow Jones-AIG Commodity Index Total Return (‘‘Index’’) (‘‘DJ–AIG Notes’’ or ‘‘Notes’’). The text of the proposed rule change is available on the NYSE’s Web site (http://www.nyse.com), at the NYSE’s Office of the Secretary, and at the Commission’s public reference room. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Bases for, the Proposed Rule Change In its filing with the Commission, the NYSE included statements concerning the purpose of and basis for the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The 1 15 U.S.C. 78s(b)(1). CFR 240.19b–4. 3 In amendment No. 1, the Exchange notes its proposed Supplementary Material to Rule 1301B in SR–NYSE–2006–17, which sets forth guidelines for specialists applicable to this product. The Exchange also makes clarifying and technical changes to this proposal in Amendment No. 1. 2 17 E:\FR\FM\21APN1.SGM 21APN1 20742 Federal Register / Vol. 71, No. 77 / Friday, April 21, 2006 / Notices NYSE has prepared summaries, set forth in Sections A, B and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change rwilkins on PROD1PC63 with NOTICES 1. Purpose The DJ–AIG Notes. Under Section 703.19 (‘‘Other Securities’’) of the NYSE Listed Company Manual (the ‘‘Manual’’), the Exchange may approve for listing and trading securities not otherwise covered by the criteria Sections 1 and 7 of the Manual, provided the issue is suited for auction market trading.4 The Exchange proposes to list and trade, pursuant to 703.19 of the Manual, the Notes, which are linked to the performance of the Index. Barclays intends to issue the Notes under the name ‘‘iPathSM ExchangeTraded Notes.’’ 5 The Exchange believes that the Notes will conform to the initial listing standards for equity securities under Section 703.19, as Barclays is an affiliate of Barclays PLC,6 an Exchange listed company in good standing, the Notes will have a minimum life of one year, the minimum public market value of the Notes at the time of issuance will exceed $4 million, there will be at least one million Notes outstanding, and there will be at least 400 holders at the time of issuance. The Notes are a series of mediumterm debt securities of Barclays that provide for a cash payment at maturity or upon earlier exchange at the holder’s option, based on the performance of the Index, subject to the adjustments described below. The principal amount of each Note is expected to be $50. The 4 Securities Exchange Act Release No. 28217 (July 18, 1990), 55 FR 30056 (July 24, 1990). 5 Dow Jones & Company, Inc. (‘‘Dow Jones’’), AIG Financial Products Corp. (’’AIG–FP’’), and Barclays have entered into a non-exclusive license agreement providing for the license to Barclays, and certain of its affiliated or subsidiary companies, in exchange for a fee, of the right to use the Index, which is published by Dow Jones. 6 The issuer of the Notes, Barclays, is an affiliate of an Exchange-listed company (Barclays PLC) and not an Exchange-listed company itself. However, Barclays itself, though an affiliate of Barclays PLC, would exceed the Exchange’s earnings and minimum tangible net worth requirements in Section 102. Additionally, the Exchange states that the Notes when combined with the original issue price of all other Note offerings of the issuer that are listed on a national securities exchange (or association) does not exceed 25% of the issuer’s net worth. Telephone conference between Florence E. Harmon, Senior Special Counsel, Division of Market Regulation (‘‘Division’’), Commission and John Carey, Assistant General Counsel, Exchange, on April 11 , 2006 (‘‘April 11 Telephone Conference’’). VerDate Aug<31>2005 17:21 Apr 20, 2006 Jkt 208001 Notes will trade on the Exchange’s equity trading floor, and the Exchange’s existing equity trading rules will apply to trading the Notes. The Notes will not have a minimum principal amount that will be repaid and, accordingly, payment on the Notes prior to or at maturity may be less than the original issue price of the Notes. In fact, the value of the Index must increase for the investor to receive at least the $50 principal amount per Note at maturity or upon exchange or redemption. If the value of the Index decreases or does not increase sufficiently to offset the investor fee (described below), the investor will receive less, and possibly significantly less, than the $50 principal amount per Note. In addition, holders of the Notes will not receive any interest payments from the Notes. The Notes are expected to have a term of 10 to 30 years. The Notes are not callable.7 Holders who have not previously redeemed their Notes will receive a cash payment at maturity equal to the principal amount of their Notes times the index factor on the Final Valuation Date (as defined below) minus the investor fee on the Final Valuation Date. The ‘‘index factor’’ on any given day will be equal to the closing value of the Index on that day divided by the initial index level. The ‘‘initial index level’’ is the closing value of the Index on the date of issuance of the Notes (the ‘‘Trade Date’’), and the ‘‘final index level’’ is the closing value of the Index on the Final Valuation Date. The investor fee is equal to 0.75% per year times the principal amount of a holder’s Notes times the index factor, calculated on a daily basis in the following manner: The investor fee on the Trade Date will equal zero. On each subsequent calendar day until maturity or early redemption, the investor fee will increase by an amount equal to 0.75% times the principal amount of a holder’s Notes times the index factor on that day (or, if such day is not a trading day, the index factor on the immediately preceding trading day) divided by 365. The investor fee is the only fee holders will be charged in connection with their ownership of the Notes. Prior to maturity, holders may redeem their Notes on any Redemption Date (defined below) during the term of the Notes, provided that they present at least 50,000 Notes for redemption, or they act through a broker or other financial intermediaries (such as a bank or other financial institution not required to register as a broker-dealer to engage in securities transactions) that are willing to bundle their Notes for 7 April PO 00000 11 Telephone Conference. Frm 00103 Fmt 4703 Sfmt 4703 redemption with other investors’ Notes. If a holder chooses to redeem his Notes, the holder will receive a cash payment on the applicable Redemption Date equal to the principal amount of his Notes times the index factor on the applicable Valuation Date (defined below) minus the investor fee on the applicable Valuation Date. A ‘‘Redemption Date’’ is the third business day following a Valuation Date (other than the Final Valuation Date (defined below)). A ‘‘Valuation Date’’ is each Thursday from the first Thursday after issuance of the Notes until the last Thursday before maturity of the Notes (the ‘‘Final Valuation Date’’) inclusive (or, if such date is not a trading day 8 the next succeeding trading day), unless the calculation agent determines that a market disruption event, as described below, occurs or is continuing on that day.9 In that event, the Valuation Date for the maturity date or corresponding Redemption Date, as the case may be, will be the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not continuing. In no event, however, will a Valuation Date be postponed by more than five trading days. Any of the following will be a market disruption event: (i) A material limitation, suspension or disruption in the trading of any Index component that results in a failure by the trading facility on which the relevant contract is traded to report a daily contract reference price (i.e., the price of the relevant contract that is used as a reference or benchmark by market participants); (ii) the daily contract reference price for any Index component is a ‘‘limit price,’’ which means that the daily contract reference price for such contract has increased or decreased from the previous day’s daily contract reference price by the maximum amount permitted under the applicable rules or procedures of the relevant trading facility; (iii) failure by AIG–FP and Dow Jones to publish the closing value of the Index or of the applicable trading facility or other price source to announce or publish the daily contract reference price for one or more Index component; or (iv) any other event, if the calculation agent determines in its sole discretion that the event materially interferes with 8 A ‘‘trading day’’ is a day on which (i) the value of the Index is published by AIGFP and Dow Jones, (ii) trading is generally conducted on the Exchange, and (iii) trading is generally conducted on the markets on which the futures contracts underlying the Index are traded, in each case as determined by the calculation agent in its sole discretion. 9 Barclays will serve as the initial calculation agent. E:\FR\FM\21APN1.SGM 21APN1 20743 Federal Register / Vol. 71, No. 77 / Friday, April 21, 2006 / Notices Barclays’ ability or the ability of any of Barclays’ affiliates to unwind all or a material portion of a hedge with respect to the Notes that Barclays or Barclays’ affiliates have effected or may effect as described herein in connection with the sale of the Notes.10 If a Valuation Date is postponed by five trading days, that fifth day will nevertheless be the date on which the value of the Index will be determined by the calculation agent. In such an event, the calculation agent will make a good faith estimate in its sole discretion of the value of the Index. To redeem their Notes, holders must instruct their broker or other person through whom they hold their Notes to take the following steps: • Deliver a notice of redemption to Barclays via e-mail by no later than 11 a.m. Eastern time (‘‘ET’’) on the business day prior to the applicable Valuation Date. If Barclays receives such notice by the time specified in the preceding sentence, it will respond by sending the holder a confinnation of redemption; • Deliver the signed confirmation of redemption to Barclays via facsimile in the specified form by 4 p.m. ET on the same day; Barclays must acknowledge receipt in order for the confirmation to be effective; and • Transfer such holder’s book-entry interest in its Notes to the trustee. The Bank of New York, on Barclays’ behalf at or prior to 10 a.m. ET 11 on the applicable Redemption Date (the third business day following the Valuation Date). If holders elect to redeem their Notes, Barclays may request that Barclays Capital Inc. (a broker-dealer) purchase the Notes for the cash amount that would otherwise have been payable by Barclays upon redemption. In this case, Barclays will remain obligated to redeem the Notes if Barclays Capital Inc. fails to purchase the Notes. Any Notes purchased by Barclays Capital Inc. may remain outstanding. rwilkins on PROD1PC63 with NOTICES 10 If a ‘‘market disruption event’’ is of more than a temporary nature, the Exchange will file a proposed rule change pursuant to Rule 19b–4 seeking Commission approval to continue to trade the Notes. (17 CFR 240.19b–4.) Unless approved for continued trading, the Exchange would commence delisting proceedings. See ‘‘Continued Listing Criteria,’’ infra. Telephone conference between Florence E. Harmon, Senior Special Counsel, Division, Commission; John Carey, Assistant General Counsel, Exchange; and Mike Cavalier, Assistant General Counsel, Exchange, on April 10, 2006 (‘‘April 10 Telephone Conference’’). 11 The Exchange authorized the Commission staff to clarify time zone references here and elsewhere in the proposal. Telephone conference between Florence E. Harmon, Senior Special Counsel, Division, Commission; John Carey, Assistant General Counsel, Exchange; and Mike Cavalier, Assistant General Counsel, Exchange, on March 29, 2006 (‘‘March 29 Telephone Conference’’). VerDate Aug<31>2005 17:21 Apr 20, 2006 Jkt 208001 If an event of default occurs and the maturity of the Notes is accelerated, Barclays will pay the default amount in respect of the principal of the Notes at maturity. The default amount for the Notes on any day will be an amount, determined by the calculation agent in its sole discretion, equal to the cost of having a qualified financial institution, of the kind and selected as described below, expressly assume all Barclays’ payment and other obligations with respect to the Notes as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent economic value to the holders of the Notes with respect to the Notes. That cost will equal: • The lowest amount that a qualified financial institution would charge to effect this assumption or undertaking, plus • The reasonable expenses, including reasonable attorneys’ fees, incurred by the holders of the Notes in preparing any documentation necessary for this assumption or undertaking.12 Indicative Value. An intraday ‘‘Indicative Value’’ meant to approximate the intrinsic economic value of the Notes will be calculated and published via the facilities of the Consolidated Tape Association every 15 seconds throughout the NYSE trading day on each day on which the Notes are traded on the Exchange.13 Additionally, Barclays or an affiliate will calculate and publish the closing Indicative Value of the Notes on each trading day at www.ipathetn.com. In connection with the Notes, the term ‘‘Indicative Value’’ refers to the value at a given time based on the following equation: Indicative Value = Principal Amount per Unit × (Current Index Level/ Initial Index Level) ¥ Current Investor Fee Where: • Principal Amount per Unit = $50 12 Additional information about the default provisions of the Notes is provided in the Exchange’s Form 19b–4 and Barclays Bank PLC Registration Statement Form F–3 (333–126811), as amended by Amendment No. 1 on September 11, 2005. 13 The Indicative Value calculation will be provided for reference purposes only. It is not intended as a price or quotation, or as an offer or solicitation for the purchase, sale, redemption or termination of the Notes, nor does it reflect hedging or transaction costs, credit considerations, market liquidity, or bid-offer spreads. Published Index levels from the index sponsors may occasionally be subject to delay or postponement. Any such delays or postponements will affect the Current Index Level and therefore the Indicative Value of the Notes. Index levels provided by the index sponsors will not necessarily reflect the depth and liquidity of the underlying commodities markets. For this reason and others, the actual trading price of the Notes may be different from their Indicative Value. PO 00000 Frm 00104 Fmt 4703 Sfmt 4703 • Current Index Level = The most recent published level of the Index as reported by Dow Jones and AIG– FP. • Initial Index Level = The Index level on the trade date for the Notes. • Current Investor Fee = The most recent daily calculation of the investor fee with respect to the Notes, determined as described above (which, during any trading day, will be the investor fee determined on the preceding calendar day). The Indicative Value will not reflect price changes to the price of an underlying commodity between the close of trading of the futures contract at the relevant futures exchange and the close of trading of the Notes on the NYSE at 4 p.m. ET.14 The value of the Notes may accordingly be influenced by non-concurrent trading hours between the NYSE and the various futures exchanges on which the futures contracts based on the Index commodities are traded. While the Notes will trade on the NYSE from 9:30 a.m. to 4 p.m. ET, the table below lists the trading hours in ET for each of the Index components. CBOT: Corn ...................... Soybeans ............... Soybean Oil .......... Wheat .................... CME: Lean Hogs ............. Live Cattle ............ COMEX: Copper .................. Gold ...................... Silver ..................... CSCE: Coffee .................... Sugar #11 .............. NYBOT: Cotton #2 .............. NYMEX: Heating Oil ........... Natural Gas ........... Unleaded Gasoline 15. WTI Crude Oil ...... LME: Aluminum ............ Nickel .................... Zinc ....................... 10:30 10:30 10:30 10.30 a.m.–2:15 a.m.–2:15 a.m.–2:15 a.m.–2.15 p.m. p.m. p.m. p.m. 10:10 a.m.–2 p.m. 10:05 a.m.–2 p.m. 8:10 a.m.–1 p.m. 8.20 a.m.–1:30 p.m. 8:25 a.m.–1:25 p.m. 9:15 a.m.–12:30 p.m. 9 a.m.–12 p.m. 10:30 a.m.–2:15p.m. 10:05 a.m.–2:30 p.m. 10 a.m.–2.30 p.m. 10:05 a.m.–2:30 p.m. 10 a.m.–2:30 p.m. 6:55 a.m.–12 p.m. 7:15 a.m.–11:55 a.m. 7:10 a.m.–11.55 a.m. While the market for futures trading for each of the Index commodities is open, the Indicative Value can be expected to closely approximate the redemption value of the Notes. However 14 April 11 Telephone Conference (confirming Notes will trade until 4 p.m. ET). 15 On March 3, 2006, the Oversight Committee of the Dow Jones-AIG Commodity Index announced that the Reformulated Gasoline Blendstock for Oxygen Blending (‘‘RB’’) futures contract traded on the New York Mercantile Exchange (‘‘NYMEX’’) E:\FR\FM\21APN1.SGM Continued 21APN1 20744 Federal Register / Vol. 71, No. 77 / Friday, April 21, 2006 / Notices rwilkins on PROD1PC63 with NOTICES during the NYSE trading hours when the futures contracts have ceased trading, spreads and resulting premiums or discounts may widen, and therefore, increase the difference between the price of the Notes and their redemption value. The Exchange states that the Indicative Value disseminated during the NYSE trading hours should not be viewed as a real time update of the redemption value. Description of the Index. The Exchange states that all disclosure in this filing regarding the Index is derived publicly available information. The Exchange states that the Index was introduced in July 1998 to provide a unique, diversified, economically rational and liquid benchmark for commodities as an asset class. The Index is designed to be a diversified benchmark for commodities as an asset class and reflects the returns that are potentially available through an unleveraged investment in the futures contracts on physical commodities comprising the Index 16 plus the rate of interest that could be earned on cash collateral invested in specified Treasury Bills.17 The Index currently is composed of the prices of 19 exchange-traded futures contracts on physical commodities. An exchange-traded futures contract is a bilateral agreement providing for the purchase and sale of a specified type and quantity of a commodity or financial instrument during a stated delivery month for a fixed price. The 19 Index commodities selected for 2006 are as follows: Aluminum, coffee, copper, corn, cotton, crude oil, gold, heating oil, hogs, live cattle, natural gas, nickel, silver, soybeans, soybean oil, sugar, unleaded gasoline, wheat and zinc. Futures contracts on the Index are currently listed for trading on the Chicago Board of Trade (‘‘CBOT’’). The Index is a proprietary index that AlGI International Inc. (‘‘AlGI’’) developed, that each year is determined by AIG–FP, will replace the New York Harbor Unleaded Gasoline (‘‘HU’’) futures contract also traded on NYMEX. Telephone conference between Brian Trackman, Special Counsel, Division, Commission, and John Carey, Exchange, on March 30, 2006. 16 Futures contracts on physical commodities and commodity indices are traded on regulated futures exchanges. The Exchange states that futures exchanges in the United States are subject to regulation by the Commodity Futures Trading Commission and futures markets outside the United States are generally subject to regulation by comparable regulatory authorities. 17 These returns are calculated by using the 91day U.S. Treasury Bill auction rate, designated as ‘‘High Rate’’ as published in the ‘‘Treasury Security Auction Results’’ report, pulished by the Bureau of the Public Debt currently available on its Web site (www.publicdebt.treas.gov/AI/AIGateway), which is generally published once per week on Monday. VerDate Aug<31>2005 17:21 Apr 20, 2006 Jkt 208001 subject to the oversight and approval of the Oversight Committee, and that Dow Jones calculates.18 The methodology for determining the composition and weighting of the Index and for calulating its value is subject to modification by Dow Jones and AIG–FP any time.19 Dow Jones disseminates the Index value at least every 15 seconds 20 (assuming the Index value has changed within such 15 second interval) from 8 a.m. to 3 p.m. ET and publishes a daily Index value at approximately 4 p.m. ET on each DJ–AIG Business Day (as defined below) on Reuters page AIGCII.21 The Index value can still be retrieved after 3 p.m. ET until the end of the Exchange trading day, but its value is generally static after 3 p.m. ET, although it may change if settlement values for Index components become available after that time. A DJ–AIG Business Day (‘‘DJ–AIG Business Day’’) is a day on which the sum of the Commodity Index Percentages (as defined below) for the Index commodities that are available to trade is greater than 50%. For example, based on the weighting of the Index commodities for 2006, if the CBOT and the NYMEX are closed for trading on the 18 AIG–FP is not a broker-dealer or futures commission merchant; however, AIG–PF may have such affiliates. Therefore, AIG–FP will (i) implement and maintain procedures reasonably designed to prevent the use and dissemination by relevant employees of AIG–FP, in violation of applicable laws, rules and regulations, of material non-public information relating to changes in the composition or method of computation or calculation of the Index and (ii) periodically check the application of such procedures as they relate to officers and directors of AIG–FP directly responsible for such changes. Barclays has informed the Exchange that Dow Jones does not have any affiliates engaged in the securities or commodities trading businesses and, as such, does not believe that such firewall procedures are necessary in its case. In addition, the Oversight Committee and Dow Jones will adopt and maintain policies that acknowledge their obligations with respect to material non-public information. April 11 Telephone Conference. 19 In such case, the Commission would expect the Exchange to file a proposed rule change pursuant to Rule 19b–4 (17 CFR 240. 19b–4), seeking Commission approval to continue trading the Notes. Unless approved for continued trading, the Exchange would commence delisting proceedings. See ‘‘Continued Listing Critera,’’ infra. April 10 Telephone Conference. 20 April 11 Telephone Conference. 21 The Oversight Committee (defined below) may exclude any otherwise eligible contract from the Index if it determines that it has an inadequate trading window. The Index currently includes contracts traded on the London Metal Exchange (‘‘LME’’), which is located in London. During the hours where the LME is closed, Dow Jones uses the last price and uses the settlement price once it is available in order to publish the Index value through the end of the trading day. The Index value does not reflect any after-hours or overnight trading in contracts traded on the LME. PO 00000 Frm 00105 Fmt 4703 Sfmt 4703 same day, a DJ–AIG Business Day will not exist.22 Dow Jones and AlGI have established the Dow Jones-AIG Commodity Index Oversight Committee (the ‘‘Oversight Committee’’) to assist them in connection with the operation of the Index. The Exchange states that the Oversight Committee includes prominent members of the financial and academic communities selected by AlG– FP and meets annually to consider any changes to be made to the Index for the coming year.23 The Oversight Committee may also meet at such other times as may be necessary. As described in more detail below, the Index is reweighted and rebalanced each year in January on a price-percentage basis. The annual weightings for the Index are determined each year in June or July by AIG–FP under the supervision of the Oversight Committee, announced after approval by the Oversight Committee, and implemented the following January. The composition of the Index for 2006 was approved following a meeting in July 2005. The Index reweighting and rebalancing took place in January 2006 based on the following composition percentages for the Index for 2006: THE DOW JONES-AIG COMMODITY INDEXSM 2006 COMMODITY INDEX PERCENTAGES Commodity weighting Natural Gas .......................... Crude Oil .............................. Unleaded Gas 24 ................... Heating Oil ............................ Live Cattle ............................. Lean Hogs ............................ Wheat ................................... Corn ...................................... Soybeans .............................. Soybean Oil .......................... Aluminum .............................. Copper .................................. Zinc ....................................... Nickel .................................... Gold ...................................... Silver ..................................... Sugar .................................... Cotton ................................... Coffee ................................... Percent 12.315174 12.783801 4.054908 3.846118 6.093791 4.351381 4.772085 5.873635 7.766934 2.765764 6.851975 5.880787 2.702377 2.659153 6.220211 2.000000 2.967351 3.163003 2.931553 22 The Index value will be disseminated at least every 15 seconds and the daily Index value to be calculated and disseminated during the time the Notes trade on the Exchange. April 11 Telephone Conference. 23 The following are the current members of the Oversight Committee and each member’s respective affiliation: John Crow (director of Rockwater Capital Corporation and former Governor of the Bank of Canada), Daniel M. Raab (AIG), Gilles Poulin (National Bank of Canada), Ronald LayardLiesching (Pareto Partners), Stephen Figlewski (Professor of Finance at New York University) and John A. Prestbo (Dow Jones). 24 See footnote 15, Supra. E:\FR\FM\21APN1.SGM 21APN1 Federal Register / Vol. 71, No. 77 / Friday, April 21, 2006 / Notices The Exchange states that a number of commodities have been selected that are believed to be sufficiently significant to the world economy to merit consideration for inclusion in the Index and which are the subject of a qualifying related futures contract. With the exception of several metals contracts (aluminum, lead, tin, nickel and zinc) that trade on the LME, each of the potential commodities is the subject of a futures contract that trades on a U.S. exchange. The 23 potential commodities currently considered for inclusion in the Index are aluminum, cocoa, coffee, copper, corn, cotton, crude oil, gold, heating oil, lead, cattle, hogs, natural gas, nickel, platinum, silver, soybeans, soybean oil, sugar, tin, unleaded gasoline,25 wheat and zinc. The 19 Index commodities selected for 2006 are as follows: Aluminum, coffee, copper, corn, cotton, crude oil, gold, heating oil, hogs, live cattle, natural gas, nickel, silver, soybeans, soybean oil, sugar, unleaded gasoline, wheat and zinc. A futures contract known as a Designated Contract is selected for each commodity. With the exception of several LME contracts, where the Oversight Committee believes that there exists more than one futures contract with sufficient liquidity to be chosen as a Designated Contract for a commodity, the Oversight Committee selects the 20745 futures contract that is traded in North America and denominated in dollars. If more than one such contract exists, the Oversight Committee selects the most actively traded contract. Data concerning this Designated Contract will be used to calculate the Index. The termination or replacement of a futures contract on an established exchange occurs infrequently; if a Designated Contract were to be terminated or replaced, a comparable futures contract would be selected, if available, to replace that Designated Contract. The Designated Contracts for the commodities included in the Index for 2005 were as follows: INDEX BREAKDOWN AS OF DECEMBER 30, 2005 Commodity Designated contract Exchange Aluminum ................................. Coffee ....................................... Copper ...................................... Corn .......................................... Cotton ....................................... Crude Oil .................................. Gold .......................................... Heating Oil ............................... Live Cattle ................................ Lean Hogs ................................ Natural Gas .............................. Nickel ........................................ Silver ........................................ Soybeans ................................. Sugar ........................................ Unleaded Gasoline 26 ............... Wheat ....................................... Zinc ........................................... Soybean Oil .............................. High Grade Primary Aluminum ................................................ Coffee ‘‘C’’ ............................................................................... Copper ..................................................................................... Corn ......................................................................................... Cotton ...................................................................................... Light, Sweet Crude Oil ............................................................ Gold ......................................................................................... Heating Oil ............................................................................... Live Cattle ................................................................................ Lean Hogs ............................................................................... Henry Hub Natural Gas ........................................................... Primary Nickel .......................................................................... Silver ........................................................................................ Soybeans ................................................................................. World Sugar No. 11 ................................................................. New York Harbor Unleaded Gasoline ..................................... Wheat ....................................................................................... Special High Grade Zinc ......................................................... Soybean Oil ............................................................................. LME ........................................ CSCE ...................................... COMEX ................................... CBOT ...................................... NYCE ...................................... NYMEX ................................... COMEX ................................... NYMEX ................................... CME ........................................ CME ........................................ NYMEX ................................... LME ........................................ COMEX ................................... CBOT ...................................... CSCE ...................................... NYMEX ................................... CBOT ...................................... LME ........................................ CBOT ...................................... For the purposes of applying the diversification rules discussed above and below, the commodities considered for inclusion in the Index are assigned to ‘‘Commodity Groups.’’ 26 The Commodity Groups and their effective target rounded weightings for 2006 are as follows: INDEX BREAKDOWN BY COMMODITY GROUP Percent rwilkins on PROD1PC63 with NOTICES Energy ........................................ Precious Metals .......................... Industrial Metals ......................... Livestock ..................................... Grains ......................................... Softs ............................................ 33.00000 8.22021 18.09429 10.44517 21.17842 9.06191 Commodities included in 2006 are: Energy: Crude Oil, Heating Oil, Natural Gas, Unleaded Gasoline 27 25 Id. VerDate Aug<31>2005 Precious Metals: Gold, Silver Industrial Metals: Aluminum, Copper, Nickel, Zinc Livestock: Lean Hogs, Live Cattle Grains: Corn, Soybeans, Wheat, Soybean Oil Softs: Coffee, Cotton, Sugar The relative weightings of the component commodities included in the Index are determined annually according to both liquidity and dollar adjusted production data in 2⁄3 and 1⁄3 shares, respectively. Each June, for each commodity designated for potential inclusion in the Index, liquidity is measured by the Commodity Liquidity Percentage (‘‘CLP’’) and production by the Commodity Production Percentage (‘‘CPP’’). The CLP for each commodity is determined by taking a five-year average of the product of trading volume and the historic dollar value of the Designated Contract for that commodity, and dividing the result by the sum of 26 Id. 17:21 Apr 20, 2006 Jkt 208001 PO 00000 Frm 00106 Sfmt 4703 6.77 2.55 6.66 4.68 2.91 13.20 5.61 4.13 5.11 2.88 17.38 1.84 2.10 6.67 3.65 4.35 4.08 3.22 2.21 such products for all commodities which were designated for potential inclusion in the Index. The CPP is determined for each commodity by taking a five-year average of annual world production figures, adjusted by the historic dollar value of the Designated Contract, and dividing the result by the sum of such production figures for all the commodities, which were designated for potential inclusion in the Index. The CLP and the CPP are then combined (using a ratio of 2:1) to establish the Commodity Index Percentage (‘‘CIP’’) for each commodity. This CIP is then adjusted in accordance with certain diversification rules in order to determine the commodities, which will be included in the Index and their respective percentage weights. The Index is designed to provide diversified exposure to commodities as an asset class. To ensure that no single 27 Id. Fmt 4703 Weighting (Percent) E:\FR\FM\21APN1.SGM 21APN1 rwilkins on PROD1PC63 with NOTICES 20746 Federal Register / Vol. 71, No. 77 / Friday, April 21, 2006 / Notices commodity or commodity sector dominates the Index, the following diversification rules are applied to the annual re-weighting and rebalancing of the Index as of January of the applicable year: • No related group of commodities designated as a ‘‘Commodity Group’’ (e.g., energy, precious metals, livestock, or grains) may constitute more than 33% of the Index. • No single commodity may constitute more than 15% of the Index. • No single commodity, together with its derivatives (e.g., crude oil, together with heating oil and unleaded gasoline), may constitute more than 25% of the Index. • No single commodity that is in the Index may constitute less than 2% of the Index. Following the annual re-weighting and rebalancing of the Index in January, the percentage of any single commodity or group of commodities at any time prior to the next re-weighting or rebalancing will fluctuate and may exceed or be less than the percentages set forth above. Following application of the diversification rules discussed above, CIPs are incorporated into the Index by calculating the new unit weights for each Index commodity. Near the beginning of each new calendar year (the ‘‘CIM Determination Date’’), the CIPs, along with the settlement prices on that date for Designated Contracts included in the Index, are used to determine a Commodity Index Multiplier (‘‘CIM’’) for each Index commodity. This CIM is used to achieve the percentage weightings of the Index commodities, in dollar terms, indicated by their respective CIPs. After the CIMs are calculated, they remain fixed throughout the year. As a result, the observed price percentage of each Index commodity will float throughout the year, until the CIMs are reset the following year based on new CIPs. The Index is composed of futures contracts on physical commodities. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts normally specify a certain date for the delivery of the underlying physical commodity. In order to avoid delivering the underlying physical commodities and to maintain exposure to the underlying physical commodities, periodically futures contracts on physical commodities specifying delivery on a nearby date must be sold and futures contracts on physical commodities that have not yet reached the delivery period must be purchased. The rollover for each contract occurs VerDate Aug<31>2005 17:21 Apr 20, 2006 Jkt 208001 over a period of five DJ–AIG Business Days each month according to a predetermined schedule. This process is known as ‘‘rolling’’ a futures position. The Index is a ‘‘rolling index.’’ The Index is calculated by Dow Jones by applying the impact of the changes to the futures prices of commodities included in the Index (based on the commodities’ relative weightings). Once the CIMs are determined as discussed above, the calculation of the Index is a mathematical process whereby the CIMs for the Index commodities are multiplied by the daily settlement prices in U.S. dollars for the applicable Designated Contracts. These products are then summed. During the rollover period, the sum includes both nearby and deferred contracts weighted according to the specified roll percentage. The percentage change in this sum from the prior day is then applied to the prior Index value. Finally, the value of one day’s interest is added, calculated using the most recent (lagged by one day) 91-Day U.S. Treasury Bill Auction High Rate to arrive at the current Index value. Dow Jones disseminates the Index value at least every 15 seconds (assuming the Index value has changed within such fifteen-second interval) from 8 a.m. to 3 p.m. ET, and publishes a daily Index value at approximately 4 p.m. ET on each DJ–AIG Business Day on its Web site at http://www.djindexes.com.28 Since its inception, the Index has experienced significant fluctuations. Any historical upward or downward trend in the value of the Index during any period shown below is not an indication that the value of the Index is more or less likely to increase or decrease at any time during the term of the Notes. The historical Index levels do not give an indication of future performance of the Index. There can be no assurance that the future performance of the Index or the Index commodities will result in holders of the Notes receiving a positive return on their investment. For purposes of determining the average index performance, the initial index level will be the closing level of the Index on the initial valuation date. The Index was launched on July 14, 1998. The Exchange states that all data relating to the period prior to the launch of the Index is an historical estimate by the index sponsors using available data as to how the Index may have performed in the pre-launch period 28 The Index value is static from 3 p.m. to 4 p.m. ET other than modifications to reflect settlement prices becoming available. April 11 Telephone Conference. PO 00000 Frm 00107 Fmt 4703 Sfmt 4703 based upon the percentage weightings in effect in 1998. The Exchange states that such data does not represent actual performance and should not be interpreted as an indication of actual performance. Accordingly, the following table illustrates: (i) On a hypothetical basis, how the Index would have performed from December 3I, 1991 to December 31, 1997 based on the selection criteria and methodology described above; and (ii) On an actual basis, how the Index has performed from December 31, 1998 onwards. December 31, 1991 ........................ December 31, 1992 ........................ December 31, 1993 ........................ December 30, 1994 ........................ December 29, 1995 ........................ December 31, 1996 ........................ December 31, 1997 ........................ December 31, 1998 ........................ December 31, 1999 ........................ December 29, 2000 ........................ December 31, 2001 ........................ December 31, 2002 ........................ December 31, 2003 ........................ December 31, 2004 ........................ December 30, 2005 ........................ Source: Bloomberg. 94.245 97.736 96.694 112.755 129.908 160.001 154.579 112.796 140.257 184.917 148.843 187.401 232.249 253.495 307.650 If AIG–FP and Dow Jones discontinue publication of the Index and they or any other person or entity publishes a substitute index that the calculation agent determines is comparable to the Index and approves as a successor index, then the calculation agent will determine the value of the Index and the amount payable at maturity or upon redemption by reference to such successor index.29 If the calculation agent determines that the publication of the Index is discontinued and that there is no successor index, or that the closing value of the Index is not available because of a market disruption event or for any other reason, on the date on which the value of the Index is required to be determined, or if for any other reason the Index is not available to Barclays or the calculation agent on the relevant date, the calculation agent will determine the amount payable by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the Index.30 If the calculation agent determines that the Index, the Index components, or the method of calculating the Index has 29 In such an event, the Commission would expect the Exchange to file a proposed rule change seeking approval to continue trading the Notes. Unless approved for continued trading, the Exchange would commence delisting proceedings. See ‘‘Continued Listing Criteria,’’ infra. April 10 Telephone Conference. 30 Id. E:\FR\FM\21APN1.SGM 21APN1 rwilkins on PROD1PC63 with NOTICES Federal Register / Vol. 71, No. 77 / Friday, April 21, 2006 / Notices been changed at any time in any respect—including any addition, deletion or substitution and any reweighting or rebalancing of Index components, and whether the change is made by AIG–FP and Dow Jones under their existing policies or following a modification of those policies, is due to the publication of a successor index, is due to events affecting one or more of the Index components, or is due to any other reason—then the calculation agent will be permitted (but not required) to make such adjustments to the Index or method of calculating the Index as it believes are appropriate to ensure that the value of the Index used to determine the amount payable on the maturity date or upon redemption is equitable.31 The Exchange states that all determinations and adjustments to be made by the calculation agent with respect to the value of the Index and the amount payable at maturity or upon redemption or otherwise relating to the value of the Index may be made by the calculation agent in its sole discretion.32 Continued Listing Criteria. The Exchange prohibits the initial and/or continued listing of any security that is not in compliance with Rule IOA–3 under the Act.33 The Exchange will delist the Notes: • If, (i) following the initial twelve month period from the date of commencement of trading of the Notes, the Notes have more than 60 days remaining until maturity and there are fewer than 50 beneficial holders of the Notes for 30 or more consecutive trading days; (ii) if fewer than 50,000 Notes remain issued and outstanding; or (iii) if the market value of all outstanding Notes is less than $1,000,000; • If the Index value ceases to be calculated or available during the time the Notes trade on the Exchange on at least a 15 second basis through one or more major market data vendors; • If, during the time the Notes trade on the Exchange, the Indicative Value ceases to be available on a 15 second delayed basis; or • If such other event shall occur or condition exists which in the opinion of the Exchange makes further dealings on the Exchange inadvisable. Additionally, the Exchange will file a proposed rule change pursuant to Rule 19b–4 under the Act 34 seeking approval to continue trading the Notes and unless approved, the Exchange will commence delisting the Notes if: 31 Id. 32 Id. 33 17 34 17 CFR 240.10A–3. CFR 240.19b–4. VerDate Aug<31>2005 17:21 Apr 20, 2006 Jkt 208001 • Dow Jones and AIG–FP substantially change either the Index component selection methodology or the weighting methodology; • If a new component is added to the Index (or pricing information is used for a new or existing component) that constitutes more than 10% of the weight of the Index with whose principal trading market the Exchange does not have a comprehensive surveillance sharing agreement;35 or • If a successor or substitute index is used in connection with the Notes. The filing will address, among other things the listing and trading characteristics of the successor or substitute index and the Exchange’s surveillance procedures applicable thereto. Trading Rules. The Exchange’s existing equity trading rules will apply to trading of the Notes. The Notes will trade between the hours of 9:30 a.m. and 4 p.m. ET 36 and will be subject to the equity margin rules of the Exchange.37 1. Trading Halts. The Exchange will cease trading the Notes if there is a halt or disruption in the dissemination of the Index value or the Indicative Value.38 The Exchange will also cease trading the Notes if a ‘‘market disruption event’’ occurs that is of more than a temporary nature.39 In the event that the Exchange is open for business on a day that is not a DJ–AIG Business Day, the Exchange will not permit trading of the Notes on that day. 2. Specialist Trading Obligations. The Exchange has proposed Supplementary Material .10 to proposed NYSE Rule 1301B 40 in order to apply the provisions of NYSE Rule 1300B(b) and NYSE Rule 1301B to certain Notes listed on the Exchange pursuant to Section 703.19 (‘‘Other Notes’’) of the Exchange’s Listed Company Manual. Specifically, NYSE Rules 1300B(b) and 1301B will apply to Notes listed under Section 703.19 where the price of such Notes is based in whole or part on the price of (a) a commodity or commodities, (b) any futures contracts or other derivatives based on a 35 April 10 Telephone Conference. 29 Telephone Conference. 37 See NYSE Rule 431. 38 In the event the Index value or Indicative Value is no longer calculated or disseminated, the Exchange would immediately contact the Commission to discuss measures that may be appropriate under the circumstances. 39 In the event a ‘‘market disruption event’’ occurs that is of more than a temporary nature, the Exchange would immediately contact the Commission to discuss measures that may be appropriate under the circumstances. 40 See Amendment No. 1 to SR–NYSE–2006–17, filed with the Commission on March 24, 2006. 36 March PO 00000 Frm 00108 Fmt 4703 Sfmt 4703 20747 commodity or commodities, or (c) any index based on either (a) or (b) above. As a result of application of NYSE Rule 1300B(b), the specialist in the Notes, the specialist’s member organization and other specified persons will be prohibited under paragraph (m) of NYSE Rule 105 Guidelines from acting as market maker or functioning in any capacity involving market-making responsibilities in the Index components, the commodities underlying the Index components, or options, futures or options on futures on the Index, or any other derivatives (collectively, ‘‘derivative instruments’’) based on the Index or based on any Index component or any physical commodity underlying an Index component. If the member organization acting as specialist in the Notes is entitled to an exemption under NYSE Rule 98 from paragraph (m) of NYSE Rule 105 Guidelines, then that member organization could act in a market making capacity in the Index components, the commodities underlying the Index components, or derivative instruments based on the Index or based on any Index component or commodity underlying an Index component, other than as a specialist in the Notes themselves, in another market center. Under NYSE Rule 1301B(a), the member organization acting as specialist in the Notes (1) will be obligated to conduct all trading in the Notes in its specialist account, (subject only to the ability to have one or more investment accounts, all of which must be reported to the Exchange), (2) will be required to file with the Exchange and keep current a list identifying all accounts for trading in the Index components or the physical commodities underlying the Index components, or derivative instruments based on the Index or based on the Index components or the physical commodities underlying the Index components, which the member organization acting as specialist may have or over which it may exercise investment discretion, and (3) will be prohibited from trading in the Index components or the physical commodities underlying the Index components, or derivative instruments based on the Index or based on the Index components or the physical commodities underlying the Index components, in an account in which a member organization acting as specialist, controls trading activities which have not been reported to the Exchange as required by NYSE Rule 1301B. Under NYSE Rule 1301B(b), the member organization acting as specialist E:\FR\FM\21APN1.SGM 21APN1 rwilkins on PROD1PC63 with NOTICES 20748 Federal Register / Vol. 71, No. 77 / Friday, April 21, 2006 / Notices in the Notes will be required to make available to the Exchange such books, records or other information pertaining to transactions by the member organization and other specified persons for its or their own accounts in the Index components or the physical commodities underlying the Index components, or derivative instruments based on the Index or based on the Index components or the physical commodities underlying the Index components, as may be requested by the Exchange. This requirement is in addition to existing obligations under Exchange rules regarding the production of books and records. Under NYSE Rule 1301B(c), in connection with trading the Index components or the physical commodities underlying the Index components, or derivative instruments based on the Index or based on the Index components or the physical commodities underlying the Index components, the specialist could not use any material nonpublic information received from any person associated with a member or employee of such person regarding trading by such person or employee in the Index components or the physical commodities underlying the Index components, or derivative instruments based on the Index or based on the Index components or the physical commodities underlying the Index components. 3. Surveillance. The Exchange represents that its surveillance procedures are adequate to properly monitor the trading of the Notes and the Index components. The Exchange will rely upon existing NYSE surveillance procedures governing equities with respect to surveillance of the Notes. The Exchange believes that these procedures are adequate to monitor Exchange trading of the Notes and to detect violations of Exchange rules, consequently deterring manipulation. In this regard, the Exchange currently has the authority under NYSE Rule 476 to request the Exchange specialist in the Notes to provide NYSE Regulation with information that the specialist uses in connection with pricing the Notes on the Exchange, including specialist, proprietary or other information regarding Notes, commodities, futures, options on futures or other derivative instruments. The Exchange believes it also has authority to request any other information from its members— including floor brokers, specialists and ‘‘upstairs’’ firms—to fulfill its regulatory obligations. With regard to the Index components, the Exchange can obtain market surveillance information with respect to VerDate Aug<31>2005 17:21 Apr 20, 2006 Jkt 208001 transactions occurring on the LME, including customer identity information, pursuant to a memorandum of understanding with the LME. The Exchange also has access to transaction information, including customer identity information with respect to all contracts traded on the NYMEX and COMEX pursuant to the Exchange’s information sharing agreement with NYMEX. All of the other trading venues on which current Index components are traded, namely CBOT, CSCE and CME, are members of the Intermarket Surveillance Group, and the Exchange therefore has access to all relevant trading information with respect to those contracts without any further action being required on the part of the Exchange. All these surveillance arrangements constitute comprehensive surveillance sharing arrangements. Suitability. Pursuant to NYSE Rule 405, the Exchange will impose a duty of due diligence on its members and member firms to learn the essential facts relating to every customer prior to trading the Notes.41 With respect to suitability recommendations and risks, the Exchange will require members, member organizations and employees thereof recommending a transaction in the Notes: (1) To determine that such transaction is suitable for the customer, and (2) to have a reasonable basis for believing that the customer can evaluate the special characteristics of, and is able to bear the financial risks of, such transaction. Information Memorandum.42 The Exchange will, prior to trading the Notes, distribute a memorandum to the membership providing guidance with regard to member firm compliance responsibilities (including suitability recommendations) when handling transactions in the Notes. The memorandum will note to members language in the prospectus used by Barclays in connection with the sale of the Notes regarding prospectus delivery requirements for the Notes. Specifically, in the initial distribution of the Notes,43 and during any subsequent distribution 41 NYSE Rule 405 requires that every member, member firm or member corporation use due diligence to learn the essential facts relative to every customer and to every order or account accepted. 42 The Exchange initially referred to the distributed document in its filing as an ‘‘Information Circular.’’ The Exchange requested that the Commission change the Reference to an ‘‘Information Memorandum’’ in the Commission’s Notice. Telephone conference between Kristie Diemer, Attorney, Division, Commission, and John Carey, Assistant General Counsel, Exchange, on April 10, 2006. 43 The Registration Statement reserves the right to do subsequent distributions of these Notes. PO 00000 Frm 00109 Fmt 4703 Sfmt 4703 of the Notes, NYSE members will deliver a prospectus to investors purchasing from such distributors.44 The memorandum will discuss the special characteristics and risks of trading this type of security. Specifically, the memorandum, among other things, will discuss what the Notes are, how the Notes are redeemed, applicable Exchange rules, dissemination of information regarding the Index value and the Indicative Value, trading information, and applicable suitability rules. The memorandum will also notify members and member organizations about the procedures for redemptions of Notes and that Notes are not individually redeemable but are redeemable only in aggregations of at least 50,000 Notes. The memorandum will also reference the fact that there is no regulated source of last sale information regarding physical commodities and that the SEC has no jurisdiction over the trading of physical commodities or the futures contracts on which the value of the Notes is based, and that the CFTC has no regulatory jurisdiction over the trading of certain foreign based futures contracts. The memorandum will also discuss other exemptive or no-action relief under the Act provided by the Commission staff.45 2. Statutory Basis The NYSE believes that the proposed rule change is consistent with the requirements of Section 6(b)(5),46 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. 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 purposes of the Act. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others The Exchange has neither solicited nor received written comments on the proposed rule change. 44 April 10 Telephone Conference. 29 Telephone Conference. 46 15 U.S.C. 78f(b)(5). 45 March E:\FR\FM\21APN1.SGM 21APN1 Federal Register / Vol. 71, No. 77 / Friday, April 21, 2006 / Notices III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 35 days of the date of publication of this notice in the Federal Register or within such longer period (i) as the Commission may designate up to 90 days of such date 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 such proposed rule change, or (B) Institute proceedings to determine whether the proposed rule change should be disapproved. The Commission is considering granting accelerated approval of the proposed rule change at the end of a 15day comment period.47 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 Exchange 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 e-mail to rulecomments@sec.gov. Please include File Number SR–NYSE–2006–16 on the subject line. rwilkins on PROD1PC63 with NOTICES Paper Comments • Send paper comments in triplicate to Nancy M. Morris, Secretary, Notes and Exchange Commission, 100 F Street, NE, Washington, DC 20549– 1090. All submissions should refer to File Number SR–NYSE–2006–16. This file number should be included on the subject line if e-mail 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 47 The NYSE has requested accelerated approval of this proposed rule change prior to the 30th day after the date of publication of the notice of the filing thereof, following the conclusion of a 15-day comment period. March 29 Telephone Conference. VerDate Aug<31>2005 17:21 Apr 20, 2006 Jkt 208001 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 inspection and copying in the Commission’s Public Reference Room. Copies of the filing also will be available for inspection and copying at the principal office of the NYSE. 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–NYSE–2006–16 and should be submitted on or before May 8, 2006. For the Commission, by the Division of Market Regulation, pursuant to delegated authority.48 Jill M. Peterson, Assistant Secretary. [FR Doc. 06–3761 Filed 4–20–06; 8:45 am] 20749 Selective Service System, Reports Clearance Officer, Arlington, Virginia, 22209–2425. A copy of the comments should be sent to the Office of Information and Regulatory Affairs, Attention: Desk Officer, Selective Service System, Office of Management and Budget, New Executive Office Building, Room 3235, Washington, DC 20435. Dated: April 11, 2006. S. Eric Benson, Deputy Director. [FR Doc. 06–3813 Filed 4–20–06; 8:45 am] BILLING CODE 8015–01–M SMALL BUSINESS ADMINISTRATION [Disaster Declaration #10450 and #10451] Oklahoma Disaster #OK–00005 U.S. Small Business Administration. ACTION: Notice. AGENCY: BILLING CODE 8010–01–M SELECTIVE SERVICE SYSTEM Form Submitted to the Office of Management and Budget for Extension of Clearance Selective Service System. Notice. AGENCY: ACTION: The form described below has been submitted to the Office of Management and Budget (OMB) for extension of clearance in compliance with the Paperwork Reduction Act (44 U.S.C. Chapter 35): SSS FORM 22 Title: Claim Documentation Form— Conscientious Objector. Purpose: The form will be used to document a claim for classification as a conscientious objector in the event that inductions into the Armed Forces are resumed. Respondents: Registrants who claim to be conscientious objectors. Frequency: One-time. Burden: The reporting burden is one hour per individual. Copies of the above identified form can be obtained upon written request to the Selective Service System, Reports Clearance Officer, Arlington, Virginia 22209–2425. Written comments and recommendations for the proposed extension of clearance of the form should be sent within 30 days of publication of this notice to the 48 17 PO 00000 CFR 200.30–3(a)(12). Frm 00110 Fmt 4703 Sfmt 4703 SUMMARY: This is a Notice of the Presidential declaration of a major disaster for the State of Oklahoma (FEMA–1637–DR), dated April 13, 2006. Incident: Severe storms and tornadoes. Incident Period: March 12, 2006 and continuing. Effective Date: April 13, 2006. Physical Loan Application Deadline Date: June 12, 2006. Economic Injury (EIDL) Loan Application Deadline Date: January 15, 2007. ADDRESSES: Submit completed loan applications to: U.S. Small Business Administration, National Processing and Disbursement Center, 14925 Kingsport Road, Fort Worth, TX 76155. FOR FURTHER INFORMATION CONTACT: A. Escobar, Office of Disaster Assistance, U.S. Small Business Administration, 409 3rd Street, SW., Suite 6050, Washington, DC 20416. SUPPLEMENTARY INFORMATION: Notice is hereby given that as a result of the President’s major disaster declaration on April 13, 2006, applications for disaster loans may be filed at the address listed above or other locally announced locations. The following areas have been determined to be adversely affected by the disaster: Primary Counties (Physical Damage and Economic Injury Loans): Delaware. Contiguous Counties (Economic Injury Loans Only): Oklahoma: Adair, Cherokee, Craig, Mayes, and Ottawa. Arkansas: Benton. E:\FR\FM\21APN1.SGM 21APN1

Agencies

[Federal Register Volume 71, Number 77 (Friday, April 21, 2006)]
[Notices]
[Pages 20741-20749]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 06-3761]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-53639; File No. SR-NYSE-2006-16]


Self-Regulatory Organizations; New York Stock Exchange, Inc. (n/
k/a New York Stock Exchange LLC); Notice of Filing of Proposed Rule 
Change and Amendment No. 1 Thereto Relating to the Proposal To List and 
Trade Index-Linked Securities of Barclays Bank PLC Linked to the 
Performance of the Dow Jones-AIG Commodity Index Total

April 12, 2006.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 \2\ thereunder, notice is hereby given 
that on March 6, 2006, the New York Stock Exchange, Inc. (n/k/a New 
York Stock Exchange LLC) (``NYSE'' or ``Exchange'') filed with the 
Securities and Exchange Commission (``SEC'' or ``Commission'') the 
proposed rule change as described in Items I, II and III below, which 
Items have been prepared by the Exchange. On March 27, 2006, NYSE filed 
Amendment No. 1 to the proposed rule change.\3\ The Commission is 
publishing this notice to solicit comments on the proposed rule change 
from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ In amendment No. 1, the Exchange notes its proposed 
Supplementary Material to Rule 1301B in SR-NYSE-2006-17, which sets 
forth guidelines for specialists applicable to this product. The 
Exchange also makes clarifying and technical changes to this 
proposal in Amendment No. 1.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The NYSE is proposing to list and trade notes issued by Barclays 
Bank PLC (``Barclays'') linked to the performance of the Dow Jones-AIG 
Commodity Index Total Return (``Index'') (``DJ-AIG Notes'' or 
``Notes''). The text of the proposed rule change is available on the 
NYSE's Web site (http://www.nyse.com), at the NYSE's Office of the 
Secretary, and at the Commission's public reference room.

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

    In its filing with the Commission, the NYSE included statements 
concerning the purpose of and basis for the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The

[[Page 20742]]

NYSE has prepared summaries, set forth in Sections A, B and C below, of 
the most significant aspects of such statements.

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

1. Purpose
    The DJ-AIG Notes. Under Section 703.19 (``Other Securities'') of 
the NYSE Listed Company Manual (the ``Manual''), the Exchange may 
approve for listing and trading securities not otherwise covered by the 
criteria Sections 1 and 7 of the Manual, provided the issue is suited 
for auction market trading.\4\ The Exchange proposes to list and trade, 
pursuant to 703.19 of the Manual, the Notes, which are linked to the 
performance of the Index. Barclays intends to issue the Notes under the 
name ``iPathSM Exchange-Traded Notes.'' \5\
---------------------------------------------------------------------------

    \4\ Securities Exchange Act Release No. 28217 (July 18, 1990), 
55 FR 30056 (July 24, 1990).
    \5\ Dow Jones & Company, Inc. (``Dow Jones''), AIG Financial 
Products Corp. (''AIG-FP''), and Barclays have entered into a non-
exclusive license agreement providing for the license to Barclays, 
and certain of its affiliated or subsidiary companies, in exchange 
for a fee, of the right to use the Index, which is published by Dow 
Jones.
---------------------------------------------------------------------------

    The Exchange believes that the Notes will conform to the initial 
listing standards for equity securities under Section 703.19, as 
Barclays is an affiliate of Barclays PLC,\6\ an Exchange listed company 
in good standing, the Notes will have a minimum life of one year, the 
minimum public market value of the Notes at the time of issuance will 
exceed $4 million, there will be at least one million Notes 
outstanding, and there will be at least 400 holders at the time of 
issuance.
---------------------------------------------------------------------------

    \6\ The issuer of the Notes, Barclays, is an affiliate of an 
Exchange-listed company (Barclays PLC) and not an Exchange-listed 
company itself. However, Barclays itself, though an affiliate of 
Barclays PLC, would exceed the Exchange's earnings and minimum 
tangible net worth requirements in Section 102. Additionally, the 
Exchange states that the Notes when combined with the original issue 
price of all other Note offerings of the issuer that are listed on a 
national securities exchange (or association) does not exceed 25% of 
the issuer's net worth. Telephone conference between Florence E. 
Harmon, Senior Special Counsel, Division of Market Regulation 
(``Division''), Commission and John Carey, Assistant General 
Counsel, Exchange, on April 11 , 2006 (``April 11 Telephone 
Conference'').
---------------------------------------------------------------------------

    The Notes are a series of medium-term debt securities of Barclays 
that provide for a cash payment at maturity or upon earlier exchange at 
the holder's option, based on the performance of the Index, subject to 
the adjustments described below. The principal amount of each Note is 
expected to be $50. The Notes will trade on the Exchange's equity 
trading floor, and the Exchange's existing equity trading rules will 
apply to trading the Notes. The Notes will not have a minimum principal 
amount that will be repaid and, accordingly, payment on the Notes prior 
to or at maturity may be less than the original issue price of the 
Notes. In fact, the value of the Index must increase for the investor 
to receive at least the $50 principal amount per Note at maturity or 
upon exchange or redemption. If the value of the Index decreases or 
does not increase sufficiently to offset the investor fee (described 
below), the investor will receive less, and possibly significantly 
less, than the $50 principal amount per Note. In addition, holders of 
the Notes will not receive any interest payments from the Notes. The 
Notes are expected to have a term of 10 to 30 years. The Notes are not 
callable.\7\
---------------------------------------------------------------------------

    \7\ April 11 Telephone Conference.
---------------------------------------------------------------------------

    Holders who have not previously redeemed their Notes will receive a 
cash payment at maturity equal to the principal amount of their Notes 
times the index factor on the Final Valuation Date (as defined below) 
minus the investor fee on the Final Valuation Date. The ``index 
factor'' on any given day will be equal to the closing value of the 
Index on that day divided by the initial index level. The ``initial 
index level'' is the closing value of the Index on the date of issuance 
of the Notes (the ``Trade Date''), and the ``final index level'' is the 
closing value of the Index on the Final Valuation Date. The investor 
fee is equal to 0.75% per year times the principal amount of a holder's 
Notes times the index factor, calculated on a daily basis in the 
following manner: The investor fee on the Trade Date will equal zero. 
On each subsequent calendar day until maturity or early redemption, the 
investor fee will increase by an amount equal to 0.75% times the 
principal amount of a holder's Notes times the index factor on that day 
(or, if such day is not a trading day, the index factor on the 
immediately preceding trading day) divided by 365. The investor fee is 
the only fee holders will be charged in connection with their ownership 
of the Notes.
    Prior to maturity, holders may redeem their Notes on any Redemption 
Date (defined below) during the term of the Notes, provided that they 
present at least 50,000 Notes for redemption, or they act through a 
broker or other financial intermediaries (such as a bank or other 
financial institution not required to register as a broker-dealer to 
engage in securities transactions) that are willing to bundle their 
Notes for redemption with other investors' Notes. If a holder chooses 
to redeem his Notes, the holder will receive a cash payment on the 
applicable Redemption Date equal to the principal amount of his Notes 
times the index factor on the applicable Valuation Date (defined below) 
minus the investor fee on the applicable Valuation Date. A ``Redemption 
Date'' is the third business day following a Valuation Date (other than 
the Final Valuation Date (defined below)). A ``Valuation Date'' is each 
Thursday from the first Thursday after issuance of the Notes until the 
last Thursday before maturity of the Notes (the ``Final Valuation 
Date'') inclusive (or, if such date is not a trading day \8\ the next 
succeeding trading day), unless the calculation agent determines that a 
market disruption event, as described below, occurs or is continuing on 
that day.\9\ In that event, the Valuation Date for the maturity date or 
corresponding Redemption Date, as the case may be, will be the first 
following trading day on which the calculation agent determines that a 
market disruption event does not occur and is not continuing. In no 
event, however, will a Valuation Date be postponed by more than five 
trading days.
---------------------------------------------------------------------------

    \8\ A ``trading day'' is a day on which (i) the value of the 
Index is published by AIGFP and Dow Jones, (ii) trading is generally 
conducted on the Exchange, and (iii) trading is generally conducted 
on the markets on which the futures contracts underlying the Index 
are traded, in each case as determined by the calculation agent in 
its sole discretion.
    \9\ Barclays will serve as the initial calculation agent.
---------------------------------------------------------------------------

    Any of the following will be a market disruption event: (i) A 
material limitation, suspension or disruption in the trading of any 
Index component that results in a failure by the trading facility on 
which the relevant contract is traded to report a daily contract 
reference price (i.e., the price of the relevant contract that is used 
as a reference or benchmark by market participants); (ii) the daily 
contract reference price for any Index component is a ``limit price,'' 
which means that the daily contract reference price for such contract 
has increased or decreased from the previous day's daily contract 
reference price by the maximum amount permitted under the applicable 
rules or procedures of the relevant trading facility; (iii) failure by 
AIG-FP and Dow Jones to publish the closing value of the Index or of 
the applicable trading facility or other price source to announce or 
publish the daily contract reference price for one or more Index 
component; or (iv) any other event, if the calculation agent determines 
in its sole discretion that the event materially interferes with

[[Page 20743]]

Barclays' ability or the ability of any of Barclays' affiliates to 
unwind all or a material portion of a hedge with respect to the Notes 
that Barclays or Barclays' affiliates have effected or may effect as 
described herein in connection with the sale of the Notes.\10\
---------------------------------------------------------------------------

    \10\ If a ``market disruption event'' is of more than a 
temporary nature, the Exchange will file a proposed rule change 
pursuant to Rule 19b-4 seeking Commission approval to continue to 
trade the Notes. (17 CFR 240.19b-4.) Unless approved for continued 
trading, the Exchange would commence delisting proceedings. See 
``Continued Listing Criteria,'' infra. Telephone conference between 
Florence E. Harmon, Senior Special Counsel, Division, Commission; 
John Carey, Assistant General Counsel, Exchange; and Mike Cavalier, 
Assistant General Counsel, Exchange, on April 10, 2006 (``April 10 
Telephone Conference'').
---------------------------------------------------------------------------

    If a Valuation Date is postponed by five trading days, that fifth 
day will nevertheless be the date on which the value of the Index will 
be determined by the calculation agent. In such an event, the 
calculation agent will make a good faith estimate in its sole 
discretion of the value of the Index.
    To redeem their Notes, holders must instruct their broker or other 
person through whom they hold their Notes to take the following steps:
     Deliver a notice of redemption to Barclays via e-mail by 
no later than 11 a.m. Eastern time (``ET'') on the business day prior 
to the applicable Valuation Date. If Barclays receives such notice by 
the time specified in the preceding sentence, it will respond by 
sending the holder a confinnation of redemption;
     Deliver the signed confirmation of redemption to Barclays 
via facsimile in the specified form by 4 p.m. ET on the same day; 
Barclays must acknowledge receipt in order for the confirmation to be 
effective; and
     Transfer such holder's book-entry interest in its Notes to 
the trustee. The Bank of New York, on Barclays' behalf at or prior to 
10 a.m. ET \11\ on the applicable Redemption Date (the third business 
day following the Valuation Date).
---------------------------------------------------------------------------

    \11\ The Exchange authorized the Commission staff to clarify 
time zone references here and elsewhere in the proposal. Telephone 
conference between Florence E. Harmon, Senior Special Counsel, 
Division, Commission; John Carey, Assistant General Counsel, 
Exchange; and Mike Cavalier, Assistant General Counsel, Exchange, on 
March 29, 2006 (``March 29 Telephone Conference'').
---------------------------------------------------------------------------

    If holders elect to redeem their Notes, Barclays may request that 
Barclays Capital Inc. (a broker-dealer) purchase the Notes for the cash 
amount that would otherwise have been payable by Barclays upon 
redemption. In this case, Barclays will remain obligated to redeem the 
Notes if Barclays Capital Inc. fails to purchase the Notes. Any Notes 
purchased by Barclays Capital Inc. may remain outstanding.
    If an event of default occurs and the maturity of the Notes is 
accelerated, Barclays will pay the default amount in respect of the 
principal of the Notes at maturity. The default amount for the Notes on 
any day will be an amount, determined by the calculation agent in its 
sole discretion, equal to the cost of having a qualified financial 
institution, of the kind and selected as described below, expressly 
assume all Barclays' payment and other obligations with respect to the 
Notes as of that day and as if no default or acceleration had occurred, 
or to undertake other obligations providing substantially equivalent 
economic value to the holders of the Notes with respect to the Notes. 
That cost will equal:
     The lowest amount that a qualified financial institution 
would charge to effect this assumption or undertaking, plus
     The reasonable expenses, including reasonable attorneys' 
fees, incurred by the holders of the Notes in preparing any 
documentation necessary for this assumption or undertaking.\12\
---------------------------------------------------------------------------

    \12\ Additional information about the default provisions of the 
Notes is provided in the Exchange's Form 19b-4 and Barclays Bank PLC 
Registration Statement Form F-3 (333-126811), as amended by 
Amendment No. 1 on September 11, 2005.
---------------------------------------------------------------------------

    Indicative Value. An intraday ``Indicative Value'' meant to 
approximate the intrinsic economic value of the Notes will be 
calculated and published via the facilities of the Consolidated Tape 
Association every 15 seconds throughout the NYSE trading day on each 
day on which the Notes are traded on the Exchange.\13\ Additionally, 
Barclays or an affiliate will calculate and publish the closing 
Indicative Value of the Notes on each trading day at www.ipathetn.com. 
In connection with the Notes, the term ``Indicative Value'' refers to 
the value at a given time based on the following equation:
---------------------------------------------------------------------------

    \13\ The Indicative Value calculation will be provided for 
reference purposes only. It is not intended as a price or quotation, 
or as an offer or solicitation for the purchase, sale, redemption or 
termination of the Notes, nor does it reflect hedging or transaction 
costs, credit considerations, market liquidity, or bid-offer 
spreads. Published Index levels from the index sponsors may 
occasionally be subject to delay or postponement. Any such delays or 
postponements will affect the Current Index Level and therefore the 
Indicative Value of the Notes. Index levels provided by the index 
sponsors will not necessarily reflect the depth and liquidity of the 
underlying commodities markets. For this reason and others, the 
actual trading price of the Notes may be different from their 
Indicative Value.

Indicative Value = Principal Amount per Unit x (Current Index Level/
Initial Index Level) - Current Investor Fee
Where:

 Principal Amount per Unit = $50
 Current Index Level = The most recent published level of the 
Index as reported by Dow Jones and AIG-FP.
 Initial Index Level = The Index level on the trade date for 
the Notes.
 Current Investor Fee = The most recent daily calculation of 
the investor fee with respect to the Notes, determined as described 
above (which, during any trading day, will be the investor fee 
determined on the preceding calendar day).

    The Indicative Value will not reflect price changes to the price of 
an underlying commodity between the close of trading of the futures 
contract at the relevant futures exchange and the close of trading of 
the Notes on the NYSE at 4 p.m. ET.\14\ The value of the Notes may 
accordingly be influenced by non-concurrent trading hours between the 
NYSE and the various futures exchanges on which the futures contracts 
based on the Index commodities are traded. While the Notes will trade 
on the NYSE from 9:30 a.m. to 4 p.m. ET, the table below lists the 
trading hours in ET for each of the Index components.

    \14\ April 11 Telephone Conference (confirming Notes will trade 
until 4 p.m. ET).

CBOT:
  Corn..............................  10:30 a.m.-2:15 p.m.
  Soybeans..........................  10:30 a.m.-2:15 p.m.
  Soybean Oil.......................  10:30 a.m.-2:15 p.m.
  Wheat.............................  10.30 a.m.-2.15 p.m.
CME:
  Lean Hogs.........................  10:10 a.m.-2 p.m.
  Live Cattle.......................  10:05 a.m.-2 p.m.
COMEX:
  Copper............................  8:10 a.m.-1 p.m.
  Gold..............................  8.20 a.m.-1:30 p.m.
  Silver............................  8:25 a.m.-1:25 p.m.
CSCE:
  Coffee............................  9:15 a.m.-12:30 p.m.
  Sugar 11.................  9 a.m.-12 p.m.
NYBOT:
  Cotton 2.................  10:30 a.m.-2:15p.m.
NYMEX:
  Heating Oil.......................  10:05 a.m.-2:30 p.m.
  Natural Gas.......................  10 a.m.-2.30 p.m.
  Unleaded Gasoline \15\............  10:05 a.m.-2:30 p.m.
  WTI Crude Oil.....................  10 a.m.-2:30 p.m.
LME:
  Aluminum..........................  6:55 a.m.-12 p.m.
  Nickel............................  7:15 a.m.-11:55 a.m.
  Zinc..............................  7:10 a.m.-11.55 a.m.
 

    While the market for futures trading for each of the Index 
commodities is open, the Indicative Value can be expected to closely 
approximate the redemption value of the Notes. However

[[Page 20744]]

during the NYSE trading hours when the futures contracts have ceased 
trading, spreads and resulting premiums or discounts may widen, and 
therefore, increase the difference between the price of the Notes and 
their redemption value. The Exchange states that the Indicative Value 
disseminated during the NYSE trading hours should not be viewed as a 
real time update of the redemption value.
---------------------------------------------------------------------------

    \15\ On March 3, 2006, the Oversight Committee of the Dow Jones-
AIG Commodity Index announced that the Reformulated Gasoline 
Blendstock for Oxygen Blending (``RB'') futures contract traded on 
the New York Mercantile Exchange (``NYMEX'') will replace the New 
York Harbor Unleaded Gasoline (``HU'') futures contract also traded 
on NYMEX. Telephone conference between Brian Trackman, Special 
Counsel, Division, Commission, and John Carey, Exchange, on March 
30, 2006.
---------------------------------------------------------------------------

    Description of the Index. The Exchange states that all disclosure 
in this filing regarding the Index is derived publicly available 
information.
    The Exchange states that the Index was introduced in July 1998 to 
provide a unique, diversified, economically rational and liquid 
benchmark for commodities as an asset class. The Index is designed to 
be a diversified benchmark for commodities as an asset class and 
reflects the returns that are potentially available through an 
unleveraged investment in the futures contracts on physical commodities 
comprising the Index \16\ plus the rate of interest that could be 
earned on cash collateral invested in specified Treasury Bills.\17\ The 
Index currently is composed of the prices of 19 exchange-traded futures 
contracts on physical commodities. An exchange-traded futures contract 
is a bilateral agreement providing for the purchase and sale of a 
specified type and quantity of a commodity or financial instrument 
during a stated delivery month for a fixed price. The 19 Index 
commodities selected for 2006 are as follows: Aluminum, coffee, copper, 
corn, cotton, crude oil, gold, heating oil, hogs, live cattle, natural 
gas, nickel, silver, soybeans, soybean oil, sugar, unleaded gasoline, 
wheat and zinc. Futures contracts on the Index are currently listed for 
trading on the Chicago Board of Trade (``CBOT''). The Index is a 
proprietary index that AlGI International Inc. (``AlGI'') developed, 
that each year is determined by AIG-FP, subject to the oversight and 
approval of the Oversight Committee, and that Dow Jones calculates.\18\ 
The methodology for determining the composition and weighting of the 
Index and for calulating its value is subject to modification by Dow 
Jones and AIG-FP any time.\19\ Dow Jones disseminates the Index value 
at least every 15 seconds \20\ (assuming the Index value has changed 
within such 15 second interval) from 8 a.m. to 3 p.m. ET and publishes 
a daily Index value at approximately 4 p.m. ET on each DJ-AIG Business 
Day (as defined below) on Reuters page AIGCII.\21\ The Index value can 
still be retrieved after 3 p.m. ET until the end of the Exchange 
trading day, but its value is generally static after 3 p.m. ET, 
although it may change if settlement values for Index components become 
available after that time. A DJ-AIG Business Day (``DJ-AIG Business 
Day'') is a day on which the sum of the Commodity Index Percentages (as 
defined below) for the Index commodities that are available to trade is 
greater than 50%. For example, based on the weighting of the Index 
commodities for 2006, if the CBOT and the NYMEX are closed for trading 
on the same day, a DJ-AIG Business Day will not exist.\22\
---------------------------------------------------------------------------

    \16\ Futures contracts on physical commodities and commodity 
indices are traded on regulated futures exchanges. The Exchange 
states that futures exchanges in the United States are subject to 
regulation by the Commodity Futures Trading Commission and futures 
markets outside the United States are generally subject to 
regulation by comparable regulatory authorities.
    \17\ These returns are calculated by using the 91-day U.S. 
Treasury Bill auction rate, designated as ``High Rate'' as published 
in the ``Treasury Security Auction Results'' report, pulished by the 
Bureau of the Public Debt currently available on its Web site 
(www.publicdebt.treas.gov/AI/AIGateway), which is generally 
published once per week on Monday.
    \18\ AIG-FP is not a broker-dealer or futures commission 
merchant; however, AIG-PF may have such affiliates. Therefore, AIG-
FP will (i) implement and maintain procedures reasonably designed to 
prevent the use and dissemination by relevant employees of AIG-FP, 
in violation of applicable laws, rules and regulations, of material 
non-public information relating to changes in the composition or 
method of computation or calculation of the Index and (ii) 
periodically check the application of such procedures as they relate 
to officers and directors of AIG-FP directly responsible for such 
changes. Barclays has informed the Exchange that Dow Jones does not 
have any affiliates engaged in the securities or commodities trading 
businesses and, as such, does not believe that such firewall 
procedures are necessary in its case. In addition, the Oversight 
Committee and Dow Jones will adopt and maintain policies that 
acknowledge their obligations with respect to material non-public 
information. April 11 Telephone Conference.
    \19\ In such case, the Commission would expect the Exchange to 
file a proposed rule change pursuant to Rule 19b-4 (17 CFR 240. 19b-
4), seeking Commission approval to continue trading the Notes. 
Unless approved for continued trading, the Exchange would commence 
delisting proceedings. See ``Continued Listing Critera,'' infra. 
April 10 Telephone Conference.
    \20\ April 11 Telephone Conference.
    \21\ The Oversight Committee (defined below) may exclude any 
otherwise eligible contract from the Index if it determines that it 
has an inadequate trading window. The Index currently includes 
contracts traded on the London Metal Exchange (``LME''), which is 
located in London. During the hours where the LME is closed, Dow 
Jones uses the last price and uses the settlement price once it is 
available in order to publish the Index value through the end of the 
trading day. The Index value does not reflect any after-hours or 
overnight trading in contracts traded on the LME.
    \22\ The Index value will be disseminated at least every 15 
seconds and the daily Index value to be calculated and disseminated 
during the time the Notes trade on the Exchange. April 11 Telephone 
Conference.
---------------------------------------------------------------------------

    Dow Jones and AlGI have established the Dow Jones-AIG Commodity 
Index Oversight Committee (the ``Oversight Committee'') to assist them 
in connection with the operation of the Index. The Exchange states that 
the Oversight Committee includes prominent members of the financial and 
academic communities selected by AlG-FP and meets annually to consider 
any changes to be made to the Index for the coming year.\23\ The 
Oversight Committee may also meet at such other times as may be 
necessary. As described in more detail below, the Index is re-weighted 
and rebalanced each year in January on a price-percentage basis. The 
annual weightings for the Index are determined each year in June or 
July by AIG-FP under the supervision of the Oversight Committee, 
announced after approval by the Oversight Committee, and implemented 
the following January. The composition of the Index for 2006 was 
approved following a meeting in July 2005. The Index reweighting and 
rebalancing took place in January 2006 based on the following 
composition percentages for the Index for 2006:
---------------------------------------------------------------------------

    \23\ The following are the current members of the Oversight 
Committee and each member's respective affiliation: John Crow 
(director of Rockwater Capital Corporation and former Governor of 
the Bank of Canada), Daniel M. Raab (AIG), Gilles Poulin (National 
Bank of Canada), Ronald Layard-Liesching (Pareto Partners), Stephen 
Figlewski (Professor of Finance at New York University) and John A. 
Prestbo (Dow Jones).
    \24\ See footnote 15, Supra.

 The Dow Jones-AIG Commodity Index\SM\ 2006 Commodity Index Percentages
------------------------------------------------------------------------
                   Commodity weighting                        Percent
------------------------------------------------------------------------
Natural Gas.............................................       12.315174
Crude Oil...............................................       12.783801
Unleaded Gas \24\.......................................        4.054908
Heating Oil.............................................        3.846118
Live Cattle.............................................        6.093791
Lean Hogs...............................................        4.351381
Wheat...................................................        4.772085
Corn....................................................        5.873635
Soybeans................................................        7.766934
Soybean Oil.............................................        2.765764
Aluminum................................................        6.851975
Copper..................................................        5.880787
Zinc....................................................        2.702377
Nickel..................................................        2.659153
Gold....................................................        6.220211
Silver..................................................        2.000000
Sugar...................................................        2.967351
Cotton..................................................        3.163003
Coffee..................................................        2.931553
------------------------------------------------------------------------


[[Page 20745]]

    The Exchange states that a number of commodities have been selected 
that are believed to be sufficiently significant to the world economy 
to merit consideration for inclusion in the Index and which are the 
subject of a qualifying related futures contract. With the exception of 
several metals contracts (aluminum, lead, tin, nickel and zinc) that 
trade on the LME, each of the potential commodities is the subject of a 
futures contract that trades on a U.S. exchange. The 23 potential 
commodities currently considered for inclusion in the Index are 
aluminum, cocoa, coffee, copper, corn, cotton, crude oil, gold, heating 
oil, lead, cattle, hogs, natural gas, nickel, platinum, silver, 
soybeans, soybean oil, sugar, tin, unleaded gasoline,\25\ wheat and 
zinc. The 19 Index commodities selected for 2006 are as follows: 
Aluminum, coffee, copper, corn, cotton, crude oil, gold, heating oil, 
hogs, live cattle, natural gas, nickel, silver, soybeans, soybean oil, 
sugar, unleaded gasoline, wheat and zinc.
---------------------------------------------------------------------------

    \25\ Id.
---------------------------------------------------------------------------

    A futures contract known as a Designated Contract is selected for 
each commodity. With the exception of several LME contracts, where the 
Oversight Committee believes that there exists more than one futures 
contract with sufficient liquidity to be chosen as a Designated 
Contract for a commodity, the Oversight Committee selects the futures 
contract that is traded in North America and denominated in dollars. If 
more than one such contract exists, the Oversight Committee selects the 
most actively traded contract. Data concerning this Designated Contract 
will be used to calculate the Index. The termination or replacement of 
a futures contract on an established exchange occurs infrequently; if a 
Designated Contract were to be terminated or replaced, a comparable 
futures contract would be selected, if available, to replace that 
Designated Contract. The Designated Contracts for the commodities 
included in the Index for 2005 were as follows:

                                     Index Breakdown as of December 30, 2005
----------------------------------------------------------------------------------------------------------------
                                                                                                     Weighting
             Commodity                        Designated contract                 Exchange           (Percent)
----------------------------------------------------------------------------------------------------------------
Aluminum...........................  High Grade Primary Aluminum.........  LME..................            6.77
Coffee.............................  Coffee ``C''........................  CSCE.................            2.55
Copper.............................  Copper..............................  COMEX................            6.66
Corn...............................  Corn................................  CBOT.................            4.68
Cotton.............................  Cotton..............................  NYCE.................            2.91
Crude Oil..........................  Light, Sweet Crude Oil..............  NYMEX................           13.20
Gold...............................  Gold................................  COMEX................            5.61
Heating Oil........................  Heating Oil.........................  NYMEX................            4.13
Live Cattle........................  Live Cattle.........................  CME..................            5.11
Lean Hogs..........................  Lean Hogs...........................  CME..................            2.88
Natural Gas........................  Henry Hub Natural Gas...............  NYMEX................           17.38
Nickel.............................  Primary Nickel......................  LME..................            1.84
Silver.............................  Silver..............................  COMEX................            2.10
Soybeans...........................  Soybeans............................  CBOT.................            6.67
Sugar..............................  World Sugar No. 11..................  CSCE.................            3.65
Unleaded Gasoline \26\.............  New York Harbor Unleaded Gasoline...  NYMEX................            4.35
Wheat..............................  Wheat...............................  CBOT.................            4.08
Zinc...............................  Special High Grade Zinc.............  LME..................            3.22
Soybean Oil........................  Soybean Oil.........................  CBOT.................            2.21
----------------------------------------------------------------------------------------------------------------

    For the purposes of applying the diversification rules discussed 
above and below, the commodities considered for inclusion in the Index 
are assigned to ``Commodity Groups.'' \26\ The Commodity Groups and 
their effective target rounded weightings for 2006 are as follows:
---------------------------------------------------------------------------

    \26\ Id.

                   Index Breakdown by Commodity Group
------------------------------------------------------------------------
                                                                Percent
------------------------------------------------------------------------
Energy......................................................    33.00000
Precious Metals.............................................     8.22021
Industrial Metals...........................................    18.09429
Livestock...................................................    10.44517
Grains......................................................    21.17842
Softs.......................................................     9.06191
------------------------------------------------------------------------

    Commodities included in 2006 are:

Energy: Crude Oil, Heating Oil, Natural Gas, Unleaded Gasoline \27\
---------------------------------------------------------------------------

    \27\ Id.
---------------------------------------------------------------------------

Precious Metals: Gold, Silver
Industrial Metals: Aluminum, Copper, Nickel, Zinc
Livestock: Lean Hogs, Live Cattle
Grains: Corn, Soybeans, Wheat, Soybean Oil
Softs: Coffee, Cotton, Sugar
    The relative weightings of the component commodities included in 
the Index are determined annually according to both liquidity and 
dollar adjusted production data in \2/3\ and \1/3\ shares, 
respectively. Each June, for each commodity designated for potential 
inclusion in the Index, liquidity is measured by the Commodity 
Liquidity Percentage (``CLP'') and production by the Commodity 
Production Percentage (``CPP''). The CLP for each commodity is 
determined by taking a five-year average of the product of trading 
volume and the historic dollar value of the Designated Contract for 
that commodity, and dividing the result by the sum of such products for 
all commodities which were designated for potential inclusion in the 
Index. The CPP is determined for each commodity by taking a five-year 
average of annual world production figures, adjusted by the historic 
dollar value of the Designated Contract, and dividing the result by the 
sum of such production figures for all the commodities, which were 
designated for potential inclusion in the Index. The CLP and the CPP 
are then combined (using a ratio of 2:1) to establish the Commodity 
Index Percentage (``CIP'') for each commodity. This CIP is then 
adjusted in accordance with certain diversification rules in order to 
determine the commodities, which will be included in the Index and 
their respective percentage weights.
    The Index is designed to provide diversified exposure to 
commodities as an asset class. To ensure that no single

[[Page 20746]]

commodity or commodity sector dominates the Index, the following 
diversification rules are applied to the annual re-weighting and 
rebalancing of the Index as of January of the applicable year:
     No related group of commodities designated as a 
``Commodity Group'' (e.g., energy, precious metals, livestock, or 
grains) may constitute more than 33% of the Index.
     No single commodity may constitute more than 15% of the 
Index.
     No single commodity, together with its derivatives (e.g., 
crude oil, together with heating oil and unleaded gasoline), may 
constitute more than 25% of the Index.
     No single commodity that is in the Index may constitute 
less than 2% of the Index.
    Following the annual re-weighting and rebalancing of the Index in 
January, the percentage of any single commodity or group of commodities 
at any time prior to the next re-weighting or rebalancing will 
fluctuate and may exceed or be less than the percentages set forth 
above.
    Following application of the diversification rules discussed above, 
CIPs are incorporated into the Index by calculating the new unit 
weights for each Index commodity. Near the beginning of each new 
calendar year (the ``CIM Determination Date''), the CIPs, along with 
the settlement prices on that date for Designated Contracts included in 
the Index, are used to determine a Commodity Index Multiplier (``CIM'') 
for each Index commodity. This CIM is used to achieve the percentage 
weightings of the Index commodities, in dollar terms, indicated by 
their respective CIPs. After the CIMs are calculated, they remain fixed 
throughout the year. As a result, the observed price percentage of each 
Index commodity will float throughout the year, until the CIMs are 
reset the following year based on new CIPs.
    The Index is composed of futures contracts on physical commodities. 
Unlike equities, which typically entitle the holder to a continuing 
stake in a corporation, commodity futures contracts normally specify a 
certain date for the delivery of the underlying physical commodity. In 
order to avoid delivering the underlying physical commodities and to 
maintain exposure to the underlying physical commodities, periodically 
futures contracts on physical commodities specifying delivery on a 
nearby date must be sold and futures contracts on physical commodities 
that have not yet reached the delivery period must be purchased. The 
rollover for each contract occurs over a period of five DJ-AIG Business 
Days each month according to a pre-determined schedule. This process is 
known as ``rolling'' a futures position. The Index is a ``rolling 
index.''
    The Index is calculated by Dow Jones by applying the impact of the 
changes to the futures prices of commodities included in the Index 
(based on the commodities' relative weightings). Once the CIMs are 
determined as discussed above, the calculation of the Index is a 
mathematical process whereby the CIMs for the Index commodities are 
multiplied by the daily settlement prices in U.S. dollars for the 
applicable Designated Contracts. These products are then summed. During 
the rollover period, the sum includes both nearby and deferred 
contracts weighted according to the specified roll percentage. The 
percentage change in this sum from the prior day is then applied to the 
prior Index value. Finally, the value of one day's interest is added, 
calculated using the most recent (lagged by one day) 91-Day U.S. 
Treasury Bill Auction High Rate to arrive at the current Index value. 
Dow Jones disseminates the Index value at least every 15 seconds 
(assuming the Index value has changed within such fifteen-second 
interval) from 8 a.m. to 3 p.m. ET, and publishes a daily Index value 
at approximately 4 p.m. ET on each DJ-AIG Business Day on its Web site 
at http://www.djindexes.com.\28\
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    \28\ The Index value is static from 3 p.m. to 4 p.m. ET other 
than modifications to reflect settlement prices becoming available. 
April 11 Telephone Conference.
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    Since its inception, the Index has experienced significant 
fluctuations. Any historical upward or downward trend in the value of 
the Index during any period shown below is not an indication that the 
value of the Index is more or less likely to increase or decrease at 
any time during the term of the Notes. The historical Index levels do 
not give an indication of future performance of the Index. There can be 
no assurance that the future performance of the Index or the Index 
commodities will result in holders of the Notes receiving a positive 
return on their investment. For purposes of determining the average 
index performance, the initial index level will be the closing level of 
the Index on the initial valuation date.
    The Index was launched on July 14, 1998. The Exchange states that 
all data relating to the period prior to the launch of the Index is an 
historical estimate by the index sponsors using available data as to 
how the Index may have performed in the pre-launch period based upon 
the percentage weightings in effect in 1998. The Exchange states that 
such data does not represent actual performance and should not be 
interpreted as an indication of actual performance.
    Accordingly, the following table illustrates:
    (i) On a hypothetical basis, how the Index would have performed 
from December 3I, 1991 to December 31, 1997 based on the selection 
criteria and methodology described above; and
    (ii) On an actual basis, how the Index has performed from December 
31, 1998 onwards.


December 31, 1991.............................................    94.245
December 31, 1992.............................................    97.736
December 31, 1993.............................................    96.694
December 30, 1994.............................................   112.755
December 29, 1995.............................................   129.908
December 31, 1996.............................................   160.001
December 31, 1997.............................................   154.579
December 31, 1998.............................................   112.796
December 31, 1999.............................................   140.257
December 29, 2000.............................................   184.917
December 31, 2001.............................................   148.843
December 31, 2002.............................................   187.401
December 31, 2003.............................................   232.249
December 31, 2004.............................................   253.495
December 30, 2005.............................................  307.650
 
Source: Bloomberg.

    If AIG-FP and Dow Jones discontinue publication of the Index and 
they or any other person or entity publishes a substitute index that 
the calculation agent determines is comparable to the Index and 
approves as a successor index, then the calculation agent will 
determine the value of the Index and the amount payable at maturity or 
upon redemption by reference to such successor index.\29\ If the 
calculation agent determines that the publication of the Index is 
discontinued and that there is no successor index, or that the closing 
value of the Index is not available because of a market disruption 
event or for any other reason, on the date on which the value of the 
Index is required to be determined, or if for any other reason the 
Index is not available to Barclays or the calculation agent on the 
relevant date, the calculation agent will determine the amount payable 
by a computation methodology that the calculation agent determines will 
as closely as reasonably possible replicate the Index.\30\
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    \29\ In such an event, the Commission would expect the Exchange 
to file a proposed rule change seeking approval to continue trading 
the Notes. Unless approved for continued trading, the Exchange would 
commence delisting proceedings. See ``Continued Listing Criteria,'' 
infra. April 10 Telephone Conference.
    \30\ Id.
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    If the calculation agent determines that the Index, the Index 
components, or the method of calculating the Index has

[[Page 20747]]

been changed at any time in any respect--including any addition, 
deletion or substitution and any reweighting or rebalancing of Index 
components, and whether the change is made by AIG-FP and Dow Jones 
under their existing policies or following a modification of those 
policies, is due to the publication of a successor index, is due to 
events affecting one or more of the Index components, or is due to any 
other reason--then the calculation agent will be permitted (but not 
required) to make such adjustments to the Index or method of 
calculating the Index as it believes are appropriate to ensure that the 
value of the Index used to determine the amount payable on the maturity 
date or upon redemption is equitable.\31\
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    \31\ Id.
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    The Exchange states that all determinations and adjustments to be 
made by the calculation agent with respect to the value of the Index 
and the amount payable at maturity or upon redemption or otherwise 
relating to the value of the Index may be made by the calculation agent 
in its sole discretion.\32\
---------------------------------------------------------------------------

    \32\ Id.
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    Continued Listing Criteria. The Exchange prohibits the initial and/
or continued listing of any security that is not in compliance with 
Rule IOA-3 under the Act.\33\
---------------------------------------------------------------------------

    \33\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    The Exchange will delist the Notes:
     If, (i) following the initial twelve month period from the 
date of commencement of trading of the Notes, the Notes have more than 
60 days remaining until maturity and there are fewer than 50 beneficial 
holders of the Notes for 30 or more consecutive trading days; (ii) if 
fewer than 50,000 Notes remain issued and outstanding; or (iii) if the 
market value of all outstanding Notes is less than $1,000,000;
     If the Index value ceases to be calculated or available 
during the time the Notes trade on the Exchange on at least a 15 second 
basis through one or more major market data vendors;
     If, during the time the Notes trade on the Exchange, the 
Indicative Value ceases to be available on a 15 second delayed basis; 
or
     If such other event shall occur or condition exists which 
in the opinion of the Exchange makes further dealings on the Exchange 
inadvisable.
    Additionally, the Exchange will file a proposed rule change 
pursuant to Rule 19b-4 under the Act \34\ seeking approval to continue 
trading the Notes and unless approved, the Exchange will commence 
delisting the Notes if:
---------------------------------------------------------------------------

    \34\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

     Dow Jones and AIG-FP substantially change either the Index 
component selection methodology or the weighting methodology;
     If a new component is added to the Index (or pricing 
information is used for a new or existing component) that constitutes 
more than 10% of the weight of the Index with whose principal trading 
market the Exchange does not have a comprehensive surveillance sharing 
agreement;\35\ or
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    \35\ April 10 Telephone Conference.
---------------------------------------------------------------------------

     If a successor or substitute index is used in connection 
with the Notes. The filing will address, among other things the listing 
and trading characteristics of the successor or substitute index and 
the Exchange's surveillance procedures applicable thereto.
    Trading Rules. The Exchange's existing equity trading rules will 
apply to trading of the Notes. The Notes will trade between the hours 
of 9:30 a.m. and 4 p.m. ET \36\ and will be subject to the equity 
margin rules of the Exchange.\37\
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    \36\ March 29 Telephone Conference.
    \37\ See NYSE Rule 431.
---------------------------------------------------------------------------

    1. Trading Halts. The Exchange will cease trading the Notes if 
there is a halt or disruption in the dissemination of the Index value 
or the Indicative Value.\38\ The Exchange will also cease trading the 
Notes if a ``market disruption event'' occurs that is of more than a 
temporary nature.\39\ In the event that the Exchange is open for 
business on a day that is not a DJ-AIG Business Day, the Exchange will 
not permit trading of the Notes on that day.
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    \38\ In the event the Index value or Indicative Value is no 
longer calculated or disseminated, the Exchange would immediately 
contact the Commission to discuss measures that may be appropriate 
under the circumstances.
    \39\ In the event a ``market disruption event'' occurs that is 
of more than a temporary nature, the Exchange would immediately 
contact the Commission to discuss measures that may be appropriate 
under the circumstances.
---------------------------------------------------------------------------

    2. Specialist Trading Obligations. The Exchange has proposed 
Supplementary Material .10 to proposed NYSE Rule 1301B \40\ in order to 
apply the provisions of NYSE Rule 1300B(b) and NYSE Rule 1301B to 
certain Notes listed on the Exchange pursuant to Section 703.19 
(``Other Notes'') of the Exchange's Listed Company Manual. 
Specifically, NYSE Rules 1300B(b) and 1301B will apply to Notes listed 
under Section 703.19 where the price of such Notes is based in whole or 
part on the price of (a) a commodity or commodities, (b) any futures 
contracts or other derivatives based on a commodity or commodities, or 
(c) any index based on either (a) or (b) above.
---------------------------------------------------------------------------

    \40\ See Amendment No. 1 to SR-NYSE-2006-17, filed with the 
Commission on March 24, 2006.
---------------------------------------------------------------------------

    As a result of application of NYSE Rule 1300B(b), the specialist in 
the Notes, the specialist's member organization and other specified 
persons will be prohibited under paragraph (m) of NYSE Rule 105 
Guidelines from acting as market maker or functioning in any capacity 
involving market-making responsibilities in the Index components, the 
commodities underlying the Index components, or options, futures or 
options on futures on the Index, or any other derivatives 
(collectively, ``derivative instruments'') based on the Index or based 
on any Index component or any physical commodity underlying an Index 
component. If the member organization acting as specialist in the Notes 
is entitled to an exemption under NYSE Rule 98 from paragraph (m) of 
NYSE Rule 105 Guidelines, then that member organization could act in a 
market making capacity in the Index components, the commodities 
underlying the Index components, or derivative instruments based on the 
Index or based on any Index component or commodity underlying an Index 
component, other than as a specialist in the Notes themselves, in 
another market center.
    Under NYSE Rule 1301B(a), the member organization acting as 
specialist in the Notes (1) will be obligated to conduct all trading in 
the Notes in its specialist account, (subject only to the ability to 
have one or more investment accounts, all of which must be reported to 
the Exchange), (2) will be required to file with the Exchange and keep 
current a list identifying all accounts for trading in the Index 
components or the physical commodities underlying the Index components, 
or derivative instruments based on the Index or based on the Index 
components or the physical commodities underlying the Index components, 
which the member organization acting as specialist may have or over 
which it may exercise investment discretion, and (3) will be prohibited 
from trading in the Index components or the physical commodities 
underlying the Index components, or derivative instruments based on the 
Index or based on the Index components or the physical commodities 
underlying the Index components, in an account in which a member 
organization acting as specialist, controls trading activities which 
have not been reported to the Exchange as required by NYSE Rule 1301B.
    Under NYSE Rule 1301B(b), the member organization acting as 
specialist

[[Page 20748]]

in the Notes will be required to make available to the Exchange such 
books, records or other information pertaining to transactions by the 
member organization and other specified persons for its or their own 
accounts in the Index components or the physical commodities underlying 
the Index components, or derivative instruments based on the Index or 
based on the Index components or the physical commodities underlying 
the Index components, as may be requested by the Exchange. This 
requirement is in addition to existing obligations under Exchange rules 
regarding the production of books and records.
    Under NYSE Rule 1301B(c), in connection with trading the Index 
components or the physical commodities underlying the Index components, 
or derivative instruments based on the Index or based on the Index 
components or the physical commodities underlying the Index components, 
the specialist could not use any material nonpublic information 
received from any person associated with a member or employee of such 
person regarding trading by such person or employee in the Index 
components or the physical commodities underlying the Index components, 
or derivative instruments based on the Index or based on the Index 
components or the physical commodities underlying the Index components.
    3. Surveillance. The Exchange represents that its surveillance 
procedures are adequate to properly monitor the trading of the Notes 
and the Index components. The Exchange will rely upon existing NYSE 
surveillance procedures governing equities with respect to surveillance 
of the Notes. The Exchange believes that these procedures are adequate 
to monitor Exchange trading of the Notes and to detect violations of 
Exchange rules, consequently deterring manipulation. In this regard, 
the Exchange currently has the authority under NYSE Rule 476 to request 
the Exchange specialist in the Notes to provide NYSE Regulation with 
information that the specialist uses in connection with pricing the 
Notes on the Exchange, including specialist, proprietary or other 
information regarding Notes, commodities, futures, options on futures 
or other derivative instruments. The Exchange believes it also has 
authority to request any other information from its members--including 
floor brokers, specialists and ``upstairs'' firms--to fulfill its 
regulatory obligations.
    With regard to the Index components, the Exchange can obtain market 
surveillance information with respect to transactions occurring on the 
LME, including customer identity information, pursuant to a memorandum 
of understanding with the LME. The Exchange also has access to 
transaction information, including customer identity information with 
respect to all contracts traded on the NYMEX and COMEX pursuant to the 
Exchange's information sharing agreement with NYMEX. All of the other 
trading venues on which current Index components are traded, namely 
CBOT, CSCE and CME, are members of the Intermarket Surveillance Group, 
and the Exchange therefore has access to all relevant trading 
information with respect to those contracts without any further action 
being required on the part of the Exchange. All these surveillance 
arrangements constitute comprehensive surveillance sharing 
arrangements.
    Suitability. Pursuant to NYSE Rule 405, the Exchange will impose a 
duty of due diligence on its members and member firms to learn the 
essential facts relating to every customer prior to trading the 
Notes.\41\ With respect to suitability recommendations and risks, the 
Exchange will require members, member organizations and employees 
thereof recommending a transaction in the Notes: (1) To determine that 
such transaction is suitable for the customer, and (2) to have a 
reasonable basis for believing that the customer can evaluate the 
special characteristics of, and is able to bear the financial risks of, 
such transaction.
---------------------------------------------------------------------------

    \41\ NYSE Rule 405 requires that every member, member firm or 
member corporation use due diligence to learn the essential facts 
relative to every customer and to every order or account accepted.
---------------------------------------------------------------------------

    Information Memorandum.\42\ The Exchange will, prior to trading the 
Notes, distribute a memorandum to the membership providing guidance 
with regard to member firm compliance responsibilities (including 
suitability recommendations) when handling transactions in the Notes. 
The memorandum will note to members language in the prospectus used by 
Barclays in connection with the sale of the Notes regarding prospectus 
delivery requirements for the Notes. Specifically, in the initial 
distribution of the Notes,\43\ and during any subsequent distribution 
of the Notes, NYSE members will deliver a prospectus to investors 
purchasing from such distributors.\44\
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    \42\ The Exchange initially referred to the distributed document 
in its filing as an ``Information Circular.'' The Exchange requested 
that the Commission change the Reference to an ``Information 
Memorandum'' in the Commission's Notice.
    Telephone conference between Kristie Diemer, Attorney, Division, 
Commission, and John Carey, Assistant General Counsel, Exchange, on 
April 10, 2006.
    \43\ The Registration Statement reserves the right to do 
subsequent distributions of these Notes.
    \44\ April 10 Telephone Conference.
---------------------------------------------------------------------------

    The memorandum will discuss the special characteristics and risks 
of trading this type of security. Specifically, the memorandum, among 
other things, will discuss what the Notes are, how the Notes are 
redeemed, applicable Exchange rules, dissemination of information 
regarding the Index value and the Indicative Value, trading 
information, and applicable suitability rules.
    The memorandum will also notify members and member organizations 
about the procedures for redemptions of Notes and that Notes are not 
individually redeemable but are redeemable only in aggregations of at 
least 50,000 Notes.
    The memorandum will also reference the fact that there is no 
regulated source of last sale information regarding physical 
commodities and that the SEC has no jurisdiction over the trading of 
physical commodities or the futures contracts on which the value of the 
Notes is based, and that the CFTC has no regulatory jurisdiction over 
the trading of certain foreign based futures contracts. The memorandum 
will also discuss other exemptive or no-action relief under the Act 
provided by the Commission staff.\45\
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    \45\ March 29 Telephone Conference.
---------------------------------------------------------------------------

2. Statutory Basis
    The NYSE believes that the proposed rule change is consistent with 
the requirements of Section 6(b)(5),\46\ 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.
---------------------------------------------------------------------------

    \46\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

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 purposes of the Act.

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

    The Exchange has neither solicited nor received written comments on 
the proposed rule change.

[[Page 20749]]

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

    Within 35 days of the date of publication of this notice in the 
Federal Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date 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 such proposed rule change, or
    (B) Institute proceedings to determine whether the proposed rule 
change should be disapproved.
    The Commission is considering granting accelerated approval of the 
proposed rule change at the end of a 15-day comment period.\47\
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    \47\ The NYSE has requested accelerated approval of this 
proposed rule change prior to the 30th day after the date of 
public