Self-Regulatory Organizations; American Stock Exchange LLC; Order Granting Accelerated Approval of a Proposed Rule Change and Amendments No. 1 and 2 Thereto Relating to the Listing and Trading of the DB Currency Index Value Fund, 55230-55237 [06-7841]
Download as PDF
<![CDATA[
55230
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices
(‘‘DTC’’)9 allowing DTC to implement
its Initial Public Offering (‘‘IPO’’)
Tracking System.10 The IPO Tracking
System enables lead managers and
syndicate members of equity
underwritings to monitor repurchases of
distributed shares in an automated
book-entry environment.
Amex proposes deleting Rule 777(b)
in its entirety as it is no longer relevant
since DTC has implemented its IPO
Tracking System, which is monitoring
repurchases of distributed shares. The
proposed rule change is consistent with
clarifying changes adopted by NYSE.11
Finally, Amex proposes crossreferencing rules 776 and 777 in Part 1
of the Amex Company Guide to clarify
that Rules 776 and 777 are initial and
continued listing standards applicable
to companies listed on Amex.
Amex believes the proposed rule
change is consistent with the
requirements of Sections 6(b)(5) and
17A of the Act 12 and the rules and
regulations thereunder requiring the
rules of Amex be designed to remove
impediments to and perfect the
mechanism of a free and open market
and to perfect a national market system
which provides, among other things, for
the prompt and accurate clearance and
settlement of securities transactions.
(B) Self-Regulatory Organization’s
Statement on Burden on Competition
Amex 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
No written comments were solicited
or received with respect to the proposed
rule change.
jlentini on PROD1PC65 with NOTICES
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within thirty-five 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 ninety 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
9 DTC is a securities depository registered with
the Commission under section 17A and 19 of the
Act as a clearing agency.
10 Securities Exchange Act Release No. 37208
(May 13, 1996), 61 FR 25253 (May 20, 1996) [File
No. SR–DTC–95–27].
11 Supra, note 5.
12 15 U.S.C. 78f(b)(5) and 78q–1.
VerDate Aug<31>2005
16:30 Sep 20, 2006
Jkt 208001
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.
IV. Solicitation of Comments
2006–80 and should be submitted on or
before October 12, 2006.
For the Commission by the Division of
Market Regulation, pursuant to delegated
authority.13
Jill M. Peterson,
Assistant Secretary.
[FR Doc. 06–7840 Filed 9–20–06; 8:45 am]
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
BILLING CODE 8010–01–P
Electronic Comments
Self-Regulatory Organizations;
American Stock Exchange LLC; Order
Granting Accelerated Approval of a
Proposed Rule Change and
Amendments No. 1 and 2 Thereto
Relating to the Listing and Trading of
the DB Currency Index Value Fund
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml) or
• Send an e-mail to rulecomments@sec.gov. Please include File
Number SR-Amex-2006–80 on the
subject line.
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–54450; File No. SR–Amex–
2006–44]
September 14, 2006.
I. Introduction
On May 2, 2006, the American Stock
• Send paper comments in triplicate
Exchange LLC (‘‘Amex’’ or ‘‘Exchange’’)
to Nancy M. Morris, Secretary,
filed with the Securities and Exchange
Securities and Exchange Commission,
Commission (‘‘Commission’’), pursuant
100 F Street, NE., Washington, DC
to section 19(b)(1) of the Securities
20549–1090.
Exchange Act of 1934 (‘‘Act’’) 1 and Rule
All submissions should refer to File
19b–4 thereunder,2 a proposed rule
Number SR–Amex–2006–80. This file
change to list and trade the DB Currency
number should be included on the
subject line if e-mail is used. To help the Index Value Fund under Commentary
.07 to Amex Rule 1202. On July 31,
Commission process and review your
2006, Amex filed Amendment No. 1 to
comments more efficiently, please use
only one method. The Commission will the proposed rule change. On August
post all comments on the Commission’s 18, 2006, Amex filed Amendment No. 2
to the proposed rule change. The
Internet Web site (https://www.sec.gov/
proposed rule change, as amended, was
rules/sro.shtml). Copies of the
published for comment in the Federal
submission, all subsequent
Register on August 29, 2006 for a 15-day
amendments, all written statements
comment period, which ended on
with respect to the proposed rule
September 13, 2006.3 The Commission
change that are filed with the
received no comments on the proposal.
Commission, and all written
This order grants accelerated approval
communications relating to the
of the proposed rule change, as
proposed rule change between the
Commission and any person, other than amended.
those that may be withheld from the
II. Description of the Proposal
public in accordance with the
The Exchange seeks to list and trade
provisions of 5 U.S.C. 552, will be
shares (‘‘Shares’’) of the DB Currency
available for inspection and copying in
Index Value Fund (‘‘Trust’’ or ‘‘Fund’’).4
the Commission’s Public Reference
Section, 100 F Street, NE., Washington,
13 17 CFR 200.30–3(a)(12).
DC 20549. Copies of such filings also
1 15 U.S.C. 78s(b)(1).
will be available for inspection and
2 17 CFR 240.19b–4.
copying at the principal office of Amex
3 See Securities Exchange Act Release No. 54351
and on Amex’s Web site at
(August 23, 2006), 71 FR 51245, as corrected by 71
www.amex.com. All comments received FR 53492 (September 11, 2006).
4 The Fund will be formed as a Delaware statutory
will be posted without change; the
trust pursuant to a Certificate of Trust and a
Commission does not edit personal
Declaration of Trust and Trust Agreement among
identifying information from
Wilmington Trust Company, as trustee, the DB
Commodity Services LLC as managing owner, and
submissions. You should submit only
the holders of the Shares. The Exchange states that
information that you wish to make
the Fund will not be subject to registration and
available publicly. All submissions
regulation under the Investment Company Act of
should refer to File Number SR–Amex–
1940 (‘‘1940 Act’’).
Paper Comments
PO 00000
Frm 00071
Fmt 4703
Sfmt 4703
E:\FR\FM\21SEN1.SGM
21SEN1
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices
jlentini on PROD1PC65 with NOTICES
Pursuant to Commentary .07 to Amex
Rule 1202, the Exchange may approve
the listing and trading of trust issued
receipts (‘‘TIRs’’) that represent
beneficial ownership of shares or
securities (‘‘Investment Shares’’) of a
trust, partnership, commodity pool or
other similar entity that holds
investments comprising, or otherwise
based on, any combination of securities,
futures contracts, swaps, forward
contracts, options on futures contracts,
commodities or portfolios of
investments.
The Shares represent beneficial
ownership interests in the Fund’s net
assets, consisting solely of the common
units of beneficial interests of DB
Currency Index Value Master Fund (the
‘‘Master Fund’’). The Master Fund is a
statutory trust created under Delaware
law whose investment portfolio will
consist primarily of futures contracts on
the currencies comprising the Deutsche
Bank G10 Currency Future Harvest
IndexTM—Excess Return (the ‘‘DBCHI’’
or Index’’) and securities for margin
purposes. Both the Fund and the Master
Fund will be commodity pools operated
by DB Commodity Services LLC (the
‘‘Managing Owner’’). The Managing
Owner is registered as a commodity
pool operator (the ‘‘CPO’’) and
commodity trading advisor (the ‘‘CTA’’)
with the Commodity Futures Trading
Commission (‘‘CFTC’’) and is a member
of the National Futures Association
(‘‘NFA’’).
For the Master Fund, the Managing
Owner will manage the futures contracts
with the investment objective of
tracking the performance of the Index
over time, less the expenses of the
operations of the Fund and the Master
Fund.5 The Master Fund will hold a
portfolio of both long and short futures
contracts with a notional value to equity
ratio of approximately two to one (2:1) 6
on the currencies that comprise the
Index (the ‘‘Index Currencies’’) and will
include cash and U.S. Treasury
securities for margin purposes and other
high credit quality short-term fixed
income securities. The Master Fund will
not engage in borrowing. In seeking to
5 The Exchange stated that the Wilmington Trust
Company is the trustee of the Fund and the Master
Fund and has delegated to the Managing Owner the
power and authority to manage and operate the dayto-day affairs of both.
6 Such ratio is generally intended to be
comparable to the limits imposed on registered
investment companies pursuant to the asset
coverage requirements of Section 18(a) of the 1940
Act. Even though the Master Fund is not registered
or regulated as an investment company under the
1940 Act, the Exchange represents that it is
structured in a manner that is sensitive to the
capital structure limitations imposed on registered
investment companies by the 1940 Act.
VerDate Aug<31>2005
16:30 Sep 20, 2006
Jkt 208001
cause the NAV (as defined herein) 7 of
the Fund to track the Index during
periods in which the Index is flat or
declining, as well as when the Index is
rising, the Managing Owner believes
that the Index and the Fund will
provide the advantages of market
diversification and the reduction of
country-specific foreign exchange risk
(i.e., volatility). The Exchange
represented that Amex Rule 1202
accommodates the listing and trading of
the Shares and that the Shares will
conform to the initial and continued
listing criteria under Commentary .07(d)
to Amex Rule 1202.
In connection with the proposal,
Amex also seeks to amend Commentary
.02 to Amex Rule 1200 to conform to
Amex’s current trading hours to permit
the Shares to trade until 4:15 p.m.
Eastern Time (‘‘ET’’).
Index Description
DBCHI is intended to reflect the
return from investing assets in long
currency futures positions for certain
currencies associated with relatively
high yielding interest rates and an equal
amount in short currency futures
positions for certain currencies
associated with relatively low yielding
interest rates.8 The Index is designed to
exploit the trend of currencies
associated with relatively high interest
rates, on average, tending to rise in
value relative to currencies associated
with relatively low interest rates.
The Index, at any time, is comprised
of futures positions on six (6) currencies
from The Group Ten (‘‘G10’’) countries,9
each of which is traded on the Chicago
Mercantile Exchange (the ‘‘CME’’). The
sponsor of the Index is Deutsche Bank
AG London (‘‘DB London’’ or ‘‘Index
Sponsor’’).
As described below, the Index will be
calculated and disseminated every
fifteen (15) seconds on the Consolidated
Tape (‘‘CT’’) and through major market
data vendors during the time the Shares
are traded on the Exchange. DB London
calculates the closing level of the Index
on the basis of closing prices on CME
for the applicable futures contracts
relating to the Index Currencies 10 and
7 See infra note 15 (defining net asset value or
‘‘NAV’’).
8 This is known as the ‘‘Interest Rate Parity’’ or
‘‘Covered Interest Arbitrage’’ formula.
9 The G10 currencies are the United States Dollar,
the Euro, the Japanese Yen, the Canadian Dollar, the
Swiss Franc, the British Pound, the Australian
Dollar, the New Zealand Dollar, the Norwegian
Krone, and the Swedish Krona (collectively, the
‘‘Eligible Index Currencies’’).
10 The Index Sponsor calculates the level of the
Index intraday and at the end of the day. The
intraday calculation is based on feeds of real-time
data relating to the underlying futures contracts and
PO 00000
Frm 00072
Fmt 4703
Sfmt 4703
55231
applies a set of rules to these values to
calculate the closing level of the
Index.11 The CME-traded futures
contract of each applicable Index
Currency that is closest to expiration is
used in the Index calculation. The
futures contracts on the Index
Currencies are rolled during the period
in which the Index is re-weighted (the
‘‘Index Re-Weighting Period’’).12 The
new futures contract on an Index
Currency that has the next closest
expiration date is selected. The
calculation of the Index on an excessreturn basis is the weighted average
return on the change in price of the
futures contracts relating to the Index
Currencies.
Investment Objective and Strategy
The Exchange states that the
investment objective of the Fund is to
reflect the performance of the DBCHI,
over time, less the expenses of the
operation of the Fund and the Master
Fund. The Fund will pursue its
investment objective by investing
substantially all of its assets in the
Master Fund. Each Share will correlate
with a Master Fund share issued by the
Master Fund and held by the Fund.
The Master Fund’s portfolio is
managed with a view to reflect the
performance of the Index over time. The
Exchange stated that the Master Fund is
not traditionally ‘‘managed,’’ which
typically involves effecting changes in
the composition of a portfolio on the
updates intermittently approximately every 15
seconds. The Index Sponsor uses independent feeds
from Reuters to verify all prices. A number of
currency market participants independently verify
the correctness of the disseminated intraday Index
value and closing Index value. Telephone
conversation between Sudhir C. Bhattacharyya,
Assistant General Counsel, Amex, and Edward Cho,
Special Counsel, Division of Market Regulation,
Commission, on September 14, 2006.
11 The notional amounts of each Index Currency
included in the Index are based on the Index
closing level as of the Index Re-Weighting Period
(as defined herein). The Index closing level reflects
an arithmetic weighted average of the change in the
futures positions on the Index Currencies’’
exchange rates against the U.S. Dollar (‘‘USD’’)
since March 12, 1993. On such date, the closing
Index level was $100.
12 The Index Sponsor reviews and reπweights the
Index on a quarterly basis, in accordance with its
rules. The futures contracts held by the Fund are,
therefore, three (3) months in duration. The Index
Re-Weighting Period takes place just prior to the
third Wednesday in each of March, June,
September, and December months, which are
traditional settlement dates in the International
Money Market (the ‘‘IMM Dates’’). Upon reweighting, the high yielding Index Currencies are
allocated a base weight of 331⁄3%, and the low
yielding Index Currencies are allocated a base
weight of ¥331⁄3%. These new weights are applied
during the Index Re-Weighting Period. The futures
contracts on the Index Currencies are rolled during
the Index Re-Weighting Period, which will occur
over the fourth and third business days prior to
each of the IMM Dates.
E:\FR\FM\21SEN1.SGM
21SEN1
55232
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices
jlentini on PROD1PC65 with NOTICES
basis of judgments relating to economic,
financial, and market considerations.
Instead, the Managing Owner seeks to
maintain the relationship between the
composition and weightings of the CME
futures positions in the Index
Currencies to the Master Fund’s long
and short currency futures positions
from time to time. The Managing Owner
adjusts the portfolio on a quarterly basis
to conform to periodic changes in the
composition and relative weightings of
the Index Currencies and may make
certain adjustments or changes to the
portfolio more frequently in the case of
significant changes in the foreign
currency markets due to volatility.
The Fund will pursue its investment
objective by investing substantially all
of its assets in the Master Fund. To track
the Index, the Master Fund generally
will establish long futures positions in
the three Index Currencies associated
with the highest interest rates and short
futures positions in the three Index
Currencies associated with the lowest
interest rates 13 and will adjust its
holdings quarterly as the Index is
adjusted. However, if the USD is among
the Index Currencies, the Master Fund
will not establish a long or short futures
position (as the case may be) in USD
because USD is the Fund’s home
currency and, as a consequence, the
Exchange states that the Master Fund
never can enjoy profit or suffer loss from
long or short futures positions in USD.
When the USD is not associated with
the highest or lowest interest rates
among the Eligible Index Currencies, the
aggregate notional value of the Master
Fund’s futures contracts at the time they
are established will be double the value
of the Master Fund’s holdings of U.S.
Treasury Bills and other high credit
quality short-term fixed income
securities, (i.e., a ratio of 2:1).14 If the
USD is associated with the highest or
lowest interest rates among the Eligible
Index Currencies, the aggregate notional
value of the Master Fund’s futures
contracts at the time they are
established will be approximately 1.66
times the value of the Master Fund’s
holdings of U.S. Treasury Bills and
other high credit quality short-term
fixed income securities (i.e., a ratio of
1.66:1). Holding futures positions with a
notional amount in excess of the Master
13 The use of long and short positions in the
construction of the Index causes the Index to rise
as a result of any upward price movement of Index
Currencies expected to gain relative to the USD (as
a result of the long positions), and likewise, to rise
as a result of any downward price movement of
Index Currencies expected to lose relative to the
USD (as a result of the short positions).
14 See supra note 6.
VerDate Aug<31>2005
16:30 Sep 20, 2006
Jkt 208001
Fund’s NAV 15 increases the potential
for both trading profits and losses,
depending on the performance of the
Index. The Master Fund’s ability to
track the Index will not be affected by
the presence or absence of the USD
among the Index Currencies. Because
the notional value of the Master Fund’s
futures positions can rise or fall over
time, the ratio of long and short futures
positions could be higher or lower
between quarterly adjustments of the
Index Currencies.
Product Description
A. Creation and Redemption of Shares
Issuances of the Shares will be made
only in one or more blocks of 200,000
Shares (the ‘‘Basket’’). The Fund will
issue and redeem the Shares on a
continuous basis, by or through
participants that have entered into
participant agreements (each, an
‘‘Authorized Participant’’) 16 with the
Managing Owner at the NAV per Share
next determined after an order to
purchase the Shares in a Basket is
received in proper form. Following
issuance, the Shares will be traded on
the Exchange similar to other equity
securities. The Shares will be registered
in book entry form through DTC.
Baskets will be issued in exchange for
a cash amount equal to the NAV per
Share times 200,000 Shares (the ‘‘Basket
Amount’’). The Basket Amount will be
determined on each business day by the
Bank of New York, the Fund
administrator.17 Authorized Participants
that wish to purchase a Basket must
transfer the Basket Amount to the
Administrator (the ‘‘Cash Deposit
Amount’’). Authorized Participants that
wish to redeem a Basket will receive
cash in exchange for each Basket
surrendered in an amount equal to the
NAV per Basket (the ‘‘Cash Redemption
Amount’’). The Commodity Broker will
be the custodian for the Master Fund
15 NAV is the total assets of the Master Fund, less
total liabilities of the Master Fund, determined on
the basis of generally accepted accounting
principles. NAV per Master Fund share is the NAV
of the Master Fund divided by the number of
outstanding Master Fund shares. This will be the
same for the Shares of the Fund because of a oneto-one correlation between the Shares and the
shares of the Master Fund.
16 An ‘‘Authorized Participant’’ is a person, who
at the time of submitting to the trustee an order to
create or redeem one or more Baskets, (i) is a
registered broker-dealer, (ii) is a Depository Trust
Company (‘‘DTC’’) participant, and (iii) has in effect
a valid participant agreement.
17 As described in the Notice, the Bank of New
York is the administrator for both the Fund and the
Master Fund. The Administrator will perform or
supervise the performance of services necessary for
the operation and administration of the Fund and
the Master Fund (other than making investment
decisions), including NAV calculations, accounting,
and other administrative services.
PO 00000
Frm 00073
Fmt 4703
Sfmt 4703
and responsible for safekeeping the
Master Fund’s assets.18
B. Net Asset Value (NAV)
As stated in the proposal, shortly after
4 p.m. ET each business day, the
Administrator will determine the NAV
for the Fund, utilizing the current
settlement value of the futures contracts
on the Index Currencies. Also shortly
after 4 p.m. ET each business day, the
Administrator, Amex, and the Managing
Owner will disseminate the NAV for the
Shares and the Basket Amount (for
orders placed during the day). The NAV
and Basket Amount will be
communicated by the Administrator to
all Authorized Participants via facsimile
or electronic mail message and will be
available on the Index Sponsor’s
Internet Web site at https://
index.db.com. The Amex will also
disclose the NAV and Basket Amount
on its Internet Web site (https://
www.amex.com). The Exchange
represented that the NAV would be
made available to all market
participants at the same time.
The NAV for the Fund is total assets
of the Master Fund less total liabilities
of the Master Fund. The NAV is
calculated by including any unrealized
profit or loss on futures contracts and
any other credit or debit accruing to the
Master Fund but unpaid or not received
by the Master Fund. The NAV is then
used to compute all fees (including the
management and administrative fees)
that are calculated from the value of
Master Fund assets. The Administrator
will calculate the NAV per share by
dividing the NAV by the number of
Shares outstanding.
The Exchange believes that generally
the Shares will not trade at a material
discount or premium to the NAV of the
Shares based on potential arbitrage
opportunities. Nevertheless, the value of
a Share may be influenced by nonconcurrent trading hours between the
Amex and the various futures exchanges
on which the Index Currencies are
traded. As a result, during periods when
the Amex is open and the futures
exchanges on which the Index
Currencies are traded are closed, trading
spreads and the resulting premium or
discount on the Shares may widen, and,
therefore, increase the difference
between the price of the Shares and the
NAV of the Shares.
18 The Commodity Broker is Deutsche Bank
Securities, Inc., an affiliate of the Managing Owner
and registered with the CFTC as a futures
commission merchant.
E:\FR\FM\21SEN1.SGM
21SEN1
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices
jlentini on PROD1PC65 with NOTICES
C. Dissemination of the Index and
Underlying Futures Contracts
Information
DB London, as the Index Sponsor,
will publish the value of the Index at
least once every fifteen (15) seconds
throughout each trading day on the CT,
Bloomberg, Reuters, and on its Internet
Web site at https://index.db.com. The
Exchange stated that the disseminated
value of the Index will not reflect
changes to the prices of the Index
Currencies between the close of trading
of each respective futures contract on
the relevant futures exchange, i.e., 3
p.m. ET (close of trading on the CME
futures market), and the close of trading
on the Amex at 4:15 p.m. ET. The
closing Index level will similarly be
provided by DB London. In addition,
any adjustments or changes to the Index
will also be provided by DB London and
the Exchange on their respective
Internet Web sites.19
The daily settlement prices for the
foreign currency futures contracts
comprising the Index and held by the
Master Fund are publicly available on
the Internet Web sites of the futures
exchanges trading the particular
contracts, as well as automated
quotation systems, published or other
public sources, or on-line information
services such as Bloomberg or Reuters.
In addition, the Exchange will provide
a hyperlink on its Internet Web site to
the Index Sponsor’s Internet Web site.
All of the foreign currency futures
contracts in which the Master Fund
currently expects to invest are traded on
the CME, although currency futures
contracts on the Eligible Index
Currencies also trade on other futures
exchanges in the United States and the
Master Fund may invest in such
contracts.20
In addition, various data vendors and
news publications publish futures
prices and data. The Exchange
19 The Sponsor has in place procedures to prevent
the improper sharing of information between
different affiliates and departments. Specifically, an
information barrier exists between the personnel
within DB London that calculate and reconstitute
the Index and other personnel associated with the
Sponsor, including but not limited to the Managing
Owner, sales and trading, external or internal fund
managers, and bank personnel who are involved in
hedging the bank’s exposure to instruments linked
to the Index, in order to prevent the improper
sharing of information relating to the composition
of the Index.
20 Other futures exchanges may include, for
example, the New York Board of Trade and other
futures exchanges which have a Comprehensive
Surveillance Sharing Agreement (‘‘CSSA’’) with
Amex or is an Intermarket Surveillance Group
(‘‘ISG’’) member. Telephone conversation between
Jeffrey P. Burns, Associate General Counsel, Amex,
and Florence Harmon, Senior Special Counsel,
Division of Market Regulation, Commission, on
September 13, 2006.
VerDate Aug<31>2005
16:30 Sep 20, 2006
Jkt 208001
represented that futures quotes and last
sale information for the Index
Currencies are widely disseminated
through a variety of market data vendors
worldwide, including Bloomberg and
Reuters. In addition, the Exchange
further noted that complete real-time
data for such futures is available by
subscription from Reuters and
Bloomberg. The specific contract
specifications for the futures contracts
are also available from CME on its
Internet Web site, as well as other
financial informational sources.
D. Availability of Information Regarding
the Shares
The Internet Web sites for the Fund
and/or the Exchange, which are publicly
accessible at no charge, will contain the
following information: (a) Current NAV
per Share daily and the prior business
day’s NAV and the reported closing
price; (b) the mid-point of the bid-ask
price in relation to the NAV as of the
time the NAV is calculated (the ‘‘BidAsk Price’’); 21 (c) the calculation of the
premium or discount of such price
against such NAV; (d) data in chart form
displaying the frequency of distribution
of discounts and premiums of the BidAsk Price against the NAV, within
appropriate ranges for each of the four
(4) previous calendar quarters; (e) the
prospectus; and (f) other applicable
quantitative information. The Exchange
will also make available on its Internet
Web site the daily trading volume of the
Shares.
E. Foreign Currency Pricing
In its proposal, the Exchange stated
that investors may also obtain, on a 24hour basis, currency pricing information
from various financial information
service providers. The Exchange stated
that current currency spot prices are
also generally available with bid/ask
spreads from foreign exchange dealers.
Complete real-time data for futures and
options prices traded on CME and Phlx
are also available by subscription from
information service providers. CME and
Phlx also provide delayed futures and
options information on current and past
trading sessions and market news free of
charge on their respective Web sites.
There are a variety of other public
Internet Web sites that provide
information on currency, such as
Bloomberg (https://www.bloomberg.com/
markets/currecies/
eurafr_currencies.html), which regularly
reports current foreign currency pricing
for a fee. Other service providers
21 The Bid-Ask Price of the Shares is determined
using the highest bid and lowest offer as of the time
of calculation of the NAV.
PO 00000
Frm 00074
Fmt 4703
Sfmt 4703
55233
include CBS Market Watch (https://
marketwatch.com/tools.stockresearch/
globalmarkets) and Yahoo! Finance
(https://finance.yahoo.com/currency).
Many of these Internet Web sites offer
price quotations drawn from other
published sources, and as the
information is supplied free of charge, it
generally is subject to time delays.
F. Dissemination of Indicative Fund
Value
As noted above, the Administrator
calculates the NAV of the Fund once
each trading day and disseminates such
NAV to all market participants at the
same time. In addition, the
Administrator causes to be made
available on a daily basis the Cash
Deposit Amount to be deposited in
connection with the issuance of the
Shares in Baskets. Other investors can
also request such information directly
from the Administrator.
In order to provide updated
information relating to the Fund for use
by investors, professionals, and persons
wishing to create or redeem the Shares,
the Exchange will disseminate through
the facilities of the CT an updated
Indicative Fund Value (the ‘‘Indicative
Fund Value’’). The Indicative Fund
Value will be disseminated on a per
Share basis every fifteen (15) seconds
during regular Amex trading hours of
9:30 a.m. to 4:15 p.m. ET. The Indicative
Fund Value will be calculated based on
the cash required for creations and
redemptions (i.e., Basket Amount),
adjusted to reflect the price changes of
the Index Currencies through
investments held by the Master Fund,
i.e., futures contracts and options on
futures and/or forwards.22
While the market for futures trading
for each of the Index Currencies is open,
the Indicative Fund Value can be
expected to closely approximate the
value per Share of the Basket Amount.
The Indicative Fund Value will not
reflect price changes to the price of an
underlying currency between the close
of trading of the futures contract at the
relevant futures exchange and the close
of trading on the Amex at 4:15 p.m. ET.
While the Shares will trade on the
Amex from 9:30 a.m. to 4:15 p.m. ET,
regular trading hours for each of the
Index Currencies on the CME are 8:20
a.m. to 3 p.m. ET. Therefore, the value
of a Share may be influenced by nonconcurrent trading hours between the
Amex and the various futures exchanges
on which the futures contracts based on
22 On each business day, the Administrator will
make available immediately prior to the opening of
trading on the Amex via the facilities of the CT the
most recent Basket Amount for the creation of a
Basket.
E:\FR\FM\21SEN1.SGM
21SEN1
55234
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices
the Index Currencies are traded.
Accordingly, the Exchange cautioned
that Indicative Fund Value on a per
Share basis disseminated during Amex
trading hours should not be viewed as
a real time update of the NAV, which is
calculated only once a day.
jlentini on PROD1PC65 with NOTICES
G. Events Requiring Notice to and/or
Approval by the Commission
The Exchange represented that should
the Index Sponsor substantially change
either the Index component selection or
weighting methodology, the Exchange
would file a proposed rule change
pursuant to Rule 19b–4 under the Act,
which must be approved by the
Commission for continued trading of the
Shares.
The Exchange represented that if a
successor or substitute index is used by
the Managing Owner, Amex will file
with the Commission a proposed rule
change pursuant to Rule 19b–4 under
the Act to address, among other things,
the listing and trading characteristics of
the successor index and Amex’s
surveillance procedures applicable to
the successor index, which must be
approved by the Commission to
continue trading the Shares relating to
the successor index.
In the case of a temporary disruption
in connection with the trading of the
futures contracts comprising the Index,
the Index Sponsor may use a currency
futures contract on the same Index
Currency from a different futures
exchange than CME or use the prior
day’s price for such Index Currency
contract. In exceptional cases, the Index
Sponsor may employ a ‘‘fair value’’
price (i.e., the price for unwinding the
position by dealers in the OTC market).
However, the Exchange represented that
if the use of such alternative pricing
methods is more than of a temporary
nature, the Exchange will file a
proposed rule change with the
Commission pursuant to Rule 19b–4
under the Act seeking Commission
approval to continue trading the Shares.
Unless approved for continued trading,
the Exchange would commence
delisting proceedings.
The Exchange represented that it
would halt trading of the Shares if (a)
the value of the Index is no longer
calculated or available on at least a
fifteen (15) second basis through the
facilities of the CT or major market data
vendors during the time the Shares
trade on Amex,23 (b) if the Indicative
23 The Managing Owner represents that it will
seek to arrange to have the Index calculated and
disseminated on a daily basis through a third party
if DB London ceases to calculate and disseminate
the Index. If, however, the Managing Owner is
unable to arrange for the calculation and
VerDate Aug<31>2005
16:30 Sep 20, 2006
Jkt 208001
Fund Value, updated at least every
fifteen (15) seconds, is no longer
calculated or available, or (c) the NAV
is no longer disseminated to all market
participants at the same time.24
Criteria for Initial and Continued Listing
The Fund will be subject to the
criteria in Commentary .07(d) of Amex
Rule 1202 for initial and continued
listing of the Shares. The proposed
continued listing criteria provides for
the delisting or removal from listing of
the Shares under any of the following
circumstances:
• Following the initial twelve-month
period from the date of commencement
of trading of the Shares: (i) If the Fund
has more than 60 days remaining until
termination and there are fewer than 50
record and/or beneficial holders of the
Shares for 30 or more consecutive
trading days; (ii) if the Fund has fewer
than 50,000 Shares issued and
outstanding; or (iii) if the market value
of all Shares is less than $1,000,000;
• If the value of the underlying Index
is no longer calculated or available on
at least a 15-second delayed basis
through one or more major market data
vendors; 25
• The Indicative Fund Value is no
longer made available on at least a 15second delayed basis through the
facilities of the CT; 26
• The calculation or dissemination of
the NAV is disrupted such that the NAV
is no longer disseminated to all market
participants at the same time; 27
• Unless approval is received from
the Commission to continue to list and
trade the Shares after a proposed rule
change pursuant to Rule 19b–4 under
dissemination of the Index (or another index which
succeeds the Index), the Exchange will undertake
to delist the Shares. If the Index is discontinued or
suspended, the Managing Owner, in its sole
discretion, may substitute the Index with an index
substantially similar to the discontinued or
suspended Index. Such successor Index may be
calculated and/or published by any other third
party.
24 The Exchange further represents that it would
immediately contact the Commission to discuss
measures that may be appropriate under the
circumstances
25 In the event the Index value is no longer
calculated or disseminated by one or more major
market data vendors, the Exchange would
immediately contact the Commission to discuss
measures that may be appropriate under the
circumstances.
26 In the event the Indicative Fund Value is no
longer calculated or disseminated through the
facilities of the CT, the Exchange would
immediately contact the Commission to discuss
measures that may be appropriate under the
circumstances.
27 In the event the NAV is no longer calculated
or disseminated to all market participants at the
same time, the Exchange would immediately
contact the Commission to discuss measures that
may be appropriate under the circumstances.
PO 00000
Frm 00075
Fmt 4703
Sfmt 4703
the Act is properly filed by the
Exchange, (i) more than a temporary
disruption exists in connection with the
pricing of the futures contracts
comprising the Index, (ii) a successor or
substitute index is used by the
Managing Owner in connection with the
Shares, (iii) calculation or dissemination
of the NAV is more than temporarily
disrupted, or (iv) the Index Sponsor
substantially changes either the Index
component selection methodology or
weighting methodology; or
• If such other event shall occur or
condition exists which in the opinion of
the Exchange makes further dealings on
the Exchange inadvisable.
The initial purchaser (the ‘‘Initial
Purchaser’’) will initially purchase and
take delivery of 200,000 Shares, which
comprises the initial Basket, at a
purchase price of $25.00 per Share
($5,000,000 per Basket) pursuant to an
Initial Purchaser Agreement. The Initial
Purchaser proposes to offer to the public
these 200,000 Shares at a per-Share
offering price that will vary depending
on, among other factors, the trading
price of the Shares on the Amex, the
NAV per Share, and the supply of and
demand for the Shares at the time of the
offer. The Exchange submitted that the
anticipated minimum number of Shares
outstanding at the start of trading would
be sufficient to provide adequate market
liquidity and to further the Fund’s
objective to seek to provide a simple
and cost effective means of accessing
the currency futures markets. The
Exchange also represented that, for the
initial and continued listing, the Shares
must be in compliance with Section 803
of the Amex Company Guide and Rule
10A–3 under the Act.28
The Amex original listing fee
applicable to the listing of the Fund is
$5,000. In addition, the annual listing
fee applicable under Section 141 of the
Amex Company Guide will be based
upon the year-end aggregate number of
Shares in all series of the Fund
outstanding at the end of each calendar
year.
Trading Rules
The Shares are equity securities
subject to Amex rules governing the
trading of equity securities, including,
among others, rules governing priority,
parity and precedence of orders,
specialist responsibilities and account
opening and customer suitability (Amex
Rule 411). Initial equity margin
requirements of 50% will apply to
transactions in the Shares. Shares will
trade on the Amex until 4:15 p.m. ET
each business day and will trade in a
28 See
E:\FR\FM\21SEN1.SGM
17 CFR 240.10A–3.
21SEN1
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices
jlentini on PROD1PC65 with NOTICES
minimum price variation of $0.01
pursuant to Amex Rule 127. Trading
rules pertaining to odd-lot trading in
Amex equities (Amex Rule 205) will
also apply.
Amex Rule 154, Commentary .04(c),
provides that stop and stop limit orders
to buy or sell a security (other than an
option, which is covered by Amex Rule
950(f) and Commentary thereto) the
price of which is derivatively priced
based upon another security or index of
securities, may with the prior approval
of a Floor Official, be elected by a
quotation, as set forth in Commentary
.04(c)(i)–(v). The Exchange has
designated the Shares as eligible for this
treatment.29
The Shares will be deemed ‘‘Eligible
Securities’’, as defined in Amex Rule
230, for purposes of the Intermarket
Trading System (‘‘ITS’’) plan and
therefore will be subject to the tradethrough provisions of Amex Rule 236,
which require that Amex members
avoid initiating trade-throughs for ITS
securities.
Specialist transactions of the Shares
made in connection with the creation
and redemption of Shares will not be
subject to the prohibitions of Amex Rule
190.30 Unless exemptive or no-action
relief is available, the Shares will be
subject to the short sale rule, Rule 10a1 and other rules under the Act. If
exemptive or no-action relief is
provided, the Exchange will issue a
notice detailing the terms of the
exemption or relief. The Shares will
generally be subject to the Exchange’s
stabilization rule, Amex Rule 170,
except that specialists may buy on ‘‘plus
ticks’’ and sell on ‘‘minus ticks,’’ in
order to bring the Shares into parity
with the underlying currency and/or
futures contract price. Commentary
.07(f) to Amex Rule 1202 sets forth this
limited exception to Amex Rule 170.
The trading of the Shares will be
subject to certain conflict of interest
provisions set forth in Commentary
.07(e) to Amex Rule 1202. Specifically,
Commentary .07(e) provides that the
prohibitions in Amex Rule 175(c) apply
to a specialist in the Shares so that the
specialist or affiliated person may not
act or function as a market maker in an
underlying asset, related futures
contract or option, or any other related
derivative. An affiliated person of the
specialist consistent with Amex Rule
193 may be afforded an exemption to act
in a market making capacity, other than
29 See
Securities Exchange Act Release No. 29063
(April 10, 1991), 56 FR 15652 (April 17, 1991)
(noting the Exchange’s designation of equity
derivative securities as eligible for such treatment
under Amex Rule 154, Commentary .04(c)).
30 See Commentary .05 to Amex Rule 190.
VerDate Aug<31>2005
16:30 Sep 20, 2006
Jkt 208001
as a specialist in the Shares on another
market center, in the underlying asset,
related futures, or options or any other
related derivative. Commentary .07(e)
further provides that an approved
person of an equity specialist that has
established and obtained Exchange
approval for procedures restricting the
flow of material, non-public market
information between itself and the
specialist member organization, and any
member, officer, or employee associated
therewith, may act in a market making
capacity, other than as a specialist in the
Shares on another market center, in the
underlying asset or commodity, related
futures or options on futures, or any
other related derivatives.
Commentary .07(g)(1) and (2) to Amex
Rule 1202 also ensures that specialists
handling the Shares provide the
Exchange with all the necessary
information relating to their trading in
physical assets or commodities, related
futures contracts and options thereon, or
any other derivative. As a general
matter, the Exchange has regulatory
jurisdiction over its members, member
organizations, and approved persons of
a member organization. The Exchange
also has regulatory jurisdiction over any
person or entity controlling a member
organization, as well as a subsidiary or
affiliate of a member organization that is
in the securities business. A subsidiary
or affiliate of a member organization
that does business only in commodities
or futures contracts would not be
subject to Exchange jurisdiction, but the
Exchange could obtain information
regarding the activities of such
subsidiary or affiliate through
surveillance sharing agreements with
regulatory organizations of which such
subsidiary or affiliate is a member.31
Trading Halts
Prior to the commencement of
trading, the Exchange will issue an
Information Circular (described below)
to members informing them of, among
other things, Exchange policies
regarding trading halts in the Shares.
First, the circular will advise that
trading will be halted in the event the
market volatility trading halt parameters
set forth in Amex Rule 117 have been
reached. Second, the circular will
advise that, in addition to the
parameters set forth in Amex Rule 117,
the Exchange will halt trading in the
Shares if trading in the underlying
31 All applicable provisions of Amex Rule 1202
and Commentaries thereto will govern the trading
of the Shares. Telephone conversation between
Sudhir C. Bhattacharyya, Assistant General
Counsel, Amex, and Edward Cho, Special Counsel,
Division of Market Regulation, Commission, on
September 14, 2006.
PO 00000
Frm 00076
Fmt 4703
Sfmt 4703
55235
related futures contract(s) is halted or
suspended. Third, with respect to a halt
in trading that is not specified above,
the Exchange may also consider other
relevant factors and the existence of
unusual conditions or circumstances
that may be detrimental to the
maintenance of a fair and orderly
market. The Exchange will halt trading
in the Shares if the value of the Index
is no longer calculated or available on
at least a fifteen (15) second basis
through one or more major market data
vendors during the time the Shares
trade on Amex, or if the Indicative Fund
Value per Share updated at least every
fifteen (15) seconds is no longer
calculated or available the facilities of
the CT, or if the NAV is no longer
calculated or disseminated for the
benefit of all market participants at the
same time.32
Suitability
The Information Circular (described
below) will inform members and
member organizations of the
characteristics of the Fund and of
applicable Exchange rules, as well as of
the requirements of Amex Rule 411
(Duty to Know and Approve
Customers).
The Exchange noted that pursuant to
Amex Rule 411, members and member
organizations are required in connection
with recommending transactions in the
Shares to have a reasonable basis to
believe that a customer is suitable for
the particular investment given
reasonable inquiry concerning the
customer’s investment objectives,
financial situation, needs, and any other
information known by such member.
Information Circular
The Amex will distribute an
Information Circular to its members in
connection with the trading of the
Shares. The Circular, will discuss the
special characteristics and risks of
trading this type of security, such as
currency fluctuation risk. Specifically,
the Circular, among other things, will
discuss what the Shares are, how a
Basket is created and redeemed,
applicable Amex rules, dissemination
information, trading information, and
applicable suitability rules. The Circular
will also explain that the Fund is
subject to various fees and expenses
described in the Registration Statement.
The Circular will also reference the fact
that the CFTC has regulatory
jurisdiction over the trading of futures
contracts.
The Circular will also notify members
and member organizations about the
32 See
E:\FR\FM\21SEN1.SGM
supra notes 25–27 and accompanying text.
21SEN1
55236
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices
procedures for purchases and
redemptions of Shares in Baskets that
are described in the prospectus, and that
Shares are not individually redeemable
but are redeemable only in one or more
Baskets only through an Authorized
Participant. The Circular will advise
members of their suitability obligations
with respect to recommended
transactions to customers in the Shares.
The Circular will also discuss any relief,
if granted, by the Commission or the
staff from any rules under the Act.
Additionally, the Circular will
disclose that the NAV for Shares will be
calculated shortly after 4 p.m. ET each
trading day and that information about
the Shares and the Index will be
publicly available on the Internet Web
site of Amex and the Fund. In the
Information Circular, the Exchange will
inform members and member
organizations, prior to commencement
of trading, of the prospectus delivery
requirements applicable to the Fund.
The Exchange noted that investors
purchasing Shares directly from the
Fund (in exchange for cash) will receive
a prospectus. Amex members
purchasing Shares from the Trust for
resale to investors will deliver a
prospectus to such investors.
jlentini on PROD1PC65 with NOTICES
Surveillance
The Exchange represented that its
surveillance procedures are adequate to
properly monitor the trading of the
Shares and to deter and detect
violations of Amex rules. Specifically,
Amex will rely on its existing
surveillance procedures governing
Index Fund Shares. Amex represents
that its surveillance procedures for the
Shares will be similar to those used for
other TIRs (such as the Currency Trust
Shares and the DB Commodity Index
Tracking Fund) and exchange-traded
funds and will incorporate and rely
upon existing Amex surveillance
procedures governing options and
equities. The Exchange also noted that
the CME is a member of the ISG. As a
result, the Exchange asserted that
market surveillance information is
available from the CME, if necessary,
due to regulatory concerns that may
arise in connection with the CME
futures contracts that are used in
connection with the Index calculation
and held by the Fund. In addition, the
Exchange represented that, to the extent
the Master Fund invests in foreign
currency futures contracts traded on
futures exchanges other than CME, the
Exchange must have a CSSA with that
futures exchange or the futures
exchange must be an ISG member.
VerDate Aug<31>2005
16:30 Sep 20, 2006
Jkt 208001
III. Discussion and Commission’s
Findings
After careful consideration, the
Commission finds that the proposed
rule change, as amended, is consistent
with the requirements of the Act and the
rules and regulations thereunder
applicable to a national securities
exchange.33 In particular, the
Commission finds that the proposed
rule change, as amended, is consistent
with the requirements of section 6(b)(5)
of the Act,34 which requires, among
other things, that the Exchange’s rules
be designed to promote just and
equitable principles of trade, to remove
impediments to and perfect the
mechanism of a free and open market
and a national market system and, in
general, to protect investors and the
public interest.
A. Surveillance
Information sharing agreements with
primary markets are an important part
of a self-regulatory organization’s ability
to monitor for trading abuses in
derivative products. The Exchange
represents that the CME, where the
futures contract for each of the current
Index components is traded, is a
member of the ISG, and that the
Exchange has access to all relevant
trading information with respect to
those contracts without any further
action. In addition, the Exchange
represents that, in the event that a
successor or substitute index is used by
the Managing Owner, Amex will file
with the Commission a proposed rule
change, which addresses, among other
things, applicable surveillance
procedures, and unless approved by the
Commission, the Exchange will
commence delisting of the Shares. The
Exchange also represents that, to the
extent the Master Fund invests in
foreign currency futures contracts
traded on futures exchanges other than
CME, the Exchange must have a CSSA
with that futures exchange or the futures
exchange must be an ISG member.
Moreover, Amex Rule 1202 requires
Exchange specialists, upon the
Exchange’s request, to provide Amex
with information that the specialist uses
in connection with pricing and trading
the Shares on the Exchange. In
particular, Commentaries .07(g)(1) and
(g)(2) to Amex Rule 1202 require that
the specialist handling the Shares
provide the Exchange with information
relating to its trading in the Shares and
33 In approving this proposed rule change, the
Commission notes that it has considered the
proposed rule’s impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
34 15 U.S.C. 78f(b)(5).
PO 00000
Frm 00077
Fmt 4703
Sfmt 4703
the accounts of the member organization
acting as specialist, member
organization, or approved person of
such member organization in the Index
components, related futures or options
on futures, or any other related
derivatives.
B. Dissemination of Information
The Commission believes that
sufficient venues exist for obtaining
reliable information so that investors in
the Shares should be able to monitor the
underlying Index relative to the
Indicative Value of their Shares. There
is a considerable amount of information
about the Index and its components and
related futures contracts and the Shares
available through public Web sites and
professional subscription services,
including Reuters and Bloomberg.
Real time information about the
trading of the component currency
futures contracts trading on CME related
to the Index components and their daily
settlement prices of such futures
contracts is available from one or more
major market data vendors. Delayed
information is often available from
futures exchanges trading futures
contracts on the underlying Index
components. The Exchange stated that
daily settlement prices for the futures
contracts comprising the Index and held
by the Master Fund are publicly
available on the Internet Web sites of
the futures exchanges trading the
particular contracts.35 The Exchange has
further represented that the Index
Sponsor, DB London, will publish the
value of the Index at least every 15
seconds during Amex trading hours to
the CT, Bloomberg, Reuters, and the
Index Sponsor’s Internet Web site,
https://index.db.com.36 While the Index
is calculated and disseminated by the
Index Sponsor, an affiliate of a
registered broker-dealer,37 the
Commission notes that a number of
independent sources may verify both
the intraday and closing Index values
and the Index Sponsor uses
independent feeds from Reuters to
35 All of the futures contracts in which the Master
Fund currently expects to invest are traded on the
CME, although currency futures contracts on the
Eligible Index Currencies also trade on other futures
exchanges in the United States, such as the New
York Board of Trade, which is a member of ISG.
36 The Exchange states that the disseminated
value of the Index will not reflect changes to the
prices of the Index Currencies between the close of
trading of each respective futures contract on the
relevant futures exchange, i.e., 3 p.m. ET (close of
trading on the CME futures market), and the close
of trading on the Amex at 4:15 p.m. ET.
37 Telephone conversation between Sudhir C.
Bhattacharyya, Assistant General Counsel, Amex,
and Edward Cho, Special Counsel, Division of
Market Regulation, Commission, on September 14,
2006.
E:\FR\FM\21SEN1.SGM
21SEN1
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices
verify all CME pricing information used
to calculate the Index.
Likewise, information about the
Shares will also be widely available.
The Indicative Fund Value will be
disseminated every 15 seconds during
Amex regular trading hours through the
facilities of the CT and will be displayed
on the Exchange’s Internet Web site
(https://www.amex.com).38 The
Commission believes that dissemination
of the Indicative Fund Value based on
the cash amount required for a Basket
provides additional information that is
not otherwise available to the public
and is useful to professionals and
investors in connection with the Shares
trading on the Exchange or the creation
or redemption of the Shares.
In addition, the Internet Web sites for
the Fund and/or the Exchange will
disseminate the NAV, Basket Amount,
trading volume of the Shares, and other
quantitative information related to the
operation of the Fund and trading of the
Shares. The Exchange has represented
that the NAV and Basket Amount will
be disseminated shortly after 4 p.m. ET
each business day. The NAV will be
made available to all market
participants at the same time. The
Commission notes that, if the NAV is
not disseminated to all market
participants at the same time, the
Exchange has agreed to halt trading of
the Shares.
In sum, the Commission believes that
the availability of information about the
underlying futures contracts, the Index,
and the Shares should facilitate
transparency with respect to the
proposed Shares.
C. Listing and Trading
The Commission finds that the
Exchange’s proposed rules and
procedures for the listing and trading of
the proposed Shares are consistent with
the Act. Shares will trade as equity
securities subject to Amex rules
including, among others, rules
governing priority, parity and
precedence of orders, specialist
responsibilities,39 and account opening
D. Accelerated Approval of the
Proposed Rule Change, as Amended by
Amendments No. 1 and 2 Thereto
The Commission finds good cause for
approving the proposed rule change, as
amended by Amendments No. 1 and 2,
prior to the 30th day after the date of
publication of the notice of filing thereof
in the Federal Register. The Exchange
has requested the Commission to
approve the proposal, as amended, on
an accelerated basis, after a 15-day
comment period, to enable investors to
begin trading the Shares promptly. The
Commission notes that the proposed
rule change, as amended, was noticed
for a 15-day comment period and no
comments were received. Therefore, the
Commission finds good cause,
consistent with section 19(b)(2) of the
Act,40 to approve the proposal, as
amended, on an accelerated basis.
IV. Conclusion
It is therefore ordered, pursuant to
section 19(b)(2) of the Act that the
proposed rule change (SR–Amex–2006–
44), as amended by Amendments No. 1
and 2, is approved on an accelerated
basis.
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.41
J. Lynn Taylor,
Assistant Secretary.
[FR Doc. 06–7841 Filed 9–20–06; 8:45 am]
BILLING CODE 8010–01–P
VerDate Aug<31>2005
16:30 Sep 20, 2006
Jkt 208001
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–54443; File No. SR–CBOE–
2006–77]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change Extending Pilot Programs
for Remote Market-Makers and e-DPMs
September 14, 2006.
Pursuant to section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder,2
notice is hereby given that on
September 11, 2006, the Chicago Board
Options Exchange, Incorporated
(‘‘CBOE’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’ or ‘‘SEC’’) the proposed
rule change as described in Items I and
II below, which Items have been
prepared by the CBOE. The Exchange
filed the proposal as a ‘‘noncontroversial’’ proposed rule change
pursuant to section 19(b)(3)(A)(iii) of the
Act 3 and Rule 19b–4(f)(6) thereunder.4
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
CBOE proposes to extend the pilots
allowing Remote Market-Makers
(‘‘RMMs’’) and e-DPMs to have up to
one affiliated Market-Maker trade in
classes assigned to the RMM and eDPM, respectively. The text of the
proposed rule change is available on the
Exchange’s Web site (https://
www.cboe.com), at the Exchange’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 Basis for, the Proposed Rule
Change
38 The
jlentini on PROD1PC65 with NOTICES
Commission notes that the Indicative Fund
Value will not reflect price changes of an
underlying currency between the close of trading of
the relevant futures contract at the futures exchange
and the close of trading on the Amex at 4:15 p.m.
ET, and should not be viewed as a real-time update
of the Fund’s NAV.
39 For example, Commentary .07(e) to Amex Rule
1202 prohibits the specialist in the Shares from
being affiliated with a market maker in the Index
commodities, related futures or options on futures,
or any other related derivatives, unless information
barriers are in place that satisfy the requirements of
Amex Rule 193. Commentary .07(g)(3) to Amex
Rule 1202 also prohibits the specialist in the Shares
from using any material nonpublic information
received from any person associated with a
and customer suitability requirements.
Finally, the Commission notes that the
Information Circular the Exchange will
distribute will inform members and
member organizations about the terms,
characteristics and risks in trading the
Shares, including their prospectus
delivery obligations.
55237
member, member organization or employee of such
person regarding trading by such person or
employee in the Index commodities, related futures
or options on futures, or any other related
derivatives.
40 15 U.S.C. 78s(b)(2).
41 17 CFR 200.30–3(a)(12).
PO 00000
Frm 00078
Fmt 4703
Sfmt 4703
In its filing with the Commission, the
Exchange included statements
concerning the purpose of and basis for
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 15 U.S.C. 78s(b)(3)(A)(iii).
4 17 CFR 240.19b–4(f)(6).
2 17
E:\FR\FM\21SEN1.SGM
21SEN1
]]>Agencies
[Federal Register Volume 71, Number 183 (Thursday, September 21, 2006)]
[Notices]
[Pages 55230-55237]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 06-7841]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-54450; File No. SR-Amex-2006-44]
Self-Regulatory Organizations; American Stock Exchange LLC; Order
Granting Accelerated Approval of a Proposed Rule Change and Amendments
No. 1 and 2 Thereto Relating to the Listing and Trading of the DB
Currency Index Value Fund
September 14, 2006.
I. Introduction
On May 2, 2006, the American Stock Exchange LLC (``Amex'' or
``Exchange'') filed with the Securities and Exchange Commission
(``Commission''), pursuant to section 19(b)(1) of the Securities
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a
proposed rule change to list and trade the DB Currency Index Value Fund
under Commentary .07 to Amex Rule 1202. On July 31, 2006, Amex filed
Amendment No. 1 to the proposed rule change. On August 18, 2006, Amex
filed Amendment No. 2 to the proposed rule change. The proposed rule
change, as amended, was published for comment in the Federal Register
on August 29, 2006 for a 15-day comment period, which ended on
September 13, 2006.\3\ The Commission received no comments on the
proposal. This order grants accelerated approval of the proposed rule
change, as amended.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 54351 (August 23,
2006), 71 FR 51245, as corrected by 71 FR 53492 (September 11,
2006).
---------------------------------------------------------------------------
II. Description of the Proposal
The Exchange seeks to list and trade shares (``Shares'') of the DB
Currency Index Value Fund (``Trust'' or ``Fund'').\4\
[[Page 55231]]
Pursuant to Commentary .07 to Amex Rule 1202, the Exchange may approve
the listing and trading of trust issued receipts (``TIRs'') that
represent beneficial ownership of shares or securities (``Investment
Shares'') of a trust, partnership, commodity pool or other similar
entity that holds investments comprising, or otherwise based on, any
combination of securities, futures contracts, swaps, forward contracts,
options on futures contracts, commodities or portfolios of investments.
---------------------------------------------------------------------------
\4\ The Fund will be formed as a Delaware statutory trust
pursuant to a Certificate of Trust and a Declaration of Trust and
Trust Agreement among Wilmington Trust Company, as trustee, the DB
Commodity Services LLC as managing owner, and the holders of the
Shares. The Exchange states that the Fund will not be subject to
registration and regulation under the Investment Company Act of 1940
(``1940 Act'').
---------------------------------------------------------------------------
The Shares represent beneficial ownership interests in the Fund's
net assets, consisting solely of the common units of beneficial
interests of DB Currency Index Value Master Fund (the ``Master Fund'').
The Master Fund is a statutory trust created under Delaware law whose
investment portfolio will consist primarily of futures contracts on the
currencies comprising the Deutsche Bank G10 Currency Future Harvest
IndexTM--Excess Return (the ``DBCHI'' or Index'') and
securities for margin purposes. Both the Fund and the Master Fund will
be commodity pools operated by DB Commodity Services LLC (the
``Managing Owner''). The Managing Owner is registered as a commodity
pool operator (the ``CPO'') and commodity trading advisor (the ``CTA'')
with the Commodity Futures Trading Commission (``CFTC'') and is a
member of the National Futures Association (``NFA'').
For the Master Fund, the Managing Owner will manage the futures
contracts with the investment objective of tracking the performance of
the Index over time, less the expenses of the operations of the Fund
and the Master Fund.\5\ The Master Fund will hold a portfolio of both
long and short futures contracts with a notional value to equity ratio
of approximately two to one (2:1) \6\ on the currencies that comprise
the Index (the ``Index Currencies'') and will include cash and U.S.
Treasury securities for margin purposes and other high credit quality
short-term fixed income securities. The Master Fund will not engage in
borrowing. In seeking to cause the NAV (as defined herein) \7\ of the
Fund to track the Index during periods in which the Index is flat or
declining, as well as when the Index is rising, the Managing Owner
believes that the Index and the Fund will provide the advantages of
market diversification and the reduction of country-specific foreign
exchange risk (i.e., volatility). The Exchange represented that Amex
Rule 1202 accommodates the listing and trading of the Shares and that
the Shares will conform to the initial and continued listing criteria
under Commentary .07(d) to Amex Rule 1202.
---------------------------------------------------------------------------
\5\ The Exchange stated that the Wilmington Trust Company is the
trustee of the Fund and the Master Fund and has delegated to the
Managing Owner the power and authority to manage and operate the
day-to-day affairs of both.
\6\ Such ratio is generally intended to be comparable to the
limits imposed on registered investment companies pursuant to the
asset coverage requirements of Section 18(a) of the 1940 Act. Even
though the Master Fund is not registered or regulated as an
investment company under the 1940 Act, the Exchange represents that
it is structured in a manner that is sensitive to the capital
structure limitations imposed on registered investment companies by
the 1940 Act.
\7\ See infra note 15 (defining net asset value or ``NAV'').
---------------------------------------------------------------------------
In connection with the proposal, Amex also seeks to amend
Commentary .02 to Amex Rule 1200 to conform to Amex's current trading
hours to permit the Shares to trade until 4:15 p.m. Eastern Time
(``ET'').
Index Description
DBCHI is intended to reflect the return from investing assets in
long currency futures positions for certain currencies associated with
relatively high yielding interest rates and an equal amount in short
currency futures positions for certain currencies associated with
relatively low yielding interest rates.\8\ The Index is designed to
exploit the trend of currencies associated with relatively high
interest rates, on average, tending to rise in value relative to
currencies associated with relatively low interest rates.
---------------------------------------------------------------------------
\8\ This is known as the ``Interest Rate Parity'' or ``Covered
Interest Arbitrage'' formula.
---------------------------------------------------------------------------
The Index, at any time, is comprised of futures positions on six
(6) currencies from The Group Ten (``G10'') countries,\9\ each of which
is traded on the Chicago Mercantile Exchange (the ``CME''). The sponsor
of the Index is Deutsche Bank AG London (``DB London'' or ``Index
Sponsor'').
---------------------------------------------------------------------------
\9\ The G10 currencies are the United States Dollar, the Euro,
the Japanese Yen, the Canadian Dollar, the Swiss Franc, the British
Pound, the Australian Dollar, the New Zealand Dollar, the Norwegian
Krone, and the Swedish Krona (collectively, the ``Eligible Index
Currencies'').
---------------------------------------------------------------------------
As described below, the Index will be calculated and disseminated
every fifteen (15) seconds on the Consolidated Tape (``CT'') and
through major market data vendors during the time the Shares are traded
on the Exchange. DB London calculates the closing level of the Index on
the basis of closing prices on CME for the applicable futures contracts
relating to the Index Currencies \10\ and applies a set of rules to
these values to calculate the closing level of the Index.\11\ The CME-
traded futures contract of each applicable Index Currency that is
closest to expiration is used in the Index calculation. The futures
contracts on the Index Currencies are rolled during the period in which
the Index is re-weighted (the ``Index Re-Weighting Period'').\12\ The
new futures contract on an Index Currency that has the next closest
expiration date is selected. The calculation of the Index on an excess-
return basis is the weighted average return on the change in price of
the futures contracts relating to the Index Currencies.
---------------------------------------------------------------------------
\10\ The Index Sponsor calculates the level of the Index
intraday and at the end of the day. The intraday calculation is
based on feeds of real-time data relating to the underlying futures
contracts and updates intermittently approximately every 15 seconds.
The Index Sponsor uses independent feeds from Reuters to verify all
prices. A number of currency market participants independently
verify the correctness of the disseminated intraday Index value and
closing Index value. Telephone conversation between Sudhir C.
Bhattacharyya, Assistant General Counsel, Amex, and Edward Cho,
Special Counsel, Division of Market Regulation, Commission, on
September 14, 2006.
\11\ The notional amounts of each Index Currency included in the
Index are based on the Index closing level as of the Index Re-
Weighting Period (as defined herein). The Index closing level
reflects an arithmetic weighted average of the change in the futures
positions on the Index Currencies'' exchange rates against the U.S.
Dollar (``USD'') since March 12, 1993. On such date, the closing
Index level was $100.
\12\ The Index Sponsor reviews and re[pi]weights the Index on a
quarterly basis, in accordance with its rules. The futures contracts
held by the Fund are, therefore, three (3) months in duration. The
Index Re-Weighting Period takes place just prior to the third
Wednesday in each of March, June, September, and December months,
which are traditional settlement dates in the International Money
Market (the ``IMM Dates''). Upon re-weighting, the high yielding
Index Currencies are allocated a base weight of 33\1/3\%, and the
low yielding Index Currencies are allocated a base weight of -33\1/
3\%. These new weights are applied during the Index Re-Weighting
Period. The futures contracts on the Index Currencies are rolled
during the Index Re-Weighting Period, which will occur over the
fourth and third business days prior to each of the IMM Dates.
---------------------------------------------------------------------------
Investment Objective and Strategy
The Exchange states that the investment objective of the Fund is to
reflect the performance of the DBCHI, over time, less the expenses of
the operation of the Fund and the Master Fund. The Fund will pursue its
investment objective by investing substantially all of its assets in
the Master Fund. Each Share will correlate with a Master Fund share
issued by the Master Fund and held by the Fund.
The Master Fund's portfolio is managed with a view to reflect the
performance of the Index over time. The Exchange stated that the Master
Fund is not traditionally ``managed,'' which typically involves
effecting changes in the composition of a portfolio on the
[[Page 55232]]
basis of judgments relating to economic, financial, and market
considerations. Instead, the Managing Owner seeks to maintain the
relationship between the composition and weightings of the CME futures
positions in the Index Currencies to the Master Fund's long and short
currency futures positions from time to time. The Managing Owner
adjusts the portfolio on a quarterly basis to conform to periodic
changes in the composition and relative weightings of the Index
Currencies and may make certain adjustments or changes to the portfolio
more frequently in the case of significant changes in the foreign
currency markets due to volatility.
The Fund will pursue its investment objective by investing
substantially all of its assets in the Master Fund. To track the Index,
the Master Fund generally will establish long futures positions in the
three Index Currencies associated with the highest interest rates and
short futures positions in the three Index Currencies associated with
the lowest interest rates \13\ and will adjust its holdings quarterly
as the Index is adjusted. However, if the USD is among the Index
Currencies, the Master Fund will not establish a long or short futures
position (as the case may be) in USD because USD is the Fund's home
currency and, as a consequence, the Exchange states that the Master
Fund never can enjoy profit or suffer loss from long or short futures
positions in USD. When the USD is not associated with the highest or
lowest interest rates among the Eligible Index Currencies, the
aggregate notional value of the Master Fund's futures contracts at the
time they are established will be double the value of the Master Fund's
holdings of U.S. Treasury Bills and other high credit quality short-
term fixed income securities, (i.e., a ratio of 2:1).\14\ If the USD is
associated with the highest or lowest interest rates among the Eligible
Index Currencies, the aggregate notional value of the Master Fund's
futures contracts at the time they are established will be
approximately 1.66 times the value of the Master Fund's holdings of
U.S. Treasury Bills and other high credit quality short-term fixed
income securities (i.e., a ratio of 1.66:1). Holding futures positions
with a notional amount in excess of the Master Fund's NAV \15\
increases the potential for both trading profits and losses, depending
on the performance of the Index. The Master Fund's ability to track the
Index will not be affected by the presence or absence of the USD among
the Index Currencies. Because the notional value of the Master Fund's
futures positions can rise or fall over time, the ratio of long and
short futures positions could be higher or lower between quarterly
adjustments of the Index Currencies.
---------------------------------------------------------------------------
\13\ The use of long and short positions in the construction of
the Index causes the Index to rise as a result of any upward price
movement of Index Currencies expected to gain relative to the USD
(as a result of the long positions), and likewise, to rise as a
result of any downward price movement of Index Currencies expected
to lose relative to the USD (as a result of the short positions).
\14\ See supra note 6.
\15\ NAV is the total assets of the Master Fund, less total
liabilities of the Master Fund, determined on the basis of generally
accepted accounting principles. NAV per Master Fund share is the NAV
of the Master Fund divided by the number of outstanding Master Fund
shares. This will be the same for the Shares of the Fund because of
a one-to-one correlation between the Shares and the shares of the
Master Fund.
---------------------------------------------------------------------------
Product Description
A. Creation and Redemption of Shares
Issuances of the Shares will be made only in one or more blocks of
200,000 Shares (the ``Basket''). The Fund will issue and redeem the
Shares on a continuous basis, by or through participants that have
entered into participant agreements (each, an ``Authorized
Participant'') \16\ with the Managing Owner at the NAV per Share next
determined after an order to purchase the Shares in a Basket is
received in proper form. Following issuance, the Shares will be traded
on the Exchange similar to other equity securities. The Shares will be
registered in book entry form through DTC.
---------------------------------------------------------------------------
\16\ An ``Authorized Participant'' is a person, who at the time
of submitting to the trustee an order to create or redeem one or
more Baskets, (i) is a registered broker-dealer, (ii) is a
Depository Trust Company (``DTC'') participant, and (iii) has in
effect a valid participant agreement.
---------------------------------------------------------------------------
Baskets will be issued in exchange for a cash amount equal to the
NAV per Share times 200,000 Shares (the ``Basket Amount''). The Basket
Amount will be determined on each business day by the Bank of New York,
the Fund administrator.\17\ Authorized Participants that wish to
purchase a Basket must transfer the Basket Amount to the Administrator
(the ``Cash Deposit Amount''). Authorized Participants that wish to
redeem a Basket will receive cash in exchange for each Basket
surrendered in an amount equal to the NAV per Basket (the ``Cash
Redemption Amount''). The Commodity Broker will be the custodian for
the Master Fund and responsible for safekeeping the Master Fund's
assets.\18\
---------------------------------------------------------------------------
\17\ As described in the Notice, the Bank of New York is the
administrator for both the Fund and the Master Fund. The
Administrator will perform or supervise the performance of services
necessary for the operation and administration of the Fund and the
Master Fund (other than making investment decisions), including NAV
calculations, accounting, and other administrative services.
\18\ The Commodity Broker is Deutsche Bank Securities, Inc., an
affiliate of the Managing Owner and registered with the CFTC as a
futures commission merchant.
---------------------------------------------------------------------------
B. Net Asset Value (NAV)
As stated in the proposal, shortly after 4 p.m. ET each business
day, the Administrator will determine the NAV for the Fund, utilizing
the current settlement value of the futures contracts on the Index
Currencies. Also shortly after 4 p.m. ET each business day, the
Administrator, Amex, and the Managing Owner will disseminate the NAV
for the Shares and the Basket Amount (for orders placed during the
day). The NAV and Basket Amount will be communicated by the
Administrator to all Authorized Participants via facsimile or
electronic mail message and will be available on the Index Sponsor's
Internet Web site at https://index.db.com. The Amex will also disclose
the NAV and Basket Amount on its Internet Web site (https://
www.amex.com). The Exchange represented that the NAV would be made
available to all market participants at the same time.
The NAV for the Fund is total assets of the Master Fund less total
liabilities of the Master Fund. The NAV is calculated by including any
unrealized profit or loss on futures contracts and any other credit or
debit accruing to the Master Fund but unpaid or not received by the
Master Fund. The NAV is then used to compute all fees (including the
management and administrative fees) that are calculated from the value
of Master Fund assets. The Administrator will calculate the NAV per
share by dividing the NAV by the number of Shares outstanding.
The Exchange believes that generally the Shares will not trade at a
material discount or premium to the NAV of the Shares based on
potential arbitrage opportunities. Nevertheless, the value of a Share
may be influenced by non-concurrent trading hours between the Amex and
the various futures exchanges on which the Index Currencies are traded.
As a result, during periods when the Amex is open and the futures
exchanges on which the Index Currencies are traded are closed, trading
spreads and the resulting premium or discount on the Shares may widen,
and, therefore, increase the difference between the price of the Shares
and the NAV of the Shares.
[[Page 55233]]
C. Dissemination of the Index and Underlying Futures Contracts
Information
DB London, as the Index Sponsor, will publish the value of the
Index at least once every fifteen (15) seconds throughout each trading
day on the CT, Bloomberg, Reuters, and on its Internet Web site at
https://index.db.com. The Exchange stated that the disseminated value of
the Index will not reflect changes to the prices of the Index
Currencies between the close of trading of each respective futures
contract on the relevant futures exchange, i.e., 3 p.m. ET (close of
trading on the CME futures market), and the close of trading on the
Amex at 4:15 p.m. ET. The closing Index level will similarly be
provided by DB London. In addition, any adjustments or changes to the
Index will also be provided by DB London and the Exchange on their
respective Internet Web sites.\19\
---------------------------------------------------------------------------
\19\ The Sponsor has in place procedures to prevent the improper
sharing of information between different affiliates and departments.
Specifically, an information barrier exists between the personnel
within DB London that calculate and reconstitute the Index and other
personnel associated with the Sponsor, including but not limited to
the Managing Owner, sales and trading, external or internal fund
managers, and bank personnel who are involved in hedging the bank's
exposure to instruments linked to the Index, in order to prevent the
improper sharing of information relating to the composition of the
Index.
---------------------------------------------------------------------------
The daily settlement prices for the foreign currency futures
contracts comprising the Index and held by the Master Fund are publicly
available on the Internet Web sites of the futures exchanges trading
the particular contracts, as well as automated quotation systems,
published or other public sources, or on-line information services such
as Bloomberg or Reuters. In addition, the Exchange will provide a
hyperlink on its Internet Web site to the Index Sponsor's Internet Web
site. All of the foreign currency futures contracts in which the Master
Fund currently expects to invest are traded on the CME, although
currency futures contracts on the Eligible Index Currencies also trade
on other futures exchanges in the United States and the Master Fund may
invest in such contracts.\20\
---------------------------------------------------------------------------
\20\ Other futures exchanges may include, for example, the New
York Board of Trade and other futures exchanges which have a
Comprehensive Surveillance Sharing Agreement (``CSSA'') with Amex or
is an Intermarket Surveillance Group (``ISG'') member. Telephone
conversation between Jeffrey P. Burns, Associate General Counsel,
Amex, and Florence Harmon, Senior Special Counsel, Division of
Market Regulation, Commission, on September 13, 2006.
---------------------------------------------------------------------------
In addition, various data vendors and news publications publish
futures prices and data. The Exchange represented that futures quotes
and last sale information for the Index Currencies are widely
disseminated through a variety of market data vendors worldwide,
including Bloomberg and Reuters. In addition, the Exchange further
noted that complete real-time data for such futures is available by
subscription from Reuters and Bloomberg. The specific contract
specifications for the futures contracts are also available from CME on
its Internet Web site, as well as other financial informational
sources.
D. Availability of Information Regarding the Shares
The Internet Web sites for the Fund and/or the Exchange, which are
publicly accessible at no charge, will contain the following
information: (a) Current NAV per Share daily and the prior business
day's NAV and the reported closing price; (b) the mid-point of the bid-
ask price in relation to the NAV as of the time the NAV is calculated
(the ``Bid-Ask Price''); \21\ (c) the calculation of the premium or
discount of such price against such NAV; (d) data in chart form
displaying the frequency of distribution of discounts and premiums of
the Bid-Ask Price against the NAV, within appropriate ranges for each
of the four (4) previous calendar quarters; (e) the prospectus; and (f)
other applicable quantitative information. The Exchange will also make
available on its Internet Web site the daily trading volume of the
Shares.
---------------------------------------------------------------------------
\21\ The Bid-Ask Price of the Shares is determined using the
highest bid and lowest offer as of the time of calculation of the
NAV.
---------------------------------------------------------------------------
E. Foreign Currency Pricing
In its proposal, the Exchange stated that investors may also
obtain, on a 24-hour basis, currency pricing information from various
financial information service providers. The Exchange stated that
current currency spot prices are also generally available with bid/ask
spreads from foreign exchange dealers. Complete real-time data for
futures and options prices traded on CME and Phlx are also available by
subscription from information service providers. CME and Phlx also
provide delayed futures and options information on current and past
trading sessions and market news free of charge on their respective Web
sites. There are a variety of other public Internet Web sites that
provide information on currency, such as Bloomberg (https://
www.bloomberg.com/markets/currecies/eurafr_currencies.html), which
regularly reports current foreign currency pricing for a fee. Other
service providers include CBS Market Watch (https://marketwatch.com/
tools.stockresearch/globalmarkets) and Yahoo! Finance (https://
finance.yahoo.com/currency). Many of these Internet Web sites offer
price quotations drawn from other published sources, and as the
information is supplied free of charge, it generally is subject to time
delays.
F. Dissemination of Indicative Fund Value
As noted above, the Administrator calculates the NAV of the Fund
once each trading day and disseminates such NAV to all market
participants at the same time. In addition, the Administrator causes to
be made available on a daily basis the Cash Deposit Amount to be
deposited in connection with the issuance of the Shares in Baskets.
Other investors can also request such information directly from the
Administrator.
In order to provide updated information relating to the Fund for
use by investors, professionals, and persons wishing to create or
redeem the Shares, the Exchange will disseminate through the facilities
of the CT an updated Indicative Fund Value (the ``Indicative Fund
Value''). The Indicative Fund Value will be disseminated on a per Share
basis every fifteen (15) seconds during regular Amex trading hours of
9:30 a.m. to 4:15 p.m. ET. The Indicative Fund Value will be calculated
based on the cash required for creations and redemptions (i.e., Basket
Amount), adjusted to reflect the price changes of the Index Currencies
through investments held by the Master Fund, i.e., futures contracts
and options on futures and/or forwards.\22\
---------------------------------------------------------------------------
\22\ On each business day, the Administrator will make available
immediately prior to the opening of trading on the Amex via the
facilities of the CT the most recent Basket Amount for the creation
of a Basket.
---------------------------------------------------------------------------
While the market for futures trading for each of the Index
Currencies is open, the Indicative Fund Value can be expected to
closely approximate the value per Share of the Basket Amount. The
Indicative Fund Value will not reflect price changes to the price of an
underlying currency between the close of trading of the futures
contract at the relevant futures exchange and the close of trading on
the Amex at 4:15 p.m. ET. While the Shares will trade on the Amex from
9:30 a.m. to 4:15 p.m. ET, regular trading hours for each of the Index
Currencies on the CME are 8:20 a.m. to 3 p.m. ET. Therefore, the value
of a Share may be influenced by non-concurrent trading hours between
the Amex and the various futures exchanges on which the futures
contracts based on
[[Page 55234]]
the Index Currencies are traded. Accordingly, the Exchange cautioned
that Indicative Fund Value on a per Share basis disseminated during
Amex trading hours should not be viewed as a real time update of the
NAV, which is calculated only once a day.
G. Events Requiring Notice to and/or Approval by the Commission
The Exchange represented that should the Index Sponsor
substantially change either the Index component selection or weighting
methodology, the Exchange would file a proposed rule change pursuant to
Rule 19b-4 under the Act, which must be approved by the Commission for
continued trading of the Shares.
The Exchange represented that if a successor or substitute index is
used by the Managing Owner, Amex will file with the Commission a
proposed rule change pursuant to Rule 19b-4 under the Act to address,
among other things, the listing and trading characteristics of the
successor index and Amex's surveillance procedures applicable to the
successor index, which must be approved by the Commission to continue
trading the Shares relating to the successor index.
In the case of a temporary disruption in connection with the
trading of the futures contracts comprising the Index, the Index
Sponsor may use a currency futures contract on the same Index Currency
from a different futures exchange than CME or use the prior day's price
for such Index Currency contract. In exceptional cases, the Index
Sponsor may employ a ``fair value'' price (i.e., the price for
unwinding the position by dealers in the OTC market). However, the
Exchange represented that if the use of such alternative pricing
methods is more than of a temporary nature, the Exchange will file a
proposed rule change with the Commission pursuant to Rule 19b-4 under
the Act seeking Commission approval to continue trading the Shares.
Unless approved for continued trading, the Exchange would commence
delisting proceedings.
The Exchange represented that it would halt trading of the Shares
if (a) the value of the Index is no longer calculated or available on
at least a fifteen (15) second basis through the facilities of the CT
or major market data vendors during the time the Shares trade on
Amex,\23\ (b) if the Indicative Fund Value, updated at least every
fifteen (15) seconds, is no longer calculated or available, or (c) the
NAV is no longer disseminated to all market participants at the same
time.\24\
---------------------------------------------------------------------------
\23\ The Managing Owner represents that it will seek to arrange
to have the Index calculated and disseminated on a daily basis
through a third party if DB London ceases to calculate and
disseminate the Index. If, however, the Managing Owner is unable to
arrange for the calculation and dissemination of the Index (or
another index which succeeds the Index), the Exchange will undertake
to delist the Shares. If the Index is discontinued or suspended, the
Managing Owner, in its sole discretion, may substitute the Index
with an index substantially similar to the discontinued or suspended
Index. Such successor Index may be calculated and/or published by
any other third party.
\24\ The Exchange further represents that it would immediately
contact the Commission to discuss measures that may be appropriate
under the circumstances
---------------------------------------------------------------------------
Criteria for Initial and Continued Listing
The Fund will be subject to the criteria in Commentary .07(d) of
Amex Rule 1202 for initial and continued listing of the Shares. The
proposed continued listing criteria provides for the delisting or
removal from listing of the Shares under any of the following
circumstances:
Following the initial twelve-month period from the date of
commencement of trading of the Shares: (i) If the Fund has more than 60
days remaining until termination and there are fewer than 50 record
and/or beneficial holders of the Shares for 30 or more consecutive
trading days; (ii) if the Fund has fewer than 50,000 Shares issued and
outstanding; or (iii) if the market value of all Shares is less than
$1,000,000;
If the value of the underlying Index is no longer
calculated or available on at least a 15-second delayed basis through
one or more major market data vendors; \25\
---------------------------------------------------------------------------
\25\ In the event the Index value is no longer calculated or
disseminated by one or more major market data vendors, the Exchange
would immediately contact the Commission to discuss measures that
may be appropriate under the circumstances.
---------------------------------------------------------------------------
The Indicative Fund Value is no longer made available on
at least a 15-second delayed basis through the facilities of the CT;
\26\
---------------------------------------------------------------------------
\26\ In the event the Indicative Fund Value is no longer
calculated or disseminated through the facilities of the CT, the
Exchange would immediately contact the Commission to discuss
measures that may be appropriate under the circumstances.
---------------------------------------------------------------------------
The calculation or dissemination of the NAV is disrupted
such that the NAV is no longer disseminated to all market participants
at the same time; \27\
---------------------------------------------------------------------------
\27\ In the event the NAV is no longer calculated or
disseminated to all market participants at the same time, the
Exchange would immediately contact the Commission to discuss
measures that may be appropriate under the circumstances.
---------------------------------------------------------------------------
Unless approval is received from the Commission to
continue to list and trade the Shares after a proposed rule change
pursuant to Rule 19b-4 under the Act is properly filed by the Exchange,
(i) more than a temporary disruption exists in connection with the
pricing of the futures contracts comprising the Index, (ii) a successor
or substitute index is used by the Managing Owner in connection with
the Shares, (iii) calculation or dissemination of the NAV is more than
temporarily disrupted, or (iv) the Index Sponsor substantially changes
either the Index component selection methodology or weighting
methodology; or
If such other event shall occur or condition exists which
in the opinion of the Exchange makes further dealings on the Exchange
inadvisable.
The initial purchaser (the ``Initial Purchaser'') will initially
purchase and take delivery of 200,000 Shares, which comprises the
initial Basket, at a purchase price of $25.00 per Share ($5,000,000 per
Basket) pursuant to an Initial Purchaser Agreement. The Initial
Purchaser proposes to offer to the public these 200,000 Shares at a
per-Share offering price that will vary depending on, among other
factors, the trading price of the Shares on the Amex, the NAV per
Share, and the supply of and demand for the Shares at the time of the
offer. The Exchange submitted that the anticipated minimum number of
Shares outstanding at the start of trading would be sufficient to
provide adequate market liquidity and to further the Fund's objective
to seek to provide a simple and cost effective means of accessing the
currency futures markets. The Exchange also represented that, for the
initial and continued listing, the Shares must be in compliance with
Section 803 of the Amex Company Guide and Rule 10A-3 under the Act.\28\
---------------------------------------------------------------------------
\28\ See 17 CFR 240.10A-3.
---------------------------------------------------------------------------
The Amex original listing fee applicable to the listing of the Fund
is $5,000. In addition, the annual listing fee applicable under Section
141 of the Amex Company Guide will be based upon the year-end aggregate
number of Shares in all series of the Fund outstanding at the end of
each calendar year.
Trading Rules
The Shares are equity securities subject to Amex rules governing
the trading of equity securities, including, among others, rules
governing priority, parity and precedence of orders, specialist
responsibilities and account opening and customer suitability (Amex
Rule 411). Initial equity margin requirements of 50% will apply to
transactions in the Shares. Shares will trade on the Amex until 4:15
p.m. ET each business day and will trade in a
[[Page 55235]]
minimum price variation of $0.01 pursuant to Amex Rule 127. Trading
rules pertaining to odd-lot trading in Amex equities (Amex Rule 205)
will also apply.
Amex Rule 154, Commentary .04(c), provides that stop and stop limit
orders to buy or sell a security (other than an option, which is
covered by Amex Rule 950(f) and Commentary thereto) the price of which
is derivatively priced based upon another security or index of
securities, may with the prior approval of a Floor Official, be elected
by a quotation, as set forth in Commentary .04(c)(i)-(v). The Exchange
has designated the Shares as eligible for this treatment.\29\
---------------------------------------------------------------------------
\29\ See Securities Exchange Act Release No. 29063 (April 10,
1991), 56 FR 15652 (April 17, 1991) (noting the Exchange's
designation of equity derivative securities as eligible for such
treatment under Amex Rule 154, Commentary .04(c)).
---------------------------------------------------------------------------
The Shares will be deemed ``Eligible Securities'', as defined in
Amex Rule 230, for purposes of the Intermarket Trading System (``ITS'')
plan and therefore will be subject to the trade-through provisions of
Amex Rule 236, which require that Amex members avoid initiating trade-
throughs for ITS securities.
Specialist transactions of the Shares made in connection with the
creation and redemption of Shares will not be subject to the
prohibitions of Amex Rule 190.\30\ Unless exemptive or no-action relief
is available, the Shares will be subject to the short sale rule, Rule
10a-1 and other rules under the Act. If exemptive or no-action relief
is provided, the Exchange will issue a notice detailing the terms of
the exemption or relief. The Shares will generally be subject to the
Exchange's stabilization rule, Amex Rule 170, except that specialists
may buy on ``plus ticks'' and sell on ``minus ticks,'' in order to
bring the Shares into parity with the underlying currency and/or
futures contract price. Commentary .07(f) to Amex Rule 1202 sets forth
this limited exception to Amex Rule 170.
---------------------------------------------------------------------------
\30\ See Commentary .05 to Amex Rule 190.
---------------------------------------------------------------------------
The trading of the Shares will be subject to certain conflict of
interest provisions set forth in Commentary .07(e) to Amex Rule 1202.
Specifically, Commentary .07(e) provides that the prohibitions in Amex
Rule 175(c) apply to a specialist in the Shares so that the specialist
or affiliated person may not act or function as a market maker in an
underlying asset, related futures contract or option, or any other
related derivative. An affiliated person of the specialist consistent
with Amex Rule 193 may be afforded an exemption to act in a market
making capacity, other than as a specialist in the Shares on another
market center, in the underlying asset, related futures, or options or
any other related derivative. Commentary .07(e) further provides that
an approved person of an equity specialist that has established and
obtained Exchange approval for procedures restricting the flow of
material, non-public market information between itself and the
specialist member organization, and any member, officer, or employee
associated therewith, may act in a market making capacity, other than
as a specialist in the Shares on another market center, in the
underlying asset or commodity, related futures or options on futures,
or any other related derivatives.
Commentary .07(g)(1) and (2) to Amex Rule 1202 also ensures that
specialists handling the Shares provide the Exchange with all the
necessary information relating to their trading in physical assets or
commodities, related futures contracts and options thereon, or any
other derivative. As a general matter, the Exchange has regulatory
jurisdiction over its members, member organizations, and approved
persons of a member organization. The Exchange also has regulatory
jurisdiction over any person or entity controlling a member
organization, as well as a subsidiary or affiliate of a member
organization that is in the securities business. A subsidiary or
affiliate of a member organization that does business only in
commodities or futures contracts would not be subject to Exchange
jurisdiction, but the Exchange could obtain information regarding the
activities of such subsidiary or affiliate through surveillance sharing
agreements with regulatory organizations of which such subsidiary or
affiliate is a member.\31\
---------------------------------------------------------------------------
\31\ All applicable provisions of Amex Rule 1202 and
Commentaries thereto will govern the trading of the Shares.
Telephone conversation between Sudhir C. Bhattacharyya, Assistant
General Counsel, Amex, and Edward Cho, Special Counsel, Division of
Market Regulation, Commission, on September 14, 2006.
---------------------------------------------------------------------------
Trading Halts
Prior to the commencement of trading, the Exchange will issue an
Information Circular (described below) to members informing them of,
among other things, Exchange policies regarding trading halts in the
Shares. First, the circular will advise that trading will be halted in
the event the market volatility trading halt parameters set forth in
Amex Rule 117 have been reached. Second, the circular will advise that,
in addition to the parameters set forth in Amex Rule 117, the Exchange
will halt trading in the Shares if trading in the underlying related
futures contract(s) is halted or suspended. Third, with respect to a
halt in trading that is not specified above, the Exchange may also
consider other relevant factors and the existence of unusual conditions
or circumstances that may be detrimental to the maintenance of a fair
and orderly market. The Exchange will halt trading in the Shares if the
value of the Index is no longer calculated or available on at least a
fifteen (15) second basis through one or more major market data vendors
during the time the Shares trade on Amex, or if the Indicative Fund
Value per Share updated at least every fifteen (15) seconds is no
longer calculated or available the facilities of the CT, or if the NAV
is no longer calculated or disseminated for the benefit of all market
participants at the same time.\32\
---------------------------------------------------------------------------
\32\ See supra notes 25-27 and accompanying text.
---------------------------------------------------------------------------
Suitability
The Information Circular (described below) will inform members and
member organizations of the characteristics of the Fund and of
applicable Exchange rules, as well as of the requirements of Amex Rule
411 (Duty to Know and Approve Customers).
The Exchange noted that pursuant to Amex Rule 411, members and
member organizations are required in connection with recommending
transactions in the Shares to have a reasonable basis to believe that a
customer is suitable for the particular investment given reasonable
inquiry concerning the customer's investment objectives, financial
situation, needs, and any other information known by such member.
Information Circular
The Amex will distribute an Information Circular to its members in
connection with the trading of the Shares. The Circular, will discuss
the special characteristics and risks of trading this type of security,
such as currency fluctuation risk. Specifically, the Circular, among
other things, will discuss what the Shares are, how a Basket is created
and redeemed, applicable Amex rules, dissemination information, trading
information, and applicable suitability rules. The Circular will also
explain that the Fund is subject to various fees and expenses described
in the Registration Statement. The Circular will also reference the
fact that the CFTC has regulatory jurisdiction over the trading of
futures contracts.
The Circular will also notify members and member organizations
about the
[[Page 55236]]
procedures for purchases and redemptions of Shares in Baskets that are
described in the prospectus, and that Shares are not individually
redeemable but are redeemable only in one or more Baskets only through
an Authorized Participant. The Circular will advise members of their
suitability obligations with respect to recommended transactions to
customers in the Shares. The Circular will also discuss any relief, if
granted, by the Commission or the staff from any rules under the Act.
Additionally, the Circular will disclose that the NAV for Shares
will be calculated shortly after 4 p.m. ET each trading day and that
information about the Shares and the Index will be publicly available
on the Internet Web site of Amex and the Fund. In the Information
Circular, the Exchange will inform members and member organizations,
prior to commencement of trading, of the prospectus delivery
requirements applicable to the Fund. The Exchange noted that investors
purchasing Shares directly from the Fund (in exchange for cash) will
receive a prospectus. Amex members purchasing Shares from the Trust for
resale to investors will deliver a prospectus to such investors.
Surveillance
The Exchange represented that its surveillance procedures are
adequate to properly monitor the trading of the Shares and to deter and
detect violations of Amex rules. Specifically, Amex will rely on its
existing surveillance procedures governing Index Fund Shares. Amex
represents that its surveillance procedures for the Shares will be
similar to those used for other TIRs (such as the Currency Trust Shares
and the DB Commodity Index Tracking Fund) and exchange-traded funds and
will incorporate and rely upon existing Amex surveillance procedures
governing options and equities. The Exchange also noted that the CME is
a member of the ISG. As a result, the Exchange asserted that market
surveillance information is available from the CME, if necessary, due
to regulatory concerns that may arise in connection with the CME
futures contracts that are used in connection with the Index
calculation and held by the Fund. In addition, the Exchange represented
that, to the extent the Master Fund invests in foreign currency futures
contracts traded on futures exchanges other than CME, the Exchange must
have a CSSA with that futures exchange or the futures exchange must be
an ISG member.
III. Discussion and Commission's Findings
After careful consideration, the Commission finds that the proposed
rule change, as amended, is consistent with the requirements of the Act
and the rules and regulations thereunder applicable to a national
securities exchange.\33\ In particular, the Commission finds that the
proposed rule change, as amended, is consistent with the requirements
of section 6(b)(5) of the Act,\34\ which requires, among other things,
that the Exchange's rules be designed to promote just and equitable
principles of trade, to remove impediments to and perfect the mechanism
of a free and open market and a national market system and, in general,
to protect investors and the public interest.
---------------------------------------------------------------------------
\33\ In approving this proposed rule change, the Commission
notes that it has considered the proposed rule's impact on
efficiency, competition, and capital formation. See 15 U.S.C.
78c(f).
\34\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
A. Surveillance
Information sharing agreements with primary markets are an
important part of a self-regulatory organization's ability to monitor
for trading abuses in derivative products. The Exchange represents that
the CME, where the futures contract for each of the current Index
components is traded, is a member of the ISG, and that the Exchange has
access to all relevant trading information with respect to those
contracts without any further action. In addition, the Exchange
represents that, in the event that a successor or substitute index is
used by the Managing Owner, Amex will file with the Commission a
proposed rule change, which addresses, among other things, applicable
surveillance procedures, and unless approved by the Commission, the
Exchange will commence delisting of the Shares. The Exchange also
represents that, to the extent the Master Fund invests in foreign
currency futures contracts traded on futures exchanges other than CME,
the Exchange must have a CSSA with that futures exchange or the futures
exchange must be an ISG member.
Moreover, Amex Rule 1202 requires Exchange specialists, upon the
Exchange's request, to provide Amex with information that the
specialist uses in connection with pricing and trading the Shares on
the Exchange. In particular, Commentaries .07(g)(1) and (g)(2) to Amex
Rule 1202 require that the specialist handling the Shares provide the
Exchange with information relating to its trading in the Shares and the
accounts of the member organization acting as specialist, member
organization, or approved person of such member organization in the
Index components, related futures or options on futures, or any other
related derivatives.
B. Dissemination of Information
The Commission believes that sufficient venues exist for obtaining
reliable information so that investors in the Shares should be able to
monitor the underlying Index relative to the Indicative Value of their
Shares. There is a considerable amount of information about the Index
and its components and related futures contracts and the Shares
available through public Web sites and professional subscription
services, including Reuters and Bloomberg.
Real time information about the trading of the component currency
futures contracts trading on CME related to the Index components and
their daily settlement prices of such futures contracts is available
from one or more major market data vendors. Delayed information is
often available from futures exchanges trading futures contracts on the
underlying Index components. The Exchange stated that daily settlement
prices for the futures contracts comprising the Index and held by the
Master Fund are publicly available on the Internet Web sites of the
futures exchanges trading the particular contracts.\35\ The Exchange
has further represented that the Index Sponsor, DB London, will publish
the value of the Index at least every 15 seconds during Amex trading
hours to the CT, Bloomberg, Reuters, and the Index Sponsor's Internet
Web site, https://index.db.com.\36\ While the Index is calculated and
disseminated by the Index Sponsor, an affiliate of a registered broker-
dealer,\37\ the Commission notes that a number of independent sources
may verify both the intraday and closing Index values and the Index
Sponsor uses independent feeds from Reuters to
[[Page 55237]]
verify all CME pricing information used to calculate the Index.
---------------------------------------------------------------------------
\35\ All of the futures contracts in which the Master Fund
currently expects to invest are traded on the CME, although currency
futures contracts on the Eligible Index Currencies also trade on
other futures exchanges in the United States, such as the New York
Board of Trade, which is a member of ISG.
\36\ The Exchange states that the disseminated value of the
Index will not reflect changes to the prices of the Index Currencies
between the close of trading of each respective futures contract on
the relevant futures exchange, i.e., 3 p.m. ET (close of trading on
the CME futures market), and the close of trading on the Amex at
4:15 p.m. ET.
\37\ Telephone conversation between Sudhir C. Bhattacharyya,
Assistant General Counsel, Amex, and Edward Cho, Special Counsel,
Division of Market Regulation, Commission, on September 14, 2006.
---------------------------------------------------------------------------
Likewise, information about the Shares will also be widely
available. The Indicative Fund Value will be disseminated every 15
seconds during Amex regular trading hours through the facilities of the
CT and will be displayed on the Exchange's Internet Web site (https://
www.amex.com).\38\ The Commission believes that dissemination of the
Indicative Fund Value based on the cash amount required for a Basket
provides additional information that is not otherwise available to the
public and is useful to professionals and investors in connection with
the Shares trading on the Exchange or the creation or redemption of the
Shares.
---------------------------------------------------------------------------
\38\ The Commission notes that the Indicative Fund Value will
not reflect price changes of an underlying currency between the
close of trading of the relevant futures contract at the futures
exchange and the close of trading on the Amex at 4:15 p.m. ET, and
should not be viewed as a real-time update of the Fund's NAV.
---------------------------------------------------------------------------
In addition, the Internet Web sites for the Fund and/or the
Exchange will disseminate the NAV, Basket Amount, trading volume of the
Shares, and other quantitative information related to the operation of
the Fund and trading of the Shares. The Exchange has represented that
the NAV and Basket Amount will be disseminated shortly after 4 p.m. ET
each business day. The NAV will be made available to all market
participants at the same time. The Commission notes that, if the NAV is
not disseminated to all market participants at the same time, the
Exchange has agreed to halt trading of the Shares.
In sum, the Commission believes that the availability of
information about the underlying futures contracts, the Index, and the
Shares should facilitate transparency with respect to the proposed
Shares.
C. Listing and Trading
The Commission finds that the Exchange's proposed rules and
procedures for the listing and trading of the proposed Shares are
consistent with the Act. Shares will trade as equity securities subject
to Amex rules including, among others, rules governing priority, parity
and precedence of orders, specialist responsibilities,\39\ and account
opening and customer suitability requirements. Finally, the Commission
notes that the Information Circular the Exchange will distribute will
inform members and member organizations about the terms,
characteristics and risks in trading the Shares, including their
prospectus delivery obligations.
---------------------------------------------------------------------------
\39\ For example, Commentary .07(e) to Amex Rule 1202 prohibits
the specialist in the Shares from being affiliated with a market
maker in the Index commodities, related futures or options on
futures, or any other related derivatives, unless information
barriers are in place that satisfy the requirements of Amex Rule
193. Commentary .07(g)(3) to Amex Rule 1202 also prohibits the
specialist in the Shares from using any material nonpublic
information received from any person associated with a member,
member organization or employee of such person regarding trading by
such person or employee in the Index commodities, related futures or
options on futures, or any other related derivatives.
---------------------------------------------------------------------------
D. Accelerated Approval of the Proposed Rule Change, as Amended by
Amendments No. 1 and 2 Thereto
The Commission finds good cause for approving the proposed rule
change, as amended by Amendments No. 1 and 2, prior to the 30th day
after the date of publication of the notice of filing thereof in the
Federal Register. The Exchange has requested the Commission to approve
the proposal, as amended, on an accelerated basis, after a 15-day
comment period, to enable investors to begin trading the Shares
promptly. The Commission notes that the proposed rule change, as
amended, was noticed for a 15-day comment period and no comments were
received. Therefore, the Commission finds good cause, consistent with
section 19(b)(2) of the Act,\40\ to approve the proposal, as amended,
on an accelerated basis.
---------------------------------------------------------------------------
\40\ 15 U.S.C. 78s(b)(2).
---------------------------------------------------------------------------
IV. Conclusion
It is therefore ordered, pursuant to section 19(b)(2) of the Act
that the proposed rule change (SR-Amex-2006-44), as amended by
Amendments No. 1 and 2, is approved on an accelerated basis.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\41\
---------------------------------------------------------------------------
\41\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
J. Lynn Taylor,
Assistant Secretary.
[FR Doc. 06-7841 Filed 9-20-06; 8:45 am]
BILLING CODE 8010-01-P
