Self-Regulatory Organizations; American Stock Exchange LLC; Order Granting Accelerated Approval to a Proposed Rule Change and Amendment No. 1 Thereto and Notice of Filing and Order Granting Accelerated Approval to Amendment No. 2 Thereto Relating to MACRO Tradeable Shares, 70804-70810 [E6-20657]
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70804
Federal Register / Vol. 71, No. 234 / Wednesday, December 6, 2006 / Notices
in general, and furthers the objectives of
Section 6(b)(5),16 in particular, in that it
is designed to prevent fraudulent and
manipulative acts and practices, to
promote just and equitable principles of
trade, to remove impediments to and
perfect the mechanism of a free and
open market and, in general, to protect
investors and the public interest.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants or Others
The Exchange did not receive any
written comments on the proposed rule
change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 35 days of the date of
publication of this notice in the Federal
Register or within such longer period (i)
as the Commission may designate up to
90 days of such date if it finds such
longer period to be appropriate and
publishes its reasons for so finding or
(ii) as to which NASD consents, the
Commission will:
(A) By order approve such proposed
rule change, or
(B) Institute proceedings to determine
whether the proposed rule change
should be disapproved.
The Commission is considering
granting accelerated approval of the
proposed rule change, as amended, at
the end of a 15-day comment period.17
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views and
arguments concerning the foregoing,
including whether the proposed rule
change, as amended, is consistent with
the Act. Comments may be submitted by
any of the following methods:
Electronic Comments
• 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–2006–19 on the
subject line.
Paper Comments
• Send paper comments in triplicate
to Nancy M. Morris, Secretary,
Securities and Exchange Commission,
100 F Street, NE., Washington, DC
20549–1090.
All submissions should refer to File
Number SR–Amex–2006–19. This file
number should be included on the
subject line if e-mail is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the provision
of 5 U.S.C. 552, will be available for
inspection and copying in the
Commission’s Public Reference Room.
Copies of such filing also will be
available for inspection and copying at
the principal office of the Amex. All
comments received will be posted
without change; the Commission does
not edit personal identifying
information from submissions. You
should submit only information that
you wish to make available publicly. All
submission should refer to File Number
SR–Amex–2006–19 and should be
submitted on or before December 21,
2006.
For the Commission by the Division of
Market Regulation, pursuant to delegated
authority.18
Nancy M. Morris,
Secretary.
[FR Doc. E6–20572 Filed 12–5–06; 8:45 am]
BILLING CODE 8011–01–P
U.S.C. 78f(b)(5).
has requested accelerated approval of
this proposed rule change, as amended, prior to the
30th day after the date of publication of the notice
of filing thereof, following the conclusion of a 15day comment period. Telephone conversation
between Jeffrey P. Burns, Associate General
Counsel, Amex, and Florence Harmon, Senior
Special Counsel, Division, Commission on
November 21, 2006.
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17 Amex
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[Release No. 34–54839; File No. SR–Amex–
2006–82]
Self-Regulatory Organizations;
American Stock Exchange LLC; Order
Granting Accelerated Approval to a
Proposed Rule Change and
Amendment No. 1 Thereto and Notice
of Filing and Order Granting
Accelerated Approval to Amendment
No. 2 Thereto Relating to MACRO
Tradeable Shares
November 29, 2006.
I. Introduction
On August 23, 2006, the American
Stock Exchange LLC (‘‘Amex’’ or
‘‘Exchange’’) filed with the Securities
and Exchange Commission
(‘‘Commission’’) the proposed rule
change pursuant to Section 19(b)(1) of
the Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder.2
On October 20, 2006, Amex filed
Amendment No. 1 to the proposed rule
change.3 The proposed rule change, as
amended by Amendment No. 1, was
published for comment in the Federal
Register on November 2, 2006 for a 15day comment period.4 The Commission
received no comments on the proposal,
as amended. On November 22, 2006, the
Exchange filed Amendment No. 2 to the
proposed rule change.5 This order
approves the proposed rule change on
an accelerated basis, grants accelerated
approval to Amendment No. 2 to the
proposed rule change, and solicits
comments from interested persons on
Amendment No. 2.
II. Description of the Proposal
The Exchange proposes to adopt rules
that would provide for the listing and
trading of Paired Trust Shares. As
defined in proposed Amex Rule 1400,
Paired Trust Shares consist of ‘‘Holding
Shares’’ issued by a ‘‘Holding Trust,’’
and ‘‘Tradeable Shares’’ issued by a
‘‘Tradeable Trust,’’ whose values track
changes in a designated ‘‘Reference
Price.’’ 6 Under proposed Amex Rule
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
No. 1 supersedes and replaces the
original filing in its entirety.
4 See Securities Exchange Act Release No. 54658
(October 26, 2006), 71 FR 64573 (November 2, 2006)
(‘‘MACRO Notice’’).
5 In Amendment No. 2, the Exchange revised
details included in the description of its proposal
to reflect changes made to the issuer’s Form S–1
Registration Statement since the publication of
notice of the proposed rule change. The Exchange
also makes clarifying changes to the rule text and
description of the proposed rule change.
6 Paired Trust Shares track changes in the
Reference Price through a structure whereby the
2 17
3 Amendment
16 15
18 17
SECURITIES AND EXCHANGE
COMMISSION
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1401, a Reference Price is an index or
other numerical variable that may
measure assets, prices or other
economic interests. Proposed Amex
Rule 1402 establishes listing and trading
criteria for Paired Trust Shares.
Pursuant to Commentary .01 to
proposed Amex Rule 1402, the
Exchange will submit a filing pursuant
to Section 19(b) of the Act 7 subject to
Commission review and approval for
each new series of Paired Trust Shares.
Pursuant to these new rules, the
Exchange proposes to list and trade: (1)
Claymore MACROshares Oil Up
Tradeable Shares (the ‘‘Up-MACRO
Tradeable Shares’’), and (2) Claymore
MACROshares Oil Down Tradeable
Shares (the ‘‘Down-MACRO Tradeable
Shares’’). The Up-MACRO Tradeable
Shares and the Down-MACRO
Tradeable Shares (collectively, the
‘‘MACRO Tradeable Shares’’) are issued
by and represent an undivided
beneficial interest in (1) the Claymore
MACROshares Oil Up Tradeable Trust
(the ‘‘Up-MACRO Tradeable Trust’’) and
(2) the Claymore MACROshares Oil
Down Tradeable Trust (the ‘‘DownMACRO Tradeable Trust’’), respectively.
The assets of these trusts (collectively,
the ‘‘MACRO Tradeable Trusts’’) each
will consist exclusively of a majority of
the Claymore MACROshares Oil Up
Holding Shares (‘‘Up-MACRO Holding
Shares’’) issued by the Claymore
MACROshares Oil Up Holding Trust
(‘‘Up-MACRO Holding Trust’’) and the
Claymore MACROshares Oil Down
Holding Shares (‘‘Down-MACRO
Holding Shares’’) issued by the
Claymore MACROshares Oil Down
Holding Trust (‘‘Down-MACRO Holding
Trust’’).8
In its proposal, the Exchange
provided detailed description regarding
the structure and operation of the
MACRO Holding Trusts and MACRO
Tradeable Trusts, as well as the listing
and trading of MACRO Tradeable
Shares. In particular, the Exchange
addressed (i) the designation and
calculation of the applicable Reference
Price, (ii) the calculation of underlying
value, (iii) the application of initial and
continued listing criteria in proposed
Amex Rule 1402, (iv) the creation and
redemption process, (v) the
dissemination of pricing information,
including intraday indicative value,
share price, changes in the applicable
paired Holding Trusts enter into one or more
reciprocal settlement contracts and earnings
distribution agreements.
7 15 U.S.C. 78s(b).
8 The Up-MACRO Holding Shares and DownMACRO Holding Shares (collectively, MACRO
Holding Shares’’) will not be listed or traded on the
Exchange.
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Reference Price, (vi) events triggering
trading halts and/or delisting, (vii)
applicable Exchange trading rules, (viii)
the distribution of an information
circular to Exchange members, and (ix)
surveillance procedures. Key features of
the proposal are noted below.
Product Description
Pursuant to proposed Amex Rules
1400 and 1401, the value of the MACRO
Paired Trust Shares is based on a
Reference Price, which is the settlement
price as established by the NYMEX
‘‘Settlement Price Committee’’ 9 of the
light sweet crude oil futures contract of
‘‘Designated Maturity’’,10 traded on the
NYMEX Division of the New York
Mercantile Exchange, Inc. (‘‘NYMEX’’)
as established and reported by NYMEX
on a per barrel basis in U.S. dollars at
the end of each ‘‘Price Determination
Day’’ 11 (the ‘‘Applicable Reference
Price’’). Both MACRO Holding Trusts
will be holding bills, bonds and notes
issued and guaranteed by the United
States Treasury, and repurchase
agreements fully collateralized by U.S.
Treasury securities.12
9 In the event that no settlement price is
determined for the light sweet crude oil contract on
the NYMEX on a given Price Determination Day
and no substitute oil price provider can be utilized,
then the settlement price on the prior Price
Determination Day will be utilized as that day’s
settlement price on which to base the Applicable
Reference Price of Crude Oil.
10 A light sweet futures contract of Designated
Maturity means the contract that matures (i) during
the next succeeding calendar month if the date of
determination is the first day of the current
calendar month through and including the tenth
business day of the current calendar month, and (ii)
during the second succeeding calendar month if the
date of determination is the eleventh business day
through the last day of the current calendar month.
11 A ‘‘Price Determination Day’’ for this purpose
is each day on which trading of the light sweet
crude oil futures contract of the Designated
Maturity occurs by open outcry on the trading floor
of the NYMEX (located in New York City, New
York), rather than through electronic or other
means. If a substitute reference oil price is being
used, the ‘‘Price Determination Day’’ will be each
day on which this price is determined by, or in
accordance with the rules of, the substitute oil price
provider. If a benchmark other than the light sweet
crude oil futures contract traded on the NYMEX is
used to determine the Applicable Reference Price
of Crude Oil, the Exchange will file with the
Commission a proposed rule change pursuant to
Rule 19b–4, seeking approval to continue trading
the MACRO Tradeable Shares, which must be
approved by the Commission for continued trading
of the shares.
12 The repurchase agreements will be entered into
with counterparties that are (i) banks with at least
one billion U.S. dollars in assets or (ii) registered
securities dealers that are deemed creditworthy by
the administrative agent. Such repurchase
agreements must terminate overnight, and the
obligation of a counterparty to repurchase U.S.
Treasury securities from a MACRO Holding Trust
will be fully collateralized, as defined in Rule 5b–
3 under the 1940 Act. None of the counterparties
may be ‘‘affiliated persons’’ (as defined in the 1940
Act) with respect to the trustee, the administrative
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70805
The Up-MACRO Holding Trust will
enter into an income distribution
agreement and multiple settlement
contracts with the Down-MACRO
Holding Trust.13 If the Applicable
Reference Price rises above its starting
level, the Up-MACRO Holding Trust’s
underlying value will increase
proportionately to include all of its
assets plus an obligation of the DownMACRO Holding Trust to transfer a
portion of its assets. The Down-MACRO
Holding Trust’s underlying value will
decrease proportionately because an
obligation to transfer a portion of the
Down-MACRO Holding Trust’s assets
will be included in the calculation of
the underlying value of the Up-MACRO
Holding Trust. Conversely, if the level
of the Applicable Reference Price of
Crude Oil falls below its starting level,
the Up-MACRO Holding Trust’s
underlying value will decrease
proportionately because an obligation to
transfer a portion of the Up-MACRO
Holding Trust’s assets will be included
in the calculation of the underlying
value of the Down-MACRO Holding
Trust. The Down-MACRO Holding
Trust’s underlying value will increase to
include all of its assets plus an
obligation of the Up-MACRO Holding
Trust to transfer a portion of its assets.
Creation and Redemption of MACRO
Tradeable Shares
Similar to other exchange-traded fund
products, the MACRO Paired Trust
Shares will be issued and redeemed on
a continuous basis on any Price
Determination Day at a price equal to
their respective underlying values. Only
certain qualified entities (‘‘Authorized
Participants’’) may create or redeem
MACRO Paired Trust Shares. The
process by which Authorized
Participants create and redeem MACRO
Paired Trust Shares is detailed in
Amex’s proposal. Notably, MACRO
Tradeable Shares may only be created
and redeemed in paired aggregations of
50,000 Up-MACRO Tradeable Shares
and 50,000 Down-MACRO Tradeable
Shares.
To create MACRO Paired Trust
Shares, the Authorized Participant
deposits cash in an amount equal to the
combined per share value of the shares
to be created. The proceeds will be used
to purchase the holdings of the MACRO
Holding Trusts, which will be
Treasuries maturing prior to the next
agent, the depositor, any of the MACRO Holding
Trusts or MACRO Tradeable Trusts or any affiliated
persons with respect to any of the foregoing entities.
13 The assets in each of the MACRO Holding
Trusts will serve the function, among others, of
securing the contractual obligations between the
two trusts.
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quarterly distribution date (e.g., threemonth U.S. Treasury securities).
Depending upon whether the
Authorized Participant(s) who placed
the creation order requested holding
shares,14 the trustee for the MACRO
Holding Trusts will then deliver all or
a portion of the issued MACRO Holding
Shares to the MACRO Tradeable Trusts
any remainder of MACRO Holding
Shares to the creating Authorized
Participant(s). The trustee for the UpMACRO Tradeable Trust will cause
such trust to issue additional UpMACRO Tradeable Shares and deliver
such shares to the creating Authorized
Participant(s).
A similar process governs redemption
of MACRO Paired Trust Shares. In
summary, the Authorized Participant
must properly place a redemption order
and deliver MACRO Holding Shares or
MACRO Tradeable Shares that in the
aggregate constitute the requisite
number of MACRO Units being
redeemed, plus the applicable
‘‘redemption cash component’’ 15 and
applicable transaction fee. The trustee
will effect the redemption by delivering
cash and/or U.S. Treasury securities to
the redeeming Authorized Participant.16
PWALKER on PRODPC60 with NOTICES
Distributions
As described more fully in the
publication of notice of the proposed
rule change,17 the MACRO Holding
Trusts will make periodic income
distributions. Generally, each MACRO
Holding Trust will make Quarterly
Income Distributions on its MACRO
Holding Shares using the income
realized on the Treasuries held by the
paired MACRO Holding Trusts that
remains available after payment of
applicable fees and expenses, and
payment or receipt of income pursuant
to the applicable income distribution
14 Concurrently with any Paired Issuance, an
Authorized Participant will be deemed to have
directed the deposit of the MACRO Holding Shares
into the respective MACRO Tradeable Trusts and
the issuance by each MACRO Tradeable Trust of
MACRO Tradeable Shares in exchange for the
deposited MACRO Holding Shares. If an
Authorized Participant wishes instead to receive
MACRO Holding Shares, it must specify this
preference in its creation order.
15 The ‘‘redemption cash component’’ is the cash
that must be delivered to a MACRO Holding Trust
in connection with a paired optional redemption by
the redeeming Authorized Participant to
compensate the trust for the excess value that will
be delivered to such redeeming Authorized
Participant in the form of U.S. Treasury securities
delivered to it as a Redemption Distribution.
16 The amount of cash and/or U.S. Treasury
securities delivered on the redemption date in a
paired optional redemption by Authorized
Participants will always be equal to the aggregate
per share underlying values of the MACRO Holding
Shares being redeemed, calculated as of the
redemption order date.
17 See MACRO Notice, 71 FR at 64580.
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agreement.18 The MACRO Holding
Trusts would also make Redemption
Distributions in response to Authorized
Participant orders (as described above),
and a Final Distribution upon
termination.
The Up-MACRO Tradeable Trust will
then pass through to the holders of its
Up-MACRO Tradeable Shares all
Quarterly Income Distributions (and
Redemption Distributions and Final
Distributions) that it receives on the UpMACRO Holding Shares that it holds,
and the Down-MACRO Tradeable Trust
will do likewise to holders of its DownMACRO Tradeable Shares with respect
to all distributions that it receives on the
Down-MACRO Holding Shares that it
holds.
Underlying Value
The underlying value of each MACRO
Holding Trust is the aggregate amount of
the assets in the paired MACRO Holding
Trusts to which that MACRO Holding
Trust would be entitled if the settlement
contracts between the MACRO Holding
Trusts were settled on that day.19
Information about the calculation of the
underlying value of the MACRO Paired
Trust Shares was included in the
Exchange’s proposal.20 Importantly, if
the Applicable Reference Price doubles
from its starting level, any further
upside gains for holders of Up-MACRO
Tradeable Shares and Up-MACRO
Holding Shares would be capped, and
Down-MACRO Tradeable Shares and
Down-MACRO Holding Shares would
be valueless. Similarly, if the Applicable
Reference Price decreases 100 percent
from its starting level, further downside
gains for holders of Down-MACRO
Tradeable Shares and Down-MACRO
Holding Shares would be capped, and
the Up-MACRO Tradeable Shares and
Up-MACRO Holding Shares would be
valueless.21
18 If a MACRO Holding Trust fails to make either
(i) a payment under the income distribution
agreement or (ii) a Quarterly Income Distribution to
its shareholders on any Quarterly Income
Distribution date because it does not have any
funds available for distribution, it will not be
required to make up that payment or Quarterly
Income Distribution on subsequent Quarterly
Income Distribution dates, even if it has funds
available to do so.
19 Conceptually, the ‘‘underlying value’’ per share
of MACRO Holding Shares and MACRO Tradeable
Shares is similar to the ‘‘net asset value’’ that is
calculated for many other securities. For MACRO
securities, however, net asset value is not
meaningful because the respective per share values
are not determined by the total value of the assets
held by each MACRO Holding Trust at any point
in time. This is because assets are not transferred
daily between the MACRO Holding Trusts to settle
the contractual transfer obligations between them.
20 See MACRO Notice, 71 FR at 64583.
21 Among other termination triggers, if the
Applicable Reference Price rises or falls to a level
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Arbitrage
In its proposal, the Exchange stated
that market fluctuations in the price of
a MACRO Tradeable Share are expected
to mirror fluctuations in its per share
underlying value (i.e., changes in the
Applicable Reference Price), similar to
the manner in which an exchange
traded fund (‘‘ETF’’) share mirrors its
net asset value,22 because, as is the case
with ETF shares, arbitrage opportunities
would arise if these values were to move
out of line.
Periodic Dissemination of Intraday Per
Share Values for MACRO Tradeable
Shares
During each trading day, the Amex,
acting as the calculation agent, will
publish to the Consolidated Tape
System (‘‘CTS’’), at least every 15
seconds during the entire time that the
MACRO Tradeable Shares trade on the
Amex (normally 9:30 a.m. to 4:15 p.m.
each Price Determination Day), an
indicative value, referred to as an
Indicative Intraday Value (‘‘IIV’’),
representing the estimated underlying
value per share of both the Up-MACRO
Tradeable Shares and the DownMACRO Tradeable Shares. The Amex
will also publish these values on its
Web site. To enable this calculation, the
Amex will receive real time price data
from the NYMEX for the light sweet
crude oil futures contract that trades on
the NYMEX from two major market data
vendors, from the opening of trading of
the light sweet crude oil futures contract
on NYMEX at 10 a.m. to the close of
trading of the MACRO Tradeable Shares
on the Amex at 4:15 p.m. (New York
City time).
Because the NYMEX market for the
light sweet crude oil futures contract
will be closed for portions of the Amex
trading day, the IIV calculated values
will become fixed at such time as the
NYMEX contract stops trading in the
regular trading session.23 During such
time periods, however, if trading in the
NYMEX light sweet crude oil futures
contract is occurring on the NYMEX
electronic aftermarket system, then
those trades will be used to update IIV
values.
at which the underlying value of either MACRO
Holding Trust is equal to 15% or less of the assets
it holds on deposit for three consecutive Price
Determination Days, the Trust shall be terminated
at the end of the quarter during which this occurs.
See Amendment No. 2 supra at footnote 5.
22 See id.
23 The IIV calculated value between the opening
of trading of the MACRO Tradeable Shares on the
Amex at 9:30 a.m. and the opening of trading of the
light sweet crude oil futures contract on NYMEX at
10 a.m. (New York City time) will be based on the
final price from the prior trading day.
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Dissemination of Other Information on
Price Determination Days
Pursuant to a separate calculation
agency agreement with MACRO
Securities Depositor, LLC,
MacroMarkets and the trusts, the
calculation agent (Amex) will perform a
number of duties for the Up-MACRO
Tradeable Trust, the Up-MACRO
Holding Trust, the Down-MACRO
Tradeable Trust and the Down-MACRO
Holding Trust. On each Price
Determination Day, the calculation
agent will periodically (at least every 15
seconds 24) calculate and disseminate an
IIV for the Up-MACRO Tradeable Shares
and Down-MACRO Tradeable Shares
and will also post this information on
its Web site at https://www.amex.com.
As with all other Amex-listed securities,
the closing price of the Up-MACRO
Tradeable Shares and the DownMACRO Tradeable Shares on the Amex
will be available on the Amex Web site.
The administrative agent, Claymore
Securities, will maintain a Web site
(https://
www.ClaymoreMacroShares.com) that is
publicly accessible at no charge and will
contain the following information
posted by the trustee on each Price
Determination Day:25
• The daily Price Level Percentage
Change of the Applicable Reference
Price of Crude Oil;
• The daily underlying value 26 of the
Up-MACRO Holding Trust and the per
share underlying value of the UpMACRO Holding Shares and the UpMACRO Tradeable Shares; and
• The daily underlying value of the
Down-MACRO Holding Trust and the
per share underlying value of the DownMACRO Holding Shares and the DownMACRO Tradeable Shares.
Pricing and other information for
NYMEX light sweet crude oil futures
contracts, including those designated to
be the Applicable Reference Price, is
available through major market data
vendors such as Reuters and Bloomberg.
PWALKER on PRODPC60 with NOTICES
Criteria for Initial and Continued Listing
The MACRO Tradeable Shares will be
subject to the criteria in proposed Amex
Rule 1402 for initial and continued
listing of Paired Trust Shares. Notably,
24 Telephone conference among Bill Love,
Associate General Counsel, Amex, Brian Trackman,
Special Counsel, Division of Market Regulation
(‘‘Division’’), Commission, and Michou Nguyen,
Special Counsel, Division, Commission on
November 27, 2006 (clarifying timing of
dissemination).
25 The Exchange states that the issuer has
represented that all market participants will have
access to this data at the same time and, therefore,
no market participant will have a time advantage
in using such data.
26 See supra note 19.
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the Exchange states that it will receive
a representation on behalf of the
MACRO Holding Trusts and MACRO
Tradeable Trusts that the underlying
value per share of each MACRO Holding
Share and each MACRO Tradeable
Share will be calculated daily and will
be made available to all market
participants at the same time. Such
value will be available daily on the
administrative agent’s publicly
accessible Web site. The proposed
continued listing criteria provides for
the delisting of the Up-MACRO
Tradeable Shares or Down-MACRO
Tradeable Shares under any of the
following circumstances:
• Following the initial twelve month
period from the date of commencement
of trading of the Up-MACRO Tradeable
Shares or Down-MACRO Tradeable
Shares: (i) if the corresponding MACRO
Tradeable Trust has more than 60 days
remaining until termination and there
are fewer than 50 record and/or
beneficial holders of the Up-MACRO
Tradeable Shares or Down-MACRO
Tradeable Shares for 30 or more
consecutive trading days; (ii) if the
corresponding MACRO Tradeable Trust
has fewer than 50,000 Up-MACRO
Tradeable Shares or Down-MACRO
Tradeable Shares issued and
outstanding; or (iii) if the combined
market value of all Up-MACRO
Tradeable Shares and Down-MACRO
Tradeable Shares together is less than
$1,000,000;
• If the intraday level of the
Applicable Reference Price is no longer
calculated or available on at least a 15second delayed basis from a major
market data vendor such as Reuters or
Bloomberg during the time the MACRO
Tradeable Shares trade on the Amex
from a source unaffiliated with the
depositor, the custodian, MacroMarkets,
a MACRO Holding Trust, a MACRO
Tradeable Trust, or the Exchange that is
a major market data vendor (e.g.,
Reuters or Bloomberg);
• If the IIV of each Up-MACRO
Tradeable Share or Down-MACRO
Tradeable Share, as the case may be, is
no longer made available on at least a
15-second delayed basis by a major
market vendor during the time the
MACRO Tradeable Shares trade on the
Amex;
• If a benchmark other than the light
sweet crude oil futures contract traded
on the NYMEX is selected for the
determination of the Applicable
Reference Price, unless the Exchange
files with the Commission a related
proposed rule change pursuant to Rule
19b–4 seeking approval to continue
trading the MACRO Tradeable Shares,
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70807
and such rule change is approved by the
Commission; or
• If such other event shall occur or
condition exists which in the opinion of
the Exchange makes further dealings on
the Exchange inadvisable.
A minimum of 150,000 Up-MACRO
Tradeable Shares and 150,000 DownMACRO Tradeable Shares will be
required to be outstanding at the start of
trading. The initial price of an UpMACRO Tradeable Share and a DownMACRO Tradeable Share will each be
approximately $60 per share, or the
price of a barrel of light sweet crude oil
on the last Price Determination Day
prior to the closing date. The Exchange
believes that the anticipated minimum
number of MACRO Tradeable Shares
outstanding at the start of trading is
sufficient to provide adequate market
liquidity and to further the objective of
providing a simple and cost effective
means of making an investment that is
similar to an investment in light sweet
crude oil.
The Exchange represents that it
prohibits the initial and/or continued
listing of any security that is not in
compliance with Rule 10A–3 under the
Act.27
Trading Rules
The Exchange represents that MACRO
Tradeable Shares will be deemed to be
equity securities and will be subject to
various Amex Rules governing the
trading of equity securities. MACRO
Tradeable Shares will trade on the
Amex from 9:30 a.m. until 4:15 p.m.
(New York City time) each business day
and will trade in a minimum price
variation of $0.01 pursuant to Amex
Rule 127.28 Importantly, specialist
trading of MACRO Paired Trust Shares
will be subject to proposed Amex Rules
1403 and 1404 regarding conflicts of
interest, and the maintenance and
production of books and records,
respectively. Unless exemptive or noaction relief is available, MACRO
Tradeable Shares will be subject to the
short sale rules, 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.
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 MACRO
Tradeable Shares. First, the Information
27 See
28 See
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Rule 10A–3(c)(7).
MACRO Notice, 71 FR at 64588.
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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, 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.
In the event that: (a) The underlying
value of each MACRO Holding Trust or
the per share underlying values of each
of the Up-MACRO Holding Shares, the
Up-MACRO Tradeable Shares, the
Down-MACRO Holding Shares or the
Down-MACRO Tradeable Shares are not
disseminated daily to all market
participants at the same time; (b) the
IIV, updated at least every fifteen (15)
seconds on the CTS, for the underlying
value per share of both the Up-MACRO
Tradeable Shares and the DownMACRO Tradeable Shares is no longer
calculated or available from a major
market data vendor (e.g., Reuters or
Bloomberg) during the time the MACRO
Tradeable Shares trade on the Amex; or
(c) the price of the NYMEX light sweet
crude oil futures contract is no longer
available at least every fifteen (15)
seconds from a major market data
vendor on the Amex Web site during the
time the MACRO Tradeable Shares trade
on the Amex,29 then the Exchange will
halt trading. However, in the case of (b)
or (c) involving interruption to the
required dissemination of IIVs or futures
contract prices, the Exchange may
consider relevant factors and exercise its
discretion regarding the halt or
suspension of trading during the day in
which the interruption to the
dissemination of the IIVs or the futures
contract prices occurs. If the
interruption to the dissemination of the
IIVs or the futures contract prices
persists past the trading day in which it
occurred, the Exchange will halt trading
no later than the beginning of the
trading day following the interruption.
PWALKER on PRODPC60 with NOTICES
Information Circular
The Amex will distribute an
Information Circular to its members in
connection with the trading of MACRO
Tradeable Shares. The Information
Circular will discuss the special
characteristics and risks of trading this
type of security. Specifically, the
Information Circular, among other
29 Trading in the MACRO Tradeable Shares will
not be halted on the Amex, however, simply
because price data from the NYMEX based on
current trading is not available outside the normal
open outcry trading hours of light sweet crude oil
futures contracts on the NYMEX from 10 a.m. to
2:30 p.m. (New York City time).
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16:03 Dec 05, 2006
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things, will discuss what the MACRO
Tradeable Shares are, how they are
created and exchanged for MACRO
Holding Shares by Authorized
Participants, the requirement that
members and member firms deliver a
prospectus to investors purchasing
newly issued MACRO Holding Shares
and MACRO Tradeable Shares prior to
or concurrently with the confirmation of
a transaction, applicable Amex rules,
dissemination of information regarding
the underlying value of each paired
MACRO Holding Trust and the share of
that underlying value allocable to one
Up-MACRO Holding Share, one UpMACRO Tradeable Share, one DownMACRO Holding Share and one DownMACRO Tradeable Share, trading
information, and applicable suitability
rules. The Information Circular will also
explain that the MACRO Holding Trusts
and the MACRO Tradeable Trusts are
subject to various fees and expenses
described in the Registration Statement.
The Information Circular will also
reference the fact that the Commission
has no jurisdiction over the trading of
the NYMEX light sweet crude oil futures
contract.
The Information Circular will also
notify members and member
organizations about the procedures for
purchases and paired optional
redemptions of the MACRO Holding
Shares held in the MACRO Tradeable
Trusts, which may only be effected in
MACRO Units by Authorized
Participants. The Information Circular
will advise members that the upside
gains to investors are capped if the
Applicable Reference Price increases or
decreases greater than 100 percent.
Members should take this feature of
MACRO Paired Trust Shares into
consideration in discharging their
suitability obligations. Additionally, the
Information Circular will discuss any
relief, if granted, by the Commission or
the staff from any rules under the Act.
Surveillance
The Exchange represents that its
surveillance procedures are adequate to
properly monitor the trading of the
MACRO Tradeable Shares listed
pursuant to the proposed new listing
standards. Exchange surveillance
procedures applicable to trading in the
proposed MACRO Tradeable Shares will
be similar to those applicable to trust
issued receipts, Portfolio Depository
Receipts and Index Fund Shares
currently trading on the Exchange. The
Amex surveillance systems use data
published over CTS (e.g., the IIVs) in its
normal course of business. In the event
the Exchange needs additional
information to audit transactions in
PO 00000
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Fmt 4703
Sfmt 4703
MACRO Tradeable Shares, the NYMEX
and Amex have executed a
comprehensive information sharing
agreement (‘‘CSSA’’) to support the
surveillance responsibilities of the two
exchanges.
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.30 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,31 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
The Commission notes that the
Exchange has represented that its
surveillance procedures are adequate to
monitor the trading of MACRO Paired
Trust Shares. The Exchange’s CSSA
with the NYMEX for the purpose of
providing information in connection
with trading in or related to futures
contracts traded on the NYMEX that
will serve as the Reference Price creates
the basis for the Amex to monitor for
fraudulent and manipulative practices
in the trading of the Paired Trust Shares.
Moreover, adoption of proposed
Amex Rule 1404 should facilitate
surveillance because it will require
Exchange specialists, upon Amex’s
request, to provide the Exchange with
information that the specialist uses in
connection with pricing and trading the
Paired Trust Shares, including
proprietary or other information relating
to trading in the asset, commodity or
other economic interest underlying the
Reference Price, related options, related
futures or options on futures, or any
other related derivatives by the
specialist or an affiliated entity.32
30 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).
31 15 U.S.C. 78f(b)(5).
32 Proposed Amex Rule 1404 requires that the
specialist handling the Paired Trust 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 futures underlying the
E:\FR\FM\06DEN1.SGM
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PWALKER on PRODPC60 with NOTICES
B. Dissemination of Information
The Commission believes that
sufficient venues exist for obtaining
reliable information so that investors in
the MACRO Paired Trust Shares can
monitor the Applicable Reference Price
relative to the IIV of their MACRO
Tradeable Shares.
Real-time information about the
trading of futures contracts on NYMEX,
including futures on light sweet crude
oil, is available through major market
data vendors by subscription. Delayed
information is often publicly available
from futures exchanges. The Exchange
stated that daily settlement prices for
the oil futures contract designated as the
Applicable Reference Price for the
MACRO Paired Trust Shares is publicly
available on NYMEX’s Internet Web
site.
Additionally, the Exchange has
represented that it will calculate and
publish to the CTS and its Web site the
IIV for both the Up-MACRO Tradeable
Shares and Down-MACRO Tradeable
Shares, at least every 15 seconds during
the time that the MACRO Tradeable
Shares trade on the Amex, representing
their estimated underlying value on a
per share basis. The Commission
believes that publication of such
information should promote price
transparency with regard to the MACRO
Tradeable Shares.
The Commission notes that the
Exchange will receive a representation
on behalf of the MACRO Holding Trusts
and MACRO Tradeable Trusts that the
underlying value per share of each
MACRO Holding Share and each
MACRO Tradeable Share will be
calculated daily and will be made
available to all market participants at
the same time. Furthermore, if the IIV or
Applicable Reference Price is not
disseminated as described in its
proposal, the Exchange may halt trading
during the day in which the
interruption to the dissemination of the
IIVs or the futures contract prices
occurs. If the interruption to the
dissemination of the IIVs or the futures
contract prices persists past the trading
day in which it occurred, the Exchange
will halt trading no later than the
beginning of the trading day following
the interruption. The Commission
believes that these trading halt rules,
together with the NAV dissemination
requirements and Exchange’s proposed
delisting criteria, will help ensure that
an appropriate level of transparency
exists with respect to the MACRO
Applicable Reference Price, related futures or
related options on futures, or any other related
derivatives.
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16:03 Dec 05, 2006
Jkt 211001
Tradeable Shares to allow for the
maintenance of fair and orderly markets.
C. Listing and Trading
The Commission finds that the
Exchange’s proposed rules and
procedures for the listing and trading of
the Paired Trust Shares are consistent
with the Act. The Paired Trust Shares
will trade as equity securities subject to
Amex rules including, among others,
rules governing priority, parity and
precedence of orders, specialist
responsibilities, account opening and
customer suitability requirements. The
Commission finds that proposed Amex
Rule 1403 relating to certain specialist
prohibitions is reasonably designed to
address potential conflicts of interest in
connection with acting as a specialist in
Paired Trust Shares.33
The Commission believes that the
listing and delisting criteria for the
Paired Trust Shares should help to
maintain a minimum level of liquidity
and therefore minimize the potential for
manipulation of the Paired Trust Shares.
Additionally, the Commission finds that
proposed Amex Rule 1404 is reasonably
designed to help ensure that specialists
handling the Paired Trust Shares
provide the Exchange with all the
necessary information relating to their
trading in the asset, commodity or other
economic interest underlying the
Reference Price, related options, related
futures or options on futures, or any
other related derivatives.
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
Paired Trust Shares, including their
prospectus delivery obligations.
D. Accelerated Approval
The Commission finds good cause to
approve the proposed rule change and
Amendment No. 1 thereto prior to the
thirtieth day after publication for
comment in the Federal Register
pursuant to Section 19(b)(2) of the
Act.34 Accelerating approval of this
proposed rule change should benefit
investors who desire to participate,
through the MACRO Paired Trust
Shares, in an investment based on the
value light sweet crude oil as reflected
in designated NYMEX futures contracts.
33 Proposed Amex Rule 1403 provides that the
prohibitions in Amex Rule 175(c) apply to a
specialist in Paired Trust Shares so that the
specialist or affiliated person may not act or
function as a market maker in an asset, commodity
or other economic interest underlying the Reference
Price, related options, related futures or options on
futures, or any other related derivatives.
34 15 U.S.C. 78s(b)(2).
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Frm 00076
Fmt 4703
Sfmt 4703
70809
The Commission also finds good
cause to approve Amendment No. 2 to
the proposed rule change prior to the
30th day after the amendment is
published for comment in the Federal
Register. Amendment No. 2 makes
certain changes to the filing to reflect
minor changes made to the issuer’s
Form S–1 Registration Statement since
the filing of this proposed rule change.
Amendment No. 2 also makes certain
clarifying changes to the rule text and
description of the proposed rule change.
The Commission believes that, as a
whole, these proposed changes
strengthen the proposed rule change
and do not raise any new regulatory
issues.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning Amendment No.
2, including whether Amendment No. 2
is consistent with the Act. Comments
may be submitted by any of the
following methods:
Electronic Comments
• 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
No. SR–Amex–2006–82 on the subject
line.
Paper Comments
• Send paper comments in triplicate
to Nancy M. Morris, Secretary,
Securities and Exchange Commission,
Station Place, 100 F Street, NE.,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–Amex–2006–82. This file
number should be included on the
subject line if e-mail is used. To help the
Commission process and review your
comments more efficiently, please use
only one method. The Commission will
post all comments on the Commission’s
Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
amendments, all written statements
with respect to the proposed rule
change that are filed with the
Commission, and all written
communications relating to the
proposed rule change between the
Commission and any person, other than
those that may be withheld from the
public in accordance with the
provisions of 5 U.S.C. 552, will be
available for inspection and copying in
the Commission’s Public Reference
Room. Copies of such filing also will be
available for inspection and copying at
the principal office of the Amex. All
E:\FR\FM\06DEN1.SGM
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70810
Federal Register / Vol. 71, No. 234 / Wednesday, December 6, 2006 / Notices
comments received will be posted
without change; the Commission does
not edit personal identifying
information from submissions. You
should submit only information that
you wish to make available publicly. All
submissions should refer to File
Number SR–Amex–2006–82 and should
be submitted on or before December 27,
2006.
V. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act, that the
proposed rule change (SR–Amex–2006–
82), as amended by Amendments No. 1
and 2, be, and it hereby is, approved on
an accelerated basis.
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.35
Nancy M. Morris,
Secretary.
[FR Doc. E6–20657 Filed 12–5–06; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–54827; File No. SR–CBOE–
2006–81]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Order Approving
Proposed Rule Change, as Modified by
Amendment No. 1 Thereto, Relating to
Minor Rule Violations in Connection
With Trade Reporting
PWALKER on PRODPC60 with NOTICES
November 29, 2006.
On October 4, 2006, the Chicago
Board Options Exchange, Incorporated
(‘‘CBOE’’ 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
amend CBOE Rule 17.50, ‘‘Imposition of
Fines for Minor Rule Violations,’’ (the
‘‘MRVP’’), particularly the provisions of
CBOE Rule 17.50(g)(4), in order to: (a)
Increase the fines for failures to submit
trade information in accordance with
CBOE Rule 6.51, and (b) extend the
‘‘look-back’’ period for assessing such
rule violations. On October 17, 2006, the
Exchange filed Amendment No. 1 to the
proposed rule change. The proposed
rule change, as amended, was published
for comment in the Federal Register on
October 27, 2006.3 The Commission
35 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 See Securities Exchange Act Release No. 54631
(October 20, 2006), 71 FR 63057.
1 15
VerDate Aug<31>2005
16:03 Dec 05, 2006
Jkt 211001
received no comments regarding the
proposal.
The Commission finds that the
proposal is consistent with the
requirements of the Act and the rules
and regulations thereunder applicable to
a national securities exchange.4 In
particular, the Commission believes that
the proposal is consistent with Section
6(b)(5) of the Act,5 because a proposed
rule change that is reasonably designed
to require Exchange members to comply
with its trade reporting rules should
help protect investors and the public
interest.
The Commission also believes that
handling violations of trade reporting
rules pursuant to the MRVP is
consistent with Sections 6(b)(1) and
6(b)(6) of the Act,6 which require that
the rules of an exchange enforce
compliance with, and provide
appropriate discipline for, violations of
Commission and Exchange rules. In
addition, because existing CBOE Rule
17.50 provides procedural rights to a
person fined under the MRVP to contest
the fine and permits a hearing on the
matter, the Commission believes that
the MRVP, as amended by this proposal,
provides a fair procedure for the
disciplining of members and persons
associated with members, consistent
with Sections 6(b)(7) and 6(d)(1) of the
Act.7
Finally, the Commission finds that the
proposal is consistent with the public
interest, the protection of investors, or
otherwise in furtherance of the purposes
of the Act, as required by Rule 19d–
1(c)(2) under the Act,8 which governs
minor rule violation plans. The
Commission believes that the proposed
change to the MRVP should strengthen
the Exchange’s ability to carry out its
oversight and enforcement
responsibilities as a self-regulatory
organization in cases where full
disciplinary proceedings are unsuitable
in view of the minor nature of the
particular violation.
In approving this proposed rule
change, the Commission in no way
minimizes the importance of
compliance with CBOE rules and all
other rules subject to the imposition of
fines under the MRVP. The Commission
believes that the violation of any selfregulatory organization’s rules, as well
as Commission rules, is a serious matter.
However, the MRVP provides a
4 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).
5 15 U.S.C. 78f(b)(5).
6 15 U.S.C. 78f(b)(1) and 78f(b)(6).
7 15 U.S.C. 78f(b)(7) and 78f(d)(1).
8 17 CFR 240.19d–1(c)(2).
PO 00000
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Fmt 4703
Sfmt 4703
reasonable means of addressing rule
violations that do not rise to the level of
requiring formal disciplinary
proceedings, while providing greater
flexibility in handling certain violations.
The Commission expects that CBOE will
continue to conduct surveillance with
due diligence and make a determination
based on its findings, on a case-by-case
basis, whether a fine of more or less
than the recommended amount is
appropriate for a violation under the
MRVP or whether a violation requires
formal disciplinary action under CBOE
Rules 17.1–17.10.
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act 9 and Rule
19d–1(c)(2) under the Act,10 that the
proposed rule change (SR–CBOE–2006–
81), as amended, be, and hereby is,
approved and declared effective.
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.11
Nancy M. Morris,
Secretary.
[FR Doc. 06–9544 Filed 12–5–06; 8:45am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–54823; File No. SR–CBOE–
2005–111]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Filing of a
Proposed Rule Change and
Amendment No. 1 Thereto Relating to
Multiple Representation Exception
Procedures
November 28, 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 December
16, 2005, the Chicago Board Options
Exchange, Incorporated (‘‘CBOE’’ or
‘‘Exchange’’) filed with the Securities
and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I, II, and
III below, which Items have been
prepared by the CBOE. On October 17,
2006, the Exchange filed Amendment
No. 1 to the proposed rule change.3 The
Commission is publishing this notice to
solicit comments on the proposed rule
9 15
U.S.C. 78s(b)(2).
CFR 240.19d–1(c)(2).
11 17 CFR 200.30–3(a)(12); 17 CFR 200.30–
3(a)(44).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 Amendment No. 1 replaces and supersedes the
original filing in its entirety.
10 17
E:\FR\FM\06DEN1.SGM
06DEN1
]]>Agencies
[Federal Register Volume 71, Number 234 (Wednesday, December 6, 2006)]
[Notices]
[Pages 70804-70810]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E6-20657]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-54839; File No. SR-Amex-2006-82]
Self-Regulatory Organizations; American Stock Exchange LLC; Order
Granting Accelerated Approval to a Proposed Rule Change and Amendment
No. 1 Thereto and Notice of Filing and Order Granting Accelerated
Approval to Amendment No. 2 Thereto Relating to MACRO Tradeable Shares
November 29, 2006.
I. Introduction
On August 23, 2006, the American Stock Exchange LLC (``Amex'' or
``Exchange'') filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change pursuant to Section 19(b)(1)
of the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4
thereunder.\2\ On October 20, 2006, Amex filed Amendment No. 1 to the
proposed rule change.\3\ The proposed rule change, as amended by
Amendment No. 1, was published for comment in the Federal Register on
November 2, 2006 for a 15-day comment period.\4\ The Commission
received no comments on the proposal, as amended. On November 22, 2006,
the Exchange filed Amendment No. 2 to the proposed rule change.\5\ This
order approves the proposed rule change on an accelerated basis, grants
accelerated approval to Amendment No. 2 to the proposed rule change,
and solicits comments from interested persons on Amendment No. 2.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ Amendment No. 1 supersedes and replaces the original filing
in its entirety.
\4\ See Securities Exchange Act Release No. 54658 (October 26,
2006), 71 FR 64573 (November 2, 2006) (``MACRO Notice'').
\5\ In Amendment No. 2, the Exchange revised details included in
the description of its proposal to reflect changes made to the
issuer's Form S-1 Registration Statement since the publication of
notice of the proposed rule change. The Exchange also makes
clarifying changes to the rule text and description of the proposed
rule change.
---------------------------------------------------------------------------
II. Description of the Proposal
The Exchange proposes to adopt rules that would provide for the
listing and trading of Paired Trust Shares. As defined in proposed Amex
Rule 1400, Paired Trust Shares consist of ``Holding Shares'' issued by
a ``Holding Trust,'' and ``Tradeable Shares'' issued by a ``Tradeable
Trust,'' whose values track changes in a designated ``Reference
Price.'' \6\ Under proposed Amex Rule
[[Page 70805]]
1401, a Reference Price is an index or other numerical variable that
may measure assets, prices or other economic interests. Proposed Amex
Rule 1402 establishes listing and trading criteria for Paired Trust
Shares. Pursuant to Commentary .01 to proposed Amex Rule 1402, the
Exchange will submit a filing pursuant to Section 19(b) of the Act \7\
subject to Commission review and approval for each new series of Paired
Trust Shares.
---------------------------------------------------------------------------
\6\ Paired Trust Shares track changes in the Reference Price
through a structure whereby the paired Holding Trusts enter into one
or more reciprocal settlement contracts and earnings distribution
agreements.
\7\ 15 U.S.C. 78s(b).
---------------------------------------------------------------------------
Pursuant to these new rules, the Exchange proposes to list and
trade: (1) Claymore MACROshares Oil Up Tradeable Shares (the ``Up-MACRO
Tradeable Shares''), and (2) Claymore MACROshares Oil Down Tradeable
Shares (the ``Down-MACRO Tradeable Shares''). The Up-MACRO Tradeable
Shares and the Down-MACRO Tradeable Shares (collectively, the ``MACRO
Tradeable Shares'') are issued by and represent an undivided beneficial
interest in (1) the Claymore MACROshares Oil Up Tradeable Trust (the
``Up-MACRO Tradeable Trust'') and (2) the Claymore MACROshares Oil Down
Tradeable Trust (the ``Down-MACRO Tradeable Trust''), respectively. The
assets of these trusts (collectively, the ``MACRO Tradeable Trusts'')
each will consist exclusively of a majority of the Claymore MACROshares
Oil Up Holding Shares (``Up-MACRO Holding Shares'') issued by the
Claymore MACROshares Oil Up Holding Trust (``Up-MACRO Holding Trust'')
and the Claymore MACROshares Oil Down Holding Shares (``Down-MACRO
Holding Shares'') issued by the Claymore MACROshares Oil Down Holding
Trust (``Down-MACRO Holding Trust'').\8\
---------------------------------------------------------------------------
\8\ The Up-MACRO Holding Shares and Down-MACRO Holding Shares
(collectively, MACRO Holding Shares'') will not be listed or traded
on the Exchange.
---------------------------------------------------------------------------
In its proposal, the Exchange provided detailed description
regarding the structure and operation of the MACRO Holding Trusts and
MACRO Tradeable Trusts, as well as the listing and trading of MACRO
Tradeable Shares. In particular, the Exchange addressed (i) the
designation and calculation of the applicable Reference Price, (ii) the
calculation of underlying value, (iii) the application of initial and
continued listing criteria in proposed Amex Rule 1402, (iv) the
creation and redemption process, (v) the dissemination of pricing
information, including intraday indicative value, share price, changes
in the applicable Reference Price, (vi) events triggering trading halts
and/or delisting, (vii) applicable Exchange trading rules, (viii) the
distribution of an information circular to Exchange members, and (ix)
surveillance procedures. Key features of the proposal are noted below.
Product Description
Pursuant to proposed Amex Rules 1400 and 1401, the value of the
MACRO Paired Trust Shares is based on a Reference Price, which is the
settlement price as established by the NYMEX ``Settlement Price
Committee'' \9\ of the light sweet crude oil futures contract of
``Designated Maturity'',\10\ traded on the NYMEX Division of the New
York Mercantile Exchange, Inc. (``NYMEX'') as established and reported
by NYMEX on a per barrel basis in U.S. dollars at the end of each
``Price Determination Day'' \11\ (the ``Applicable Reference Price'').
Both MACRO Holding Trusts will be holding bills, bonds and notes issued
and guaranteed by the United States Treasury, and repurchase agreements
fully collateralized by U.S. Treasury securities.\12\
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\9\ In the event that no settlement price is determined for the
light sweet crude oil contract on the NYMEX on a given Price
Determination Day and no substitute oil price provider can be
utilized, then the settlement price on the prior Price Determination
Day will be utilized as that day's settlement price on which to base
the Applicable Reference Price of Crude Oil.
\10\ A light sweet futures contract of Designated Maturity means
the contract that matures (i) during the next succeeding calendar
month if the date of determination is the first day of the current
calendar month through and including the tenth business day of the
current calendar month, and (ii) during the second succeeding
calendar month if the date of determination is the eleventh business
day through the last day of the current calendar month.
\11\ A ``Price Determination Day'' for this purpose is each day
on which trading of the light sweet crude oil futures contract of
the Designated Maturity occurs by open outcry on the trading floor
of the NYMEX (located in New York City, New York), rather than
through electronic or other means. If a substitute reference oil
price is being used, the ``Price Determination Day'' will be each
day on which this price is determined by, or in accordance with the
rules of, the substitute oil price provider. If a benchmark other
than the light sweet crude oil futures contract traded on the NYMEX
is used to determine the Applicable Reference Price of Crude Oil,
the Exchange will file with the Commission a proposed rule change
pursuant to Rule 19b-4, seeking approval to continue trading the
MACRO Tradeable Shares, which must be approved by the Commission for
continued trading of the shares.
\12\ The repurchase agreements will be entered into with
counterparties that are (i) banks with at least one billion U.S.
dollars in assets or (ii) registered securities dealers that are
deemed creditworthy by the administrative agent. Such repurchase
agreements must terminate overnight, and the obligation of a
counterparty to repurchase U.S. Treasury securities from a MACRO
Holding Trust will be fully collateralized, as defined in Rule 5b-3
under the 1940 Act. None of the counterparties may be ``affiliated
persons'' (as defined in the 1940 Act) with respect to the trustee,
the administrative agent, the depositor, any of the MACRO Holding
Trusts or MACRO Tradeable Trusts or any affiliated persons with
respect to any of the foregoing entities.
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The Up-MACRO Holding Trust will enter into an income distribution
agreement and multiple settlement contracts with the Down-MACRO Holding
Trust.\13\ If the Applicable Reference Price rises above its starting
level, the Up-MACRO Holding Trust's underlying value will increase
proportionately to include all of its assets plus an obligation of the
Down-MACRO Holding Trust to transfer a portion of its assets. The Down-
MACRO Holding Trust's underlying value will decrease proportionately
because an obligation to transfer a portion of the Down-MACRO Holding
Trust's assets will be included in the calculation of the underlying
value of the Up-MACRO Holding Trust. Conversely, if the level of the
Applicable Reference Price of Crude Oil falls below its starting level,
the Up-MACRO Holding Trust's underlying value will decrease
proportionately because an obligation to transfer a portion of the Up-
MACRO Holding Trust's assets will be included in the calculation of the
underlying value of the Down-MACRO Holding Trust. The Down-MACRO
Holding Trust's underlying value will increase to include all of its
assets plus an obligation of the Up-MACRO Holding Trust to transfer a
portion of its assets.
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\13\ The assets in each of the MACRO Holding Trusts will serve
the function, among others, of securing the contractual obligations
between the two trusts.
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Creation and Redemption of MACRO Tradeable Shares
Similar to other exchange-traded fund products, the MACRO Paired
Trust Shares will be issued and redeemed on a continuous basis on any
Price Determination Day at a price equal to their respective underlying
values. Only certain qualified entities (``Authorized Participants'')
may create or redeem MACRO Paired Trust Shares. The process by which
Authorized Participants create and redeem MACRO Paired Trust Shares is
detailed in Amex's proposal. Notably, MACRO Tradeable Shares may only
be created and redeemed in paired aggregations of 50,000 Up-MACRO
Tradeable Shares and 50,000 Down-MACRO Tradeable Shares.
To create MACRO Paired Trust Shares, the Authorized Participant
deposits cash in an amount equal to the combined per share value of the
shares to be created. The proceeds will be used to purchase the
holdings of the MACRO Holding Trusts, which will be Treasuries maturing
prior to the next
[[Page 70806]]
quarterly distribution date (e.g., three-month U.S. Treasury
securities).
Depending upon whether the Authorized Participant(s) who placed the
creation order requested holding shares,\14\ the trustee for the MACRO
Holding Trusts will then deliver all or a portion of the issued MACRO
Holding Shares to the MACRO Tradeable Trusts any remainder of MACRO
Holding Shares to the creating Authorized Participant(s). The trustee
for the Up-MACRO Tradeable Trust will cause such trust to issue
additional Up-MACRO Tradeable Shares and deliver such shares to the
creating Authorized Participant(s).
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\14\ Concurrently with any Paired Issuance, an Authorized
Participant will be deemed to have directed the deposit of the MACRO
Holding Shares into the respective MACRO Tradeable Trusts and the
issuance by each MACRO Tradeable Trust of MACRO Tradeable Shares in
exchange for the deposited MACRO Holding Shares. If an Authorized
Participant wishes instead to receive MACRO Holding Shares, it must
specify this preference in its creation order.
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A similar process governs redemption of MACRO Paired Trust Shares.
In summary, the Authorized Participant must properly place a redemption
order and deliver MACRO Holding Shares or MACRO Tradeable Shares that
in the aggregate constitute the requisite number of MACRO Units being
redeemed, plus the applicable ``redemption cash component'' \15\ and
applicable transaction fee. The trustee will effect the redemption by
delivering cash and/or U.S. Treasury securities to the redeeming
Authorized Participant.\16\
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\15\ The ``redemption cash component'' is the cash that must be
delivered to a MACRO Holding Trust in connection with a paired
optional redemption by the redeeming Authorized Participant to
compensate the trust for the excess value that will be delivered to
such redeeming Authorized Participant in the form of U.S. Treasury
securities delivered to it as a Redemption Distribution.
\16\ The amount of cash and/or U.S. Treasury securities
delivered on the redemption date in a paired optional redemption by
Authorized Participants will always be equal to the aggregate per
share underlying values of the MACRO Holding Shares being redeemed,
calculated as of the redemption order date.
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Distributions
As described more fully in the publication of notice of the
proposed rule change,\17\ the MACRO Holding Trusts will make periodic
income distributions. Generally, each MACRO Holding Trust will make
Quarterly Income Distributions on its MACRO Holding Shares using the
income realized on the Treasuries held by the paired MACRO Holding
Trusts that remains available after payment of applicable fees and
expenses, and payment or receipt of income pursuant to the applicable
income distribution agreement.\18\ The MACRO Holding Trusts would also
make Redemption Distributions in response to Authorized Participant
orders (as described above), and a Final Distribution upon termination.
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\17\ See MACRO Notice, 71 FR at 64580.
\18\ If a MACRO Holding Trust fails to make either (i) a payment
under the income distribution agreement or (ii) a Quarterly Income
Distribution to its shareholders on any Quarterly Income
Distribution date because it does not have any funds available for
distribution, it will not be required to make up that payment or
Quarterly Income Distribution on subsequent Quarterly Income
Distribution dates, even if it has funds available to do so.
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The Up-MACRO Tradeable Trust will then pass through to the holders
of its Up-MACRO Tradeable Shares all Quarterly Income Distributions
(and Redemption Distributions and Final Distributions) that it receives
on the Up-MACRO Holding Shares that it holds, and the Down-MACRO
Tradeable Trust will do likewise to holders of its Down-MACRO Tradeable
Shares with respect to all distributions that it receives on the Down-
MACRO Holding Shares that it holds.
Underlying Value
The underlying value of each MACRO Holding Trust is the aggregate
amount of the assets in the paired MACRO Holding Trusts to which that
MACRO Holding Trust would be entitled if the settlement contracts
between the MACRO Holding Trusts were settled on that day.\19\
Information about the calculation of the underlying value of the MACRO
Paired Trust Shares was included in the Exchange's proposal.\20\
Importantly, if the Applicable Reference Price doubles from its
starting level, any further upside gains for holders of Up-MACRO
Tradeable Shares and Up-MACRO Holding Shares would be capped, and Down-
MACRO Tradeable Shares and Down-MACRO Holding Shares would be
valueless. Similarly, if the Applicable Reference Price decreases 100
percent from its starting level, further downside gains for holders of
Down-MACRO Tradeable Shares and Down-MACRO Holding Shares would be
capped, and the Up-MACRO Tradeable Shares and Up-MACRO Holding Shares
would be valueless.\21\
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\19\ Conceptually, the ``underlying value'' per share of MACRO
Holding Shares and MACRO Tradeable Shares is similar to the ``net
asset value'' that is calculated for many other securities. For
MACRO securities, however, net asset value is not meaningful because
the respective per share values are not determined by the total
value of the assets held by each MACRO Holding Trust at any point in
time. This is because assets are not transferred daily between the
MACRO Holding Trusts to settle the contractual transfer obligations
between them.
\20\ See MACRO Notice, 71 FR at 64583.
\21\ Among other termination triggers, if the Applicable
Reference Price rises or falls to a level at which the underlying
value of either MACRO Holding Trust is equal to 15% or less of the
assets it holds on deposit for three consecutive Price Determination
Days, the Trust shall be terminated at the end of the quarter during
which this occurs. See Amendment No. 2 supra at footnote 5.
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Arbitrage
In its proposal, the Exchange stated that market fluctuations in
the price of a MACRO Tradeable Share are expected to mirror
fluctuations in its per share underlying value (i.e., changes in the
Applicable Reference Price), similar to the manner in which an exchange
traded fund (``ETF'') share mirrors its net asset value,\22\ because,
as is the case with ETF shares, arbitrage opportunities would arise if
these values were to move out of line.
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\22\ See id.
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Periodic Dissemination of Intraday Per Share Values for MACRO Tradeable
Shares
During each trading day, the Amex, acting as the calculation agent,
will publish to the Consolidated Tape System (``CTS''), at least every
15 seconds during the entire time that the MACRO Tradeable Shares trade
on the Amex (normally 9:30 a.m. to 4:15 p.m. each Price Determination
Day), an indicative value, referred to as an Indicative Intraday Value
(``IIV''), representing the estimated underlying value per share of
both the Up-MACRO Tradeable Shares and the Down-MACRO Tradeable Shares.
The Amex will also publish these values on its Web site. To enable this
calculation, the Amex will receive real time price data from the NYMEX
for the light sweet crude oil futures contract that trades on the NYMEX
from two major market data vendors, from the opening of trading of the
light sweet crude oil futures contract on NYMEX at 10 a.m. to the close
of trading of the MACRO Tradeable Shares on the Amex at 4:15 p.m. (New
York City time).
Because the NYMEX market for the light sweet crude oil futures
contract will be closed for portions of the Amex trading day, the IIV
calculated values will become fixed at such time as the NYMEX contract
stops trading in the regular trading session.\23\ During such time
periods, however, if trading in the NYMEX light sweet crude oil futures
contract is occurring on the NYMEX electronic aftermarket system, then
those trades will be used to update IIV values.
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\23\ The IIV calculated value between the opening of trading of
the MACRO Tradeable Shares on the Amex at 9:30 a.m. and the opening
of trading of the light sweet crude oil futures contract on NYMEX at
10 a.m. (New York City time) will be based on the final price from
the prior trading day.
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[[Page 70807]]
Dissemination of Other Information on Price Determination Days
Pursuant to a separate calculation agency agreement with MACRO
Securities Depositor, LLC, MacroMarkets and the trusts, the calculation
agent (Amex) will perform a number of duties for the Up-MACRO Tradeable
Trust, the Up-MACRO Holding Trust, the Down-MACRO Tradeable Trust and
the Down-MACRO Holding Trust. On each Price Determination Day, the
calculation agent will periodically (at least every 15 seconds \24\)
calculate and disseminate an IIV for the Up-MACRO Tradeable Shares and
Down-MACRO Tradeable Shares and will also post this information on its
Web site at https://www.amex.com. As with all other Amex-listed
securities, the closing price of the Up-MACRO Tradeable Shares and the
Down-MACRO Tradeable Shares on the Amex will be available on the Amex
Web site.
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\24\ Telephone conference among Bill Love, Associate General
Counsel, Amex, Brian Trackman, Special Counsel, Division of Market
Regulation (``Division''), Commission, and Michou Nguyen, Special
Counsel, Division, Commission on November 27, 2006 (clarifying
timing of dissemination).
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The administrative agent, Claymore Securities, will maintain a Web
site (https://www.ClaymoreMacroShares.com) that is publicly accessible
at no charge and will contain the following information posted by the
trustee on each Price Determination Day:\25\
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\25\ The Exchange states that the issuer has represented that
all market participants will have access to this data at the same
time and, therefore, no market participant will have a time
advantage in using such data.
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The daily Price Level Percentage Change of the Applicable
Reference Price of Crude Oil;
The daily underlying value \26\ of the Up-MACRO Holding
Trust and the per share underlying value of the Up-MACRO Holding Shares
and the Up-MACRO Tradeable Shares; and
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\26\ See supra note 19.
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The daily underlying value of the Down-MACRO Holding Trust
and the per share underlying value of the Down-MACRO Holding Shares and
the Down-MACRO Tradeable Shares.
Pricing and other information for NYMEX light sweet crude oil
futures contracts, including those designated to be the Applicable
Reference Price, is available through major market data vendors such as
Reuters and Bloomberg.
Criteria for Initial and Continued Listing
The MACRO Tradeable Shares will be subject to the criteria in
proposed Amex Rule 1402 for initial and continued listing of Paired
Trust Shares. Notably, the Exchange states that it will receive a
representation on behalf of the MACRO Holding Trusts and MACRO
Tradeable Trusts that the underlying value per share of each MACRO
Holding Share and each MACRO Tradeable Share will be calculated daily
and will be made available to all market participants at the same time.
Such value will be available daily on the administrative agent's
publicly accessible Web site. The proposed continued listing criteria
provides for the delisting of the Up-MACRO Tradeable Shares or Down-
MACRO Tradeable Shares under any of the following circumstances:
Following the initial twelve month period from the date of
commencement of trading of the Up-MACRO Tradeable Shares or Down-MACRO
Tradeable Shares: (i) if the corresponding MACRO Tradeable Trust has
more than 60 days remaining until termination and there are fewer than
50 record and/or beneficial holders of the Up-MACRO Tradeable Shares or
Down-MACRO Tradeable Shares for 30 or more consecutive trading days;
(ii) if the corresponding MACRO Tradeable Trust has fewer than 50,000
Up-MACRO Tradeable Shares or Down-MACRO Tradeable Shares issued and
outstanding; or (iii) if the combined market value of all Up-MACRO
Tradeable Shares and Down-MACRO Tradeable Shares together is less than
$1,000,000;
If the intraday level of the Applicable Reference Price is
no longer calculated or available on at least a 15-second delayed basis
from a major market data vendor such as Reuters or Bloomberg during the
time the MACRO Tradeable Shares trade on the Amex from a source
unaffiliated with the depositor, the custodian, MacroMarkets, a MACRO
Holding Trust, a MACRO Tradeable Trust, or the Exchange that is a major
market data vendor (e.g., Reuters or Bloomberg);
If the IIV of each Up-MACRO Tradeable Share or Down-MACRO
Tradeable Share, as the case may be, is no longer made available on at
least a 15-second delayed basis by a major market vendor during the
time the MACRO Tradeable Shares trade on the Amex;
If a benchmark other than the light sweet crude oil
futures contract traded on the NYMEX is selected for the determination
of the Applicable Reference Price, unless the Exchange files with the
Commission a related proposed rule change pursuant to Rule 19b-4
seeking approval to continue trading the MACRO Tradeable Shares, and
such rule change is approved by the Commission; or
If such other event shall occur or condition exists which
in the opinion of the Exchange makes further dealings on the Exchange
inadvisable.
A minimum of 150,000 Up-MACRO Tradeable Shares and 150,000 Down-
MACRO Tradeable Shares will be required to be outstanding at the start
of trading. The initial price of an Up-MACRO Tradeable Share and a
Down-MACRO Tradeable Share will each be approximately $60 per share, or
the price of a barrel of light sweet crude oil on the last Price
Determination Day prior to the closing date. The Exchange believes that
the anticipated minimum number of MACRO Tradeable Shares outstanding at
the start of trading is sufficient to provide adequate market liquidity
and to further the objective of providing a simple and cost effective
means of making an investment that is similar to an investment in light
sweet crude oil.
The Exchange represents that it prohibits the initial and/or
continued listing of any security that is not in compliance with Rule
10A-3 under the Act.\27\
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\27\ See Rule 10A-3(c)(7).
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Trading Rules
The Exchange represents that MACRO Tradeable Shares will be deemed
to be equity securities and will be subject to various Amex Rules
governing the trading of equity securities. MACRO Tradeable Shares will
trade on the Amex from 9:30 a.m. until 4:15 p.m. (New York City time)
each business day and will trade in a minimum price variation of $0.01
pursuant to Amex Rule 127.\28\ Importantly, specialist trading of MACRO
Paired Trust Shares will be subject to proposed Amex Rules 1403 and
1404 regarding conflicts of interest, and the maintenance and
production of books and records, respectively. Unless exemptive or no-
action relief is available, MACRO Tradeable Shares will be subject to
the short sale rules, 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.
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\28\ See MACRO Notice, 71 FR at 64588.
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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 MACRO
Tradeable Shares. First, the Information
[[Page 70808]]
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, 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.
In the event that: (a) The underlying value of each MACRO Holding
Trust or the per share underlying values of each of the Up-MACRO
Holding Shares, the Up-MACRO Tradeable Shares, the Down-MACRO Holding
Shares or the Down-MACRO Tradeable Shares are not disseminated daily to
all market participants at the same time; (b) the IIV, updated at least
every fifteen (15) seconds on the CTS, for the underlying value per
share of both the Up-MACRO Tradeable Shares and the Down-MACRO
Tradeable Shares is no longer calculated or available from a major
market data vendor (e.g., Reuters or Bloomberg) during the time the
MACRO Tradeable Shares trade on the Amex; or (c) the price of the NYMEX
light sweet crude oil futures contract is no longer available at least
every fifteen (15) seconds from a major market data vendor on the Amex
Web site during the time the MACRO Tradeable Shares trade on the
Amex,\29\ then the Exchange will halt trading. However, in the case of
(b) or (c) involving interruption to the required dissemination of IIVs
or futures contract prices, the Exchange may consider relevant factors
and exercise its discretion regarding the halt or suspension of trading
during the day in which the interruption to the dissemination of the
IIVs or the futures contract prices occurs. If the interruption to the
dissemination of the IIVs or the futures contract prices persists past
the trading day in which it occurred, the Exchange will halt trading no
later than the beginning of the trading day following the interruption.
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\29\ Trading in the MACRO Tradeable Shares will not be halted on
the Amex, however, simply because price data from the NYMEX based on
current trading is not available outside the normal open outcry
trading hours of light sweet crude oil futures contracts on the
NYMEX from 10 a.m. to 2:30 p.m. (New York City time).
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Information Circular
The Amex will distribute an Information Circular to its members in
connection with the trading of MACRO Tradeable Shares. The Information
Circular will discuss the special characteristics and risks of trading
this type of security. Specifically, the Information Circular, among
other things, will discuss what the MACRO Tradeable Shares are, how
they are created and exchanged for MACRO Holding Shares by Authorized
Participants, the requirement that members and member firms deliver a
prospectus to investors purchasing newly issued MACRO Holding Shares
and MACRO Tradeable Shares prior to or concurrently with the
confirmation of a transaction, applicable Amex rules, dissemination of
information regarding the underlying value of each paired MACRO Holding
Trust and the share of that underlying value allocable to one Up-MACRO
Holding Share, one Up-MACRO Tradeable Share, one Down-MACRO Holding
Share and one Down-MACRO Tradeable Share, trading information, and
applicable suitability rules. The Information Circular will also
explain that the MACRO Holding Trusts and the MACRO Tradeable Trusts
are subject to various fees and expenses described in the Registration
Statement. The Information Circular will also reference the fact that
the Commission has no jurisdiction over the trading of the NYMEX light
sweet crude oil futures contract.
The Information Circular will also notify members and member
organizations about the procedures for purchases and paired optional
redemptions of the MACRO Holding Shares held in the MACRO Tradeable
Trusts, which may only be effected in MACRO Units by Authorized
Participants. The Information Circular will advise members that the
upside gains to investors are capped if the Applicable Reference Price
increases or decreases greater than 100 percent. Members should take
this feature of MACRO Paired Trust Shares into consideration in
discharging their suitability obligations. Additionally, the
Information Circular will discuss any relief, if granted, by the
Commission or the staff from any rules under the Act.
Surveillance
The Exchange represents that its surveillance procedures are
adequate to properly monitor the trading of the MACRO Tradeable Shares
listed pursuant to the proposed new listing standards. Exchange
surveillance procedures applicable to trading in the proposed MACRO
Tradeable Shares will be similar to those applicable to trust issued
receipts, Portfolio Depository Receipts and Index Fund Shares currently
trading on the Exchange. The Amex surveillance systems use data
published over CTS (e.g., the IIVs) in its normal course of business.
In the event the Exchange needs additional information to audit
transactions in MACRO Tradeable Shares, the NYMEX and Amex have
executed a comprehensive information sharing agreement (``CSSA'') to
support the surveillance responsibilities of the two exchanges.
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.\30\ 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,\31\ 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.
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\30\ 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).
\31\ 15 U.S.C. 78f(b)(5).
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A. Surveillance
The Commission notes that the Exchange has represented that its
surveillance procedures are adequate to monitor the trading of MACRO
Paired Trust Shares. The Exchange's CSSA with the NYMEX for the purpose
of providing information in connection with trading in or related to
futures contracts traded on the NYMEX that will serve as the Reference
Price creates the basis for the Amex to monitor for fraudulent and
manipulative practices in the trading of the Paired Trust Shares.
Moreover, adoption of proposed Amex Rule 1404 should facilitate
surveillance because it will require Exchange specialists, upon Amex's
request, to provide the Exchange with information that the specialist
uses in connection with pricing and trading the Paired Trust Shares,
including proprietary or other information relating to trading in the
asset, commodity or other economic interest underlying the Reference
Price, related options, related futures or options on futures, or any
other related derivatives by the specialist or an affiliated
entity.\32\
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\32\ Proposed Amex Rule 1404 requires that the specialist
handling the Paired Trust 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
futures underlying the Applicable Reference Price, related futures
or related options on futures, or any other related derivatives.
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[[Page 70809]]
B. Dissemination of Information
The Commission believes that sufficient venues exist for obtaining
reliable information so that investors in the MACRO Paired Trust Shares
can monitor the Applicable Reference Price relative to the IIV of their
MACRO Tradeable Shares.
Real-time information about the trading of futures contracts on
NYMEX, including futures on light sweet crude oil, is available through
major market data vendors by subscription. Delayed information is often
publicly available from futures exchanges. The Exchange stated that
daily settlement prices for the oil futures contract designated as the
Applicable Reference Price for the MACRO Paired Trust Shares is
publicly available on NYMEX's Internet Web site.
Additionally, the Exchange has represented that it will calculate
and publish to the CTS and its Web site the IIV for both the Up-MACRO
Tradeable Shares and Down-MACRO Tradeable Shares, at least every 15
seconds during the time that the MACRO Tradeable Shares trade on the
Amex, representing their estimated underlying value on a per share
basis. The Commission believes that publication of such information
should promote price transparency with regard to the MACRO Tradeable
Shares.
The Commission notes that the Exchange will receive a
representation on behalf of the MACRO Holding Trusts and MACRO
Tradeable Trusts that the underlying value per share of each MACRO
Holding Share and each MACRO Tradeable Share will be calculated daily
and will be made available to all market participants at the same time.
Furthermore, if the IIV or Applicable Reference Price is not
disseminated as described in its proposal, the Exchange may halt
trading during the day in which the interruption to the dissemination
of the IIVs or the futures contract prices occurs. If the interruption
to the dissemination of the IIVs or the futures contract prices
persists past the trading day in which it occurred, the Exchange will
halt trading no later than the beginning of the trading day following
the interruption. The Commission believes that these trading halt
rules, together with the NAV dissemination requirements and Exchange's
proposed delisting criteria, will help ensure that an appropriate level
of transparency exists with respect to the MACRO Tradeable Shares to
allow for the maintenance of fair and orderly markets.
C. Listing and Trading
The Commission finds that the Exchange's proposed rules and
procedures for the listing and trading of the Paired Trust Shares are
consistent with the Act. The Paired Trust Shares will trade as equity
securities subject to Amex rules including, among others, rules
governing priority, parity and precedence of orders, specialist
responsibilities, account opening and customer suitability
requirements. The Commission finds that proposed Amex Rule 1403
relating to certain specialist prohibitions is reasonably designed to
address potential conflicts of interest in connection with acting as a
specialist in Paired Trust Shares.\33\
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\33\ Proposed Amex Rule 1403 provides that the prohibitions in
Amex Rule 175(c) apply to a specialist in Paired Trust Shares so
that the specialist or affiliated person may not act or function as
a market maker in an asset, commodity or other economic interest
underlying the Reference Price, related options, related futures or
options on futures, or any other related derivatives.
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The Commission believes that the listing and delisting criteria for
the Paired Trust Shares should help to maintain a minimum level of
liquidity and therefore minimize the potential for manipulation of the
Paired Trust Shares. Additionally, the Commission finds that proposed
Amex Rule 1404 is reasonably designed to help ensure that specialists
handling the Paired Trust Shares provide the Exchange with all the
necessary information relating to their trading in the asset, commodity
or other economic interest underlying the Reference Price, related
options, related futures or options on futures, or any other related
derivatives.
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 Paired Trust
Shares, including their prospectus delivery obligations.
D. Accelerated Approval
The Commission finds good cause to approve the proposed rule change
and Amendment No. 1 thereto prior to the thirtieth day after
publication for comment in the Federal Register pursuant to Section
19(b)(2) of the Act.\34\ Accelerating approval of this proposed rule
change should benefit investors who desire to participate, through the
MACRO Paired Trust Shares, in an investment based on the value light
sweet crude oil as reflected in designated NYMEX futures contracts.
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\34\ 15 U.S.C. 78s(b)(2).
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The Commission also finds good cause to approve Amendment No. 2 to
the proposed rule change prior to the 30th day after the amendment is
published for comment in the Federal Register. Amendment No. 2 makes
certain changes to the filing to reflect minor changes made to the
issuer's Form S-1 Registration Statement since the filing of this
proposed rule change. Amendment No. 2 also makes certain clarifying
changes to the rule text and description of the proposed rule change.
The Commission believes that, as a whole, these proposed changes
strengthen the proposed rule change and do not raise any new regulatory
issues.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning Amendment No. 2, including whether Amendment No. 2
is consistent with the Act. Comments may be submitted by any of the
following methods:
Electronic Comments
Use the Commission's Internet comment form (https://
www.sec.gov/rules/sro.shtml); or
Send an e-mail to rule-comments@sec.gov. Please include
File No. SR-Amex-2006-82 on the subject line.
Paper Comments
Send paper comments in triplicate to Nancy M. Morris,
Secretary, Securities and Exchange Commission, Station Place, 100 F
Street, NE., Washington, DC 20549-1090.
All submissions should refer to File Number SR-Amex-2006-82. This
file number should be included on the subject line if e-mail is used.
To help the Commission process and review your comments more
efficiently, please use only one method. The Commission will post all
comments on the Commission's Internet Web site (https://www.sec.gov/
rules/sro.shtml). Copies of the submission, all subsequent amendments,
all written statements with respect to the proposed rule change that
are filed with the Commission, and all written communications relating
to the proposed rule change between the Commission and any person,
other than those that may be withheld from the public in accordance
with the provisions of 5 U.S.C. 552, will be available for inspection
and copying in the Commission's Public Reference Room. Copies of such
filing also will be available for inspection and copying at the
principal office of the Amex. All
[[Page 70810]]
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-Amex-2006-82 and should be
submitted on or before December 27, 2006.
V. Conclusion
It is therefore ordered, pursuant to Section 19(b)(2) of the Act,
that the proposed rule change (SR-Amex-2006-82), as amended by
Amendments No. 1 and 2, be, and it hereby is, approved on an
accelerated basis.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\35\
Nancy M. Morris,
Secretary.
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\35\ 17 CFR 200.30-3(a)(12).
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[FR Doc. E6-20657 Filed 12-5-06; 8:45 am]
BILLING CODE 8011-01-P
