Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing of a Proposed Rule Change and Amendments No. 1, 2, and 3 Thereto To List and Trade Exchange-Traded Notes of Barclays Bank PLC Linked to the Performance of the U.S. Dollar/Japanese Yen Exchange Rate, 6021-6025 [E7-2061]

Download as PDF Federal Register / Vol. 72, No. 26 / Thursday, February 8, 2007 / Notices information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR–NASDAQ–2006–040 and should be submitted on or before March 1, 2007. VII. Conclusion It is therefore ordered, pursuant to Section 19(b)(2) of the Act, that the proposed rule change (SR–NASDAQ– 2006–040), as modified by Amendment Nos. 2 and 3, be, and hereby is, approved on an accelerated basis. For the Commission, by the Division of Market Regulation, pursuant to delegated authority.22 Florence E. Harmon, Deputy Secretary. [FR Doc. E7–2083 Filed 2–7–07; 8:45 am] * SECURITIES AND EXCHANGE COMMISSION [Release No. 34–55222; File No. SR–NYSE– 2006–68] Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing of a Proposed Rule Change and Amendments No. 1, 2, and 3 Thereto To List and Trade Exchange-Traded Notes of Barclays Bank PLC Linked to the Performance of the U.S. Dollar/ Japanese Yen Exchange Rate 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 August 24, 2006 the New York Stock Exchange LLC (‘‘NYSE’’ or ‘‘Exchange’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule changes as described in Items I, II, and III below, which Items have been prepared by the Exchange. On January 3, 2007, the Exchange submitted Amendment No. 1.3 On January 23, 2007, the Exchange submitted Amendment No. 2.4 On January 29, 2007, the Exchange submitted Amendment No. 3.5 The Commission is publishing this notice to solicit comments on the proposed rule 22 17 CFR 200.30–3(a)(12). U.S.C. 78s(b)(1). 2 17 CFR 240.19b–4. 3 Amendment No. 1 replaced and superseded the Exchange’s original submission in its entirety. 4 Amendment No. 2 replaced and superseded Amendment No. 1 in its entirety. 5 Amendment No. 3 replaced and superseded Amendment No. 2 in its entirety. jlentini on PROD1PC65 with NOTICES 1 15 Jkt 211001 * * * * • • • Supplementary Material: .10 The provisions of Rule 1300A(b) and Rule 1301A shall apply to securities listed on the Exchange pursuant to Section 703.19 (‘‘Other Securities’’) of the Listed Company Manual where the price of such securities is based in whole or part on the price of (a) a nonU.S. currency or currencies, (b) any futures contracts or other derivatives based on a non-U.S. currency or currencies, or (c) any index based on either (a) or (b) above. * * * * * Rule 1301A. Currency Trust Shares: Securities Accounts and Orders of Specialists * February 1, 2007. 15:58 Feb 07, 2007 I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to list and trade exchange-traded notes (‘‘Notes’’) of Barclays Bank PLC (‘‘Barclays’’) linked to the performance of the U.S. dollar/Japanese yen exchange rate (the ‘‘USD/JPY exchange rate’’). The Exchange also proposes to add new Supplementary Material .10 to Rule 1300A and Rule 1301A. Below is the text of the proposed rule change. Proposed new language is in italics. Rule 1300A. Currency Trust Shares BILLING CODE 8010–01–P VerDate Aug<31>2005 change, as amended, from interested persons. * * * * • • • Supplementary Material: .10 The provisions of Rule 1300A(b) and Rule 1301A shall apply to securities listed on the Exchange pursuant to Section 703.19 (‘‘Other Securities’’) of the Listed Company Manual where the price of such securities is based in whole or part on the price of (a) a nonU.S. currency or currencies, (b) any futures contracts or other derivatives based on a non-U.S. currency or currencies, or (c) any index based on either (a) or (b) above. * * * * * II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The NYSE has prepared summaries, set forth PO 00000 Frm 00063 Fmt 4703 Sfmt 4703 6021 in Sections A, B, and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The Notes Under Section 703.19 of the Listed Company Manual (the ‘‘Manual’’), the Exchange may approve for listing and trading securities not otherwise covered by the criteria of Sections 1 and 7 of the Manual, provided the issue is suited for auction market trading. The Exchange proposes to list and trade, under Section 703.19 of the Manual, the Notes, which are linked to the performance of the USD/JPY exchange rate. Barclays intends to issue the Notes under the name ‘‘iPathSM Exchange Traded Notes.’’ The Exchange believes that the Notes will conform to the initial listing standards for equity securities under Section 703.19, as Barclays is an affiliate of Barclays PLC,6 which is a listed company in good standing, the Notes will have a minimum life of one year, the minimum public market value of the Notes at the time of issuance will exceed $4 million, there will be at least one million Notes outstanding, and there will be at least 400 holders at the time of issuance. The Notes are a series of medium-term debt securities of Barclays that provide for a cash payment at maturity or upon earlier redemption at the holder’s option, based on the performance of the USD/JPY exchange rate subject to the adjustments described below. The original issue price of each Note will be $25. The Notes will trade on the Exchange’s equity trading floor, and the Exchange’s existing equity trading rules will apply to trading in the Notes. The USD/JPY exchange rate is a foreign exchange spot rate that measures the relative values of two currencies, the Japanese yen and the U.S. dollar. When the Japanese yen appreciates relative to the U.S. dollar, the USD/JPY exchange rate decreases (and the value of the 6 The issuer of the Notes, Barclays, is an affiliate of an Exchange-listed company (Barclays PLC) and not an Exchange-listed company itself. However, Barclays, though an affiliate of Barclays PLC, would exceed the Exchange’s earnings and minimum tangible net worth requirements in Section 102 of the Manual. Additionally, Barclays has informed the Exchange that the original issue price of the Notes, when combined with the original issue price of all other iPath securities offerings of the issuer that are listed on a national securities exchange (or association), does not exceed 25% of the issuer’s net worth. E:\FR\FM\08FEN1.SGM 08FEN1 jlentini on PROD1PC65 with NOTICES 6022 Federal Register / Vol. 72, No. 26 / Thursday, February 8, 2007 / Notices Notes increases); when the Japanese yen depreciates relative to the U.S. dollar, the USD/JPY exchange rate increases (and the value of the Notes decreases). The USD/JPY exchange rate is expressed as a rate that reflects the number of Japanese yen that can be exchanged for one U.S. dollar in the interbank market for settlement in two days, as reported each day shortly after 10 a.m. Eastern Time (‘‘ET’’) on Reuters page 1FED or any successor page. The Notes will not have a minimum principal amount that will be repaid and, accordingly, payment on the Notes prior to or at maturity may be less than the original issue price of the Notes. In fact, the USD/JPY exchange rate must decrease for the investor to receive at least the $25 original issue price per Note at maturity or upon redemption. If the USD/JPY exchange rate increases or does not decrease sufficiently to offset any negative effect of the adjustment factor (described below), the investor will receive less, and possibly significantly less, than the $25 original issue price per Note. In addition, holders of the Notes will not receive any interest payments from the Notes. The Notes will have a term of 30 years. The Notes are not callable. If the Notes are held to maturity, the holder will receive a cash payment at maturity that is linked to the percentage change in the USD/JPY exchange rate between the date of issuance and the final valuation date. The cash payment at maturity will be equal to the fraction where the numerator equals (1) The reference currency amount times (2) the adjustment factor as determined on the final valuation date, and the denominator equals the USD/JPY exchange rate on the final valuation date. The reference currency amount is the original issue price of the Notes times the USD/JPY exchange rate on the inception date. The adjustment factor will be calculated on a daily basis and on the inception date will equal one. On each subsequent business day until the final valuation date, the adjustment factor will equal (1) the adjustment factor on the immediately preceding business day times (2) the sum of one plus (a) the Mutan rate on the day minus (b) 0.27% minus (c) the investor fee times (3) the relevant daycount fraction. The Mutan rate is the Bank of Japan’s uncollateralized overnight call rate, as reported on Reuters page TONAR or any successor page on that day. The investor fee is equal to 0.40% of the reference currency amount per year and is the only fee payable by investors in connection with an investment in the Notes. The daycount fraction on any business day will be the VerDate Aug<31>2005 15:58 Feb 07, 2007 Jkt 211001 number of calendar days that have elapsed since the immediately preceding business day divided by 365. If the maturity date is not a business day, the maturity date will be the next following business day. If the fifth business day before this day does not qualify as a valuation date (as described below), then the maturity date will be the fifth business day following the final valuation date. In such event penalty interest will not accrue or be payable with respect to that deferred payment. Prior to maturity, holders may, subject to certain restrictions, choose to redeem their Notes on any redemption date during the term of the Notes provided that they present at least 100,000 Notes for redemption. Holders may also act through a broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker-dealer to engage in securities transactions) that is willing to bundle their Notes for redemption with other investors’ securities. Barclays may from time to time in its sole discretion reduce, in part or in whole, the minimum redemption amount of 100,000 Notes. Any such reduction will be applied on a consistent basis for all holders of the Notes at the time the reduction become effective. If holders redeem their Notes on a particular redemption date, they will receive a cash payment on such date in an amount equal to the weekly redemption value, which is the fraction where the numerator equals (1) the reference currency amount times (2) the adjustment factor as determined on the applicable valuation date, and the denominator equals the USD/JPY exchange rate on the applicable valuation date. Holders must redeem at least 100,000 Notes at one time in order to exercise their right to redeem their Notes on any redemption date. Barclays may from time to time in its sole discretion reduce, in part or in whole, the minimum redemption amount of 100,000 Notes. Any such reduction will be applied on a consistent basis for all holders of Notes at the time the reduction becomes effective. A valuation date is each Thursday from the first Thursday after issuance of the Notes until the last Thursday before maturity of the Notes (the ‘‘final valuation date’’) inclusive or, if such date is not a trading day, the next succeeding trading day, not to exceed five business days. A redemption date is the second business day following a valuation date (other than the final valuation date). The final redemption date will be the second business day following the valuation date PO 00000 Frm 00064 Fmt 4703 Sfmt 4703 immediately prior to the final valuation date. To redeem their Notes, Holders must instruct their broker or other person with whom they hold their Notes to take the following steps: • Deliver a notice of redemption to Barclays via e-mail by no later than 11 a.m. ET on the business day prior to the applicable valuation date. If Barclays receives notice by the time specified in the preceding sentence, it will respond by sending a form of confirmation of redemption; • Deliver the signed confirmation of redemption to Barclays via facsimile in the specified form by 4 p.m. ET on the same day. Barclays or its affiliate must acknowledge receipt in order for confirmation to be effective; • Instruct their DTC custodian to book a delivery vs. payment trade with respect to their Notes on the valuation date at a price equal to the applicable Weekly Redemption Value, facing Barclays Capital DTC 5101; and • Cause their DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10 a.m. ET on the applicable redemption date (the third business day following the valuation date). If holders elect to redeem their Notes, Barclays may request that Barclays Capital Inc. (a broker-dealer) purchase the Notes for the cash amount that would otherwise have been payable by Barclays upon redemption. In this case, Barclays will remain obligated to redeem the Notes if Barclays Capital Inc. fails to purchase the Notes. Any Notes purchased by Barclays Capital Inc. may remain outstanding. If an event of default occurs and the maturity of the Notes is accelerated, Barclays will pay the default amount in respect of the principal of the Notes at maturity. The default amount for the Notes on any day will be an amount, determined by the calculation agent in its sole discretion, equal to the cost of having a qualified financial institution, of the kind and selected as described below, expressly assume all Barclays’ payment and other obligations with respect to the Notes as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent economic value to the holders of the Notes with respect to the Notes. That cost will equal: • The lowest amount that a qualified financial institution would charge to effect this assumption or undertaking, plus • The reasonable expenses, including reasonable attorneys’ fees, incurred by the holders of the Notes in preparing E:\FR\FM\08FEN1.SGM 08FEN1 Federal Register / Vol. 72, No. 26 / Thursday, February 8, 2007 / Notices jlentini on PROD1PC65 with NOTICES any documentation necessary for this assumption or undertaking. During the default quotation period for the Notes (described below), the holders of the Notes and/or Barclays may request a qualified financial institution to provide a quotation of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest—or, if there is only one, the only—quotation obtained, and as to which notice is so given, during the default quotation period. With respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in writing of those grounds within two business days after the last day of the default quotation period, in which case that quotation will be disregarded in determining the default amount. The default quotation period is the period beginning on the day the default amount first becomes due and ending on the third business day after that day, unless: • No quotation of the kind referred to above is obtained, or • Every quotation of that kind obtained is objected to within five business days after the due date as described above. If either of these two events occurs, the default quotation period will continue until the third business day after the first business day on which prompt notice of a quotation is given as described above. If that quotation is objected to as described above within five business days after that first business day, however, the default quotation period will continue as described in the prior sentence and this sentence. In any event, if the default quotation period and the subsequent two business day objection period have not ended before the final valuation date, then the default amount will equal the stated principal amount of the Notes.7 Indicative Value An intraday ‘‘Indicative Value’’ meant to approximate the intrinsic economic value of the Notes will be calculated and published via the facilities of the Consolidated Tape Association (‘‘CTA’’) every 15 seconds throughout the NYSE 7 Additional information about the default provisions of the Notes is provided in Barclays’ Registration Statement on Form F–3 (333–126811), as amended by Amendment No. 1 on September 14, 2005. VerDate Aug<31>2005 15:58 Feb 07, 2007 Jkt 211001 6023 trading day on each day on which the Notes are traded on the Exchange.8 Additionally, Barclays or an affiliate will calculate and publish the closing Indicative Value of the Notes on each trading day at www.ipathetn.com. The last sale price of the Notes will also be disseminated over the consolidated tape, subject to a 20-minute delay. In connection with the Notes, the term ‘‘Indicative Value’’ refers to the value at a given time determined based on the following equation: Indicative Value = (Reference Currency Amount × Current Adjustment Factor)/Current USD/JPY Exchange Rate the Exchange makes further dealings on the Exchange inadvisable. Where: Current USD/JPY Exchange Rate = The exchange rate as reported on that day. The Current USD/JPY Exchange Rate used for the calculation of the Indicative Value will be the USD/JPY exchange rate disseminated by Bloomberg L.P. during the course of the trading day on a 15-second delayed basis. Rules Applicable to Specialists in Currency-Related Securities Proposed Supplementary Material .10 to each of Rules 1300A and 1301A will apply the provisions of Rule 1300A(b) and Rule 1301A to certain securities listed on the Exchange pursuant to Section 703.19 (‘‘Other Securities’’) of the Exchange’s Listed Company Manual. Specifically, Rules 1300A(b) and 1301A will apply to securities listed under Section 703.19 where the price of such securities is based in whole or part on the price of (a) A non-U.S. currency or currencies, (b) any futures contracts or other derivatives based on a non-U.S. currency or currencies, or (c) any index based on either (a) or (b) above. As a result of application of Rule 1300A(b), the specialist in the Notes, the specialist’s member organization and other specified persons will be prohibited under paragraph (m) of Exchange Rule 105 Guidelines from acting as market maker or functioning in any capacity involving market-making responsibilities in the Japanese yen, options, futures or options on futures on the Japanese yen, or any other derivatives based on the Japanese yen (collectively, ‘‘derivative instruments’’). If the member organization acting as specialist in the Notes is entitled to an exemption under NYSE Rule 98 from paragraph (m) of NYSE Rule 105 Guidelines, then that member organization could act in a market making capacity in the Japanese yen or derivative instruments based on the Japanese yen, other than as a specialist in the Notes themselves, in another market center. Under Rule 1301A(a), the member organization acting as specialist in the Notes (1) will be obligated to conduct all trading in the Notes in its specialist account, (subject only to the ability to have one or more investment accounts, all of which must be reported to the Exchange), (2) will be required to file with the Exchange and keep current a Continued Listing Criteria The Exchange prohibits the initial and/or continued listing of any security that is not in compliance with Rule 10A–3 under the Act. The Exchange will delist the Notes: • If, following the initial 12-month period from the date of commencement of trading of the Notes: (i) The Notes have more than 60 days remaining until maturity and there are fewer than 50 beneficial holders of the Notes for 30 or more consecutive trading days; (ii) if fewer than 100,000 Notes remain issued and outstanding; or (iii) if the market value of all outstanding Notes is less than $1,000,000. • If, during the time the Notes trade on the Exchange, the Indicative Value ceases to be available on a 15-second delayed basis. • If, during the time the Notes trade on the Exchange, the USD/JPY exchange rate ceases to be calculated or available on at least a 15-second delayed basis from one or more major market data vendors. • If such other event shall occur or condition exists which in the opinion of 8 The Indicative Value calculation will be provided for reference purposes only. It is not intended as a price or quotation, or as an offer or solicitation for the purchase, sale, redemption or termination of the Notes, nor will it reflect hedging or transaction costs, credit considerations, market liquidity or bid-offer spreads. Published quotations of the USD/JPY exchange rate from Reuters may occasionally be subject to delay or postponement. Any such delays or postponements will affect the current USD/JPY exchange rate and therefore the Indicative Value of the Notes. The actual trading price of the Notes may be different from their indicative value. PO 00000 Frm 00065 Fmt 4703 Sfmt 4703 Trading Halts If the Exchange Rate or the Indicative Value is not being disseminated as required, the Exchange may halt trading during the day on which the interruption to the dissemination of the Exchange Rate or the Indicative Value first occurs. If the interruption to the dissemination of the Exchange Rate or the Indicative Value 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. E:\FR\FM\08FEN1.SGM 08FEN1 6024 Federal Register / Vol. 72, No. 26 / Thursday, February 8, 2007 / Notices jlentini on PROD1PC65 with NOTICES list identifying all accounts for trading in the Japanese yen or derivative instruments based on the Japanese yen, which the member organization acting as specialist may have or over which it may exercise investment discretion, and (3) will be prohibited from trading in the Japanese yen or derivative instruments based on the Japanese yen, in an account in which a member organization acting as specialist, controls trading activities which have not been reported to the Exchange as required by Rule 1301A. Under Rule 1301A(b), the member organization acting as specialist in the Notes will be required to make available to the Exchange such books, records or other information pertaining to transactions by the member organization and other specified persons for its or their own accounts in the Japanese yen or derivative instruments based on the Japanese yen, as may be requested by the Exchange. This requirement is in addition to existing obligations under Exchange rules regarding the production of books and records. Under Rule 1301A(c), in connection with trading the Japanese yen or derivative instruments based on the Japanese yen, the specialist could not use any material nonpublic information received from any person associated with a member or employee of such person regarding trading by such person or employee in the Japanese yen or derivative instruments based on the Japanese yen. Surveillance The Exchange’s surveillance procedures will incorporate and rely upon existing Exchange surveillance procedures governing equities with respect to surveillance of the Notes. The Exchange believes that these procedures are adequate to monitor Exchange trading of the Notes and to detect violations of Exchange rules, thereby deterring manipulation. In this regard, the Exchange currently has the authority under NYSE Rule 476 to request the Exchange specialist in the Notes to provide NYSE Regulation with information that the specialist uses in connection with pricing the Notes on the Exchange, including specialist, proprietary or other information regarding securities, currencies, futures, options on futures or other derivative instruments. The Exchange believes it also has authority to request any other information from its members— including floor brokers, specialists and ‘‘upstairs’’ firms—to fulfill its regulatory obligations. The Exchange’s current trading surveillances focus on detecting VerDate Aug<31>2005 15:58 Feb 07, 2007 Jkt 211001 securities trading outside normal patterns. When such situations are detected, surveillance analysis follows and investigations are opened, where appropriate, to review the behavior of all relevant parties for all relevant trading violations. The Exchange is able to obtain information regarding trading in the Notes, yen options and yen futures through NYSE members, in connection with such members’ proprietary or customer trades which they effect on any relevant market. In addition, the Exchange may obtain trading information via the Intermarket Surveillance Group (‘‘ISG’’) from other exchanges who are members or affiliates of the ISG. Specifically, the NYSE can obtain such information from the Philadelphia Stock Exchange (‘‘Phlx’’) in connection with yen options trading on the Phlx and from the Chicago Mercantile Exchange (‘‘CME’’) in connection with yen futures trading on the CME.9 Trading Rules The Exchange’s existing trading rules will apply to trading of the Notes. The Notes will trade between the hours of 9:30 a.m. and 4 p.m. ET and will be subject to the equity margin rules of the Exchange. Suitability Pursuant to Exchange Rule 405, the Exchange will impose a duty of due diligence on its members and member firms to learn the essential facts relating to every customer prior to trading the Notes.10 With respect to suitability recommendations and risks, the Exchange will require members, member organizations and employees thereof recommending a transaction in the Notes: (1) To determine that such transaction is suitable for the customer, and (2) to have a reasonable basis for believing that the customer can evaluate the special characteristics of, and is able to bear the financial risks of, such transaction. Information Memorandum The Exchange will, prior to trading the Notes, distribute an information memorandum to the membership providing guidance with regard to member firm compliance responsibilities (including suitability recommendations) when handling 9 The Phlx is a full member and the CME is an affiliate member of the ISG. 10 NYSE Rule 405 requires that every member, member firm or member corporation use due diligence to learn the essential facts relative to every customer and to every order or account accepted. PO 00000 Frm 00066 Fmt 4703 Sfmt 4703 transactions in the Notes. The information memorandum will note to members language in the prospectus used by Barclays in connection with the sale of the Notes regarding prospectus delivery requirements for the Notes. In the initial distribution of the Notes, and during any subsequent distribution of the Notes, NYSE member organizations will deliver a prospectus to investors purchasing from such distributors.11 The information memorandum will discuss the special characteristics and risks of trading this type of security. Specifically, the information memorandum, among other things, will discuss what the Notes are, how the Notes are redeemed, applicable Exchange rules, dissemination of information regarding the Indicative Value, the USD/JPY exchange rate, trading information and applicable suitability rules. The information memorandum will also notify members and member organizations about the procedures for redemptions of Notes and that Notes are not individually redeemable but are redeemable only in aggregations of at least 100,000 Notes. The information memorandum will also discuss any relief, if granted, by the Commission or the staff from any rules under the Act. The information memorandum will also reference that there is no regulated source of last sale information regarding currency exchange rates and that the Commission has no jurisdiction over the trading of currencies on which the value of the Notes is based. 2. Statutory Basis The proposed rule change is consistent with Section 6(b) of the Act,12 in general, and furthers the objectives of Section 6(b)(5),13 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 that is not necessary or appropriate in furtherance of the purposes of the Act. 11 The Registration Statement reserves the right to make subsequent distributions of these Notes. 12 15 U.S.C. 78f(b). 13 15 U.S.C. 78f(b)(5). E:\FR\FM\08FEN1.SGM 08FEN1 Federal Register / Vol. 72, No. 26 / Thursday, February 8, 2007 / Notices C. Self-Regulatory Organization’s Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others The Exchange has neither solicited nor received written comments on the proposed rule change. 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 NYSE 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. NYSE has requested accelerated approval of this proposed rule change prior to the 30th day after the date of publication of the notice of the filing thereof. The Commission has determined that a 15-day comment period is appropriate in this case. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change is consistent with the Act. Comments may be submitted by any of the following methods: jlentini on PROD1PC65 with NOTICES Electronic Comments • Use the Commission’s Internet comment form (http://www.sec.gov/ rules/sro.shtml); or • Send an e-mail to rulecomments@sec.gov. Please include File Number SR–NYSE–2006–68. 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 the filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR–NYSE–2006–68 and should be submitted on or before February 23, 2007. For the Commission, by the Division of Market Regulation, pursuant to delegated authority.14 Nancy M. Morris, Secretary. [FR Doc. E7–2061 Filed 2–7–07; 8:45 am] BILLING CODE 8010–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–55218; File No. SR–NYSE– 2007–05] Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change and Amendment No. 1 Thereto Relating to Rule 36 (Communication Between Exchange and Members’ Offices) January 31, 2007. 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 January Paper Comments 25, 2007, the New York Stock Exchange • Send paper comments in triplicate LLC (‘‘NYSE’’ or the ‘‘Exchange’’) filed to Nancy M. Morris, Secretary, with the Securities and Exchange Securities and Exchange Commission, Commission (‘‘Commission’’) the 100 F Street, NE., Washington, DC proposed rule change as described in 20549–1090. Items I and II below, which Items have All submissions should refer to File been substantially prepared by the Number SR–NYSE–2006–68. This file Exchange. On January 31, 2007, the number should be included on the Exchange filed Amendment No. 1 to the subject line if e-mail is used. To help the proposed rule change. The Exchange Commission process and review your filed the proposed rule change pursuant comments more efficiently, please use to Section 19(b)(3)(A) of the Act 3 and only one method. The Commission will Rule 19b–4(f)(6) thereunder,4 which post all comments on the Commission’s Internet Web site (http://www.sec.gov/ 14 17 CFR 200.30–3(a)(12). rules/sro.shtml). Copies of the 1 15 U.S.C. 78s(b)(1). submission, all subsequent 2 17 CFR 240.19b–4. 3 15 U.S.C. 78s(b)(3)(A). amendments, all written statements 4 17 CFR 240.19b–4(f)(6). with respect to the proposed rule VerDate Aug<31>2005 15:58 Feb 07, 2007 Jkt 211001 PO 00000 Frm 00067 Fmt 4703 Sfmt 4703 6025 renders the proposal effective upon filing with the Commission. The Commission is publishing this notice to solicit comments on the proposed rule change, as amended, from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change This proposal seeks to extend the portable phone pilot (the ‘‘Pilot’’) for an additional year, until January 31, 2008. The Pilot amends NYSE Rule 36 (Communication Between Exchange and Members’ Offices) to allow a Floor broker and Registered Competitive Market Maker (‘‘RCMM’’) to use an Exchange authorized and provided portable telephone on the Exchange Floor, provided certain conditions are met. The current Pilot expires on January 31, 2007.5 II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange included statements concerning the purpose of, and basis for, the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in Sections A, B, and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose Background The Commission originally approved the Pilot to be implemented as a sixmonth pilot 6 beginning no later than June 23, 2003.7 Since the inception of the Pilot, the Exchange has extended the Pilot seven times, with the current Pilot expiring on January 31, 2007.8 5 See Securities Exchange Act Release No. 54276 (August 4, 2006), 71 FR 45885 (August 10, 2006) (SR–NYSE–2006–55). 6 See Securities Exchange Act Release No. 47671 (April 11, 2003), 68 FR 19048 (April 17, 2003) (SR– NYSE–2002–11) (‘‘Original Order’’). 7 See Securities Exchange Act Release No. 47992 (June 5, 2003), 68 FR 35047 (June 11, 2003) (SR– NYSE–2003–19) (delaying the implementation date for portable phones from on or about May 1, 2003 to no later than June 23, 2003). 8 See Securities Exchange Act Release Nos. 48919 (December 12, 2003), 68 FR 70853 (December 19, 2003) (SR–NYSE–2003–38) (extending the Pilot for an additional six months ending on June 16, 2004); 49954 (July 1, 2004), 69 FR 41323 (July 8, 2004) (SR–NYSE–2004–30) (extending the Pilot for an E:\FR\FM\08FEN1.SGM Continued 08FEN1

Agencies

[Federal Register Volume 72, Number 26 (Thursday, February 8, 2007)]
[Notices]
[Pages 6021-6025]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E7-2061]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-55222; File No. SR-NYSE-2006-68]


Self-Regulatory Organizations; New York Stock Exchange LLC; 
Notice of Filing of a Proposed Rule Change and Amendments No. 1, 2, and 
3 Thereto To List and Trade Exchange-Traded Notes of Barclays Bank PLC 
Linked to the Performance of the U.S. Dollar/Japanese Yen Exchange Rate

February 1, 2007.
    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 August 24, 2006 the New York Stock Exchange LLC (``NYSE'' or 
``Exchange'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule changes as described in Items I, II, 
and III below, which Items have been prepared by the Exchange. On 
January 3, 2007, the Exchange submitted Amendment No. 1.\3\ On January 
23, 2007, the Exchange submitted Amendment No. 2.\4\ On January 29, 
2007, the Exchange submitted Amendment No. 3.\5\ The Commission is 
publishing this notice to solicit comments on the proposed rule change, 
as amended, from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Amendment No. 1 replaced and superseded the Exchange's 
original submission in its entirety.
    \4\ Amendment No. 2 replaced and superseded Amendment No. 1 in 
its entirety.
    \5\ Amendment No. 3 replaced and superseded Amendment No. 2 in 
its entirety.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade exchange-traded notes 
(``Notes'') of Barclays Bank PLC (``Barclays'') linked to the 
performance of the U.S. dollar/Japanese yen exchange rate (the ``USD/
JPY exchange rate''). The Exchange also proposes to add new 
Supplementary Material .10 to Rule 1300A and Rule 1301A. Below is the 
text of the proposed rule change. Proposed new language is in italics.

Rule 1300A. Currency Trust Shares

* * * * *

   Supplementary Material:

    .10 The provisions of Rule 1300A(b) and Rule 1301A shall apply to 
securities listed on the Exchange pursuant to Section 703.19 (``Other 
Securities'') of the Listed Company Manual where the price of such 
securities is based in whole or part on the price of (a) a non-U.S. 
currency or currencies, (b) any futures contracts or other derivatives 
based on a non-U.S. currency or currencies, or (c) any index based on 
either (a) or (b) above.
* * * * *

Rule 1301A. Currency Trust Shares: Securities Accounts and Orders of 
Specialists

* * * * *

   Supplementary Material:

    .10 The provisions of Rule 1300A(b) and Rule 1301A shall apply to 
securities listed on the Exchange pursuant to Section 703.19 (``Other 
Securities'') of the Listed Company Manual where the price of such 
securities is based in whole or part on the price of (a) a non-U.S. 
currency or currencies, (b) any futures contracts or other derivatives 
based on a non-U.S. currency or currencies, or (c) any index based on 
either (a) or (b) above.
* * * * *

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

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The NYSE has prepared summaries, set forth in Sections 
A, B, and C below, of the most significant aspects of such statements.

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

1. Purpose

The Notes

    Under Section 703.19 of the Listed Company Manual (the ``Manual''), 
the Exchange may approve for listing and trading securities not 
otherwise covered by the criteria of Sections 1 and 7 of the Manual, 
provided the issue is suited for auction market trading. The Exchange 
proposes to list and trade, under Section 703.19 of the Manual, the 
Notes, which are linked to the performance of the USD/JPY exchange 
rate. Barclays intends to issue the Notes under the name 
``iPathSM Exchange Traded Notes.''
    The Exchange believes that the Notes will conform to the initial 
listing standards for equity securities under Section 703.19, as 
Barclays is an affiliate of Barclays PLC,\6\ which is a listed company 
in good standing, the Notes will have a minimum life of one year, the 
minimum public market value of the Notes at the time of issuance will 
exceed $4 million, there will be at least one million Notes 
outstanding, and there will be at least 400 holders at the time of 
issuance. The Notes are a series of medium-term debt securities of 
Barclays that provide for a cash payment at maturity or upon earlier 
redemption at the holder's option, based on the performance of the USD/
JPY exchange rate subject to the adjustments described below. The 
original issue price of each Note will be $25. The Notes will trade on 
the Exchange's equity trading floor, and the Exchange's existing equity 
trading rules will apply to trading in the Notes.
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    \6\ The issuer of the Notes, Barclays, is an affiliate of an 
Exchange-listed company (Barclays PLC) and not an Exchange-listed 
company itself. However, Barclays, though an affiliate of Barclays 
PLC, would exceed the Exchange's earnings and minimum tangible net 
worth requirements in Section 102 of the Manual. Additionally, 
Barclays has informed the Exchange that the original issue price of 
the Notes, when combined with the original issue price of all other 
iPath securities offerings of the issuer that are listed on a 
national securities exchange (or association), does not exceed 25% 
of the issuer's net worth.
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    The USD/JPY exchange rate is a foreign exchange spot rate that 
measures the relative values of two currencies, the Japanese yen and 
the U.S. dollar. When the Japanese yen appreciates relative to the U.S. 
dollar, the USD/JPY exchange rate decreases (and the value of the

[[Page 6022]]

Notes increases); when the Japanese yen depreciates relative to the 
U.S. dollar, the USD/JPY exchange rate increases (and the value of the 
Notes decreases). The USD/JPY exchange rate is expressed as a rate that 
reflects the number of Japanese yen that can be exchanged for one U.S. 
dollar in the interbank market for settlement in two days, as reported 
each day shortly after 10 a.m. Eastern Time (``ET'') on Reuters page 
1FED or any successor page.
    The Notes will not have a minimum principal amount that will be 
repaid and, accordingly, payment on the Notes prior to or at maturity 
may be less than the original issue price of the Notes. In fact, the 
USD/JPY exchange rate must decrease for the investor to receive at 
least the $25 original issue price per Note at maturity or upon 
redemption. If the USD/JPY exchange rate increases or does not decrease 
sufficiently to offset any negative effect of the adjustment factor 
(described below), the investor will receive less, and possibly 
significantly less, than the $25 original issue price per Note. In 
addition, holders of the Notes will not receive any interest payments 
from the Notes. The Notes will have a term of 30 years. The Notes are 
not callable.
    If the Notes are held to maturity, the holder will receive a cash 
payment at maturity that is linked to the percentage change in the USD/
JPY exchange rate between the date of issuance and the final valuation 
date. The cash payment at maturity will be equal to the fraction where 
the numerator equals (1) The reference currency amount times (2) the 
adjustment factor as determined on the final valuation date, and the 
denominator equals the USD/JPY exchange rate on the final valuation 
date. The reference currency amount is the original issue price of the 
Notes times the USD/JPY exchange rate on the inception date. The 
adjustment factor will be calculated on a daily basis and on the 
inception date will equal one. On each subsequent business day until 
the final valuation date, the adjustment factor will equal (1) the 
adjustment factor on the immediately preceding business day times (2) 
the sum of one plus (a) the Mutan rate on the day minus (b) 0.27% minus 
(c) the investor fee times (3) the relevant daycount fraction. The 
Mutan rate is the Bank of Japan's uncollateralized overnight call rate, 
as reported on Reuters page TONAR or any successor page on that day. 
The investor fee is equal to 0.40% of the reference currency amount per 
year and is the only fee payable by investors in connection with an 
investment in the Notes. The daycount fraction on any business day will 
be the number of calendar days that have elapsed since the immediately 
preceding business day divided by 365. If the maturity date is not a 
business day, the maturity date will be the next following business 
day. If the fifth business day before this day does not qualify as a 
valuation date (as described below), then the maturity date will be the 
fifth business day following the final valuation date. In such event 
penalty interest will not accrue or be payable with respect to that 
deferred payment.
    Prior to maturity, holders may, subject to certain restrictions, 
choose to redeem their Notes on any redemption date during the term of 
the Notes provided that they present at least 100,000 Notes for 
redemption. Holders may also act through a broker or other financial 
intermediary (such as a bank or other financial institution not 
required to register as a broker-dealer to engage in securities 
transactions) that is willing to bundle their Notes for redemption with 
other investors' securities. Barclays may from time to time in its sole 
discretion reduce, in part or in whole, the minimum redemption amount 
of 100,000 Notes. Any such reduction will be applied on a consistent 
basis for all holders of the Notes at the time the reduction become 
effective. If holders redeem their Notes on a particular redemption 
date, they will receive a cash payment on such date in an amount equal 
to the weekly redemption value, which is the fraction where the 
numerator equals (1) the reference currency amount times (2) the 
adjustment factor as determined on the applicable valuation date, and 
the denominator equals the USD/JPY exchange rate on the applicable 
valuation date. Holders must redeem at least 100,000 Notes at one time 
in order to exercise their right to redeem their Notes on any 
redemption date. Barclays may from time to time in its sole discretion 
reduce, in part or in whole, the minimum redemption amount of 100,000 
Notes. Any such reduction will be applied on a consistent basis for all 
holders of Notes at the time the reduction becomes effective. A 
valuation date is each Thursday from the first Thursday after issuance 
of the Notes until the last Thursday before maturity of the Notes (the 
``final valuation date'') inclusive or, if such date is not a trading 
day, the next succeeding trading day, not to exceed five business days. 
A redemption date is the second business day following a valuation date 
(other than the final valuation date). The final redemption date will 
be the second business day following the valuation date immediately 
prior to the final valuation date.
    To redeem their Notes, Holders must instruct their broker or other 
person with whom they hold their Notes to take the following steps:
     Deliver a notice of redemption to Barclays via e-mail by 
no later than 11 a.m. ET on the business day prior to the applicable 
valuation date. If Barclays receives notice by the time specified in 
the preceding sentence, it will respond by sending a form of 
confirmation of redemption;
     Deliver the signed confirmation of redemption to Barclays 
via facsimile in the specified form by 4 p.m. ET on the same day. 
Barclays or its affiliate must acknowledge receipt in order for 
confirmation to be effective;
     Instruct their DTC custodian to book a delivery vs. 
payment trade with respect to their Notes on the valuation date at a 
price equal to the applicable Weekly Redemption Value, facing Barclays 
Capital DTC 5101; and
     Cause their DTC custodian to deliver the trade as booked 
for settlement via DTC at or prior to 10 a.m. ET on the applicable 
redemption date (the third business day following the valuation date).
    If holders elect to redeem their Notes, Barclays may request that 
Barclays Capital Inc. (a broker-dealer) purchase the Notes for the cash 
amount that would otherwise have been payable by Barclays upon 
redemption. In this case, Barclays will remain obligated to redeem the 
Notes if Barclays Capital Inc. fails to purchase the Notes. Any Notes 
purchased by Barclays Capital Inc. may remain outstanding.
    If an event of default occurs and the maturity of the Notes is 
accelerated, Barclays will pay the default amount in respect of the 
principal of the Notes at maturity. The default amount for the Notes on 
any day will be an amount, determined by the calculation agent in its 
sole discretion, equal to the cost of having a qualified financial 
institution, of the kind and selected as described below, expressly 
assume all Barclays' payment and other obligations with respect to the 
Notes as of that day and as if no default or acceleration had occurred, 
or to undertake other obligations providing substantially equivalent 
economic value to the holders of the Notes with respect to the Notes. 
That cost will equal:
     The lowest amount that a qualified financial institution 
would charge to effect this assumption or undertaking, plus
     The reasonable expenses, including reasonable attorneys' 
fees, incurred by the holders of the Notes in preparing

[[Page 6023]]

any documentation necessary for this assumption or undertaking.
    During the default quotation period for the Notes (described 
below), the holders of the Notes and/or Barclays may request a 
qualified financial institution to provide a quotation of the amount it 
would charge to effect this assumption or undertaking. If either party 
obtains a quotation, it must notify the other party in writing of the 
quotation. The amount referred to in the first bullet point above will 
equal the lowest--or, if there is only one, the only--quotation 
obtained, and as to which notice is so given, during the default 
quotation period. With respect to any quotation, however, the party not 
obtaining the quotation may object, on reasonable and significant 
grounds, to the assumption or undertaking by the qualified financial 
institution providing the quotation and notify the other party in 
writing of those grounds within two business days after the last day of 
the default quotation period, in which case that quotation will be 
disregarded in determining the default amount. The default quotation 
period is the period beginning on the day the default amount first 
becomes due and ending on the third business day after that day, 
unless:
     No quotation of the kind referred to above is obtained, or
     Every quotation of that kind obtained is objected to 
within five business days after the due date as described above.
    If either of these two events occurs, the default quotation period 
will continue until the third business day after the first business day 
on which prompt notice of a quotation is given as described above. If 
that quotation is objected to as described above within five business 
days after that first business day, however, the default quotation 
period will continue as described in the prior sentence and this 
sentence.
    In any event, if the default quotation period and the subsequent 
two business day objection period have not ended before the final 
valuation date, then the default amount will equal the stated principal 
amount of the Notes.\7\
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    \7\ Additional information about the default provisions of the 
Notes is provided in Barclays' Registration Statement on Form F-3 
(333-126811), as amended by Amendment No. 1 on September 14, 2005.
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Indicative Value

    An intraday ``Indicative Value'' meant to approximate the intrinsic 
economic value of the Notes will be calculated and published via the 
facilities of the Consolidated Tape Association (``CTA'') every 15 
seconds throughout the NYSE trading day on each day on which the Notes 
are traded on the Exchange.\8\
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    \8\ The Indicative Value calculation will be provided for 
reference purposes only. It is not intended as a price or quotation, 
or as an offer or solicitation for the purchase, sale, redemption or 
termination of the Notes, nor will it reflect hedging or transaction 
costs, credit considerations, market liquidity or bid-offer spreads. 
Published quotations of the USD/JPY exchange rate from Reuters may 
occasionally be subject to delay or postponement. Any such delays or 
postponements will affect the current USD/JPY exchange rate and 
therefore the Indicative Value of the Notes. The actual trading 
price of the Notes may be different from their indicative value.
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    Additionally, Barclays or an affiliate will calculate and publish 
the closing Indicative Value of the Notes on each trading day at 
www.ipathetn.com. The last sale price of the Notes will also be 
disseminated over the consolidated tape, subject to a 20-minute delay. 
In connection with the Notes, the term ``Indicative Value'' refers to 
the value at a given time determined based on the following equation:

Indicative Value = (Reference Currency Amount x Current Adjustment 
Factor)/Current USD/JPY Exchange Rate

    Where:

Current USD/JPY Exchange Rate = The exchange rate as reported on 
that day.

    The Current USD/JPY Exchange Rate used for the calculation of 
the Indicative Value will be the USD/JPY exchange rate disseminated 
by Bloomberg L.P. during the course of the trading day on a 15-
second delayed basis.

Continued Listing Criteria

    The Exchange prohibits the initial and/or continued listing of any 
security that is not in compliance with Rule 10A-3 under the Act.
    The Exchange will delist the Notes:
     If, following the initial 12-month period from the date of 
commencement of trading of the Notes: (i) The Notes have more than 60 
days remaining until maturity and there are fewer than 50 beneficial 
holders of the Notes for 30 or more consecutive trading days; (ii) if 
fewer than 100,000 Notes remain issued and outstanding; or (iii) if the 
market value of all outstanding Notes is less than $1,000,000.
     If, during the time the Notes trade on the Exchange, the 
Indicative Value ceases to be available on a 15-second delayed basis.
     If, during the time the Notes trade on the Exchange, the 
USD/JPY exchange rate ceases to be calculated or available on at least 
a 15-second delayed basis from one or more major market data vendors.
     If such other event shall occur or condition exists which 
in the opinion of the Exchange makes further dealings on the Exchange 
inadvisable.

Trading Halts

    If the Exchange Rate or the Indicative Value is not being 
disseminated as required, the Exchange may halt trading during the day 
on which the interruption to the dissemination of the Exchange Rate or 
the Indicative Value first occurs. If the interruption to the 
dissemination of the Exchange Rate or the Indicative Value 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.

Rules Applicable to Specialists in Currency-Related Securities

    Proposed Supplementary Material .10 to each of Rules 1300A and 
1301A will apply the provisions of Rule 1300A(b) and Rule 1301A to 
certain securities listed on the Exchange pursuant to Section 703.19 
(``Other Securities'') of the Exchange's Listed Company Manual. 
Specifically, Rules 1300A(b) and 1301A will apply to securities listed 
under Section 703.19 where the price of such securities is based in 
whole or part on the price of (a) A non-U.S. currency or currencies, 
(b) any futures contracts or other derivatives based on a non-U.S. 
currency or currencies, or (c) any index based on either (a) or (b) 
above. As a result of application of Rule 1300A(b), the specialist in 
the Notes, the specialist's member organization and other specified 
persons will be prohibited under paragraph (m) of Exchange Rule 105 
Guidelines from acting as market maker or functioning in any capacity 
involving market-making responsibilities in the Japanese yen, options, 
futures or options on futures on the Japanese yen, or any other 
derivatives based on the Japanese yen (collectively, ``derivative 
instruments''). If the member organization acting as specialist in the 
Notes is entitled to an exemption under NYSE Rule 98 from paragraph (m) 
of NYSE Rule 105 Guidelines, then that member organization could act in 
a market making capacity in the Japanese yen or derivative instruments 
based on the Japanese yen, other than as a specialist in the Notes 
themselves, in another market center.
    Under Rule 1301A(a), the member organization acting as specialist 
in the Notes (1) will be obligated to conduct all trading in the Notes 
in its specialist account, (subject only to the ability to have one or 
more investment accounts, all of which must be reported to the 
Exchange), (2) will be required to file with the Exchange and keep 
current a

[[Page 6024]]

list identifying all accounts for trading in the Japanese yen or 
derivative instruments based on the Japanese yen, which the member 
organization acting as specialist may have or over which it may 
exercise investment discretion, and (3) will be prohibited from trading 
in the Japanese yen or derivative instruments based on the Japanese 
yen, in an account in which a member organization acting as specialist, 
controls trading activities which have not been reported to the 
Exchange as required by Rule 1301A.
    Under Rule 1301A(b), the member organization acting as specialist 
in the Notes will be required to make available to the Exchange such 
books, records or other information pertaining to transactions by the 
member organization and other specified persons for its or their own 
accounts in the Japanese yen or derivative instruments based on the 
Japanese yen, as may be requested by the Exchange. This requirement is 
in addition to existing obligations under Exchange rules regarding the 
production of books and records.
    Under Rule 1301A(c), in connection with trading the Japanese yen or 
derivative instruments based on the Japanese yen, the specialist could 
not use any material nonpublic information received from any person 
associated with a member or employee of such person regarding trading 
by such person or employee in the Japanese yen or derivative 
instruments based on the Japanese yen.

Surveillance

    The Exchange's surveillance procedures will incorporate and rely 
upon existing Exchange surveillance procedures governing equities with 
respect to surveillance of the Notes. The Exchange believes that these 
procedures are adequate to monitor Exchange trading of the Notes and to 
detect violations of Exchange rules, thereby deterring manipulation. In 
this regard, the Exchange currently has the authority under NYSE Rule 
476 to request the Exchange specialist in the Notes to provide NYSE 
Regulation with information that the specialist uses in connection with 
pricing the Notes on the Exchange, including specialist, proprietary or 
other information regarding securities, currencies, futures, options on 
futures or other derivative instruments. The Exchange believes it also 
has authority to request any other information from its members--
including floor brokers, specialists and ``upstairs'' firms--to fulfill 
its regulatory obligations.
    The Exchange's current trading surveillances focus on detecting 
securities trading outside normal patterns. When such situations are 
detected, surveillance analysis follows and investigations are opened, 
where appropriate, to review the behavior of all relevant parties for 
all relevant trading violations.
    The Exchange is able to obtain information regarding trading in the 
Notes, yen options and yen futures through NYSE members, in connection 
with such members' proprietary or customer trades which they effect on 
any relevant market. In addition, the Exchange may obtain trading 
information via the Intermarket Surveillance Group (``ISG'') from other 
exchanges who are members or affiliates of the ISG. Specifically, the 
NYSE can obtain such information from the Philadelphia Stock Exchange 
(``Phlx'') in connection with yen options trading on the Phlx and from 
the Chicago Mercantile Exchange (``CME'') in connection with yen 
futures trading on the CME.\9\
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    \9\ The Phlx is a full member and the CME is an affiliate member 
of the ISG.
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Trading Rules

    The Exchange's existing trading rules will apply to trading of the 
Notes. The Notes will trade between the hours of 9:30 a.m. and 4 p.m. 
ET and will be subject to the equity margin rules of the Exchange.

Suitability

    Pursuant to Exchange Rule 405, the Exchange will impose a duty of 
due diligence on its members and member firms to learn the essential 
facts relating to every customer prior to trading the Notes.\10\ With 
respect to suitability recommendations and risks, the Exchange will 
require members, member organizations and employees thereof 
recommending a transaction in the Notes: (1) To determine that such 
transaction is suitable for the customer, and (2) to have a reasonable 
basis for believing that the customer can evaluate the special 
characteristics of, and is able to bear the financial risks of, such 
transaction.
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    \10\ NYSE Rule 405 requires that every member, member firm or 
member corporation use due diligence to learn the essential facts 
relative to every customer and to every order or account accepted.
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Information Memorandum

    The Exchange will, prior to trading the Notes, distribute an 
information memorandum to the membership providing guidance with regard 
to member firm compliance responsibilities (including suitability 
recommendations) when handling transactions in the Notes. The 
information memorandum will note to members language in the prospectus 
used by Barclays in connection with the sale of the Notes regarding 
prospectus delivery requirements for the Notes. In the initial 
distribution of the Notes, and during any subsequent distribution of 
the Notes, NYSE member organizations will deliver a prospectus to 
investors purchasing from such distributors.\11\
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    \11\ The Registration Statement reserves the right to make 
subsequent distributions of these Notes.
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    The information memorandum will discuss the special characteristics 
and risks of trading this type of security. Specifically, the 
information memorandum, among other things, will discuss what the Notes 
are, how the Notes are redeemed, applicable Exchange rules, 
dissemination of information regarding the Indicative Value, the USD/
JPY exchange rate, trading information and applicable suitability 
rules.
    The information memorandum will also notify members and member 
organizations about the procedures for redemptions of Notes and that 
Notes are not individually redeemable but are redeemable only in 
aggregations of at least 100,000 Notes. The information memorandum will 
also discuss any relief, if granted, by the Commission or the staff 
from any rules under the Act. The information memorandum will also 
reference that there is no regulated source of last sale information 
regarding currency exchange rates and that the Commission has no 
jurisdiction over the trading of currencies on which the value of the 
Notes is based.
2. Statutory Basis
    The proposed rule change is consistent with Section 6(b) of the 
Act,\12\ in general, and furthers the objectives of Section 
6(b)(5),\13\ 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.
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    \12\ 15 U.S.C. 78f(b).
    \13\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act.

[[Page 6025]]

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

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

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 NYSE 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.
    NYSE has requested accelerated approval of this proposed rule 
change prior to the 30th day after the date of publication of the 
notice of the filing thereof. The Commission has determined that a 15-
day comment period is appropriate in this case.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://
www.sec.gov/rules/sro.shtml); or
     Send an e-mail to rule-comments@sec.gov. Please include 
File Number SR-NYSE-2006-68.

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-NYSE-2006-68. This 
file number should be included on the subject line if e-mail is used. 
To help the Commission process and review your comments more 
efficiently, please use only one method. The Commission will post all 
comments on the Commission's Internet Web site (http://www.sec.gov/
rules/sro.shtml). Copies of the submission, all subsequent amendments, 
all written statements with respect to the proposed rule change that 
are filed with the Commission, and all written communications relating 
to the proposed rule change between the Commission and any person, 
other than those that may be withheld from the public in accordance 
with the provisions of 5 U.S.C. 552, will be available for inspection 
and copying in the Commission's Public Reference Room. Copies of the 
filing also will be available for inspection and copying at the 
principal office of the Exchange. All comments received will be posted 
without change; the Commission does not edit personal identifying 
information from submissions. You should submit only information that 
you wish to make available publicly. All submissions should refer to 
File Number SR-NYSE-2006-68 and should be submitted on or before 
February 23, 2007.

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\14\
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    \14\ 17 CFR 200.30-3(a)(12).
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Nancy M. Morris,
Secretary.
[FR Doc. E7-2061 Filed 2-7-07; 8:45 am]
BILLING CODE 8010-01-P