Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing of Proposed Rule Change To List and Trade Nine Series of Exchange-Traded Notes of Barclays Bank PLC Linked to the Performance of Sub-Indices of the Dow Jones-AIG Commodity IndexSM, 9599-9606 [E7-3670]
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Federal Register / Vol. 72, No. 41 / Friday, March 2, 2007 / Notices
registration statement or by any other
means, unless applicants have requested
and received with respect to such new
series, either exemptive relief from the
Commission or a no-action position
from the Division of Investment
Management of the Commission.
2. The Trust’s prospectus and the
Product Description clearly disclose
that, for purposes of the Act, Nasdaq100 Shares are issued by the Trust and
that the acquisition of Nasdaq-100
Shares by investment companies is
subject to the restrictions of section
12(d)(1) of the Act, except as permitted
by an exemptive order that permits
registered investment companies to
invest in the Trust beyond the limits of
Section 12(d)(1)(A), subject to certain
terms and conditions, including that the
investment company enter into an
agreement with the Trust regarding the
terms of the investment.
3. As long as the Trust operates in
reliance on the requested order, the
Nasdaq-100 Shares will be listed on an
Exchange.
4. The website for the Trust, which
will be publicly accessible at no charge,
will contain the following information,
on a per Nasdaq-100 Share basis, for the
Trust: (a) The prior Business Day’s NAV
and the reported closing price, and a
calculation of the premium or discount
of such price against such NAV; and (b)
data in chart format displaying the
frequency distribution of discounts and
premiums of the daily closing price
against the NAV, within appropriate
ranges, for each of the four previous
calendar quarters. In addition, the
Product Description for the Trust will
state that the website for the Trust has
information about premiums and
discounts at which the Nasdaq-100
Shares have traded.
5. The prospectus and annual report
for the Trust will also include: (a) The
information listed in condition 4(b), (i)
in the case of the prospectus, for the
most recently completed year (and the
most recently completed quarter or
quarters, as applicable) and (ii) in the
case of the annual report, for the
immediately preceding five years, as
applicable; and (b) the following data,
calculated on a per Nasdaq-100 Share
basis for one-, five- and ten-year periods
(or life of the Trust), (i) the cumulative
total return and the average annual total
return based on NAV and closing price,
and (ii) the cumulative total return of
the Index.
6. Before the Trust may rely on the
order, the Commission will have
approved pursuant to rule 19b–4 under
the Exchange Act, an Exchange rule
requiring Exchange members and
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member organizations effecting
transactions in Nasdaq-100 Shares to
deliver a Product Description to
purchasers of Nasdaq-100 Shares.
For the Commission, by the Division of
Investment Management, pursuant to
delegated authority.
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–3677 Filed 3–1–07; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release Nos. 33–8782, 34–55350; File No.
4–532]
Roundtable on International Financial
Reporting Standards ‘‘Roadmap’’
Securities and Exchange
Commission.
ACTION: Notice of roundtable meeting.
AGENCY:
SUMMARY: On Tuesday, March 6, 2007
the Securities and Exchange
Commission will hold a roundtable
discussion on the ‘‘roadmap’’ regarding
International Financial Reporting
Standards (IFRS). The roadmap
describes the path toward eliminating
the need for non-U.S. companies to
reconcile to U.S. GAAP financial
statements they prepare pursuant to
IFRS issued by the International
Accounting Standards Board in filings
with the Commission. The subject
matter of the roundtable will be the
effect on the capital raising process in
the U.S. capital markets with respect to
the roadmap, the effect on investors in
the U.S. capital markets with respect to
the roadmap, and the effect on issuers
in the U.S capital markets with respect
to the roadmap. Representative(s) of the
following have been invited to
participate: Issuers, investors, securities
counsel, underwriters, credit rating
agencies, stock exchanges, academia,
and audit firms.
The roundtable will take place at the
Commission’s headquarters at 100 F
Street, NE., Auditorium, Room L–002,
Washington, DC at 10 a.m. The public
is invited to observe the roundtable
discussions. Seating is available on a
first-come, first-serve basis.
FOR FURTHER INFORMATION CONTACT:
Katrina Kimpel at (202) 551–5313.
Dated: February 26, 2007.
By the Commission.
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–3645 Filed 3–1–07; 8:45 am]
BILLING CODE 8010–01–P
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9599
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–55352; File No. SR–NYSE–
2006–71]
Self-Regulatory Organizations; New
York Stock Exchange LLC; Notice of
Filing of Proposed Rule Change To
List and Trade Nine Series of
Exchange-Traded Notes of Barclays
Bank PLC Linked to the Performance
of Sub-Indices of the Dow Jones—AIG
Commodity IndexSM
February 26, 2007.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Exchange Act’’),1 and Rule 19b–4
thereunder,2 notice is hereby given that
on February 20, 2007, the New York
Stock Exchange LLC (‘‘Exchange’’ or
‘‘NYSE’’) 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 substantially prepared by the
Exchange. The Commission is
publishing this notice to solicit
comments on the proposed rule changes
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The NYSE proposes to list and trade
nine series of Exchange-Traded Notes of
Barclays Bank PLC (‘‘Barclays’’) linked
to the performance of sub-indices of the
Dow Jones—AIG Commodity Index SM.
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.
The text of the proposed rule change
is available at the NYSE, the
Commission’s Public Reference Room,
and https://www.nyse.com.
1 15
2 17
U.S.C. 78s(b)(1).
CFR 240.19b–4.
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A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
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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.3 The Exchange
proposes to list and trade, under Section
703.19 of the Manual, nine series of the
Notes, which are linked to the
performance of the following subindices (the sub-index linked to each
series of Notes is referred to in this
filing as the ‘‘Index’’ with respect to that
series) of the Dow Jones—AIG
Commodity Index SM: the Dow Jones—
AIG Petroleum Total Return SubIndex SM; the Dow Jones—AIG Livestock
Total Return Sub-Index SM; the Dow
Jones—AIG Agriculture Total Return
Sub-Index SM; the Dow Jones—AIG
Grains Total Return Sub-Index SM; the
Dow Jones—AIG Energy Total Return
Sub-Index SM; the Dow Jones—AIG
Precious Metals Total Return SubIndex SM; the Dow Jones—AIG ExEnergy
Total Return Sub-Index SM; the Dow
Jones—AIG Industrial Metals Total
Return Sub-Index SM; and the Dow
Jones—AIG Softs Total Return SubIndex SM. Barclays intends to issue the
Notes under the name ‘‘iPath SM
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,4 which is a listed
company in good standing, the Notes
will have a minimum life of one year,
the minimum public market value of
each series of the Notes at the time of
issuance will exceed $4 million, there
will be at least one million units of each
series of Notes outstanding, and there
will be at least 400 holders of each
series at the time of issuance. The Notes
are medium-term debt securities of
3 See Securities Exchange Act Release No. 28217
(July 18, 1990), 55 FR 30056 (July 24, 1990).
4 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
tangible net worth.
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Barclays that provide for a cash
payment at maturity or upon earlier
exchange at the holder’s option, based
on the performance of the Index subject
to the adjustments described below. The
original issue price of each Note is
expected to be $50. The Notes will trade
on the Exchange’s equity trading floor
and the Exchange’s existing equity
trading rules will apply to trading in the
Notes. The Notes will not have a
minimum principal amount that will be
repaid and, accordingly, payment on the
Notes prior to or at maturity may be less
than the original issue price of the
Notes. In fact, the value of the Index
must increase for the investor to receive
at least the $50 original issue price per
Note at maturity or upon redemption. If
the value of the Index decreases or does
not increase sufficiently to offset the
investor fee (described below), the
investor will receive less, and possibly
significantly less, than the $50 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.
Holders who have not previously
redeemed their Notes will receive a cash
payment at maturity equal to the
original issue price of their Notes times
the index factor on the Final Valuation
Date (as defined below) minus the
investor fee on the Final Valuation Date.
The ‘‘index factor’’ on any given day
will be equal to the closing value of the
Index on that day divided by the initial
index level. The ‘‘initial index level’’ is
the closing value of the Index on the
date of issuance of the Notes (the ‘‘Trade
Date’’) and the ‘‘final index level’’ is the
closing value of the Index on the Final
Valuation Date. The investor fee is equal
to 0.75% per year times the principal
amount of a holder’s Notes times the
index factor, calculated on a daily basis
in the following manner: The investor
fee on the Trade Date will equal zero.
On each subsequent calendar day until
maturity or early redemption, the
investor fee will increase by an amount
equal to 0.75% times the principal
amount of a holder’s Notes times the
index factor on that day (or, if such day
is not a trading day, the index factor on
the immediately preceding trading day)
divided by 365. The investor fee is the
only fee holders who hold their Notes
until maturity will be charged in
connection with their ownership of the
Notes (investors who redeem their Notes
early, as described below, will be
charged an additional fee in the form of
an adjustment to the index factor).
Prior to maturity, holders may redeem
their Notes on any Redemption Date
(defined below) during the term of the
PO 00000
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Notes provided that they present at least
50,000 Notes for redemption, or they act
through a broker or other financial
intermediaries (such as a bank or other
financial institution not required to
register as a broker-dealer to engage in
securities transactions) that are willing
to bundle their Notes for redemption
with other investors’ Notes. If a holder
chooses to redeem such holder’s Notes,
the holder will receive a cash payment
on the applicable Redemption Date
equal to the initial issue price of such
holder’s Notes times the adjusted index
factor on the applicable Valuation Date
minus the investor fee on the applicable
Valuation Date. The adjusted index
factor on any given day will be equal to
the closing value of the Index on that
day times 0.9975 divided by the initial
Index level. A ‘‘Redemption Date’’ is the
third business day following a Valuation
Date (other than the Final Valuation
Date (defined below)). A ‘‘Valuation
Date’’ is each Thursday from the first
Thursday after issuance of the Notes
until the last Thursday before maturity
of the Notes (the ‘‘Final Valuation
Date’’) inclusive (or, if such date is not
a trading day,5 the next succeeding
trading day), unless the calculation
agent determines that a market
disruption event, as described below,
occurs or is continuing on that day.6 In
that event, the Valuation Date for the
maturity date or corresponding
Redemption Date, as the case may be,
will be the first following trading day on
which the calculation agent determines
that a market disruption event does not
occur and is not continuing. In no event,
however, will a Valuation Date be
postponed by more than five trading
days.7
Any of the following will be a market
disruption event: (i) A material
limitation, suspension or disruption in
the trading of any Index component
which results in a failure by the trading
facility on which the relevant contract is
traded to report a daily contract
reference price (i.e., the price of the
relevant contract that is used as a
reference or benchmark by market
5 A ‘‘trading day’’ is a day on which (i) the value
of the Index is published by AIG–FP and Dow
Jones, (ii) trading is generally conducted on the
Exchange and (iii) trading is generally conducted on
the markets on which the futures contracts
underlying the Index are traded, in each case as
determined by the calculation agent in its sole
discretion.
6 Barclays will serve as the initial calculation
agent.
7 If a ‘‘market disruption event’’ is of more than
a temporary nature, the Exchange will file a
proposed rule change pursuant to Rule 19b–4
seeking Commission approval to continue trading
the Notes. Unless approved for continued trading,
the Exchange would commence delisting
proceedings.
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Federal Register / Vol. 72, No. 41 / Friday, March 2, 2007 / Notices
participants); (ii) the daily contract
reference price for any Index component
is a ‘‘limit price,’’ which means that the
daily contract reference price for such
contract has increased or decreased
from the previous day’s daily contract
reference price by the maximum amount
permitted under the applicable rules or
procedures of the relevant trading
facility; (iii) failure by AIG–FP and Dow
Jones to publish the closing value of the
Index or of the applicable trading
facility or other price source to
announce or publish the daily contract
reference price for one or more Index
component; or (iv) any other event, if
the calculation agent determines in its
sole discretion that the event materially
interferes with Barclays’ ability or the
ability of any of Barclays’ affiliates to
unwind all or a material portion of a
hedge with respect to the Notes that
Barclays or Barclays’ affiliates have
effected or may effect as described
herein in connection with the sale of the
Notes.
If a Valuation Date is postponed by
five trading days, that fifth day will
nevertheless be the date on which the
value of the Index will be determined by
the calculation agent. In such an event,
the calculation agent will make a good
faith estimate in its sole discretion of
the value of the Index.
To redeem their Notes, holders must
instruct their broker or other person
through whom they hold their Notes to
take the following steps:
• Deliver a notice of redemption to
Barclays via e-mail by no later than 11
a.m. Eastern time (‘‘ET’’) on the business
day prior to the applicable Valuation
Date. If Barclays receives such notice by
the time specified in the preceding
sentence, it will respond by sending the
holder a confirmation of redemption;
• Deliver the signed confirmation of
redemption to Barclays via facsmile in
the specified form by 4 p.m. ET on the
same day; Barclays must acknowledge
receipt in order for the confirmation to
be effective; and
• Transfer such holder’s book-entry
interest in its Notes to the trustee on
Barclays’ behalf 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.
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18:44 Mar 01, 2007
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If an event of default occurs and the
maturity of the Notes is accelerated,
Barclays will pay the default amount in
respect of the principal of the Notes at
maturity. The default amount for the
Notes on any day will be an amount,
determined by the calculation agent in
its sole discretion, equal to the cost of
having a qualified financial institution,
of the kind and selected as described
below, expressly assume all Barclays’
payment and other obligations with
respect to the Notes as of that day and
as if no default or acceleration had
occurred, or to undertake other
obligations providing substantially
equivalent economic value to the
holders of the Notes with respect to the
Notes. That cost will equal:
• The lowest amount that a qualified
financial institution would charge to
effect this assumption or undertaking,
plus
• The reasonable expenses, including
reasonable attorneys’ fees, incurred by
the holders of the Notes in preparing
any documentation necessary for this
assumption or undertaking.
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
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9601
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.8
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.9
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 = Principal Amount
per Unit X (Current Index Level/
Initial Index Level) ¥ Current
Investor Fee
Where:
Principal Amount per Unit = $50;
Current Index Level = The most recent
published level of the Index as reported
by Dow Jones and AIG–FP;
Initial Index Level = The Index level on the
trade date for the Notes; and
Current Investor Fee = The most recent daily
calculation of the investor fee with
respect to the Notes, determined as
described above (which, during any
trading day, will be the investor fee
determined on the preceding calendar
8 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.
9 The Indicative Value calculation will be
provided for reference purposes only. It is not
intended as a price or quotation, or as an offer or
solicitation for the purchase, sale, redemption or
termination of the Notes, nor does it reflect hedging
or transaction costs, credit considerations, market
liquidity or bid-offer spreads. Published Index
levels from the sponsors may occasionally be
subject to delay or postponement. Any such delays
or postponements will affect the current Index level
and therefore the Indicative Value of the Notes.
Index levels provided by the sponsors will not
necessarily reflect the depth and liquidity of the
underlying commodities markets. For this reason
and others, the actual trading price of the Notes
may be different from their Indicative Value.
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Federal Register / Vol. 72, No. 41 / Friday, March 2, 2007 / Notices
day).
The Indicative Value will not reflect
price changes to the price of an
underlying commodity between the
close of trading of the futures contract
at the relevant futures exchange and the
close of trading on the NYSE at 4 p.m.
ET. The value of the Notes may
accordingly be influenced by nonconcurrent trading hours between the
NYSE and the various futures exchanges
on which the futures contracts based on
the Index commodities are traded.
While the Notes will trade on the NYSE
from 9:30 a.m. to 4 p.m. ET, the table
below lists the trading hours for all of
the components of each series of Notes.
CBOT
Corn 10:30 a.m.–2:15 p.m. ET
Soybeans 10:30 a.m.–2:15 p.m. ET
Soybean Oil 10:30 a.m.–2:15 p.m.
ET
Wheat 10:30 a.m.–2:15 p.m. ET
CME
Lean Hogs 10:10 a.m.–2 p.m. ET
Live Cattle 10:05 a.m.–2 p.m. ET
CSCE
Coffee 9:15 a.m.–12:30 p.m. ET
Sugar #11 9 a.m.–12 p.m. ET
NYBOT
Cotton #2 10:30 a.m.–2:15 p.m. ET
NYMEX
Copper 8:10 a.m.–1 p.m. ET
Gold 8:20 a.m.–1:30 p.m. ET
Heating Oil 10:05 a.m.–2:30 p.m. ET
Natural Gas 10 a.m.–2:30 p.m. ET
Silver 8:25 a.m.–1:25 p.m. ET
Unleaded Gasoline 10:05 a.m.–2:30
p.m. ET
WTI Crude Oil 10 a.m.–2:30 p.m. ET
LME
Aluminum 6:55 a.m.–12 p.m. ET
Nickel 7:15 a.m.–11:55 a.m. ET
Zinc 7:10 a.m.–11:55 a.m. ET
While the market for futures trading
for each of the Index commodities is
open, the Indicative Value can be
expected to closely approximate the
redemption value of the Notes.
However, during NYSE trading hours
when the futures contracts have ceased
trading, spreads and resulting premiums
or discounts may widen, and therefore,
increase the difference between the
price of the Notes and their redemption
value. The Indicative Value
disseminated during NYSE trading
hours should not be viewed as a real
time update of the redemption value.
Description of the Indices
All of the indices to which the Notes
included in this filing are linked are
sub-indices of the Dow Jones—AIG
Commodity Index SM. The Commission
has previously reviewed and approved
for listing Exchange-Traded Notes
linked to the Dow Jones—AIG
Commodity Index Total Return SM and it
is described in detail in the related
filing.10 At present, Dow Jones
disseminates the Index value of each
sub-index every 15 seconds (assuming
the Index value has changed within
such 15 second interval) from 8 a.m. to
3 p.m. ET and publishes a daily Index
value at approximately 4 p.m. ET on
each day on which the Index is
calculated. The sub-index values can
still be retrieved after 3 p.m. until the
end of the Exchange trading day but
their values are generally static after 3
p.m., although they may change if
settlement values for Index components
become available after that time.
The following is a description of the
components of the various sub-indices
of the Dow Jones—AIG Commodity
Index SM to which the various Notes are
linked.
Dow Jones—AIG Petroleum Total Return
Sub-Index SM
The index includes those contracts in
the Dow Jones—AIG Commodity
Index SM that relate to petroleum-related
commodities: Crude oil, heating oil and
unleaded gasoline. The relative
weighting of each contract in the index
as of August 15, 2006 was as follows:
Commodity
Designated contract
Exchange
Crude Oil ...................................................
Heating Oil ................................................
Unleaded Gasoline ...................................
Oil ..............................................................
Heating Oil ................................................
New York Harbor Unleaded Gasoline ......
NYMEX .....................................................
NYMEX .....................................................
NYMEX .....................................................
Dow Jones—AIG Livestock Total Return
Sub-Index SM
The index includes those contracts in
the Dow Jones—AIG Commodity
Designated contract
Exchange
Live Cattle .................................................
Hogs ..........................................................
Live Cattle .................................................
Lean Hogs ................................................
CME ..........................................................
CME ..........................................................
soybean oil, soybeans and wheat. The
relative weighting of each contract in
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The index includes those contracts in
the Dow Jones—AIG Commodity
Index SM that relate to agricultural
commodities: Coffee, corn, cotton,
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18:44 Mar 01, 2007
Jkt 211001
62.43
19.05
18.51
Index SM that relate to livestock: Hogs
and live cattle. The relative weighting of
each contract in the index as of August
15, 2006 was as follows:
Commodity
Dow Jones—AIG Agriculture Total
Return Sub-Index SM
Weighting
(percent)
PO 00000
Weighting
(percent)
57.72
42.28
the index as of August 15, 2006 was as
follows:
10 See Securities Exchange Act Release No. 53876
(May 25, 2006), 71 FR 32158 (June 2, 2006) (SR–
NYSE–2006–16).
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Commodity
Designated contract
Soybeans ..................................................
Corn ..........................................................
Wheat ........................................................
Cotton ........................................................
Soybean Oil ..............................................
Coffee ........................................................
Sugar .........................................................
Soybeans ..................................................
Corn ..........................................................
Wheat ........................................................
Cotton .......................................................
Soybean Oil ..............................................
Coffee ‘‘C’’ ................................................
World Sugar No. 11 ..................................
Dow Jones—AIG Grains Total Return
Sub-Index SM
The index includes those contracts in
the Dow Jones—AIG Commodity
Exchange
CBOT
CBOT
CBOT
NYCE
CBOT
CSCE
CSCE
........................................................
........................................................
........................................................
........................................................
........................................................
........................................................
........................................................
Designated contract
Exchange
Soybeans ..................................................
Corn ..........................................................
Wheat ........................................................
Soybeans ..................................................
Corn ..........................................................
Wheat ........................................................
CBOT ........................................................
CBOT ........................................................
CBOT ........................................................
The index includes those contracts in
the Dow Jones—AIG Commodity
Index SM that relate to energy-related
commodities: Crude oil, heating oil,
natural gas and unleaded gasoline. The
relative weighting of each contract in
Commodity
Crude Oil ...................................................
Natural Gas ...............................................
Heating Oil ................................................
Unleaded Gasoline ...................................
Oil ..............................................................
Henry Hub Natural Gas ............................
Heating Oil ................................................
New York Harbor Unleaded Gasoline ......
The index includes those contracts in
the Dow Jones—AIG Commodity
Exchange
NYMEX
NYMEX
NYMEX
NYMEX
Index SM that relate to commodities
other than energy: Aluminum, coffee,
copper, corn, cotton, gold, hogs, live
cattle, nickel, silver, soybeans, soybean
.....................................................
.....................................................
.....................................................
.....................................................
Exchange
Copper ......................................................
Aluminum ..................................................
Gold ...........................................................
Soybeans ..................................................
Corn ..........................................................
Live Cattle .................................................
Wheat ........................................................
Nickel ........................................................
Zinc ...........................................................
Hogs ..........................................................
Cotton ........................................................
Soybean Oil ..............................................
Silver .........................................................
Coffee ........................................................
Sugar .........................................................
pwalker on PROD1PC71 with NOTICES
Designated contract
Copper ......................................................
High Grade Primary Aluminum .................
Gold ..........................................................
Soybeans ..................................................
Corn ..........................................................
Live Cattle .................................................
Wheat ........................................................
Primary Nickel ...........................................
Zinc ...........................................................
Lean Hogs ................................................
Cotton .......................................................
Soybean Oil ..............................................
Silver .........................................................
Coffee ‘‘C’’ ................................................
World Sugar No. 11 ..................................
NYMEX .....................................................
LME ...........................................................
NYMEX .....................................................
CBOT ........................................................
CBOT ........................................................
CME ..........................................................
CBOT ........................................................
LMED ........................................................
LME ...........................................................
CME ..........................................................
NYCE ........................................................
CBOT ........................................................
NYMEX .....................................................
CSCE ........................................................
CSCE ........................................................
The index includes those contracts in
the Dow Jones—AIG Commodity
Index SM that relate to commodities
VerDate Aug<31>2005
18:44 Mar 01, 2007
Jkt 211001
other than energy: Aluminum, coffee,
copper, corn, cotton, gold, hogs, live
cattle, nickel, silver, soybeans, soybean
oil, sugar, wheat and zinc. The relative
PO 00000
Frm 00103
Fmt 4703
Sfmt 4703
Weighting
(percent)
37.10
33.52
29.38
Weighting
(percent)
42.41
32.07
12.94
12.58
oil, sugar, wheat and zinc. The relative
weighting of each contract in the index
as of August 15, 2006 was as follows:
Commodity
Dow Jones—AIG ExEnergy Total Return
Sub-Index SM
23.36
21.11
18.50
10.27
10.07
8.46
8.23
the index as of August 15, 2006 was as
follows:
Designated contract
Dow Jones—AIG Precious Metals Total
Return Sub-Index SM
Weighting
(percent)
Index SM that relate to grains: Corn,
soybeans and wheat. The relative
weighting of each contract in the index
as of August 15, 2006 was as follows:
Commodity
Dow Jones—AIG Energy Total Return
Sub-Index SM
9603
Weighting
(percent)
12.63
9.52
9.34
9.29
8.39
7.47
7.36
6.54
5.85
5.47
4.08
4.00
3.43
3.36
3.27
weighting of each contract in the index
as of August 15, 2006 was as follows:
E:\FR\FM\02MRN1.SGM
02MRN1
9604
Federal Register / Vol. 72, No. 41 / Friday, March 2, 2007 / Notices
Commodity
Designated contract
Exchange
Copper ......................................................
Aluminum ..................................................
Gold ...........................................................
Soybeans ..................................................
Corn ..........................................................
Live Cattle .................................................
Wheat ........................................................
Nickel ........................................................
Zinc ...........................................................
Hogs ..........................................................
Cotton ........................................................
Soybean Oil ..............................................
Silver .........................................................
Coffee ........................................................
Sugar .........................................................
Copper ......................................................
High Grade Primary Aluminum .................
Gold ..........................................................
Soybeans ..................................................
Corn ..........................................................
Live Cattle .................................................
Wheat ........................................................
Primary Nickel ...........................................
Zinc ...........................................................
Lean Hogs ................................................
Cotton .......................................................
Soybean Oil ..............................................
Silver .........................................................
Coffee ‘‘C’’ ................................................
World Sugar No. 11 ..................................
NYMEX .....................................................
LME ...........................................................
NYMEX .....................................................
CBOT ........................................................
CBOT ........................................................
CME ..........................................................
CBOT ........................................................
LME ...........................................................
LME ...........................................................
CME ..........................................................
NYCE ........................................................
CBOT ........................................................
NYMEX .....................................................
CSCE ........................................................
CSCE ........................................................
Dow Jones–AIG Industrial Metals Total
Return Sub-Index SM
The index includes those contracts in
the Dow Jones—AIG Commodity
Index SM that relate to industrial metals:
Aluminum, copper, nickel and zinc.
The relative weighting of each contract
Designated contract
Exchange
Copper ......................................................
Aluminum ..................................................
Nickel ........................................................
Zinc ...........................................................
Copper ......................................................
High Grade Primary Aluminum .................
Primary Nickel ...........................................
Zinc ...........................................................
NYMEX .....................................................
LME ...........................................................
LME ...........................................................
LME ...........................................................
The index includes those contracts in
the Dow Jones—AIG Commodity
Exchange
Cotton ........................................................
Coffee ........................................................
Sugar .........................................................
pwalker on PROD1PC71 with NOTICES
Designated contract
Cotton .......................................................
Coffee ‘‘C’’ ................................................
World Sugar No. 11 ..................................
NYCE ........................................................
CSCE ........................................................
CSCE ........................................................
11 17
CFR 240.10A–3.
VerDate Aug<31>2005
18:44 Mar 01, 2007
Jkt 211001
Weighting
(percent)
36.56
27.56
18.95
16.93
Index SM that relate to soft commodities:
Coffee, cotton and sugar. The relative
weighting of each contract in the index
as of August 15, 2006 was as follows:
Commodity
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 Exchange Act.11
The Exchange will delist any series of
the Notes:
• (i) If, following the initial twelve
month period from the date of
commencement of trading of the Notes,
the Notes have more than 60 days
remaining until maturity and there are
fewer than 50 beneficial holders of the
Notes for 30 or more consecutive trading
days; (ii) if fewer than 100,000 Notes
remain issued and outstanding; or (iii)
if the market value of all outstanding
Notes is less than $1,000,000.
• If the Index value ceases to be
calculated or available during the time
the Notes trade on the Exchange on at
12.63
9.52
9.34
9.29
8.39
7.47
7.36
6.54
5.85
5.47
4.08
4.00
3.43
3.36
3.27
in the index as of August 15, 2006 was
as follows:
Commodity
Dow Jones—AIG Softs Total Return SubIndex SM
Weighting
(percent)
least a 15 second basis through one or
more major market data vendors or the
sponsors of the Index.
• If, during the time the Notes trade
on the Exchange, the Indicative Value
ceases to be available on a 15 second
delayed basis.
• If such other event shall occur or
condition exists which in the opinion of
the Exchange makes further dealings on
the Exchange inadvisable.
The Exchange will also delist any
series of the Notes if:
• Dow Jones and AIG-FP substantially
change either the Index component
selection methodology or the weighting
methodology.
• If a new component is added to the
Index (or pricing information is used for
a new or existing component) that
constitutes more than 10% of the weight
of the Index with whose principal
trading market the Exchange does not
PO 00000
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Fmt 4703
Sfmt 4703
Weighting
(percent)
38.09
31.38
30.53
have a comprehensive surveillance
sharing agreement.12
• If a successor or substitute index is
used in connection with the Notes. The
filing will address, among other things
the listing and trading characteristics of
the successor or substitute index and
the Exchange’s surveillance procedures
applicable thereto.
Notwithstanding the foregoing, the
Exchange may continue the listing of a
series of the Notes if, prior to the
implementation of any of the foregoing
changes, the Exchange files a proposed
12 The Exchange will contact the Commission
staff whenever Dow Jones and AIG–FP add a new
component to the Index using pricing information
from a market with which the Exchange does not
have a previously existing information sharing
agreement or switches to using pricing information
from such a market with respect to an existing
component. In such circumstances, the Exchange
will discuss with the Commission staff whether a
filing under Rule 19b–4 is necessary.
E:\FR\FM\02MRN1.SGM
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Federal Register / Vol. 72, No. 41 / Friday, March 2, 2007 / Notices
rule change pursuant to Rule 19b–4
under the Exchange Act and the
Commission approves such filing.
pwalker on PROD1PC71 with NOTICES
Trading Halts
If the Index value 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
Index value or the Indicative Value first
occurs. If the interruption to the
dissemination of the Index value 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.
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, commodities,
futures, options on futures or other
derivative instruments. The Exchange
believes it also has authority to request
any other information from its
members—including floor brokers,
specialists and ‘‘upstairs’’ firms—to
fulfill its regulatory obligations.
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.
With regard to the Index components,
the Exchange can obtain market
surveillance information with respect to
transactions occurring on the London
Metal Exchange (‘‘LME’’), including
customer identity information, pursuant
to a memorandum of understanding
with the LME. The Exchange has access
to transaction information, including
customer identity information with
respect to all contracts traded on the
New York Mercantile Exchange (the
‘‘NYMEX’’) pursuant to the Exchange’s
information sharing agreement with
VerDate Aug<31>2005
18:44 Mar 01, 2007
Jkt 211001
NYMEX. All of the other trading venues
on which current Index components are
traded are members of the Intermarket
Surveillance Group and the Exchange
therefore has access to all relevant
trading information with respect to
those contracts without any further
action being required on the part of the
Exchange.
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. The Notes will be subject to
the equity margin rules of the
Exchange.13
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.14 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
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.
Specifically, in the initial distribution of
the Notes,15 and during any subsequent
distribution of the Notes, NYSE member
organizations will deliver a prospectus
to investors purchasing from such
distributors.
The information memorandum will
discuss the special characteristics and
13 See
NYSE Rule 431.
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.
15 The Registration Statement reserves the right to
make subsequent distributions of these Notes.
14 NYSE
PO 00000
Frm 00105
Fmt 4703
Sfmt 4703
9605
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, dissemination of information
regarding the Index value and the
Indicative Value, 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 50,000 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 the fact that there is no
regulated source of last sale information
regarding physical commodities and
that the SEC has no jurisdiction over the
trading of physical commodities such as
aluminum, gold, crude oil, heating oil,
corn and wheat, or the futures contracts
on which the value of the Notes is
based.
2. Statutory Basis
The Exchange states that the basis
under the Exchange Act for this
proposed rule change is the requirement
under Section 6(b)(5) 16 that an
exchange have rules that are designed to
prevent fraudulent and manipulative
acts and practices, to promote just and
equitable principles of trade, to remove
impediments to, and perfect the
mechanism of a free and open market
and, in general, to protect investors and
the public interest.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Exchange Act.
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
16 15
E:\FR\FM\02MRN1.SGM
U.S.C. 78f(b)(5).
02MRN1
9606
Federal Register / Vol. 72, No. 41 / Friday, March 2, 2007 / Notices
Register or within such longer period (i)
as the Commission may designate up to
90 days of such date if it finds such
longer period to be appropriate and
publishes its reasons for so finding or
(ii) as to which the self-regulatory
organization consents, the Commission
will:
(A) By order approve the proposed
rule change, or
(B) Institute proceedings to determine
whether the proposed rule change
should be disapproved.
The Exchange 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.
available for inspection and copying at
the principal office of the NYSE. All
comments received will be posted
without change; the Commission does
not edit personal identifying
information from submissions. You
should submit only information that
you wish to make available publicly. All
submissions should refer to File number
SR-NYSE–2006–71 and should be
submitted on or before March 19, 2007.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Exchange
Act. Comments may be submitted by
any of the following methods:
SMALL BUSINESS ADMINISTRATION
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.17
Nancy M. Morris,
Secretary.
[FR Doc. E7–3670 Filed 3–1–07; 8:45 am]
BILLING CODE 8010–01–P
[Disaster Declaration # 10815 and # 10816]
Louisiana Disaster # LA–00012
U.S. Small Business
Administration.
ACTION: Notice.
AGENCY:
pwalker on PROD1PC71 with NOTICES
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–NYSE–2006–71 on the
subject line.
SUMMARY: This is a Notice of the
Presidential declaration of a major
disaster for the State of Louisiana
(FEMA–1685–DR), dated 02/23/2007.
Incident: Severe Storms and
Tornadoes.
Incident Period: 02/12/2007 through
02/13/2007.
Effective Date: 02/23/2007.
Paper Comments
Physical Loan Application Deadline
• Send paper comments in triplicate
Date: 04/24/2007.
to Nancy M. Morris, Secretary,
Economic Injury (Eidl) Loan
Securities and Exchange Commission,
Application Deadline Date: 11/23/2007.
100 F Street, NE., Washington, DC
ADDRESSES: Submit completed loan
20549–1090.
applications to: U.S. Small Business
All submissions should refer to File
Administration, Processing And
Number SR–NYSE–2006–71. This file
Disbursement Center, 14925 Kingsport
number should be included on the
Road, Fort Worth, TX 76155.
subject line if e-mail is used. To help the
FOR FURTHER INFORMATION CONTACT: A.
Commission process and review your
Escobar, Office of Disaster Assistance,
comments more efficiently, please use
only one method. The Commission will U.S. Small Business Administration,
post all comments on the Commission’s 409 3rd Street, SW., Suite 6050,
Washington, DC 20416.
Internet Web site (https://www.sec.gov/
SUPPLEMENTARY INFORMATION: Notice is
rules/sro/shtml). Copies of the
hereby given that as a result of the
submission, all subsequent
President’s major disaster declaration on
amendments, all written statements
02/23/2007, applications for disaster
with respect to the proposed rule
loans may be filed at the address listed
change that are filed with the
above or other locally announced
Commission, and all written
locations.
communications relating to the
The following areas have been
proposed rule change between the
Commission and any person, other than determined to be adversely affected by
the disaster:
those that may be withheld from the
public in accordance with the
Primary Parishes (Physical Damage and
provisions of 5 U.S.C. 552, will be
Economic Injury Loans): Jefferson,
available for inspection and copying in
Orleans, Saint Martin
the Commission’s Public Reference
17 17 CFR 200.30–3(a)(12).
Room. Copies of such filing will also be
VerDate Aug<31>2005
18:44 Mar 01, 2007
Jkt 211001
PO 00000
Frm 00106
Fmt 4703
Sfmt 4703
Contiguous Parishes/Counties
(Economic Injury Loans Only):
Louisiana:
Assumption, Iberia, Iberville,
Lafayette, Lafourche, Plaquemines,
Pointe Coupee, Saint Bernard, Saint
Charles, Saint Landry, Saint Mary,
Saint Tammany, St John The
Baptist, Tangipahoa
The Interest Rates are:
Percent
For Physical Damage:
Homeowners With Credit Available Elsewhere ......................
Homeowners Without Credit
Available Elsewhere ..............
Businesses With Credit Available Elsewhere ......................
Other (Including Non-Profit Organizations)
With
Credit
Available Elsewhere ..............
Businesses And Non-Profit Organizations Without Credit
Available Elsewhere ..............
For Economic Injury:
Businesses & Small Agricultural
Cooperatives Without Credit
Available Elsewhere ..............
5.750
2.875
8.000
5.250
4.000
4.000
The number assigned to this disaster
for physical damage is 10815C and for
economic injury is 108160.
(Catalog of Federal Domestic Assistance
Numbers 59002 and 59008).
Herbert L. Mitchell,
Associate Administrator for Disaster
Assistance.
[FR Doc. E7–3709 Filed 3–1–07; 8:45 am]
BILLING CODE 8025–01–P
SMALL BUSINESS ADMINISTRATION
[Disaster Declaration # 10804]
Oklahoma Disaster Number OK–00010
U.S. Small Business
Administration.
ACTION: Amendment 1.
AGENCY:
SUMMARY: This is an amendment of the
Presidential declaration of a major
disaster for Public Assistance Only for
the State of Oklahoma (FEMA–1678–
DR), dated 02/01/2007.
Incident: Severe Winter Storms.
Incident Period: 01/12/2007 through
01/26/2007.
Effective Date: 02/21/2007.
Physical Loan Application Deadline
Date: 04/02/2007.
ADDRESSES: Submit completed loan
applications to: U.S. Small Business
Administration, Processing and
Disbursement Center, 14925 Kingsport
Road, Fort Worth, TX 76155.
FOR FURTHER INFORMATION CONTACT: A.
Escobar, Office of Disaster Assistance,
E:\FR\FM\02MRN1.SGM
02MRN1
]]>Agencies
[Federal Register Volume 72, Number 41 (Friday, March 2, 2007)]
[Notices]
[Pages 9599-9606]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E7-3670]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-55352; File No. SR-NYSE-2006-71]
Self-Regulatory Organizations; New York Stock Exchange LLC;
Notice of Filing of Proposed Rule Change To List and Trade Nine Series
of Exchange-Traded Notes of Barclays Bank PLC Linked to the Performance
of Sub-Indices of the Dow Jones--AIG Commodity IndexSM
February 26, 2007.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Exchange Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is
hereby given that on February 20, 2007, the New York Stock Exchange LLC
(``Exchange'' or ``NYSE'') 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 substantially
prepared by the Exchange. The Commission is publishing this notice to
solicit comments on the proposed rule changes from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The NYSE proposes to list and trade nine series of Exchange-Traded
Notes of Barclays Bank PLC (``Barclays'') linked to the performance of
sub-indices of the Dow Jones--AIG Commodity Index SM.
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.
The text of the proposed rule change is available at the NYSE, the
Commission's Public Reference Room, and https://www.nyse.com.
[[Page 9600]]
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.\3\ The
Exchange proposes to list and trade, under Section 703.19 of the
Manual, nine series of the Notes, which are linked to the performance
of the following sub-indices (the sub-index linked to each series of
Notes is referred to in this filing as the ``Index'' with respect to
that series) of the Dow Jones--AIG Commodity Index SM: the
Dow Jones--AIG Petroleum Total Return Sub-Index SM; the Dow
Jones--AIG Livestock Total Return Sub-Index SM; the Dow
Jones--AIG Agriculture Total Return Sub-Index SM; the Dow
Jones--AIG Grains Total Return Sub-Index SM; the Dow Jones--
AIG Energy Total Return Sub-Index SM; the Dow Jones--AIG
Precious Metals Total Return Sub-Index SM; the Dow Jones--
AIG ExEnergy Total Return Sub-Index SM; the Dow Jones--AIG
Industrial Metals Total Return Sub-Index SM; and the Dow
Jones--AIG Softs Total Return Sub-Index SM. Barclays intends
to issue the Notes under the name ``iPath SM Exchange-Traded
Notes.''
---------------------------------------------------------------------------
\3\ See Securities Exchange Act Release No. 28217 (July 18,
1990), 55 FR 30056 (July 24, 1990).
---------------------------------------------------------------------------
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,\4\ which is a listed company
in good standing, the Notes will have a minimum life of one year, the
minimum public market value of each series of the Notes at the time of
issuance will exceed $4 million, there will be at least one million
units of each series of Notes outstanding, and there will be at least
400 holders of each series at the time of issuance. The Notes are
medium-term debt securities of Barclays that provide for a cash payment
at maturity or upon earlier exchange at the holder's option, based on
the performance of the Index subject to the adjustments described
below. The original issue price of each Note is expected to be $50. The
Notes will trade on the Exchange's equity trading floor and the
Exchange's existing equity trading rules will apply to trading in the
Notes. The Notes will not have a minimum principal amount that will be
repaid and, accordingly, payment on the Notes prior to or at maturity
may be less than the original issue price of the Notes. In fact, the
value of the Index must increase for the investor to receive at least
the $50 original issue price per Note at maturity or upon redemption.
If the value of the Index decreases or does not increase sufficiently
to offset the investor fee (described below), the investor will receive
less, and possibly significantly less, than the $50 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.
---------------------------------------------------------------------------
\4\ 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 tangible net worth.
---------------------------------------------------------------------------
Holders who have not previously redeemed their Notes will receive a
cash payment at maturity equal to the original issue price of their
Notes times the index factor on the Final Valuation Date (as defined
below) minus the investor fee on the Final Valuation Date. The ``index
factor'' on any given day will be equal to the closing value of the
Index on that day divided by the initial index level. The ``initial
index level'' is the closing value of the Index on the date of issuance
of the Notes (the ``Trade Date'') and the ``final index level'' is the
closing value of the Index on the Final Valuation Date. The investor
fee is equal to 0.75% per year times the principal amount of a holder's
Notes times the index factor, calculated on a daily basis in the
following manner: The investor fee on the Trade Date will equal zero.
On each subsequent calendar day until maturity or early redemption, the
investor fee will increase by an amount equal to 0.75% times the
principal amount of a holder's Notes times the index factor on that day
(or, if such day is not a trading day, the index factor on the
immediately preceding trading day) divided by 365. The investor fee is
the only fee holders who hold their Notes until maturity will be
charged in connection with their ownership of the Notes (investors who
redeem their Notes early, as described below, will be charged an
additional fee in the form of an adjustment to the index factor).
Prior to maturity, holders may redeem their Notes on any Redemption
Date (defined below) during the term of the Notes provided that they
present at least 50,000 Notes for redemption, or they act through a
broker or other financial intermediaries (such as a bank or other
financial institution not required to register as a broker-dealer to
engage in securities transactions) that are willing to bundle their
Notes for redemption with other investors' Notes. If a holder chooses
to redeem such holder's Notes, the holder will receive a cash payment
on the applicable Redemption Date equal to the initial issue price of
such holder's Notes times the adjusted index factor on the applicable
Valuation Date minus the investor fee on the applicable Valuation Date.
The adjusted index factor on any given day will be equal to the closing
value of the Index on that day times 0.9975 divided by the initial
Index level. A ``Redemption Date'' is the third business day following
a Valuation Date (other than the Final Valuation Date (defined below)).
A ``Valuation Date'' is each Thursday from the first Thursday after
issuance of the Notes until the last Thursday before maturity of the
Notes (the ``Final Valuation Date'') inclusive (or, if such date is not
a trading day,\5\ the next succeeding trading day), unless the
calculation agent determines that a market disruption event, as
described below, occurs or is continuing on that day.\6\ In that event,
the Valuation Date for the maturity date or corresponding Redemption
Date, as the case may be, will be the first following trading day on
which the calculation agent determines that a market disruption event
does not occur and is not continuing. In no event, however, will a
Valuation Date be postponed by more than five trading days.\7\
---------------------------------------------------------------------------
\5\ A ``trading day'' is a day on which (i) the value of the
Index is published by AIG-FP and Dow Jones, (ii) trading is
generally conducted on the Exchange and (iii) trading is generally
conducted on the markets on which the futures contracts underlying
the Index are traded, in each case as determined by the calculation
agent in its sole discretion.
\6\ Barclays will serve as the initial calculation agent.
\7\ If a ``market disruption event'' is of more than a temporary
nature, the Exchange will file a proposed rule change pursuant to
Rule 19b-4 seeking Commission approval to continue trading the
Notes. Unless approved for continued trading, the Exchange would
commence delisting proceedings.
---------------------------------------------------------------------------
Any of the following will be a market disruption event: (i) A
material limitation, suspension or disruption in the trading of any
Index component which results in a failure by the trading facility on
which the relevant contract is traded to report a daily contract
reference price (i.e., the price of the relevant contract that is used
as a reference or benchmark by market
[[Page 9601]]
participants); (ii) the daily contract reference price for any Index
component is a ``limit price,'' which means that the daily contract
reference price for such contract has increased or decreased from the
previous day's daily contract reference price by the maximum amount
permitted under the applicable rules or procedures of the relevant
trading facility; (iii) failure by AIG-FP and Dow Jones to publish the
closing value of the Index or of the applicable trading facility or
other price source to announce or publish the daily contract reference
price for one or more Index component; or (iv) any other event, if the
calculation agent determines in its sole discretion that the event
materially interferes with Barclays' ability or the ability of any of
Barclays' affiliates to unwind all or a material portion of a hedge
with respect to the Notes that Barclays or Barclays' affiliates have
effected or may effect as described herein in connection with the sale
of the Notes.
If a Valuation Date is postponed by five trading days, that fifth
day will nevertheless be the date on which the value of the Index will
be determined by the calculation agent. In such an event, the
calculation agent will make a good faith estimate in its sole
discretion of the value of the Index.
To redeem their Notes, holders must instruct their broker or other
person through whom they hold their Notes to take the following steps:
Deliver a notice of redemption to Barclays via e-mail by
no later than 11 a.m. Eastern time (``ET'') on the business day prior
to the applicable Valuation Date. If Barclays receives such notice by
the time specified in the preceding sentence, it will respond by
sending the holder a confirmation of redemption;
Deliver the signed confirmation of redemption to Barclays
via facsmile in the specified form by 4 p.m. ET on the same day;
Barclays must acknowledge receipt in order for the confirmation to be
effective; and
Transfer such holder's book-entry interest in its Notes to
the trustee on Barclays' behalf 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 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.\8\
---------------------------------------------------------------------------
\8\ 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.
---------------------------------------------------------------------------
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.\9\ 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:
\9\ The Indicative Value calculation will be provided for
reference purposes only. It is not intended as a price or quotation,
or as an offer or solicitation for the purchase, sale, redemption or
termination of the Notes, nor does it reflect hedging or transaction
costs, credit considerations, market liquidity or bid-offer spreads.
Published Index levels from the sponsors may occasionally be subject
to delay or postponement. Any such delays or postponements will
affect the current Index level and therefore the Indicative Value of
the Notes. Index levels provided by the sponsors will not
necessarily reflect the depth and liquidity of the underlying
commodities markets. For this reason and others, the actual trading
price of the Notes may be different from their Indicative Value.
Indicative Value = Principal Amount per Unit X (Current Index Level/
---------------------------------------------------------------------------
Initial Index Level) - Current Investor Fee
Where:
Principal Amount per Unit = $50;
Current Index Level = The most recent published level of the Index
as reported by Dow Jones and AIG-FP;
Initial Index Level = The Index level on the trade date for the
Notes; and
Current Investor Fee = The most recent daily calculation of the
investor fee with respect to the Notes, determined as described
above (which, during any trading day, will be the investor fee
determined on the preceding calendar
[[Page 9602]]
day).
The Indicative Value will not reflect price changes to the price of
an underlying commodity between the close of trading of the futures
contract at the relevant futures exchange and the close of trading on
the NYSE at 4 p.m. ET. The value of the Notes may accordingly be
influenced by non-concurrent trading hours between the NYSE and the
various futures exchanges on which the futures contracts based on the
Index commodities are traded. While the Notes will trade on the NYSE
from 9:30 a.m. to 4 p.m. ET, the table below lists the trading hours
for all of the components of each series of Notes.
CBOT
Corn 10:30 a.m.-2:15 p.m. ET
Soybeans 10:30 a.m.-2:15 p.m. ET
Soybean Oil 10:30 a.m.-2:15 p.m. ET
Wheat 10:30 a.m.-2:15 p.m. ET
CME
Lean Hogs 10:10 a.m.-2 p.m. ET
Live Cattle 10:05 a.m.-2 p.m. ET
CSCE
Coffee 9:15 a.m.-12:30 p.m. ET
Sugar 11 9 a.m.-12 p.m. ET
NYBOT
Cotton 2 10:30 a.m.-2:15 p.m. ET
NYMEX
Copper 8:10 a.m.-1 p.m. ET
Gold 8:20 a.m.-1:30 p.m. ET
Heating Oil 10:05 a.m.-2:30 p.m. ET
Natural Gas 10 a.m.-2:30 p.m. ET
Silver 8:25 a.m.-1:25 p.m. ET
Unleaded Gasoline 10:05 a.m.-2:30 p.m. ET
WTI Crude Oil 10 a.m.-2:30 p.m. ET
LME
Aluminum 6:55 a.m.-12 p.m. ET
Nickel 7:15 a.m.-11:55 a.m. ET
Zinc 7:10 a.m.-11:55 a.m. ET
While the market for futures trading for each of the Index
commodities is open, the Indicative Value can be expected to closely
approximate the redemption value of the Notes. However, during NYSE
trading hours when the futures contracts have ceased trading, spreads
and resulting premiums or discounts may widen, and therefore, increase
the difference between the price of the Notes and their redemption
value. The Indicative Value disseminated during NYSE trading hours
should not be viewed as a real time update of the redemption value.
Description of the Indices
All of the indices to which the Notes included in this filing are
linked are sub-indices of the Dow Jones--AIG Commodity Index
SM. The Commission has previously reviewed and approved for
listing Exchange-Traded Notes linked to the Dow Jones--AIG Commodity
Index Total Return SM and it is described in detail in the
related filing.\10\ At present, Dow Jones disseminates the Index value
of each sub-index every 15 seconds (assuming the Index value has
changed within such 15 second interval) from 8 a.m. to 3 p.m. ET and
publishes a daily Index value at approximately 4 p.m. ET on each day on
which the Index is calculated. The sub-index values can still be
retrieved after 3 p.m. until the end of the Exchange trading day but
their values are generally static after 3 p.m., although they may
change if settlement values for Index components become available after
that time.
The following is a description of the components of the various
sub-indices of the Dow Jones--AIG Commodity Index SM to
which the various Notes are linked.
Dow Jones--AIG Petroleum Total Return Sub-Index SM
The index includes those contracts in the Dow Jones--AIG Commodity
Index SM that relate to petroleum-related commodities: Crude
oil, heating oil and unleaded gasoline. The relative weighting of each
contract in the index as of August 15, 2006 was as follows:
----------------------------------------------------------------------------------------------------------------
Weighting
Commodity Designated contract Exchange (percent)
----------------------------------------------------------------------------------------------------------------
Crude Oil................................ Oil........................ NYMEX...................... 62.43
Heating Oil.............................. Heating Oil................ NYMEX...................... 19.05
Unleaded Gasoline........................ New York Harbor Unleaded NYMEX...................... 18.51
Gasoline.
----------------------------------------------------------------------------------------------------------------
Dow Jones--AIG Livestock Total Return Sub-Index SM
The index includes those contracts in the Dow Jones--AIG Commodity
Index SM that relate to livestock: Hogs and live cattle. The
relative weighting of each contract in the index as of August 15, 2006
was as follows:
----------------------------------------------------------------------------------------------------------------
Weighting
Commodity Designated contract Exchange (percent)
----------------------------------------------------------------------------------------------------------------
Live Cattle.............................. Live Cattle................ CME........................ 57.72
Hogs..................................... Lean Hogs.................. CME........................ 42.28
----------------------------------------------------------------------------------------------------------------
Dow Jones--AIG Agriculture Total Return Sub-Index SM
The index includes those contracts in the Dow Jones--AIG Commodity
Index SM that relate to agricultural commodities: Coffee,
corn, cotton, soybean oil, soybeans and wheat. The relative weighting
of each contract in the index as of August 15, 2006 was as follows:
---------------------------------------------------------------------------
\10\ See Securities Exchange Act Release No. 53876 (May 25,
2006), 71 FR 32158 (June 2, 2006) (SR-NYSE-2006-16).
[[Page 9603]]
----------------------------------------------------------------------------------------------------------------
Weighting
Commodity Designated contract Exchange (percent)
----------------------------------------------------------------------------------------------------------------
Soybeans................................. Soybeans................... CBOT....................... 23.36
Corn..................................... Corn....................... CBOT....................... 21.11
Wheat.................................... Wheat...................... CBOT....................... 18.50
Cotton................................... Cotton..................... NYCE....................... 10.27
Soybean Oil.............................. Soybean Oil................ CBOT....................... 10.07
Coffee................................... Coffee ``C''............... CSCE....................... 8.46
Sugar.................................... World Sugar No. 11......... CSCE....................... 8.23
----------------------------------------------------------------------------------------------------------------
Dow Jones--AIG Grains Total Return Sub-Index SM
The index includes those contracts in the Dow Jones--AIG Commodity
Index SM that relate to grains: Corn, soybeans and wheat.
The relative weighting of each contract in the index as of August 15,
2006 was as follows:
----------------------------------------------------------------------------------------------------------------
Weighting
Commodity Designated contract Exchange (percent)
----------------------------------------------------------------------------------------------------------------
Soybeans................................. Soybeans................... CBOT....................... 37.10
Corn..................................... Corn....................... CBOT....................... 33.52
Wheat.................................... Wheat...................... CBOT....................... 29.38
----------------------------------------------------------------------------------------------------------------
Dow Jones--AIG Energy Total Return Sub-Index SM
The index includes those contracts in the Dow Jones--AIG Commodity
Index SM that relate to energy-related commodities: Crude
oil, heating oil, natural gas and unleaded gasoline. The relative
weighting of each contract in the index as of August 15, 2006 was as
follows:
----------------------------------------------------------------------------------------------------------------
Weighting
Commodity Designated contract Exchange (percent)
----------------------------------------------------------------------------------------------------------------
Crude Oil................................ Oil........................ NYMEX...................... 42.41
Natural Gas.............................. Henry Hub Natural Gas...... NYMEX...................... 32.07
Heating Oil.............................. Heating Oil................ NYMEX...................... 12.94
Unleaded Gasoline........................ New York Harbor Unleaded NYMEX...................... 12.58
Gasoline.
----------------------------------------------------------------------------------------------------------------
Dow Jones--AIG Precious Metals Total Return Sub-Index SM
The index includes those contracts in the Dow Jones--AIG Commodity
Index SM that relate to commodities other than energy:
Aluminum, coffee, copper, corn, cotton, gold, hogs, live cattle,
nickel, silver, soybeans, soybean oil, sugar, wheat and zinc. The
relative weighting of each contract in the index as of August 15, 2006
was as follows:
----------------------------------------------------------------------------------------------------------------
Weighting
Commodity Designated contract Exchange (percent)
----------------------------------------------------------------------------------------------------------------
Copper................................... Copper..................... NYMEX...................... 12.63
Aluminum................................. High Grade Primary Aluminum LME........................ 9.52
Gold..................................... Gold....................... NYMEX...................... 9.34
Soybeans................................. Soybeans................... CBOT....................... 9.29
Corn..................................... Corn....................... CBOT....................... 8.39
Live Cattle.............................. Live Cattle................ CME........................ 7.47
Wheat.................................... Wheat...................... CBOT....................... 7.36
Nickel................................... Primary Nickel............. LMED....................... 6.54
Zinc..................................... Zinc....................... LME........................ 5.85
Hogs..................................... Lean Hogs.................. CME........................ 5.47
Cotton................................... Cotton..................... NYCE....................... 4.08
Soybean Oil.............................. Soybean Oil................ CBOT....................... 4.00
Silver................................... Silver..................... NYMEX...................... 3.43
Coffee................................... Coffee ``C''............... CSCE....................... 3.36
Sugar.................................... World Sugar No. 11......... CSCE....................... 3.27
----------------------------------------------------------------------------------------------------------------
Dow Jones--AIG ExEnergy Total Return Sub-Index SM
The index includes those contracts in the Dow Jones--AIG Commodity
Index SM that relate to commodities other than energy:
Aluminum, coffee, copper, corn, cotton, gold, hogs, live cattle,
nickel, silver, soybeans, soybean oil, sugar, wheat and zinc. The
relative weighting of each contract in the index as of August 15, 2006
was as follows:
[[Page 9604]]
----------------------------------------------------------------------------------------------------------------
Weighting
Commodity Designated contract Exchange (percent)
----------------------------------------------------------------------------------------------------------------
Copper................................... Copper..................... NYMEX...................... 12.63
Aluminum................................. High Grade Primary Aluminum LME........................ 9.52
Gold..................................... Gold....................... NYMEX...................... 9.34
Soybeans................................. Soybeans................... CBOT....................... 9.29
Corn..................................... Corn....................... CBOT....................... 8.39
Live Cattle.............................. Live Cattle................ CME........................ 7.47
Wheat.................................... Wheat...................... CBOT....................... 7.36
Nickel................................... Primary Nickel............. LME........................ 6.54
Zinc..................................... Zinc....................... LME........................ 5.85
Hogs..................................... Lean Hogs.................. CME........................ 5.47
Cotton................................... Cotton..................... NYCE....................... 4.08
Soybean Oil.............................. Soybean Oil................ CBOT....................... 4.00
Silver................................... Silver..................... NYMEX...................... 3.43
Coffee................................... Coffee ``C''............... CSCE....................... 3.36
Sugar.................................... World Sugar No. 11......... CSCE....................... 3.27
----------------------------------------------------------------------------------------------------------------
Dow Jones-AIG Industrial Metals Total Return Sub-Index SM
The index includes those contracts in the Dow Jones--AIG Commodity
Index SM that relate to industrial metals: Aluminum, copper,
nickel and zinc. The relative weighting of each contract in the index
as of August 15, 2006 was as follows:
----------------------------------------------------------------------------------------------------------------
Weighting
Commodity Designated contract Exchange (percent)
----------------------------------------------------------------------------------------------------------------
Copper................................... Copper..................... NYMEX...................... 36.56
Aluminum................................. High Grade Primary Aluminum LME........................ 27.56
Nickel................................... Primary Nickel............. LME........................ 18.95
Zinc..................................... Zinc....................... LME........................ 16.93
----------------------------------------------------------------------------------------------------------------
Dow Jones--AIG Softs Total Return Sub-Index SM
The index includes those contracts in the Dow Jones--AIG Commodity
Index SM that relate to soft commodities: Coffee, cotton and
sugar. The relative weighting of each contract in the index as of
August 15, 2006 was as follows:
----------------------------------------------------------------------------------------------------------------
Weighting
Commodity Designated contract Exchange (percent)
----------------------------------------------------------------------------------------------------------------
Cotton................................... Cotton..................... NYCE....................... 38.09
Coffee................................... Coffee ``C''............... CSCE....................... 31.38
Sugar.................................... World Sugar No. 11......... CSCE....................... 30.53
----------------------------------------------------------------------------------------------------------------
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 Exchange
Act.\11\
---------------------------------------------------------------------------
\11\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------
The Exchange will delist any series of the Notes:
(i) If, following the initial twelve month period from the
date of commencement of trading of the Notes, the Notes have more than
60 days remaining until maturity and there are fewer than 50 beneficial
holders of the Notes for 30 or more consecutive trading days; (ii) if
fewer than 100,000 Notes remain issued and outstanding; or (iii) if the
market value of all outstanding Notes is less than $1,000,000.
If the Index value ceases to be calculated or available
during the time the Notes trade on the Exchange on at least a 15 second
basis through one or more major market data vendors or the sponsors of
the Index.
If, during the time the Notes trade on the Exchange, the
Indicative Value ceases to be available on a 15 second delayed basis.
If such other event shall occur or condition exists which
in the opinion of the Exchange makes further dealings on the Exchange
inadvisable.
The Exchange will also delist any series of the Notes if:
Dow Jones and AIG-FP substantially change either the Index
component selection methodology or the weighting methodology.
If a new component is added to the Index (or pricing
information is used for a new or existing component) that constitutes
more than 10% of the weight of the Index with whose principal trading
market the Exchange does not have a comprehensive surveillance sharing
agreement.\12\
---------------------------------------------------------------------------
\12\ The Exchange will contact the Commission staff whenever Dow
Jones and AIG-FP add a new component to the Index using pricing
information from a market with which the Exchange does not have a
previously existing information sharing agreement or switches to
using pricing information from such a market with respect to an
existing component. In such circumstances, the Exchange will discuss
with the Commission staff whether a filing under Rule 19b-4 is
necessary.
---------------------------------------------------------------------------
If a successor or substitute index is used in connection
with the Notes. The filing will address, among other things the listing
and trading characteristics of the successor or substitute index and
the Exchange's surveillance procedures applicable thereto.
Notwithstanding the foregoing, the Exchange may continue the
listing of a series of the Notes if, prior to the implementation of any
of the foregoing changes, the Exchange files a proposed
[[Page 9605]]
rule change pursuant to Rule 19b-4 under the Exchange Act and the
Commission approves such filing.
Trading Halts
If the Index value 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 Index value or
the Indicative Value first occurs. If the interruption to the
dissemination of the Index value 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.
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, commodities, futures, options
on futures or other derivative instruments. The Exchange believes it
also has authority to request any other information from its members--
including floor brokers, specialists and ``upstairs'' firms--to fulfill
its regulatory obligations.
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.
With regard to the Index components, the Exchange can obtain market
surveillance information with respect to transactions occurring on the
London Metal Exchange (``LME''), including customer identity
information, pursuant to a memorandum of understanding with the LME.
The Exchange has access to transaction information, including customer
identity information with respect to all contracts traded on the New
York Mercantile Exchange (the ``NYMEX'') pursuant to the Exchange's
information sharing agreement with NYMEX. All of the other trading
venues on which current Index components are traded are members of the
Intermarket Surveillance Group and the Exchange therefore has access to
all relevant trading information with respect to those contracts
without any further action being required on the part of the Exchange.
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. The
Notes will be subject to the equity margin rules of the Exchange.\13\
---------------------------------------------------------------------------
\13\ See NYSE Rule 431.
---------------------------------------------------------------------------
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.\14\ 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.
---------------------------------------------------------------------------
\14\ NYSE Rule 405 requires that every member, member firm or
member corporation use due diligence to learn the essential facts
relative to every customer and to every order or account accepted.
---------------------------------------------------------------------------
Information Memorandum
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. Specifically, in the
initial distribution of the Notes,\15\ and during any subsequent
distribution of the Notes, NYSE member organizations will deliver a
prospectus to investors purchasing from such distributors.
---------------------------------------------------------------------------
\15\ The Registration Statement reserves the right to make
subsequent distributions of these Notes.
---------------------------------------------------------------------------
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,
dissemination of information regarding the Index value and the
Indicative Value, 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 50,000 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 the fact that there is no regulated source of last sale
information regarding physical commodities and that the SEC has no
jurisdiction over the trading of physical commodities such as aluminum,
gold, crude oil, heating oil, corn and wheat, or the futures contracts
on which the value of the Notes is based.
2. Statutory Basis
The Exchange states that the basis under the Exchange Act for this
proposed rule change is the requirement under Section 6(b)(5) \16\ that
an exchange have rules that are designed to prevent fraudulent and
manipulative acts and practices, to promote just and equitable
principles of trade, to remove impediments to, and perfect the
mechanism of a free and open market and, in general, to protect
investors and the public interest.
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\16\ 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 Exchange Act.
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
[[Page 9606]]
Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) By order approve the proposed rule change, or
(B) Institute proceedings to determine whether the proposed rule
change should be disapproved.
The Exchange 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 Exchange 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 Number SR-NYSE-2006-71 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-NYSE-2006-71. 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 will also be available for inspection and copying at the
principal office of the NYSE. All comments received will be posted
without change; the Commission does not edit personal identifying
information from submissions. You should submit only information that
you wish to make available publicly. All submissions should refer to
File number SR-NYSE-2006-71 and should be submitted on or before March
19, 2007.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\17\
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\17\ 17 CFR 200.30-3(a)(12).
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Nancy M. Morris,
Secretary.
[FR Doc. E7-3670 Filed 3-1-07; 8:45 am]
BILLING CODE 8010-01-P
