Self-Regulatory Organizations; American Stock Exchange LLC; Order Granting Accelerated Approval of a Proposed Rule Change, as Modified by Amendment No. 1 Thereto, Relating to the Listing and Trading of Notes Linked to the Performance of the Dow Jones-AIG Commodity Index Total Return, 29015-29019 [E7-9854]
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29015
Federal Register / Vol. 72, No. 99 / Wednesday, May 23, 2007 / Notices
RELATED GENERIC COMMUNICATIONS—Continued
ADAMS
accession No.
Document No.
Document name
IN 06–21 ......................
Operating Experience Regarding Entrainment of Air Into Emergency Core Cooling and Containment
Spray Systems.
Backfit Discussion
Under the provisions of Section 182a
of the Atomic Energy Act of 1954, as
amended, this GL requests a review and
appropriate resulting actions for the
purpose of assuring compliance with
applicable existing requirements. No
backfit is either intended or approved
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the NRC staff has not performed a
backfit analysis.
Federal Register Notification
To be done after the public comment
period.
Congressional Review Act
In accordance with the Congressional
Review Act, the NRC has determined
that this GL is not a major rule and the
Office of Information and Regulatory
Affairs of the Office of Management and
Budget has confirmed this
determination.
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Paperwork Reduction Act Statement
This GL contains an information
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VerDate Aug<31>2005
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Jkt 211001
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ML062570468
For the Nuclear Regulatory Commission.
Jennifer Golder, Acting Director, Division of
Policy and Rulemaking, Office of Nuclear
Reactor Regulation.
[FR Doc. 07–2557 Filed 5–22–07; 8:45 am]
BILLING CODE 7590–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–55776; File No. SR–Amex–
2007–29]
Self-Regulatory Organizations;
American Stock Exchange LLC; Order
Granting Accelerated Approval of a
Proposed Rule Change, as Modified by
Amendment No. 1 Thereto, Relating to
the Listing and Trading of Notes
Linked to the Performance of the Dow
Jones-AIG Commodity Index Total
Return
May 17, 2007.
I. Introduction
On March 2, 2007, the American
Stock Exchange LLC (‘‘Amex’’ or
‘‘Exchange’’) filed with the Securities
and Exchange Commission
(‘‘Commission’’) a proposed rule change
pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder.2
On April 5, 2007, Amex filed
Amendment No. 1 to the proposed rule
change. The proposed rule change, as
amended, was published for comment
in the Federal Register on May 1, 2007
for a 15-day comment period.3 The
Commission received no comments on
the proposal. This order approves the
proposed rule change, as modified by
Amendment No. 1, on an accelerated
basis.
II. Description of the Proposal
Under Section 107A of the Amex
Company Guide (‘‘Company Guide’’),
the Exchange may approve for listing
and trading securities which cannot be
readily categorized under the listing
criteria for common and preferred
stocks, bonds, debentures, or warrants,
including index and currency warrants.
Amex proposes to list for trading under
1 15
U.S.C. 78s(b)(1).
CFR 240.19b–4.
3 See Securities Exchange Act Release No. 55661
(April 24, 2007), 72 FR 23862 (‘‘Notice’’).
2 17
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Federal Register / Vol. 72, No. 99 / Wednesday, May 23, 2007 / Notices
pwalker on PROD1PC71 with NOTICES
Section 107A of the Company Guide
floating rate notes (the ‘‘Notes’’) linked
to the performance of the Dow JonesAIG Commodity Index Total Return (the
‘‘Index’’).4
The Exchange states that the Notes
will conform to the initial listing
guidelines under Section 107A of the
Company Guide and the continued
listing guidelines under Sections 1001–
1003 of the Company Guide. The Notes
are senior, non-convertible debt
securities of Lehman, have a term of
thirteen months, and will provide for
participation in the positive
performance of the Index during their
term. The Notes are cash-settled in
United States (‘‘U.S.’’) dollars and do
not give the holder any right or other
ownership interest in the Index or
commodities comprising the Index. The
Notes are designed for investors who
desire to participate in, or gain exposure
to, an index composed of a basket of
actively-traded commodities, receive
monthly coupon interest payments, and
are willing to forego principal
protection on the Notes during their
term. Lehman will issue the Notes in
denominations of whole units, with
each unit representing a single Note.
The original public offering price will
be $1,000 per Note.
Unless the Notes have been redeemed
earlier, at maturity, a holder would
receive per each $1,000 Note, a cash
amount equal to the Daily Value per
$1,000 Note as of the Valuation Date5,
plus accrued and unpaid coupon
payments, to, but excluding, the stated
maturity date. Lehman may redeem the
Notes early if, on any Index Business
Day prior to the Valuation Date, the
Daily Value per $1,000 Note falls below
a certain pre-determined amount. This
day is known as the ‘‘Early Redemption
Determination Date.’’ This predetermined amount will be determined
at the time of issuance of the Notes. In
the event of redemption, Lehman will
pay an amount per $1,000 Note equal to
the Daily Value per $1,000 Note
calculated as of the first Index Business
Day following the Early Redemption
Determination Date, plus accrued and
unpaid coupon payments to, but
4 Lehman Brothers Holdings Inc. (‘‘Lehman’’),
Dow Jones & Company, Inc. (‘‘Dow Jones’’) and AIG
International, Inc. (‘‘AIGI’’) have entered into a nonexclusive license agreement providing for the use
of the Index by Lehman and certain affiliates and
subsidiaries thereof in connection with certain
securities including the Notes.
5 See Notice at 23862 (providing a detailed
discussion of the calculation methodology of the
‘‘Daily Value’’ per $1000 Note as of the Valuation
Date). Terms not otherwise defined herein shall
have the same meaning as the meaning given in the
Notice, supra note 3.
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18:32 May 22, 2007
Jkt 211001
excluding, the Early Redemption
Determination Date.
If an event of default occurs and the
maturity of the Notes are accelerated,
Lehman will pay holders an amount
equal to the amount that would have
been payable at maturity, calculated as
though the date of acceleration was the
stated maturity date, and the date three
Index Business Days before the date of
acceleration was the Valuation Date. If
a bankruptcy proceeding is commenced,
the claims of a holder of a Note may be
limited.
Index Description
The Index, developed by AIGI, is a
proprietary index that is calculated by
Dow Jones, AIGI, and AIG Financial
Products Corp. (‘‘AIG–FP’’ and, together
with AIGI and Dow Jones, the
‘‘Sponsors’’) and published by Dow
Jones.6 The methodology for
determining the composition and
weighting of the Index and for
calculating its level is subject to
modification by the Sponsors at any
time.7 Dow Jones disseminates the
Index level at least every 15 seconds
from 8 a.m. to 3 p.m. Eastern Time
(‘‘ET’’),8 and publishes a daily Index
level at approximately 4 p.m. ET on
each DJ–AIG Business Day on its Web
site at www.djindexes.com and on
Bloomberg’s Web site.
The Index is re-weighted and rebalanced each year in January on a
price-percentage basis. The annual
weightings for the Index are determined
each year in June or July by AIG–FP
under the supervision of the Index
6 AIG–FP is not a broker-dealer or futures
commission merchant; however, AIG–FP may have
such affiliates. Therefore, AIG–FP (1) maintains and
agrees to continue to maintain procedures
reasonably designed to prevent the use and
dissemination by relevant employees of AIG–FP, in
violation of applicable laws, rules and regulations,
of material non-public information relating to
changes in the composition or method of
computation or calculation of the Index or the Dow
Jones-AIG Commodity Index and (2) agrees to
periodically check the application of such
procedures as they relate to personnel of AIG–FP
responsible for such changes. Dow Jones has
informed the Exchange that it does not have any
affiliates engaged in the securities or commodities
trading businesses and, as such, does not believe
that such firewall procedures are necessary in its
case. In addition, the Supervisory and Advisory
Committees (as defined herein) are subject to
written policies that acknowledge their obligations
with respect to material non-public information.
7 Lehman has informed the Exchange that
Lehman is not affiliated with any of the Sponsors.
E-mail from Jeffrey P. Burns, Associate General
Counsel, Amex, to Edward Y. Cho, Special Counsel,
Division of Market Regulation, Commission, dated
May 14, 2007.
8 Any disseminated Index value after 3 p.m. ET
is static due to the close of auction trading of
various commodities futures contracts.
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Sfmt 4703
Supervisory Committee,9 announced
after approval by such Committee and
implemented the following January.
The Index is designed to track rolling
futures positions in a diversified basket
of 19 exchange-traded futures contracts
on physical commodities. The 19
physical commodities selected for 2007
are aluminum, coffee, copper, corn,
cotton, crude oil, gold, heating oil, lean
hogs, live cattle, natural gas, nickel,
silver, soybeans, soybean oil, sugar,
unleaded gasoline, wheat, and zinc.
Unlike equities, which typically entitle
the holder to a continuing stake in a
corporation, commodity futures
contracts normally specify a certain date
for the delivery of the underlying
physical commodity. The Index tracks
what is known as a rolling futures
position, which is a position where, on
a periodic basis, futures contracts on
physical commodities specifying
delivery on a nearby date must be sold
and futures contracts on physical
commodities that have not yet reached
the delivery period must be purchased.
An investor with a rolling futures
position is able to avoid delivering
underlying physical commodities while
maintaining exposure to those
commodities. The rollover for each
Index component occurs over a period
of five DJ–AIG Business Days each
month according to a pre-determined
schedule.
The 19 physical commodities selected
for inclusion in the Index for 2007, and
their respective weightings, are as
follows:
Commodity
Crude oil ...............................
Natural gas ...........................
Soybeans ..............................
Gold ......................................
Aluminum ..............................
Copper ..................................
Live cattle .............................
Corn ......................................
Wheat ...................................
Unleaded gasoline ................
Heating oil .............................
Cotton ...................................
Sugar ....................................
Coffee ...................................
Lean hogs .............................
Soybean oil ...........................
Zinc .......................................
Nickel ....................................
Silver .....................................
Weighting
(percent)
12.723561
12.546191
7.747790
6.825901
6.803820
6.187758
6.141286
5.627129
4.715495
3.940958
3.789289
3.146094
3.122271
3.021718
3.013524
2.845646
2.798069
2.715318
2.288179
9 On February 21, 2007, Dow Jones announced a
change to the Dow Jones-AIG Commodity Index
Oversight Committee structure providing for a twotier committee structure consisting of a
‘‘Supervisory Committee’’ and an ‘‘Advisory
Committee.’’ The Supervisory Committee makes all
final decisions relating to the Index with the advice
and recommendation from the Advisory Committee.
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Federal Register / Vol. 72, No. 99 / Wednesday, May 23, 2007 / Notices
Commodity
Total (rounded) ..............
Weighting
(percent)
100.000000
Futures contracts on the Index are
currently listed for trading on the
Chicago Board of Trade (‘‘CBOT’’). The
Index commodities currently trade on
U.S. exchanges, with the exception of
aluminum, nickel and zinc, which trade
on the London Metal Exchange
(‘‘LME’’).
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Designated Contracts for Each Index
Commodity
A futures contract, known as a
‘‘Designated Contract,’’ is selected by
the Supervisory Committee for each
Index commodity.10 With the exception
of several LME contracts, the
Supervisory Committee selects the
futures contract that is traded in the
U.S. and denominated in U.S. dollars. If
more than one of those contracts exists,
the Supervisory Committee will select
the most actively traded contract. Data
concerning this Designated Contract
will be used to calculate the Index
value. If a Designated Contract is
terminated or replaced, a comparable
futures contract would be selected, if
available, to replace that Designated
Contract.
The Designated Contracts for the
Index commodities included in the
Index for 2007 are traded on LME,
CBOT, the New York Board of Trade
(‘‘NYBOT’’),11 the Chicago Mercantile
Exchange, Inc. (‘‘CME’’), and the New
York Mercantile Exchange (‘‘NYMEX’’).
The particular commodities futures
exchanges for each commodity futures
contract are as follows: (1) Aluminum,
nickel, and zinc—LME at www.lme.com;
(2) corn, soybeans, soybean oil, and
wheat—CBOT at www.cbot.com; (3) live
cattle and lean hogs—CME at
www.cme.com; (4) coffee, cotton, and
sugar—NYBOT at www.nybot.com; and
(5) copper, crude oil, gold, heating oil,
natural gas, silver, and unleaded
gasoline—NYMEX at www.nymex.com.
In addition, various market data vendors
and financial news publications publish
futures prices and data. The Exchange
represents that futures quotes and last
10 The Supervisory Committee may exclude any
otherwise eligible contract from the Index if it
determines that it has inadequate liquidity. The
Index currently includes contracts traded on LME,
which is located in London. During the hours when
the LME is closed, Dow Jones uses the last price and
the settlement price once they are available in order
to publish the Index value through the end of the
trading day. The Index value does not reflect any
after-hours or overnight trading in contracts traded
on LME.
11 NYBOT recently was purchased by the
Intercontinental Exchange (‘‘ICE’’) and is now a
regulated subsidiary of ICE.
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18:32 May 22, 2007
Jkt 211001
sale information for the commodities
underlying the Index are widely
disseminated through a variety of major
market data vendors worldwide,
including Bloomberg and Reuters.
Determination of Relative Weightings
The relative weightings of the
component commodities included in
the Index are determined annually
according to both liquidity and dollaradjusted production data in 2/3 and 1/
3 shares, respectively. Each June, for
each commodity designated for
potential inclusion in the Index,
liquidity is measured by the commodity
liquidity percentage and production by
the commodity production
percentage.12
The Index is designed to provide
diversified exposure to commodities as
an asset class. To ensure that no single
commodity or commodity sector
dominates the Index, the following
diversification rules are applied to the
annual re-weighting and re-balancing of
the Index as of January of the applicable
year:
• No related group of commodities
designated as a commodity group (e.g.,
energy, precious metals, livestock, or
grains) may constitute more than 33% of
the Index.
• No single commodity may
constitute more than 15% of the Index.
• No single commodity, together with
its derivatives (e.g., crude oil, together
with heating oil and unleaded gasoline),
may constitute more than 25% of the
Index.
Following the annual re-weighting
and re-balancing of the Index in
January, the percentage of any single
commodity or group of commodities at
any time prior to the next re-weighting
or re-balancing will fluctuate and may
exceed or be less than the percentages
set forth above. The Index is then
calculated by the Sponsors by applying
the impact of the changes to the futures
prices of commodities included in the
Index (based on their relative
weightings).13
Index Calculation Disruption Events
From time to time, disruptions can
occur in trading futures contracts on
various commodity exchanges. The
daily calculation of the Index may be
adjusted in the event that the Sponsors
determine that any of the following
Index calculation disruption events
exists:
12 See Notice at 23864 (providing a detailed
discussion of how the commodity liquidity
percentage and the commodity production
percentage are determined and adjusted).
13 See id. (describing the mathematical process for
the calculation of the Index value).
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29017
• The termination or suspension of,
or material limitation or disruption in,
the trading of any futures contract used
in the calculation of the Index on that
day;
• The settlement price of any futures
contract used in the calculation of the
Index reflects the maximum permitted
price change from the previous day’s
settlement price;
• The failure of an exchange to
publish settlement prices for any futures
contract used in the calculation of the
Index; or
• With respect to any futures contract
used in the calculation of the Index that
trades on LME, a business day on which
LME is not open for trading.
The Exchange submits that for a
temporary disruption in the trading of a
futures contract, AIGI will typically use
the prior day’s price for an Index
commodity or commodities. In
exceptional cases, AIGI may employ a
‘‘fair value’’ price. However, the
Exchange represents that if the use of a
prior day’s price or ‘‘fair value’’ pricing
for an Index commodity or commodities
continues for more than one day, the
Exchange will commence delisting the
Notes.
Exchange Rules Applicable to the Notes
Amex represents that the Notes will
trade on the Exchange subject to
existing Amex trading rules applicable
to the Notes including, among others,
rules governing priority, parity, and
precedence of orders, specialist
responsibilities, account opening, and
customer suitability requirements. In
addition, the Notes will be subject to the
equity margin rules of the Exchange.14
Criteria for Initial and Continued Listing
The Exchange represents that it
prohibits the initial and/or continued
listing of any security that is not in
compliance with Rule 10A–3 under the
Act.15 The Exchange further represents
that the Notes will meet the listing
requirements set forth in Section 107A
of the Company Guide as well as the
continued listing requirements set forth
in Sections 1001 through 1003 of the
Company Guide. The Exchange also has
a general policy that prohibits the
distribution of material, non-public
information by its employees.
Trading Halts
The Exchange states that it will halt
trading in the Notes if the circuit
breaker parameters of Amex Rule 117
have been reached. In exercising its
discretion to halt or suspend trading in
14 See
15 See
E:\FR\FM\23MYN1.SGM
Amex Rule 462.
17 CFR 240.10A–3(c)(1).
23MYN1
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Federal Register / Vol. 72, No. 99 / Wednesday, May 23, 2007 / Notices
the Notes, the Exchange may consider
factors such as those set forth in Amex
Rule 918C(b), in addition to other
factors that may be relevant. In
particular, if the Index value is not
being disseminated as required, the
Exchange may halt trading during the
day in which the interruption to the
dissemination of the Index value occurs.
If the interruption to the dissemination
of the Index value persists past the
trading day on which it occurred, the
Exchange will halt trading no later than
the beginning of the trading day
following the interruption.
Surveillance
The Exchange represents that its
surveillance procedures are adequate to
properly monitor the trading of the
Notes. Specifically, Amex will rely on
its existing surveillance procedures
governing index-linked securities which
are similar to its surveillance
procedures governing exchange-traded
funds and trust-issued receipts. With
regard to the Index components, the
Exchange currently has in place a
comprehensive surveillance sharing
arrangement with ICE, LME, and
NYMEX, for the purpose of providing
information in connection with trading
in or related to futures contracts
comprising the Index and traded on
their respective exchanges. The
Exchange also notes that CBOT, CME,
and NYBOT are members of the
Intermarket Surveillance Group (‘‘ISG’’).
As a result, the Exchange asserts that it
can obtain all necessary market
surveillance information, including
customer identity information, from
CBOT, CME, ICE, LME, NYBOT, and
NYMEX, if necessary, due to regulatory
concerns that may arise in connection
with the commodity futures contracts
underlying the Index.
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Information Circular
The Exchange will, prior to trading
the Notes, distribute an Information
Circular to its membership providing
guidance with regard to member firm
compliance responsibilities (including
suitability recommendations) 16 when
handling transactions in the Notes and
highlighting the special risks and
characteristics of the Notes. In addition,
the Circular will identify and disclose
the applicable trading rules governing
the trading of the Notes on the Exchange
16 With respect to suitability recommendations
and risks, the Exchange will require members,
member organizations, and employees thereof
recommending a transaction in the Notes: (1) to
determine that such transaction is suitable for the
customer, and (2) to have a reasonable basis for
believing that the customer can evaluate the special
characteristics of, and is able to bear the financial
risks of, such transaction.
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18:32 May 22, 2007
Jkt 211001
and that Lehman will deliver a
prospectus in connection with the
initial sales of the Notes and will
reference that the Commission has no
jurisdiction over the trading of the
physical commodities or the futures
contracts or on the commodities upon
which the value of the Notes is based.
The Exchange submits that it recently
received approval to list and trade notes
linked to the performance of the Dow
Jones-AIG ExEnergy Sub-Index, which
is a subset of the Index.17
III. Discussion and Commission’s
Findings
After careful consideration, the
Commission finds that the proposed
rule change, as amended, is consistent
with the requirements of the Act and the
rules and regulations thereunder
applicable to a national securities
exchange.18 In particular, the
Commission finds that the proposal is
consistent with the requirements of
Section 6(b)(5) of the Act,19 which
requires, among other things, that the
Exchange’s rules be designed to promote
just and equitable principles of trade, to
remove impediments to and perfect the
mechanism of a free and open market
and a national market system, and, in
general, to protect investors and the
public interest. The Commission notes
that the Notes are substantially similar
to other notes, the listing and trading of
which have previously been approved
by the Commission.20 The Commission
also notes that it has approved indexes
comprised of similar commodity pools
underlying other derivative products
that are currently listed and traded on
the Exchange.21
The Commission further believes that
the proposal is consistent with Section
11A(a)(1)(C)(iii) of the Exchange Act,22
17 See Securities Exchange Act Release No. 54790
(November 20, 2006), 71 FR 68645 (November 27,
2006) (SR-Amex-2006–01).
18 In approving this proposed rule change, the
Commission notes that it has considered the
proposed rule’s impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
19 15 U.S.C. 78f(b)(5).
20 See, e.g., 71 FR 68645, supra note 17
(approving the listing and trading of principal
protected notes linked to the Dow Jones-AIG
ExEnergy Sub-Index, which is comprised of
components that make up a subset of the Index);
Securities Exchange Act Release No. 53876 (May
25, 2006), 71 FR 32158 (June 2, 2006) (SR–NYSE–
2006–16) (approving the listing and trading of
index-linked securities of Barclays Bank PLC linked
to the performance of the Index).
21 See e.g., Securities Exchange Act Release No.
55029 (December 29, 2006), 72 FR 806 (January 8,
2007) (SR-Amex-2006–76) (DB Multi-Sector
Commodity Trust); Securities Exchange Act Release
No. 53105 (January 11, 2006), 71 FR 3129 (January
19, 2006) (SR-Amex-2005–059) (DB Commodity
Index Tracking Fund).
22 15 U.S.C. 78k–1(a)(1)(C)(iii).
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Fmt 4703
Sfmt 4703
which sets forth Congress’ finding that
it is in the public interest and
appropriate for the protection of
investors and the maintenance of fair
and orderly markets to assure the
availability to brokers, dealers, and
investors of information with respect to
quotations for and transactions in
securities. Dow Jones will disseminate
the Index value at least every 15
seconds from 8 a.m. to 3 p.m. ET and
publish a daily Index level at
approximately 4 p.m. ET on each DJ–
AIG Business Day on its Internet Web
site and on Bloomberg’s Web site. In
addition, daily settlement prices, futures
quotes, and last-sale information for the
designated contracts on the
commodities underlying the Index are
available through a variety of major
market data vendors and financial news
publications, including Bloomberg and
Reuters.
In support of this proposal, the
Exchange has made the following
representations:
(1) Amex would rely on its existing
surveillance procedures, which are
adequate to properly monitor the
trading of the Notes. Specifically, the
Exchange will rely on its surveillance
procedures applicable to index-linked
securities, which are similar to the
surveillance procedures governing
exchange-traded funds and trust-issued
receipts. With regard to the Index
components, Amex has in place a
comprehensive surveillance sharing
agreement with ICE, LME, and NYMEX,
for the purpose of providing and
obtaining information due to regulatory
concerns that may arise in connection
with the trading of the futures contracts
underlying the Index. In addition, Amex
states that is able to obtain all such
necessary market surveillance
information from CBOT, CME, and
NYBOT, which are members of ISG. As
a result, the Exchange can obtain all
necessary market surveillance
information due to regulatory concerns
that may arise in connection with the
commodity futures contracts underlying
the Index.
(2) AIG–FP has in place procedures
reasonably designed to prevent the
improper sharing, use, and
dissemination by relevant employees of
AIG–FP of material non-public
information relating to changes in the
composition or method of computation
or calculation of the Index and agrees to
periodically check the application of
such procedures as they relate to
personnel of AIG–FP responsible for
such changes. In addition, the
Supervisory and Advisory Committees
are subject to written policies that
acknowledge their obligations with
E:\FR\FM\23MYN1.SGM
23MYN1
Federal Register / Vol. 72, No. 99 / Wednesday, May 23, 2007 / Notices
respect to such material non-public
information.
(3) The Exchange will halt trading in
the Notes if the circuit breaker
parameters of Amex Rule 117 have been
reached and, in exercising its discretion
to halt or suspend trading in the Notes,
the Exchange may consider factors such
as those set forth in Amex Rule 918C(b),
in addition to other factors that may be
relevant. In particular, if the Index value
is not being disseminated as required,
the Exchange may halt trading during
the day in which the interruption to the
dissemination of the Index value occurs.
If the interruption to the dissemination
of the Index value persists past the
trading day on which it occurred, the
Exchange will halt trading no later than
the beginning of the trading day
following the interruption.
(4) Amex will distribute an
Information Circular to its members
providing guidance with regard to the
special characteristics and risks of
trading this type of security, member
firm compliance responsibilities,
including suitability recommendations,
the specific Amex trading rules
governing transactions in the Notes, and
the prospectus delivery requirements
applicable to the Notes.
This Order is conditioned on Amex’s
adherence to the foregoing
representations.
The Commission finds good cause to
approve the proposed rule change, as
modified by Amendment No. 1 thereto,
prior to the thirtieth day after
publication for comment in the Federal
Register pursuant to Section 19(b)(2) of
the Act.23 As noted earlier, the Notes are
substantially similar to other notes, the
listing and trading of which have
previously been approved by the
Commission, and do not appear to
present any new regulatory concerns.24
In addition, the Commission notes that
the same Index currently underlies
other products previously approved for
listing and trading.25 Accelerating
approval of this proposed rule change
would allow the Notes to trade on Amex
without undue delay and should
generate additional competition in the
market for such products.
pwalker on PROD1PC71 with NOTICES
IV. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,26 that the
proposed rule change (SR–Amex–2007–
29), as modified by Amendment No. 1,
be, and it hereby is, approved on an
accelerated basis.
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.27
J. Lynn Taylor,
Assistant Secretary.
[FR Doc. E7–9854 Filed 5–22–07; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–55774; File No. SR–BSE–
2007–09]
VerDate Aug<31>2005
18:32 May 22, 2007
May 16, 2007.
1. Purpose
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
notice is hereby given that on February
20, 2007, the Boston Stock Exchange
(‘‘BSE’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I, II, and
III below, which Items have been
substantially prepared by the BSE. On
May 11, 2007, the Exchange filed with
the Commission Amendment No. 1.3
The Commission is publishing this
notice to solicit comments on the
proposed rule change, as amended, from
interested persons.
The Exchange proposes to amend
Section 4 (Appointment of Market
Makers) of Chapter VI of the BOX Rules
to grant the authority for the Exchange
to approve Market Maker appointments
instead of the Board or committee
designated by the Board, as the rule
currently states. The Exchange is also
proposing to provide a process for those
Market Makers who wish to withdraw
from trading an option issue within
their appointment.
The proposed change of granting the
Exchange the authority to approve
Market Maker appointments instead of
the Board or a committee designated by
the Board will help aid in the efficiency
of BOX’s Market Maker allocation
process. If approved, this proposed
change will allow the regulatory staff of
the Exchange the ability to approve
Market Maker appointments. The BSE
regulatory staff is more accessible than
the Board and this change will help
with the expediency of the Market
Marker allocation approval process.
The Exchange has also proposed to
add a provision to establish a process
for those Market Makers who wish to
withdraw from trading an option issue
within their appointment.4 A Market
Maker may withdraw from an
appointment as long as the Market
Maker provides BOX with three
business days written notice of their
intent to withdraw from an
appointment. If such written notice is
not provided to BOX, then the Market
Maker may be subject to formal
disciplinary action.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend
Section 4 (Appointment of Market
Makers) of Chapter VI of the Rules of the
Boston Options Exchange (‘‘BOX’’). The
BSE is proposing to amend the BOX
Rules to grant the authority for the
Exchange to approve Market Maker
appointments instead of the Board or a
committee designated by the Board, as
the rule currently states. The Exchange
is also proposing to provide a process
for those Market Makers who wish to
withdraw from trading an option issue
within their appointment. The text of
the proposed rule change is available on
the Exchange’s website (https://
www.bse.com), at the Exchange’s Office
of the Secretary and at the Commission.
1 15
Jkt 211001
In its filing with the Commission, the
Exchange included statements
concerning the purpose of, and basis for,
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in Sections A, B, and C below, of
the most significant aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 Amendment No. 1 supersedes and replaces the
original proposal in its entirety.
U.S.C. 78s(b)(2).
24 See supra note 20.
25 See id.
26 15 U.S.C. 78s(b)(2).
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
Self-Regulatory Organizations; Boston
Stock Exchange, Inc.; Notice of Filing
of Proposed Rule Change and
Amendment No. 1 Thereto Relating to
Appointment of Market Makers
27 17
23 15
29019
PO 00000
Frm 00075
Fmt 4703
Sfmt 4703
4 See Proposed Section 4, subparagraph (i),
Chapter VI of the BOX Rules.
E:\FR\FM\23MYN1.SGM
23MYN1
]]>Agencies
[Federal Register Volume 72, Number 99 (Wednesday, May 23, 2007)]
[Notices]
[Pages 29015-29019]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E7-9854]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-55776; File No. SR-Amex-2007-29]
Self-Regulatory Organizations; American Stock Exchange LLC; Order
Granting Accelerated Approval of a Proposed Rule Change, as Modified by
Amendment No. 1 Thereto, Relating to the Listing and Trading of Notes
Linked to the Performance of the Dow Jones-AIG Commodity Index Total
Return
May 17, 2007.
I. Introduction
On March 2, 2007, the American Stock Exchange LLC (``Amex'' or
``Exchange'') filed with the Securities and Exchange Commission
(``Commission'') a proposed rule change pursuant to Section 19(b)(1) of
the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4
thereunder.\2\ On April 5, 2007, Amex filed Amendment No. 1 to the
proposed rule change. The proposed rule change, as amended, was
published for comment in the Federal Register on May 1, 2007 for a 15-
day comment period.\3\ The Commission received no comments on the
proposal. This order approves the proposed rule change, as modified by
Amendment No. 1, on an accelerated basis.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 55661 (April 24,
2007), 72 FR 23862 (``Notice'').
---------------------------------------------------------------------------
II. Description of the Proposal
Under Section 107A of the Amex Company Guide (``Company Guide''),
the Exchange may approve for listing and trading securities which
cannot be readily categorized under the listing criteria for common and
preferred stocks, bonds, debentures, or warrants, including index and
currency warrants. Amex proposes to list for trading under
[[Page 29016]]
Section 107A of the Company Guide floating rate notes (the ``Notes'')
linked to the performance of the Dow Jones-AIG Commodity Index Total
Return (the ``Index'').\4\
---------------------------------------------------------------------------
\4\ Lehman Brothers Holdings Inc. (``Lehman''), Dow Jones &
Company, Inc. (``Dow Jones'') and AIG International, Inc. (``AIGI'')
have entered into a non-exclusive license agreement providing for
the use of the Index by Lehman and certain affiliates and
subsidiaries thereof in connection with certain securities including
the Notes.
---------------------------------------------------------------------------
The Exchange states that the Notes will conform to the initial
listing guidelines under Section 107A of the Company Guide and the
continued listing guidelines under Sections 1001-1003 of the Company
Guide. The Notes are senior, non-convertible debt securities of Lehman,
have a term of thirteen months, and will provide for participation in
the positive performance of the Index during their term. The Notes are
cash-settled in United States (``U.S.'') dollars and do not give the
holder any right or other ownership interest in the Index or
commodities comprising the Index. The Notes are designed for investors
who desire to participate in, or gain exposure to, an index composed of
a basket of actively-traded commodities, receive monthly coupon
interest payments, and are willing to forego principal protection on
the Notes during their term. Lehman will issue the Notes in
denominations of whole units, with each unit representing a single
Note. The original public offering price will be $1,000 per Note.
Unless the Notes have been redeemed earlier, at maturity, a holder
would receive per each $1,000 Note, a cash amount equal to the Daily
Value per $1,000 Note as of the Valuation Date\5\, plus accrued and
unpaid coupon payments, to, but excluding, the stated maturity date.
Lehman may redeem the Notes early if, on any Index Business Day prior
to the Valuation Date, the Daily Value per $1,000 Note falls below a
certain pre-determined amount. This day is known as the ``Early
Redemption Determination Date.'' This pre-determined amount will be
determined at the time of issuance of the Notes. In the event of
redemption, Lehman will pay an amount per $1,000 Note equal to the
Daily Value per $1,000 Note calculated as of the first Index Business
Day following the Early Redemption Determination Date, plus accrued and
unpaid coupon payments to, but excluding, the Early Redemption
Determination Date.
---------------------------------------------------------------------------
\5\ See Notice at 23862 (providing a detailed discussion of the
calculation methodology of the ``Daily Value'' per $1000 Note as of
the Valuation Date). Terms not otherwise defined herein shall have
the same meaning as the meaning given in the Notice, supra note 3.
---------------------------------------------------------------------------
If an event of default occurs and the maturity of the Notes are
accelerated, Lehman will pay holders an amount equal to the amount that
would have been payable at maturity, calculated as though the date of
acceleration was the stated maturity date, and the date three Index
Business Days before the date of acceleration was the Valuation Date.
If a bankruptcy proceeding is commenced, the claims of a holder of a
Note may be limited.
Index Description
The Index, developed by AIGI, is a proprietary index that is
calculated by Dow Jones, AIGI, and AIG Financial Products Corp. (``AIG-
FP'' and, together with AIGI and Dow Jones, the ``Sponsors'') and
published by Dow Jones.\6\ The methodology for determining the
composition and weighting of the Index and for calculating its level is
subject to modification by the Sponsors at any time.\7\ Dow Jones
disseminates the Index level at least every 15 seconds from 8 a.m. to 3
p.m. Eastern Time (``ET''),\8\ and publishes a daily Index level at
approximately 4 p.m. ET on each DJ-AIG Business Day on its Web site at
www.djindexes.com and on Bloomberg's Web site.
---------------------------------------------------------------------------
\6\ AIG-FP is not a broker-dealer or futures commission
merchant; however, AIG-FP may have such affiliates. Therefore, AIG-
FP (1) maintains and agrees to continue to maintain procedures
reasonably designed to prevent the use and dissemination by relevant
employees of AIG-FP, in violation of applicable laws, rules and
regulations, of material non-public information relating to changes
in the composition or method of computation or calculation of the
Index or the Dow Jones-AIG Commodity Index and (2) agrees to
periodically check the application of such procedures as they relate
to personnel of AIG-FP responsible for such changes. Dow Jones has
informed the Exchange that it does not have any affiliates engaged
in the securities or commodities trading businesses and, as such,
does not believe that such firewall procedures are necessary in its
case. In addition, the Supervisory and Advisory Committees (as
defined herein) are subject to written policies that acknowledge
their obligations with respect to material non-public information.
\7\ Lehman has informed the Exchange that Lehman is not
affiliated with any of the Sponsors. E-mail from Jeffrey P. Burns,
Associate General Counsel, Amex, to Edward Y. Cho, Special Counsel,
Division of Market Regulation, Commission, dated May 14, 2007.
\8\ Any disseminated Index value after 3 p.m. ET is static due
to the close of auction trading of various commodities futures
contracts.
---------------------------------------------------------------------------
The Index is re-weighted and re-balanced each year in January on a
price-percentage basis. The annual weightings for the Index are
determined each year in June or July by AIG-FP under the supervision of
the Index Supervisory Committee,\9\ announced after approval by such
Committee and implemented the following January.
---------------------------------------------------------------------------
\9\ On February 21, 2007, Dow Jones announced a change to the
Dow Jones-AIG Commodity Index Oversight Committee structure
providing for a two-tier committee structure consisting of a
``Supervisory Committee'' and an ``Advisory Committee.'' The
Supervisory Committee makes all final decisions relating to the
Index with the advice and recommendation from the Advisory
Committee.
---------------------------------------------------------------------------
The Index is designed to track rolling futures positions in a
diversified basket of 19 exchange-traded futures contracts on physical
commodities. The 19 physical commodities selected for 2007 are
aluminum, coffee, copper, corn, cotton, crude oil, gold, heating oil,
lean hogs, live cattle, natural gas, nickel, silver, soybeans, soybean
oil, sugar, unleaded gasoline, wheat, and zinc. Unlike equities, which
typically entitle the holder to a continuing stake in a corporation,
commodity futures contracts normally specify a certain date for the
delivery of the underlying physical commodity. The Index tracks what is
known as a rolling futures position, which is a position where, on a
periodic basis, futures contracts on physical commodities specifying
delivery on a nearby date must be sold and futures contracts on
physical commodities that have not yet reached the delivery period must
be purchased. An investor with a rolling futures position is able to
avoid delivering underlying physical commodities while maintaining
exposure to those commodities. The rollover for each Index component
occurs over a period of five DJ-AIG Business Days each month according
to a pre-determined schedule.
The 19 physical commodities selected for inclusion in the Index for
2007, and their respective weightings, are as follows:
------------------------------------------------------------------------
Weighting
Commodity (percent)
------------------------------------------------------------------------
Crude oil............................................... 12.723561
Natural gas............................................. 12.546191
Soybeans................................................ 7.747790
Gold.................................................... 6.825901
Aluminum................................................ 6.803820
Copper.................................................. 6.187758
Live cattle............................................. 6.141286
Corn.................................................... 5.627129
Wheat................................................... 4.715495
Unleaded gasoline....................................... 3.940958
Heating oil............................................. 3.789289
Cotton.................................................. 3.146094
Sugar................................................... 3.122271
Coffee.................................................. 3.021718
Lean hogs............................................... 3.013524
Soybean oil............................................. 2.845646
Zinc.................................................... 2.798069
Nickel.................................................. 2.715318
Silver.................................................. 2.288179
---------------
[[Page 29017]]
Total (rounded)..................................... 100.000000
------------------------------------------------------------------------
Futures contracts on the Index are currently listed for trading on
the Chicago Board of Trade (``CBOT''). The Index commodities currently
trade on U.S. exchanges, with the exception of aluminum, nickel and
zinc, which trade on the London Metal Exchange (``LME'').
Designated Contracts for Each Index Commodity
A futures contract, known as a ``Designated Contract,'' is selected
by the Supervisory Committee for each Index commodity.\10\ With the
exception of several LME contracts, the Supervisory Committee selects
the futures contract that is traded in the U.S. and denominated in U.S.
dollars. If more than one of those contracts exists, the Supervisory
Committee will select the most actively traded contract. Data
concerning this Designated Contract will be used to calculate the Index
value. If a Designated Contract is terminated or replaced, a comparable
futures contract would be selected, if available, to replace that
Designated Contract.
---------------------------------------------------------------------------
\10\ The Supervisory Committee may exclude any otherwise
eligible contract from the Index if it determines that it has
inadequate liquidity. The Index currently includes contracts traded
on LME, which is located in London. During the hours when the LME is
closed, Dow Jones uses the last price and the settlement price once
they are available in order to publish the Index value through the
end of the trading day. The Index value does not reflect any after-
hours or overnight trading in contracts traded on LME.
---------------------------------------------------------------------------
The Designated Contracts for the Index commodities included in the
Index for 2007 are traded on LME, CBOT, the New York Board of Trade
(``NYBOT''),\11\ the Chicago Mercantile Exchange, Inc. (``CME''), and
the New York Mercantile Exchange (``NYMEX''). The particular
commodities futures exchanges for each commodity futures contract are
as follows: (1) Aluminum, nickel, and zinc--LME at www.lme.com; (2)
corn, soybeans, soybean oil, and wheat--CBOT at www.cbot.com; (3) live
cattle and lean hogs--CME at www.cme.com; (4) coffee, cotton, and
sugar--NYBOT at www.nybot.com; and (5) copper, crude oil, gold, heating
oil, natural gas, silver, and unleaded gasoline--NYMEX at
www.nymex.com. In addition, various market data vendors and financial
news publications publish futures prices and data. The Exchange
represents that futures quotes and last sale information for the
commodities underlying the Index are widely disseminated through a
variety of major market data vendors worldwide, including Bloomberg and
Reuters.
---------------------------------------------------------------------------
\11\ NYBOT recently was purchased by the Intercontinental
Exchange (``ICE'') and is now a regulated subsidiary of ICE.
---------------------------------------------------------------------------
Determination of Relative Weightings
The relative weightings of the component commodities included in
the Index are determined annually according to both liquidity and
dollar-adjusted production data in 2/3 and 1/3 shares, respectively.
Each June, for each commodity designated for potential inclusion in the
Index, liquidity is measured by the commodity liquidity percentage and
production by the commodity production percentage.\12\
---------------------------------------------------------------------------
\12\ See Notice at 23864 (providing a detailed discussion of how
the commodity liquidity percentage and the commodity production
percentage are determined and adjusted).
---------------------------------------------------------------------------
The Index is designed to provide diversified exposure to
commodities as an asset class. To ensure that no single commodity or
commodity sector dominates the Index, the following diversification
rules are applied to the annual re-weighting and re-balancing of the
Index as of January of the applicable year:
No related group of commodities designated as a commodity
group (e.g., energy, precious metals, livestock, or grains) may
constitute more than 33% of the Index.
No single commodity may constitute more than 15% of the
Index.
No single commodity, together with its derivatives (e.g.,
crude oil, together with heating oil and unleaded gasoline), may
constitute more than 25% of the Index.
Following the annual re-weighting and re-balancing of the Index in
January, the percentage of any single commodity or group of commodities
at any time prior to the next re-weighting or re-balancing will
fluctuate and may exceed or be less than the percentages set forth
above. The Index is then calculated by the Sponsors by applying the
impact of the changes to the futures prices of commodities included in
the Index (based on their relative weightings).\13\
---------------------------------------------------------------------------
\13\ See id. (describing the mathematical process for the
calculation of the Index value).
---------------------------------------------------------------------------
Index Calculation Disruption Events
From time to time, disruptions can occur in trading futures
contracts on various commodity exchanges. The daily calculation of the
Index may be adjusted in the event that the Sponsors determine that any
of the following Index calculation disruption events exists:
The termination or suspension of, or material limitation
or disruption in, the trading of any futures contract used in the
calculation of the Index on that day;
The settlement price of any futures contract used in the
calculation of the Index reflects the maximum permitted price change
from the previous day's settlement price;
The failure of an exchange to publish settlement prices
for any futures contract used in the calculation of the Index; or
With respect to any futures contract used in the
calculation of the Index that trades on LME, a business day on which
LME is not open for trading.
The Exchange submits that for a temporary disruption in the trading
of a futures contract, AIGI will typically use the prior day's price
for an Index commodity or commodities. In exceptional cases, AIGI may
employ a ``fair value'' price. However, the Exchange represents that if
the use of a prior day's price or ``fair value'' pricing for an Index
commodity or commodities continues for more than one day, the Exchange
will commence delisting the Notes.
Exchange Rules Applicable to the Notes
Amex represents that the Notes will trade on the Exchange subject
to existing Amex trading rules applicable to the Notes including, among
others, rules governing priority, parity, and precedence of orders,
specialist responsibilities, account opening, and customer suitability
requirements. In addition, the Notes will be subject to the equity
margin rules of the Exchange.\14\
---------------------------------------------------------------------------
\14\ See Amex Rule 462.
---------------------------------------------------------------------------
Criteria for Initial and Continued Listing
The Exchange represents that it prohibits the initial and/or
continued listing of any security that is not in compliance with Rule
10A-3 under the Act.\15\ The Exchange further represents that the Notes
will meet the listing requirements set forth in Section 107A of the
Company Guide as well as the continued listing requirements set forth
in Sections 1001 through 1003 of the Company Guide. The Exchange also
has a general policy that prohibits the distribution of material, non-
public information by its employees.
---------------------------------------------------------------------------
\15\ See 17 CFR 240.10A-3(c)(1).
---------------------------------------------------------------------------
Trading Halts
The Exchange states that it will halt trading in the Notes if the
circuit breaker parameters of Amex Rule 117 have been reached. In
exercising its discretion to halt or suspend trading in
[[Page 29018]]
the Notes, the Exchange may consider factors such as those set forth in
Amex Rule 918C(b), in addition to other factors that may be relevant.
In particular, if the Index value is not being disseminated as
required, the Exchange may halt trading during the day in which the
interruption to the dissemination of the Index value occurs. If the
interruption to the dissemination of the Index value persists past the
trading day on which it occurred, the Exchange will halt trading no
later than the beginning of the trading day following the interruption.
Surveillance
The Exchange represents that its surveillance procedures are
adequate to properly monitor the trading of the Notes. Specifically,
Amex will rely on its existing surveillance procedures governing index-
linked securities which are similar to its surveillance procedures
governing exchange-traded funds and trust-issued receipts. With regard
to the Index components, the Exchange currently has in place a
comprehensive surveillance sharing arrangement with ICE, LME, and
NYMEX, for the purpose of providing information in connection with
trading in or related to futures contracts comprising the Index and
traded on their respective exchanges. The Exchange also notes that
CBOT, CME, and NYBOT are members of the Intermarket Surveillance Group
(``ISG''). As a result, the Exchange asserts that it can obtain all
necessary market surveillance information, including customer identity
information, from CBOT, CME, ICE, LME, NYBOT, and NYMEX, if necessary,
due to regulatory concerns that may arise in connection with the
commodity futures contracts underlying the Index.
Information Circular
The Exchange will, prior to trading the Notes, distribute an
Information Circular to its membership providing guidance with regard
to member firm compliance responsibilities (including suitability
recommendations) \16\ when handling transactions in the Notes and
highlighting the special risks and characteristics of the Notes. In
addition, the Circular will identify and disclose the applicable
trading rules governing the trading of the Notes on the Exchange and
that Lehman will deliver a prospectus in connection with the initial
sales of the Notes and will reference that the Commission has no
jurisdiction over the trading of the physical commodities or the
futures contracts or on the commodities upon which the value of the
Notes is based. The Exchange submits that it recently received approval
to list and trade notes linked to the performance of the Dow Jones-AIG
ExEnergy Sub-Index, which is a subset of the Index.\17\
---------------------------------------------------------------------------
\16\ 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.
\17\ See Securities Exchange Act Release No. 54790 (November 20,
2006), 71 FR 68645 (November 27, 2006) (SR-Amex-2006-01).
---------------------------------------------------------------------------
III. Discussion and Commission's Findings
After careful consideration, the Commission finds that the proposed
rule change, as amended, is consistent with the requirements of the Act
and the rules and regulations thereunder applicable to a national
securities exchange.\18\ In particular, the Commission finds that the
proposal is consistent with the requirements of Section 6(b)(5) of the
Act,\19\ which requires, among other things, that the Exchange's rules
be designed to promote just and equitable principles of trade, to
remove impediments to and perfect the mechanism of a free and open
market and a national market system, and, in general, to protect
investors and the public interest. The Commission notes that the Notes
are substantially similar to other notes, the listing and trading of
which have previously been approved by the Commission.\20\ The
Commission also notes that it has approved indexes comprised of similar
commodity pools underlying other derivative products that are currently
listed and traded on the Exchange.\21\
---------------------------------------------------------------------------
\18\ In approving this proposed rule change, the Commission
notes that it has considered the proposed rule's impact on
efficiency, competition, and capital formation. See 15 U.S.C.
78c(f).
\19\ 15 U.S.C. 78f(b)(5).
\20\ See, e.g., 71 FR 68645, supra note 17 (approving the
listing and trading of principal protected notes linked to the Dow
Jones-AIG ExEnergy Sub-Index, which is comprised of components that
make up a subset of the Index); Securities Exchange Act Release No.
53876 (May 25, 2006), 71 FR 32158 (June 2, 2006) (SR-NYSE-2006-16)
(approving the listing and trading of index-linked securities of
Barclays Bank PLC linked to the performance of the Index).
\21\ See e.g., Securities Exchange Act Release No. 55029
(December 29, 2006), 72 FR 806 (January 8, 2007) (SR-Amex-2006-76)
(DB Multi-Sector Commodity Trust); Securities Exchange Act Release
No. 53105 (January 11, 2006), 71 FR 3129 (January 19, 2006) (SR-
Amex-2005-059) (DB Commodity Index Tracking Fund).
---------------------------------------------------------------------------
The Commission further believes that the proposal is consistent
with Section 11A(a)(1)(C)(iii) of the Exchange Act,\22\ which sets
forth Congress' finding that it is in the public interest and
appropriate for the protection of investors and the maintenance of fair
and orderly markets to assure the availability to brokers, dealers, and
investors of information with respect to quotations for and
transactions in securities. Dow Jones will disseminate the Index value
at least every 15 seconds from 8 a.m. to 3 p.m. ET and publish a daily
Index level at approximately 4 p.m. ET on each DJ-AIG Business Day on
its Internet Web site and on Bloomberg's Web site. In addition, daily
settlement prices, futures quotes, and last-sale information for the
designated contracts on the commodities underlying the Index are
available through a variety of major market data vendors and financial
news publications, including Bloomberg and Reuters.
---------------------------------------------------------------------------
\22\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
---------------------------------------------------------------------------
In support of this proposal, the Exchange has made the following
representations:
(1) Amex would rely on its existing surveillance procedures, which
are adequate to properly monitor the trading of the Notes.
Specifically, the Exchange will rely on its surveillance procedures
applicable to index-linked securities, which are similar to the
surveillance procedures governing exchange-traded funds and trust-
issued receipts. With regard to the Index components, Amex has in place
a comprehensive surveillance sharing agreement with ICE, LME, and
NYMEX, for the purpose of providing and obtaining information due to
regulatory concerns that may arise in connection with the trading of
the futures contracts underlying the Index. In addition, Amex states
that is able to obtain all such necessary market surveillance
information from CBOT, CME, and NYBOT, which are members of ISG. As a
result, the Exchange can obtain all necessary market surveillance
information due to regulatory concerns that may arise in connection
with the commodity futures contracts underlying the Index.
(2) AIG-FP has in place procedures reasonably designed to prevent
the improper sharing, use, and dissemination by relevant employees of
AIG-FP of material non-public information relating to changes in the
composition or method of computation or calculation of the Index and
agrees to periodically check the application of such procedures as they
relate to personnel of AIG-FP responsible for such changes. In
addition, the Supervisory and Advisory Committees are subject to
written policies that acknowledge their obligations with
[[Page 29019]]
respect to such material non-public information.
(3) The Exchange will halt trading in the Notes if the circuit
breaker parameters of Amex Rule 117 have been reached and, in
exercising its discretion to halt or suspend trading in the Notes, the
Exchange may consider factors such as those set forth in Amex Rule
918C(b), in addition to other factors that may be relevant. In
particular, if the Index value is not being disseminated as required,
the Exchange may halt trading during the day in which the interruption
to the dissemination of the Index value occurs. If the interruption to
the dissemination of the Index value persists past the trading day on
which it occurred, the Exchange will halt trading no later than the
beginning of the trading day following the interruption.
(4) Amex will distribute an Information Circular to its members
providing guidance with regard to the special characteristics and risks
of trading this type of security, member firm compliance
responsibilities, including suitability recommendations, the specific
Amex trading rules governing transactions in the Notes, and the
prospectus delivery requirements applicable to the Notes.
This Order is conditioned on Amex's adherence to the foregoing
representations.
The Commission finds good cause to approve the proposed rule
change, as modified by Amendment No. 1 thereto, prior to the thirtieth
day after publication for comment in the Federal Register pursuant to
Section 19(b)(2) of the Act.\23\ As noted earlier, the Notes are
substantially similar to other notes, the listing and trading of which
have previously been approved by the Commission, and do not appear to
present any new regulatory concerns.\24\ In addition, the Commission
notes that the same Index currently underlies other products previously
approved for listing and trading.\25\ Accelerating approval of this
proposed rule change would allow the Notes to trade on Amex without
undue delay and should generate additional competition in the market
for such products.
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\23\ 15 U.S.C. 78s(b)(2).
\24\ See supra note 20.
\25\ See id.
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IV. Conclusion
It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\26\ that the proposed rule change (SR-Amex-2007-29), as modified
by Amendment No. 1, be, and it hereby is, approved on an accelerated
basis.
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\26\ 15 U.S.C. 78s(b)(2).
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\27\
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\27\ 17 CFR 200.30-3(a)(12).
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J. Lynn Taylor,
Assistant Secretary.
[FR Doc. E7-9854 Filed 5-22-07; 8:45 am]
BILLING CODE 8010-01-P
