Self-Regulatory Organizations; American Stock Exchange LLC; Notice of Filing of a Proposed Rule Change, as Modified by Amendments No. 1, 2, 3, 4, 5, and 6 Thereto, Relating to the Listing and Trading of Shares of the Nuveen Commodities Income and Growth Fund, 54489-54495 [E7-18841]
Download as PDF
<![CDATA[
Federal Register / Vol. 72, No. 185 / Tuesday, September 25, 2007 / Notices
II. Description of the Proposal
Effective January 2, 2007, the
Exchange adopted new transaction
charges for its members and member
organizations largely relating to the
Exchange’s new hybrid market trading
platform (known as AEMI), the
upcoming implementation of Regulation
NMS, and changes in the competitive
landscape for equities, ETFs, and
Nasdaq UTP securities (this fee
schedule referred to herein as the
‘‘January Fee Schedule’’).4 The
Exchange has represented that it had
difficulty obtaining the data necessary
to calculate an accurate bill pursuant to
the January Fee Schedule and providing
that data to its clearing firms in a timely
manner so the firms could accurately
pass those charges on to their
customers. For this reason, the
Exchange submitted a filing on February
22, 2007, in conjunction with this filing,
to eliminate the January Fee Schedule
and revert to the schedule for
transaction charges in equities, ETFs,
and Nasdaq UTP securities in effect
prior to January 2, 2007 (referred to
herein as the ‘‘February Fee
Schedule’’).5 The February Fee
Schedule also included a five percent
discount for customer orders.6 The
proposed rule change would make the
February Fee Schedule effective
retroactively for the period of January 2,
2007 through February 21, 2007.
III. Discussion
yshivers on PROD1PC62 with NOTICES
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.7 In particular, the
Commission believes that the proposal
is consistent with Section 6(b)(4) of the
Act 8 in that it provides for the equitable
allocation of reasonable dues, fees, and
other charges among its members. The
Exchange has represented that a small
number (less than ten) of its clearing
members may owe a small amount more
4 See Securities Exchange Act Release No. 55195
(January 30, 2007) 72 FR 5469 (February 6, 2007)
(SR–Amex–2006–117).
5 See Securities Exchange Act Release No. 55458
(March 13, 2007), 72 FR 13320 (March 21, 2007)
(SR–Amex–2007–23).
6 ‘‘Customers’’ are defined forpurposes of the fee
schedule to include all market participants except
specialists and registered traders. Therefore,
customer accounts include members’ off-floor
proprietary accounts and the accounts of competing
market makers and other member and non-member
broker-dealers.
7 In approving this proposed rule change,
theCommission notes that it has considered the
proposed rule’s impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
8 15 U.S.C. 78f(b)(4).
VerDate Aug<31>2005
15:20 Sep 24, 2007
Jkt 211001
in fees based on the February Fee
Schedule than they would have owed
under the January Fee Schedule, and
that the Exchange will credit their
accounts in the amount of the additional
sum owed. Thus, the retroactive
application of the February Fee
Schedule will not result in an increase
in the transaction fees owed on these
past transactions.9 Therefore, the
Commission believes the fee change to
be equitable and thus consistent with
Section 6(b)(4) of the Act.10
IV. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,11 that the
proposed rule change (File No. SR–
Amex–2007–24), as modified by
Amendment No. 1, is approved.
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.12
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–18823 Filed 9–24–07; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–56465; File No. SR–Amex–
2006–96]
Self-Regulatory Organizations;
American Stock Exchange LLC; Notice
of Filing of a Proposed Rule Change,
as Modified by Amendments No. 1, 2,
3, 4, 5, and 6 Thereto, Relating to the
Listing and Trading of Shares of the
Nuveen Commodities Income and
Growth Fund
September 19, 2007.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 2 thereunder,
notice is hereby given that on October
12, 2006, the American Stock Exchange
LLC (‘‘Amex’’ 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
Exchange. On March 2, 2007, March 21,
2007, May 14, 2007, August 15, 2007,
August 28, 2007, and September 17,
9 Transaction fees are generally an
importantfactor that a market participant considers
when routing its orders. If a market participant had
known that a higher transaction fee would apply,
it might have made different decisions about where
to route.
10 15 U.S.C. 78f(b)(4).
11 15 U.S.C. 78s(b)(2).
12 17 CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
PO 00000
Frm 00073
Fmt 4703
Sfmt 4703
54489
2007 the Amex submitted Amendment
Nos. 1, 2, 3, 4, 5, and 6, respectively, to
the proposed rule change. The
Commission is publishing this notice to
solicit comments on the proposed rule
change, as amended, from interested
persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to add new
Amex rules 1600 et seq. to permit the
listing and trading of units of a trust or
other similar entity (‘‘Trust Units’’) that
invests in the assets of a trust,
partnership, limited liability company,
corporation or other similar entity
constituted as a commodity pool that
holds investments comprising or
otherwise based on futures contracts,
options on futures contracts, forward
contracts, commodities and high credit
quality short-term fixed income
securities or other securities. The
Exchange, pursuant to proposed Rule
1600 et seq., seeks to list and trade Trust
Units of the Nuveen Commodities
Income and Growth Fund (the ‘‘Trust’’
or ‘‘Fund’’). The Trust Units of the Fund
are referred to herein as the ‘‘Shares.’’
The text of the proposed rule change
is available at the Amex, the
Commission’s Public Reference Room,
and https://www.amex.com.
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
Amex included statements concerning
the purpose of and basis for the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Amex has substantially prepared
summaries, set forth in Sections A, B,
and C below, of the most significant
aspects of such statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange proposes to add new
Amex rules 1600 et seq. which will
permit the listing and trading of Trust
Units. Specifically, the Amex proposes
to list and trade the Shares, which
represent beneficial ownership interests
in the assets of the Fund, consisting
solely of units (‘‘Master Fund Units’’) of
the Nuveen Commodities Income and
Growth Master Fund LLC (the ‘‘Master
Fund’’).
The Fund was formed as a Delaware
statutory trust on December 7, 2005
E:\FR\FM\25SEN1.SGM
25SEN1
54490
Federal Register / Vol. 72, No. 185 / Tuesday, September 25, 2007 / Notices
yshivers on PROD1PC62 with NOTICES
pursuant to a Declaration of Trust
signed by Wilmington Trust Company,
as the Delaware Trustee.3 The Master
Fund was organized as a limited
liability company on December 7, 2005
under Delaware law. The Fund’s
primary investment objective is to seek
total return through broad exposure to
the commodities markets. The Fund’s
secondary objective is to provide
investors with monthly income and
capital distributions not commonly
associated with commodity
investments. The Master Fund will
invest in commodity futures and
forward contracts, options on
commodity futures and forward
contracts and over-the-counter (‘‘OTC’’)
commodity options in the following
commodity groups: energy, industrial
metals, precious metals, livestock,
agriculturals, and tropical foods and
fibers and may in the future include
other commodity investments that
become the subject of commodity
futures trading.4
The Fund and the Master Fund are
commodity pools. The Master Fund is
managed by Nuveen Commodities Asset
Management, LLC (the ‘‘Manager’’). The
Manager is registered as a commodity
pool operator (the ‘‘CPO’’) and a
commodity trading advisor (the ‘‘CTA’’)
with the Commodity Futures Trading
Commission (‘‘CFTC’’) and is a member
of the National Futures Association
(‘‘NFA’’).
The Manager will serve as the CPO
and CTA of the Fund and the Master
Fund. The Manager will determine the
Master Fund’s overall investment
strategy, including: (i) The selection and
ongoing monitoring of the Master
Fund’s sub-advisors; (ii) the
management of the Fund’s and Master
Fund’s business affairs; and (iii) the
provision of certain clerical,
bookkeeping and other administrative
services. Gresham Investment
Management LLC (the ‘‘Commodity
Sub-Advisor’’) will invest on a notional
basis substantially all of the Master
3 The Fund, as a commodity pool, will not be
subject to registration and regulation under the
Investment Company Act of 1940 (the ‘‘1940 Act’’).
4 Following is a list of futures contracts and other
commodity interests in which the Master Fund may
invest and the exchanges on which they trade with
the greatest dollar volume traded: Lumber, Milk,
Feeder Cattle, Lean Hogs, Live Cattle, Pork Bellies—
Chicago Mercantile Exchange (‘‘CME’’); Cocoa,
Coffee, Cotton, Orange Juice, Sugar—New York
Board of Trade (‘‘NYBOT’’); Gold, Silver—
Commodity Exchange (‘‘COMEX’’) which is a
division of the the New York Mercantile Exchange
(‘‘NYMEX’’); Palladium, Platinum, Crude Oil,
Heating Oil, Natural Gas, Unleaded Gas—NYMEX;
Aluminum, Copper, Lead, Nickel, Tin, Zinc—
London Metals Exchange (‘‘LME’’); Bean Oil, Corn,
Oats, Soy Meal, Soybeans, Wheat—Chicago Board
of Trade (‘‘CBOT’’).
VerDate Aug<31>2005
15:20 Sep 24, 2007
Jkt 211001
Fund’s assets in commodity futures and
forward contracts pursuant to the
commodity investment strategy (its
proprietary Tangible Asset Program
(‘‘TAP ’’)) 5 and a risk management
program. The Commodity Sub-Advisor
is a Delaware limited liability company
and is registered with the CFTC as a
CTA and a CPO and is a member of the
NFA. The Commodity Sub-Advisor is
also registered with the Commission as
an investment adviser. Nuveen Asset
Management (the ‘‘Collateral SubAdvisor’’), an affiliate of the Manager,
will invest the Master Fund’s collateral
in short-term, investment grade quality
debt instruments. The Collateral SubAdvisor is registered with the
Commission as an investment adviser.
The Exchange submits that proposed
Amex Rules 1600 et seq. will
accommodate the listing and trading of
Trust Units.
Introduction
The Exchange notes that the
Commission has permitted the listing
and trading of products linked to the
performance of an underlying
commodity or commodities.6
In January 2006, the Commission
approved Commentary .07 to Rule 1202
which expanded the ability of the
Exchange to list and trade securities
based on a portfolio of underlying
investments that may not be
‘‘securities.’’ 7 Because the Fund is not
a TIR (i.e., a security issued by a trust
which holds specified securities
deposited with the trust, that when
aggregated in some specified minimum
number, may be surrendered to the trust
5 Although the Master Fund does not currently
intend to utilize leverage (subject to the limitation
below), the Master Fund does have the ability to do
so through the issuance of preferred units and/or
borrowings. The Master Fund (and the Fund) may
not utilize leverage in an amount exceeding 33% of
the Master Fund’s capital after such issuance.
6 See Securities Exchange Act Release Nos. 53105
(January 11, 2006), 71 FR 3129 (January 19, 2006)
(SR–Amex–2005–059) (approving the listing and
trading of the DB Commodity Index Tracking
Fund); 51058 (January 19, 2005), 70 FR 3749
(January 26, 2005) (SR–Amex–2004–38) (approving
the listing and trading of the iShares COMEX Gold
Trust); 50603 (October 28, 2004), 69 FR 64614
(November 5, 2004) (NYSE–2004–22) (approving
the listing and trading of streetTRACKS Gold
Shares); 39402 (December 4, 1997), 62 FR 65459
(December 12, 1997) (SR–Amex–97–46) (approving
the listing and trading of commodity index
preferred or debt securities (ComPS) on various
agricultural futures contracts and commodities
indexes); 36885 (February 26, 1996), 61 FR 8315
(March 4, 1996) (SR–Amex–95–50) (approving the
listing and trading of ComPS linked to the value of
single commodity); and 35518 (March 21, 1995), 60
FR 15804 (March 27, 1995) (SR–Amex–94–30)
(approving the listing and trading of commodity
indexed notes or COINS).
7 See Securities Exchange Act Release No. 53105
(January 11, 2006), 71 FR 3129 (January 19, 2006)
(SR–Amex–2005–059).
PO 00000
Frm 00074
Fmt 4703
Sfmt 4703
by the beneficial owner to receive the
securities), the current TIR Rules (Amex
Rule 1200 et seq.) do not specifically
permit the Exchange to list the Shares.
This proposal seeks to expand the
ability of the Exchange to list and/or
trade trust securities based on a
portfolio of underlying investments that
are not TIRs.
Under proposed Amex Rule 1601, the
Exchange may list and trade the Shares.
For each separate and discrete listing of
Trust Units, the Exchange will submit a
filing pursuant to Section 19(b) of the
Act subject to Commission review and
approval. The Shares will conform to
the initial and continued listing criteria
under proposed Rule 1602.8 The Fund
will issue the Shares registered under
the Securities Act of 1933.
Investment Description
The Fund’s investment objective is to
generate attractive risk-adjusted total
returns as compared to investments in
commodity indexes.
The Fund intends to pursue its
investment objective by investing all of
its assets in the Master Fund, which in
turn intends to pursue these investment
objectives by utilizing: (a) An actively
managed rules-based commodity
investment strategy, whereby the Master
Fund will invest in a diversified basket
of commodity futures and forward
contracts with an aggregate notional
value substantially equal to the net
assets of the Master Fund; and (b) a risk
management program designed to
moderate the overall risk and return
characteristics of the Master Fund’s
commodity investments. In pursuing the
risk management program, the Master
Fund will: (i) Purchase ‘‘out-of-themoney’’ commodity put options for
protection against significant asset value
declines; and (ii) write (sell) ‘‘out-of-themoney’’ commodity call options to
obtain option premium cash flow, in
each case on individual futures and
forward contracts, on baskets of
commodities or on broad based
commodity indices.
The Master Fund will typically: (i)
Invest in commodity futures and
forward contracts that are traded either
on U.S. or non-U.S. commodity futures
exchanges; (ii) purchase put and sell
call options on commodity futures and
forward contracts that are traded either
on U.S. or non-U.S. exchanges; and (iii)
purchase OTC commodity put options
through dealers pursuant to negotiated,
8 Proposed Amex Rule 1602 for listing the Trust
Units is substantially similar to current Amex Rules
1202A and 1502 relating to Commodity-Based Trust
Shares and Partnership Units, respectively. The
proposed rule sets forth the initial and continued
listing standards for the Trust Units.
E:\FR\FM\25SEN1.SGM
25SEN1
Federal Register / Vol. 72, No. 185 / Tuesday, September 25, 2007 / Notices
yshivers on PROD1PC62 with NOTICES
bi-lateral arrangements. The Master
Fund also may invest in other
commodity contracts that are presently,
or may hereafter become, the subject of
commodity futures trading. Except for
certain limitations described below,
there are no restrictions or limitations
on the specific commodity investments
in which the Master Fund may invest.
Commodity Investment Strategy
(TAP). The Commodity Sub-Advisor
will invest on a notional basis
substantially all of the Master Fund’s
assets in commodity futures and
forward contracts pursuant to the
commodity investment strategy TAP,
an actively managed, rules-based 9
commodity investment strategy. TAP
is fundamental in nature and is
designed to maintain consistent, fully
collateralized exposure to commodities
as an asset class. TAP does not require
the existence of price trends in order to
be successful.
Risk Management Program. Pursuant
to the risk management program, the
Master Fund will purchase commodity
put options that are ‘‘out-of-themoney’’ 10 on a continual basis on all or
substantially all of the notional value of
its commodity futures and forward
contract positions, and write (or sell)
commodity call options that are 5 to
10% ‘‘out-of-the-money’’ on a continual
basis on approximately 50% of the
notional value of each of its commodity
futures and forward contract positions.
In order to seek protection against
significant asset value declines, the
Master Fund will purchase put options
on broad-based commodity indices such
as the Dow Jones/AIG Commodity
Index (‘‘DJ/AIGCI’’), the Goldman
Sachs Commodity Index (‘‘GSCI’’), or on
certain custom indices, whose prices are
expected to closely correspond to a
substantial portion of the long
commodity futures and forward
contracts held by the Master Fund. The
Master Fund also may purchase put
options on baskets of commodities and
on individual futures and forward
9 TAP currently requires investment in futures
or forward contracts for three commodities in each
of the energy, industrial metals, livestock,
agriculturals, tropical foods and fibers and precious
metal commodity groups. Commodity group
weightings and individual commodity weightings
are chosen by a process that blends two-thirds of
five year global production value and one-third of
five year value of commodity futures contracts
traded in dollars. The process constrains the
weightings of each commodity group such that no
group may constitute more than 35% of TAP and
no single commodity interest can constitute more
than 70% of its group. In addition, each commodity
is rebalanced periodically to its target weighting if
its actual weighting deviates from its target
substantially (currently, by more than 10%).
10 ‘‘Out-of-the-money’’ put option is an option
whose stock price is above its strike price.
VerDate Aug<31>2005
15:20 Sep 24, 2007
Jkt 211001
contracts held by it. On an absolute
basis, the Master Fund does not expect
that the cost to purchase put options at
any one time will exceed 5% of the
value of the Master Fund’s net assets.
Also pursuant to the risk management
program, the Commodity Sub-Advisor
will write call options on individual
futures and forward contracts held by
the Master Fund, on baskets of
commodities or on broad based
commodity indices. The Master Fund
will write call options on approximately
50% of each of its commodity futures
and forward contracts. As the writer of
call options for which a premium is
received, the Master Fund will forego
the right to any appreciation in the
value of each commodity futures or
forward contract in its portfolio that
effectively underlies a call option to the
extent the value of the commodity
futures or forward contract exceeds the
exercise price of such option on or
before the expiration date.
Debt Instruments Used as Collateral.
The Master Fund’s investments in
commodity futures and forward
contracts, options on commodity futures
and forward contracts, and OTC
commodity put options generally will
not require significant outlays of
principal. To support its commodity
investments, the Master Fund
anticipates that it will maintain
significant collateral that will be
invested in short-term debt instruments
with maturities of up to 2 years that, at
the time of investment, are investment
grade quality, including obligations
issued or guaranteed by the U.S.
government or its agencies and
instrumentalities, as well as corporate
obligations and asset-backed securities.
Although earning interest income, the
collateral is subject on a continual basis
to additional margin calls by the
commodity broker and to additional
deposits in the commodity account if
the levels of notional trading change.
Commodity Futures and Forward
Contracts and Related Options
The prices of the commodity futures
and forward contracts, options on
commodity futures and forward
contracts, and OTC commodity options
are volatile with fluctuations expected
to affect the value of the Shares.
Commodity futures and forward
contracts and options on commodity
futures and forward contracts to be held
by the Master Fund will be traded on
U.S. and/or non-U.S. exchanges. The
commodity futures and forward
contracts to be entered into by the
Master Fund are listed and traded on
organized and regulated exchanges
based on the various commodities in the
PO 00000
Frm 00075
Fmt 4703
Sfmt 4703
54491
groups described above.11 Forward
contracts are contracts for the purchase
and sale of a commodity for delivery on
or before a future date or during a
specified period at a specified price.
Futures contracts are essentially forward
contracts that are traded on exchanges.
Options on commodity futures and
forward contracts are contracts giving
the purchaser the right, as opposed to
the obligation, to acquire or to dispose
of the commodity futures or forward
contract underlying the option on or
before a future date at a specified price.
The Master Fund may purchase OTC
commodity put options through dealers
pursuant to negotiated, bi-lateral
arrangements.
The potential futures contracts are
traded on U.S. and non-U.S. exchanges,
including the CBOT, the CME, the
InterContinental Exchange (‘‘ICE
FUTURES’’), the LME, NYMEX,
COMEX, and the NYBOT.
The Manager will assess or review, as
appropriate, the creditworthiness of
each potential or existing, as
appropriate, counterparty to an OTC
contract pursuant to guidelines
approved by the Manager’s board of
directors. Furthermore, the Manager, on
behalf of the Fund, will only enter into
OTC contracts with: (a) Members of the
Federal Reserve System or foreign banks
with branches regulated by the Federal
Reserve Board; (b) primary dealers in
U.S. government securities; (c) brokerdealers; (d) futures commission
merchants; or (e) affiliates of the
foregoing.
Structure of the Fund
Fund. The Fund is a statutory trust
formed pursuant to the Delaware
Statutory Trust Act and will issue
shares that represent units of fractional
undivided beneficial interest in and
ownership of the Fund.
Master Fund. The Master Fund is a
limited liability company organized
pursuant to Delaware law and will issue
units that represent units of fractional
undivided membership interest in and
ownership of the Master Fund.
Trustee. Wilmington Trust Company,
is the Delaware Trustee of the Fund.
The Delaware Trustee is unaffiliated
with the Manager.
Individual Trustees. The individual
trustees of the Fund, all of whom will
be unaffiliated with the Manager, will
fulfill those functions required under
the Amex listing standards and certain
other functions as set forth in the Fund’s
Trust Agreement.
Manager. The Manager is a Delaware
limited liability company that is
11 See
E:\FR\FM\25SEN1.SGM
supra note 4.
25SEN1
yshivers on PROD1PC62 with NOTICES
54492
Federal Register / Vol. 72, No. 185 / Tuesday, September 25, 2007 / Notices
registered with the CFTC as a CPO and
CTA and is a wholly-owned subsidiary
of Nuveen Investments, Inc. The
Manager will serve as the CPO and CTA
of the Fund and the Master Fund and
through the Commodity Sub-Advisor
will be responsible for determining the
Master Fund’s overall investment
strategy and its implementation. It is
anticipated that the individual trustees,
pursuant to the Fund’s Trust
Agreement, will delegate all authority
(other than the individual trustees’
limited requirements to serve on the
Fund’s Audit Committee and
Nominating Committee) to the Manager
to operate the business of the Fund and
to be responsible for the conduct of the
Fund’s commodity affairs. As a
registered CPO and CTA, the Manager is
required to comply with various
regulatory requirements under the CEA
and the rules and regulations of the
CFTC and the NFA.
Commodity Sub-Advisor. The
Commodity Sub-Advisor is a Delaware
limited liability company that is
registered with the CFTC as a CTA and
a CPO and is a member of the NFA. As
a registered CPO and CTA, the
Commodity Sub-Advisor is required to
comply with various regulatory
requirements under the CEA and the
rules and regulations of the CFTC and
the NFA. The Commodity Sub-Advisor
is also registered with the SEC as an
investment adviser.
Collateral Sub-Advisor. The Collateral
Sub-Advisor is an affiliate of the
Manager and a wholly owned subsidiary
of Nuveen Investments, Inc. The
Collateral Sub-Advisor is registered
with the Commission as an investment
adviser.
Transfer Agent, Registrar and
Custodian. State Street Bank and Trust
Company (‘‘State Street’’) will be the
Transfer Agent and Registrar for the
Shares and will be the Custodian for the
assets of the Master Fund.
Commodity Broker. Lehman Brothers
Inc. will act as the commodity broker for
the Master Fund and will clear
transactions that may be executed by it
or other brokerage firms on a ‘‘give-up’’
basis. In addition, Lehman Brothers Inc.
or an affiliate of Lehman Brothers Inc.
may act as counterparty or select other
brokers or dealers to act as counterparty
with respect to the Master Fund’s
transactions in forward contracts and
OTC commodity options. Lehman
Brothers Inc. is registered as a futures
commission merchant and a CPO and is
a member of the NFA. Lehman Brothers
Inc. also is registered with the
Commission as a broker-dealer.
The Exchange notes that each of the
Manager, the Commodity Broker, and
VerDate Aug<31>2005
15:20 Sep 24, 2007
Jkt 211001
the Commodity Sub-Advisor have
represented to the Exchange that they
each have erected and maintain
firewalls within their respective
institutions to prevent the flow of nonpublic information regarding the
portfolio of underlying securities from
the personnel involved in the
development and implementation of the
investment strategy to others such as
sales and trading personnel.
Product Description
The Shares represent units of
fractional undivided beneficial interest
in and ownership of the Fund.
Following the original issuance, the
Shares will be traded on the Exchange
similar to other equity securities.
The Fund will invest all of the
proceeds of its offering of Shares in the
Master Fund. The Master Fund will
issue Master Fund Units, which
represent units of fractional undivided
interest in and ownership of the Master
Fund. Master Fund Units may be
purchased or redeemed on a continuous
basis, but only by the Fund and the
Manager. Master Fund Units may be
purchased or redeemed by the Fund or
the Manager, on an infrequent basis, in
connection with the management of the
Fund. For example, the Manager or
Fund may purchase additional Master
Fund Units if the Fund issues additional
Fund Shares in a secondary offering.
The Fund will own approximately 99%
of the Master Fund Units, and the
Manager will own the remaining Master
Fund Units. No additional investors in
the Master Fund will be solicited. The
Fund will hold no investment assets
other than the Master Fund Units. The
investment results of the Fund will be
directly and completely dependent on
the investment results of the Master
Fund.
Commencing with the Fund’s first
distribution, the Fund intends to make
regular monthly distributions to its
shareholders at a level rate (stated in
terms of a fixed cents per share
distribution rate) based on past and
projected performance of the Fund.12
12 The Fund’s actual financial performance
willvary so that the distribution rate may exceed the
Fund’s actual total returns. The Fund does not
anticipate borrowing to obtain the cash necessary to
make its distributions; however, in the event that
the Fund’s distribution rate exceeds its actual
returns, the Master Fund may be required to
liquidate investments in order to make such a
distribution. To the extent that the Fund’s total
return exceeds the distribution rate for an extended
period of time, the Fund may increase the
distribution rate or distribute supplemental
amounts to investors. Conversely, if the Fund’s total
return is less than the distribution rate for an
extended period of time, the Fund will be drawing
upon its net assets to meet the distribution
payments. The Master Fund may also make
PO 00000
Frm 00076
Fmt 4703
Sfmt 4703
The Fund’s ability to make distributions
at such a level rate will depend on a
number of factors, including, most
importantly, the long-term total returns
generated by the Master Fund’s portfolio
investments and the risk management
program.
As portfolio and market conditions
change, the rate of distributions on the
Master Fund Units and, in turn, the
Shares, and the Master Fund’s and the
Fund’s distribution policies could
change.13
State Street will calculate the net asset
value (‘‘NAV’’) 14 of the Master Fund’s
units shortly after 4 p.m. Eastern Time
(‘‘ET’’). Because there will be a direct
correspondence between the Shares and
the Master Fund Units, the net asset
value per share of the Fund and the net
periodic distributions to the Fund in order to enable
the Fund to meet its operating expenses and costs.
13 In connection with any change in
distributionpolicies, the Fund will provide written
advance notice to investors.
14 NAV per Master Fund Unit is computed
bydividing the value of all assets of the Master
Fund (including any accrued interest and
dividends), less all liabilities (including accrued
expenses and distributions declared but unpaid), by
the total number of Master Fund Units outstanding.
Under the Master Fund’s current operational
procedures, the Master Fund’s net asset value is
calculated after close of the Amex each day. The
values of the Master Fund’s exchange-traded futures
and forward contracts and options on futures and
forward contracts are valued at the settlement price
determined by the principal exchange through
which they are traded. Market quotes for the Master
Fund’s exchange-traded futures and forward
contracts and options on futures and forward
contracts may not be readily available if a contract
cannot be liquidated due to the operation of daily
limits or, due to extraordinary circumstances, the
exchanges or markets on which the investments are
traded do not open for trading the entire day and
no other market prices are available. In addition,
events may occur after the close of the relevant
market, but prior to the determination of the Master
Fund’s net asset value, that materially affect the
values of the Master Fund’s investments. In such
circumstances, the Master Fund will use an
independent pricing service to value such
investments. The Commodity Sub-Advisor will
review the values as determined by the
independent pricing service and discuss those
valuations with the pricing service if appropriate
based on guidelines established by the Manager that
it believes are consistent with industry standards.
The values of the Master Fund’s OTC derivatives
will be valued by the Commodity Sub-Advisor by
taking either the arithmetic mean of prices obtained
by several dealers, the prices as determined by the
average of two (2) or more independent means or
the prices as reported by an independent pricing
service. In the event the Commodity Sub-Advisor
uses an independent pricing service to value any of
its commodity futures and forward contract, options
on futures and forward contract and OTC
derivatives, the pricing service typically will value
such commodity futures and forward contracts,
options on futures and forward contract and OTC
derivatives using a wide range of market data and
other information and analysis, including reference
to transactions in other comparable investments if
available. The procedures of any independent
pricing service provider will be reviewed by the
Manager on a periodic basis.
E:\FR\FM\25SEN1.SGM
25SEN1
Federal Register / Vol. 72, No. 185 / Tuesday, September 25, 2007 / Notices
asset value per Master Fund Unit will be
equal.
The normal trading hours for those
investments of the Fund traded on the
various commodities exchanges may
differ from the normal trading hours of
the Amex, which are from 9:30 a.m. to
4 p.m. ET. Therefore, there may be time
periods during the trading day where
the Shares will be trading on the Amex,
but the futures contracts on various
commodity exchanges will not be
trading. The value of the Shares may
accordingly be influenced by the nonconcurrent trading hours between the
Amex and the various futures exchanges
on which the futures contracts based on
the underlying commodities are traded.
The trading prices of the Fund’s
Shares listed on the Amex may differ
from the NAV and can be affected not
only by movements in the NAV, but by
market forces of supply and demand,
economic conditions and other factors
as well. Accordingly, the trading prices
of the Shares should not be viewed as
a real-time update of the NAV.
Shares will be registered in book entry
form through DTC. Trading in the
Shares on the Exchange will be effected
until 4 p.m. ET each business day. The
minimum trading increment for such
shares will be $.01.
yshivers on PROD1PC62 with NOTICES
Underlying Commodity Interests
Information
The daily settlement prices for the
commodity futures and forward
contracts held by the Master Fund are
publicly available on the Web sites of
the futures and forward exchanges
trading the particular contracts. Various
data vendors and news publications
publish futures prices and data. The
Exchange represents that futures,
forwards and related exchange-traded
options quotes and last sale information
for the commodity contracts are widely
disseminated through a variety of
market data vendors worldwide,
including Bloomberg and Reuters. In
addition, the Exchange further
represents that complete real-time data
for such futures, forwards and
exchange-traded options is available by
subscription from Reuters and
Bloomberg. The relevant futures and
forward exchanges also provide delayed
futures and forward contract
information on current and past trading
sessions and market news free of charge
on their respective Web sites. The
contract specifications for the futures
and forward contracts are also available
from the futures and forward exchanges
on their Web sites as well as other
financial informational sources.
Information related to OTC commodity
VerDate Aug<31>2005
15:20 Sep 24, 2007
Jkt 211001
options is disclosed by the Fund on a
monthly basis as discussed below.
Availability of Information Regarding
the Shares
The Web site for the Fund and the
Manager, https://www.nuveen.com,
which will be publicly accessible at no
charge, will contain the following
information: (a) The prior business day’s
NAV and the reported closing price; (b)
calculation of the premium or discount
of such price against such NAV; and (c)
other applicable quantitative
information. During the initial offering
period, the Fund’s prospectus also will
be available on the Fund’s Web site.
The Fund’s total portfolio holdings
will also be disclosed and updated on
its Web site on each business day that
the Amex is open for trading.15 This
Web site disclosure of portfolio holdings
(as of the previous day’s close) will be
made daily and will include, as
applicable: (a) The name and value of
each commodity investment; (b) the
value of over-the-counter commodity
put options and the value of the
collateral as represented by cash; (c)
cash equivalents; and (d) debt securities
held in the Fund’s portfolio. The values
of the Fund’s portfolio holdings will, in
each case, be determined in accordance
with the Fund’s valuation policies.
As described above, the NAV for the
Fund will be calculated and
disseminated daily. The Manager has
represented to the Exchange that the
NAV will be disseminated to all market
participants at the same time. The
Exchange will also make available on its
Web site daily trading volume, closing
prices, and the NAV. The closing price
and settlement prices of the futures
contracts held by the Master Fund are
also readily available from the relevant
futures exchanges, automated quotation
systems, published or other public
sources, or on-line information services
such as Bloomberg or Reuters. In
addition, the Exchange will provide a
hyperlink on its Web site at https://
www.amextrader.com to the Manager’s
Web site.
As noted above, State Street will
calculate the NAV of the Master Fund
once each trading day shortly after 4
p.m. ET. The NAV will be disclosed on
the Fund’s Web site and the Exchange’s
Web site.
Termination Events
The Fund and MasterFund will
dissolve in certain prescribed
15 The total portfolio holdings will be
disseminated to all market participants at the same
time.
PO 00000
Frm 00077
Fmt 4703
Sfmt 4703
54493
circumstances.16 Upon termination of
the Fund, shareholders will surrender
their shares and receive in cash their
portion of the value of the Fund.
Criteria for Initial and Continued Listing
The Fund will be subject to the
criteria in proposed Rule 1602 for initial
and continued listing of the Shares. A
minimum of 2,000,000 shares will be
required to be publicly distributed at the
start of trading. It is anticipated that the
initial price of a share will be
approximately $25. The Fund will
accept subscriptions for a minimum of
100 shares during the initial offering
which is expected to last no more than
60 days. After the completion of the
initial offering, shares can be bought
and sold throughout the trading day like
any other publicly-traded security. The
Exchange believes that the anticipated
minimum number of shares outstanding
at the start of trading is sufficient to
provide adequate market liquidity and
to further the Fund’s objectives.
The Fund has represented to the
Exchange that, for initial and continued
listing of the Shares, it will be in
compliance with Section 803 of the
Amex Company Guide (Independent
Directors and Audit Committee) and
Rule 10A–3 under the Act.
Original and Annual Listing Fees
The Amex original listing fee
applicable to the listing of the Fund is
$5,000. In addition, the annual listing
fee applicable under Section 141 of the
Amex Company Guide will be based
upon the year-end aggregate number of
shares in all series of the Fund
outstanding at the end of each calendar
year.
Trading Rules
The Shares are equity securities
subject to Amex Rules governing the
trading of equity securities, including,
among others, rules governing priority,
parity and precedence of orders,
specialist responsibilities and account
opening and customer suitability (Amex
Rule 411). Initial equity margin
requirements of 50% will apply to
transactions in the Shares. Shares will
trade on the Amex until 4 p.m. ET each
business day and will trade in a
minimum price variation of $0.01
pursuant to Amex Rule 127–AEMI.
Trading rules pertaining to odd-lot
trading in Amex equities (Amex Rule
205–AEMI) will also apply.
Amex Rule 154–AEMI(c)(ii) provides
that stop and stop limit orders to buy or
sell a security the price of which is
16 See Form 19b–4 of the proposed rule change for
a detailed description of such termination events.
E:\FR\FM\25SEN1.SGM
25SEN1
54494
Federal Register / Vol. 72, No. 185 / Tuesday, September 25, 2007 / Notices
yshivers on PROD1PC62 with NOTICES
derivatively priced based upon another
security or index of securities, may be
elected by a quotation, as set forth in
subparagraphs (c)(ii)(1)–(4) of Rule 154–
AEMI. The Shares are eligible for this
treatment.
The Exchange states that Amex Rule
126A–AEMI complies with Rule 611 of
Regulation NMS, which requires among
other things, that the Exchange adopt
and enforce written policies and
procedures that are reasonably designed
to prevent trade-throughs of protected
quotations.17
The Shares will generally be subject
to the Exchange’s stabilization rule,
Rule 170–AEMI, except that specialists
may buy on ‘‘plus ticks’’ and sell on
‘‘minus ticks,’’ in order to bring the
Shares into parity with the underlying
commodity or commodities and/or
futures contract price. Proposed
Commentary .01 to Rule 1603 sets forth
this limited exception to Rule 170AEMI.18
The trading of the Shares will be
subject to certain conflict of interest
provisions set forth in proposed Amex
Rules 1603 and 1604. Rule 1603
provides that the prohibitions in Amex
Rule 175(c) apply to a specialist in the
Shares so that the specialist or affiliated
person may not act or function as a
market-maker in an underlying asset,
related futures contract or option or any
other related derivative. An exception to
the general prohibition in Rule 1603
provides that an approved person of an
equity specialist that has established
and obtained Exchange approval for
procedures restricting the flow of
material, non-public market information
between itself and the specialist
member organization, and any member,
officer, or employee associated
therewith, may act in a market making
capacity, other than as a specialist in the
Shares on another market center, in the
underlying asset or commodity, related
futures or options on futures, or any
other related derivatives. Rule 1604
provides that specialists handling the
Shares provide the Exchange with all
necessary information relating to their
trading in underlying physical assets or
commodities, related futures or options
17 See Securities Exchange Act Release No. 54552
(September 29, 2006), 71 FR 59546 (October 10,
2006) (SR–Amex–2005–104).
18 Consistent with the adoption by the
Commission of amendments to Regulation SHO and
the removal of Rule 10a–1 under the Act and the
Exchange’s rescission of Amex Rule 7 and, the
Shares may be sold short without regard to the
former ‘‘tick’’ tests, i.e., the ‘‘plus tick’’ and ‘‘zeroplus tick.’’ See Securities Exchange Act Release
Nos. 55970 (June 28, 2007), 72 FR 36348 (July 3,
2007) (File No. S7–21–06) and 56278 (August 17,
2007), 72 FR 48707 (August 24, 2007) (SR–Amex–
2007–72).
VerDate Aug<31>2005
15:20 Sep 24, 2007
Jkt 211001
on futures, or any other related
derivatives. In addition, members and
member organizations will be subject to
Commentary .03 to proposed Rule 1600
prohibiting such member or member
organizations from entering into the
Exchange’s order routing system
multiple limit orders as agent (i.e.,
customer agency orders).
Suitability
The Information Circular (described
below) will inform members and
member organizations of the
characteristics of the Fund and of
applicable Exchange rules, as well as of
the requirements of Amex Rule 411
(Duty to Know and Approve
Customers).
The Exchange notes that, pursuant to
Rule 411, members and member
organizations are required in connection
with recommending transactions in the
Shares to have a reasonable basis to
believe that a customer is suitable for
the particular investment given
reasonable inquiry concerning the
customer’s investment objectives,
financial situation, needs, and any other
information known by such member.
Information Circular
The Amex will distribute an
Information Circular to its members in
connection with the trading of the
Shares. The Circular will discuss the
special characteristics and risks of
trading this type of security.
Specifically, the Circular, among other
things, will discuss what the Shares are,
the requirement that members and
member firms deliver a prospectus to
investors purchasing the Shares prior to
or concurrently with the confirmation of
a transaction during the initial public
offering, applicable Amex rules, and
trading information and applicable
suitability rules. The Circular will also
explain that the Fund is subject to
various fees and expenses described in
the Registration Statement. The Circular
will also reference the fact that there is
no regulated source of last sale
information regarding physical
commodities and note the respective
jurisdictions of the SEC and CFTC. The
Circular will also note that the forward
contracts are traded on the LME, which
is subject to regulation by the Securities
and Investment Board in the United
Kingdom and the Financial Services
Authority. In addition, the Circular will
indicate that OTC instruments or
products may effectively be
unregulated.
The Circular will advise members of
their suitability obligations with respect
to recommended transactions to
customers in the Shares. The Circular
PO 00000
Frm 00078
Fmt 4703
Sfmt 4703
will also discuss any relief, if granted,
by the Commission or the staff from any
rules under the Act.
The Circular will disclose that the
NAV for shares will be calculated
shortly after 4 p.m. ET each trading day.
Surveillance
The Exchange represents that its
surveillance procedures are adequate to
properly monitor the trading of the
Shares and to deter and detect
violations of Exchange rules. The Amex
will rely on its existing surveillance
procedures governing Index Fund
Shares. The Exchange currently has in
place Information Sharing Agreements
with ICE FUTURES, LME and NYMEX
for the purpose of providing information
in connection with trading in or related
to futures contracts traded on their
respective exchanges. The Exchange
also notes that the CBOT, CME, and
NYBOT are members of the Intermarket
Surveillance Group (‘‘ISG’’). As a result,
the Exchange asserts that market
surveillance information is available
from the CBOT, CME, and NYBOT
through ISG, if necessary, due to
regulatory concerns that may arise in
connection with the futures contracts.
Limitation of Exchange Liability
Proposed Amex Rule 1605 provides
that the Exchange and any of its agents
will not be liable for damages, claims,
losses or expenses caused by any errors,
omissions, or delays in calculating or
disseminating any underlying portfolio
value, NAV or other information
relating to the purchase, redemption or
trading of Trust Units, resulting from: (i)
Any negligent act or omission by the
Exchange or any agent of the Exchange;
or (ii) any act, condition or cause
beyond the reasonable control of the
Exchange or its agent.
2. Statutory Basis
The Amex believes that the proposed
rule change is consistent with the
requirements of Section 6(b) of the
Act 19 in general, and furthers the
objectives of Section 6(b)(5),20 of the Act
in particular, in that it is designed to
prevent fraudulent and manipulative
acts and practices, to promote just and
equitable principles of trade, to foster
cooperation and coordination with
persons engaged in facilitating
transactions in securities, and to remove
impediments to and perfect the
mechanism of a free and open market
and a national market system.
19 15
20 15
E:\FR\FM\25SEN1.SGM
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
25SEN1
Federal Register / Vol. 72, No. 185 / Tuesday, September 25, 2007 / Notices
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange believes that the
proposed rule change would not impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants or Others
The Exchange states that no written
comments were solicited or received
with respect to the proposed rule
change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 35 days of the date of
publication of this notice in the Federal
Register or within such longer period (i)
as the Commission may designate up to
90 days of such date if it finds such
longer period to be appropriate and
publishes its reasons for so finding or
(ii) as to which the self-regulatory
organization consents, the Commission
will:
(A) By order approve such proposed
rule change, or
(B) Institute proceedings to determine
whether the proposed rule change
should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
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, 100 F Street, NE., Washington,
DC 20549, on official business days
between the hours of 10 a.m. and 3 p.m.
Copies of such filing also will be
available for inspection and copying at
the principal office of the Exchange. All
comments received will be posted
without change; the Commission does
not edit personal identifying
information from submissions. You
should submit only information that
you wish to make available publicly. All
submissions should refer to File
Number SR–Amex–2006–96 and should
be submitted on or before October 16,
2007.
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.21
Nancy M. Morris,
Secretary.
[FR Doc. E7–18841 Filed 9–24–07; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–56460; File No. SR–CBOE–
2007–84]
yshivers on PROD1PC62 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–Amex–2006–96 on the
subject line.
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Order Approving
Proposed Rule Change To Amend
CBOE’s Rule Pertaining to Verification
Requests for Trade Reporting Minor
Rule Violations
Paper Comments
• Send paper comments in triplicate
to Nancy M. Morris, Secretary,
Securities and Exchange Commission,
100 F Street, NE., Washington, DC
20549–1090.
All submissions should refer to File
Number SR–Amex–2006–96. 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/
On July 18, 2007, the Chicago Board
Options Exchange, Incorporated
(‘‘CBOE’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’), pursuant to Section
19(b)(1) of the Securities Exchange Act
of 1934 (‘‘Act’’) 1 and Rule 19b–4
thereunder,2 a proposed rule change to
amend CBOE Rule 17.50 (Imposition of
Fines for Minor Rule Violations)
Interpretation and Policy .02(b)
regarding verification requests for fines
VerDate Aug<31>2005
15:20 Sep 24, 2007
Jkt 211001
September 18, 2007.
21 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
PO 00000
Frm 00079
Fmt 4703
Sfmt 4703
54495
imposed pursuant to the provisions of
CBOE Rule 17.50(g)(4) (Failure to
Submit Trade Information on Time and
Failure to Submit Trade Information to
the Price Reporter). The proposed rule
change was published for comment in
the Federal Register on August 17,
2007.3 The Commission received no
comments regarding the proposal.
The Commission finds that the
proposal is consistent with the
requirements of the Act and the rules
and regulations thereunder applicable to
a national securities exchange.4 In
particular, the Commission believes that
the proposal is consistent with Section
6(b)(5) of the Act,5 which requires that
the rules of an exchange be designed to,
among other things, protect investors
and the public interest. The
Commission believes that the proposed
rule change, by extending the ‘‘lookback’’ period for determining the
maximum number of verification
requests for trade reporting violations,
would make a reasonable adjustment to
its MRVP review process.
The Commission also believes that
handling violations of trade reporting
rules pursuant to the MRVP is
consistent with Sections 6(b)(1) and
6(b)(6) of the Act,6 which require that
the rules of an exchange enforce
compliance with, and provide
appropriate discipline for, violations of
Commission and Exchange rules. The
Commission also finds that the proposal
is consistent with the public interest,
the protection of investors, or otherwise
in furtherance of the purposes of the
Act, as required by Rule 19d–1(c)(2)
under the Act,7 which governs minor
rule violation plans. The Commission
believes that the proposed change to the
MRVP should strengthen the Exchange’s
ability to carry out its oversight and
enforcement responsibilities as a selfregulatory organization in cases where
full disciplinary proceedings are
unsuitable in view of the minor nature
of the particular violation.
In approving this proposed rule
change, the Commission in no way
minimizes the importance of
compliance with CBOE rules and all
other rules subject to the imposition of
fines under the MRVP. The Commission
believes that the violation of any selfregulatory organization’s rules, as well
as Commission rules, is a serious matter.
3 See Securities Exchange Act Release No.
56239(August 10, 2007), 72 FR 46257.
4 In approving this proposed rule change,
theCommission notes that it has considered the
proposed rule’s impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
5 15 U.S.C. 78f(b)(5).
6 15 U.S.C. 78f(b)(1) and 78f(b)(6).
7 17 CFR 240.19d–1(c)(2).
E:\FR\FM\25SEN1.SGM
25SEN1
]]>Agencies
[Federal Register Volume 72, Number 185 (Tuesday, September 25, 2007)]
[Notices]
[Pages 54489-54495]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E7-18841]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-56465; File No. SR-Amex-2006-96]
Self-Regulatory Organizations; American Stock Exchange LLC;
Notice of Filing of a Proposed Rule Change, as Modified by Amendments
No. 1, 2, 3, 4, 5, and 6 Thereto, Relating to the Listing and Trading
of Shares of the Nuveen Commodities Income and Growth Fund
September 19, 2007.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 \2\ thereunder, notice is hereby given
that on October 12, 2006, the American Stock Exchange LLC (``Amex'' 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
Exchange. On March 2, 2007, March 21, 2007, May 14, 2007, August 15,
2007, August 28, 2007, and September 17, 2007 the Amex submitted
Amendment Nos. 1, 2, 3, 4, 5, and 6, respectively, to the proposed rule
change. The Commission is publishing this notice to solicit comments on
the proposed rule change, as amended, 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 Exchange proposes to add new Amex rules 1600 et seq. to permit
the listing and trading of units of a trust or other similar entity
(``Trust Units'') that invests in the assets of a trust, partnership,
limited liability company, corporation or other similar entity
constituted as a commodity pool that holds investments comprising or
otherwise based on futures contracts, options on futures contracts,
forward contracts, commodities and high credit quality short-term fixed
income securities or other securities. The Exchange, pursuant to
proposed Rule 1600 et seq., seeks to list and trade Trust Units of the
Nuveen Commodities Income and Growth Fund (the ``Trust'' or ``Fund'').
The Trust Units of the Fund are referred to herein as the ``Shares.''
The text of the proposed rule change is available at the Amex, the
Commission's Public Reference Room, and https://www.amex.com.
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 Amex included statements
concerning the purpose of and basis for the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Amex has substantially prepared summaries, set forth
in Sections A, B, and C below, of the most significant aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to add new Amex rules 1600 et seq. which will
permit the listing and trading of Trust Units. Specifically, the Amex
proposes to list and trade the Shares, which represent beneficial
ownership interests in the assets of the Fund, consisting solely of
units (``Master Fund Units'') of the Nuveen Commodities Income and
Growth Master Fund LLC (the ``Master Fund'').
The Fund was formed as a Delaware statutory trust on December 7,
2005
[[Page 54490]]
pursuant to a Declaration of Trust signed by Wilmington Trust Company,
as the Delaware Trustee.\3\ The Master Fund was organized as a limited
liability company on December 7, 2005 under Delaware law. The Fund's
primary investment objective is to seek total return through broad
exposure to the commodities markets. The Fund's secondary objective is
to provide investors with monthly income and capital distributions not
commonly associated with commodity investments. The Master Fund will
invest in commodity futures and forward contracts, options on commodity
futures and forward contracts and over-the-counter (``OTC'') commodity
options in the following commodity groups: energy, industrial metals,
precious metals, livestock, agriculturals, and tropical foods and
fibers and may in the future include other commodity investments that
become the subject of commodity futures trading.\4\
---------------------------------------------------------------------------
\3\ The Fund, as a commodity pool, will not be subject to
registration and regulation under the Investment Company Act of 1940
(the ``1940 Act'').
\4\ Following is a list of futures contracts and other commodity
interests in which the Master Fund may invest and the exchanges on
which they trade with the greatest dollar volume traded: Lumber,
Milk, Feeder Cattle, Lean Hogs, Live Cattle, Pork Bellies--Chicago
Mercantile Exchange (``CME''); Cocoa, Coffee, Cotton, Orange Juice,
Sugar--New York Board of Trade (``NYBOT''); Gold, Silver--Commodity
Exchange (``COMEX'') which is a division of the the New York
Mercantile Exchange (``NYMEX''); Palladium, Platinum, Crude Oil,
Heating Oil, Natural Gas, Unleaded Gas--NYMEX; Aluminum, Copper,
Lead, Nickel, Tin, Zinc--London Metals Exchange (``LME''); Bean Oil,
Corn, Oats, Soy Meal, Soybeans, Wheat--Chicago Board of Trade
(``CBOT'').
---------------------------------------------------------------------------
The Fund and the Master Fund are commodity pools. The Master Fund
is managed by Nuveen Commodities Asset Management, LLC (the
``Manager''). The Manager is registered as a commodity pool operator
(the ``CPO'') and a commodity trading advisor (the ``CTA'') with the
Commodity Futures Trading Commission (``CFTC'') and is a member of the
National Futures Association (``NFA'').
The Manager will serve as the CPO and CTA of the Fund and the
Master Fund. The Manager will determine the Master Fund's overall
investment strategy, including: (i) The selection and ongoing
monitoring of the Master Fund's sub-advisors; (ii) the management of
the Fund's and Master Fund's business affairs; and (iii) the provision
of certain clerical, bookkeeping and other administrative services.
Gresham Investment Management LLC (the ``Commodity Sub-Advisor'') will
invest on a notional basis substantially all of the Master Fund's
assets in commodity futures and forward contracts pursuant to the
commodity investment strategy (its proprietary Tangible Asset
Program[supreg] (``TAP[reg] '')) \5\ and a risk management program. The
Commodity Sub-Advisor is a Delaware limited liability company and is
registered with the CFTC as a CTA and a CPO and is a member of the NFA.
The Commodity Sub-Advisor is also registered with the Commission as an
investment adviser. Nuveen Asset Management (the ``Collateral Sub-
Advisor''), an affiliate of the Manager, will invest the Master Fund's
collateral in short-term, investment grade quality debt instruments.
The Collateral Sub-Advisor is registered with the Commission as an
investment adviser.
---------------------------------------------------------------------------
\5\ Although the Master Fund does not currently intend to
utilize leverage (subject to the limitation below), the Master Fund
does have the ability to do so through the issuance of preferred
units and/or borrowings. The Master Fund (and the Fund) may not
utilize leverage in an amount exceeding 33% of the Master Fund's
capital after such issuance.
---------------------------------------------------------------------------
The Exchange submits that proposed Amex Rules 1600 et seq. will
accommodate the listing and trading of Trust Units.
Introduction
The Exchange notes that the Commission has permitted the listing
and trading of products linked to the performance of an underlying
commodity or commodities.\6\
---------------------------------------------------------------------------
\6\ See Securities Exchange Act Release Nos. 53105 (January 11,
2006), 71 FR 3129 (January 19, 2006) (SR-Amex-2005-059) (approving
the listing and trading of the DB Commodity Index Tracking Fund);
51058 (January 19, 2005), 70 FR 3749 (January 26, 2005) (SR-Amex-
2004-38) (approving the listing and trading of the iShares COMEX
Gold Trust); 50603 (October 28, 2004), 69 FR 64614 (November 5,
2004) (NYSE-2004-22) (approving the listing and trading of
streetTRACKS Gold Shares); 39402 (December 4, 1997), 62 FR 65459
(December 12, 1997) (SR-Amex-97-46) (approving the listing and
trading of commodity index preferred or debt securities (ComPS) on
various agricultural futures contracts and commodities indexes);
36885 (February 26, 1996), 61 FR 8315 (March 4, 1996) (SR-Amex-95-
50) (approving the listing and trading of ComPS linked to the value
of single commodity); and 35518 (March 21, 1995), 60 FR 15804 (March
27, 1995) (SR-Amex-94-30) (approving the listing and trading of
commodity indexed notes or COINS).
---------------------------------------------------------------------------
In January 2006, the Commission approved Commentary .07 to Rule
1202 which expanded the ability of the Exchange to list and trade
securities based on a portfolio of underlying investments that may not
be ``securities.'' \7\ Because the Fund is not a TIR (i.e., a security
issued by a trust which holds specified securities deposited with the
trust, that when aggregated in some specified minimum number, may be
surrendered to the trust by the beneficial owner to receive the
securities), the current TIR Rules (Amex Rule 1200 et seq.) do not
specifically permit the Exchange to list the Shares. This proposal
seeks to expand the ability of the Exchange to list and/or trade trust
securities based on a portfolio of underlying investments that are not
TIRs.
---------------------------------------------------------------------------
\7\ See Securities Exchange Act Release No. 53105 (January 11,
2006), 71 FR 3129 (January 19, 2006) (SR-Amex-2005-059).
---------------------------------------------------------------------------
Under proposed Amex Rule 1601, the Exchange may list and trade the
Shares. For each separate and discrete listing of Trust Units, the
Exchange will submit a filing pursuant to Section 19(b) of the Act
subject to Commission review and approval. The Shares will conform to
the initial and continued listing criteria under proposed Rule 1602.\8\
The Fund will issue the Shares registered under the Securities Act of
1933.
---------------------------------------------------------------------------
\8\ Proposed Amex Rule 1602 for listing the Trust Units is
substantially similar to current Amex Rules 1202A and 1502 relating
to Commodity-Based Trust Shares and Partnership Units, respectively.
The proposed rule sets forth the initial and continued listing
standards for the Trust Units.
---------------------------------------------------------------------------
Investment Description
The Fund's investment objective is to generate attractive risk-
adjusted total returns as compared to investments in commodity indexes.
The Fund intends to pursue its investment objective by investing
all of its assets in the Master Fund, which in turn intends to pursue
these investment objectives by utilizing: (a) An actively managed
rules-based commodity investment strategy, whereby the Master Fund will
invest in a diversified basket of commodity futures and forward
contracts with an aggregate notional value substantially equal to the
net assets of the Master Fund; and (b) a risk management program
designed to moderate the overall risk and return characteristics of the
Master Fund's commodity investments. In pursuing the risk management
program, the Master Fund will: (i) Purchase ``out-of-the-money''
commodity put options for protection against significant asset value
declines; and (ii) write (sell) ``out-of-the-money'' commodity call
options to obtain option premium cash flow, in each case on individual
futures and forward contracts, on baskets of commodities or on broad
based commodity indices.
The Master Fund will typically: (i) Invest in commodity futures and
forward contracts that are traded either on U.S. or non-U.S. commodity
futures exchanges; (ii) purchase put and sell call options on commodity
futures and forward contracts that are traded either on U.S. or non-
U.S. exchanges; and (iii) purchase OTC commodity put options through
dealers pursuant to negotiated,
[[Page 54491]]
bi-lateral arrangements. The Master Fund also may invest in other
commodity contracts that are presently, or may hereafter become, the
subject of commodity futures trading. Except for certain limitations
described below, there are no restrictions or limitations on the
specific commodity investments in which the Master Fund may invest.
Commodity Investment Strategy (TAP[supreg]). The Commodity Sub-
Advisor will invest on a notional basis substantially all of the Master
Fund's assets in commodity futures and forward contracts pursuant to
the commodity investment strategy TAP[supreg], an actively managed,
rules-based \9\ commodity investment strategy. TAP[supreg] is
fundamental in nature and is designed to maintain consistent, fully
collateralized exposure to commodities as an asset class. TAP[supreg]
does not require the existence of price trends in order to be
successful.
---------------------------------------------------------------------------
\9\ TAP[supreg] currently requires investment in futures or
forward contracts for three commodities in each of the energy,
industrial metals, livestock, agriculturals, tropical foods and
fibers and precious metal commodity groups. Commodity group
weightings and individual commodity weightings are chosen by a
process that blends two-thirds of five year global production value
and one-third of five year value of commodity futures contracts
traded in dollars. The process constrains the weightings of each
commodity group such that no group may constitute more than 35% of
TAP[reg] and no single commodity interest can constitute more than
70% of its group. In addition, each commodity is rebalanced
periodically to its target weighting if its actual weighting
deviates from its target substantially (currently, by more than
10%).
---------------------------------------------------------------------------
Risk Management Program. Pursuant to the risk management program,
the Master Fund will purchase commodity put options that are ``out-of-
the-money'' \10\ on a continual basis on all or substantially all of
the notional value of its commodity futures and forward contract
positions, and write (or sell) commodity call options that are 5 to 10%
``out-of-the-money'' on a continual basis on approximately 50% of the
notional value of each of its commodity futures and forward contract
positions. In order to seek protection against significant asset value
declines, the Master Fund will purchase put options on broad-based
commodity indices such as the Dow Jones[supreg]/AIG Commodity
Index[supreg] (``DJ/AIGCI''), the Goldman Sachs Commodity Index
(``GSCI''), or on certain custom indices, whose prices are expected to
closely correspond to a substantial portion of the long commodity
futures and forward contracts held by the Master Fund. The Master Fund
also may purchase put options on baskets of commodities and on
individual futures and forward contracts held by it. On an absolute
basis, the Master Fund does not expect that the cost to purchase put
options at any one time will exceed 5% of the value of the Master
Fund's net assets.
---------------------------------------------------------------------------
\10\ ``Out-of-the-money'' put option is an option whose stock
price is above its strike price.
---------------------------------------------------------------------------
Also pursuant to the risk management program, the Commodity Sub-
Advisor will write call options on individual futures and forward
contracts held by the Master Fund, on baskets of commodities or on
broad based commodity indices. The Master Fund will write call options
on approximately 50% of each of its commodity futures and forward
contracts. As the writer of call options for which a premium is
received, the Master Fund will forego the right to any appreciation in
the value of each commodity futures or forward contract in its
portfolio that effectively underlies a call option to the extent the
value of the commodity futures or forward contract exceeds the exercise
price of such option on or before the expiration date.
Debt Instruments Used as Collateral. The Master Fund's investments
in commodity futures and forward contracts, options on commodity
futures and forward contracts, and OTC commodity put options generally
will not require significant outlays of principal. To support its
commodity investments, the Master Fund anticipates that it will
maintain significant collateral that will be invested in short-term
debt instruments with maturities of up to 2 years that, at the time of
investment, are investment grade quality, including obligations issued
or guaranteed by the U.S. government or its agencies and
instrumentalities, as well as corporate obligations and asset-backed
securities. Although earning interest income, the collateral is subject
on a continual basis to additional margin calls by the commodity broker
and to additional deposits in the commodity account if the levels of
notional trading change.
Commodity Futures and Forward Contracts and Related Options
The prices of the commodity futures and forward contracts, options
on commodity futures and forward contracts, and OTC commodity options
are volatile with fluctuations expected to affect the value of the
Shares. Commodity futures and forward contracts and options on
commodity futures and forward contracts to be held by the Master Fund
will be traded on U.S. and/or non-U.S. exchanges. The commodity futures
and forward contracts to be entered into by the Master Fund are listed
and traded on organized and regulated exchanges based on the various
commodities in the groups described above.\11\ Forward contracts are
contracts for the purchase and sale of a commodity for delivery on or
before a future date or during a specified period at a specified price.
Futures contracts are essentially forward contracts that are traded on
exchanges. Options on commodity futures and forward contracts are
contracts giving the purchaser the right, as opposed to the obligation,
to acquire or to dispose of the commodity futures or forward contract
underlying the option on or before a future date at a specified price.
The Master Fund may purchase OTC commodity put options through dealers
pursuant to negotiated, bi-lateral arrangements.
---------------------------------------------------------------------------
\11\ See supra note 4.
---------------------------------------------------------------------------
The potential futures contracts are traded on U.S. and non-U.S.
exchanges, including the CBOT, the CME, the InterContinental Exchange
(``ICE FUTURES''), the LME, NYMEX, COMEX, and the NYBOT.
The Manager will assess or review, as appropriate, the
creditworthiness of each potential or existing, as appropriate,
counterparty to an OTC contract pursuant to guidelines approved by the
Manager's board of directors. Furthermore, the Manager, on behalf of
the Fund, will only enter into OTC contracts with: (a) Members of the
Federal Reserve System or foreign banks with branches regulated by the
Federal Reserve Board; (b) primary dealers in U.S. government
securities; (c) broker-dealers; (d) futures commission merchants; or
(e) affiliates of the foregoing.
Structure of the Fund
Fund. The Fund is a statutory trust formed pursuant to the Delaware
Statutory Trust Act and will issue shares that represent units of
fractional undivided beneficial interest in and ownership of the Fund.
Master Fund. The Master Fund is a limited liability company
organized pursuant to Delaware law and will issue units that represent
units of fractional undivided membership interest in and ownership of
the Master Fund.
Trustee. Wilmington Trust Company, is the Delaware Trustee of the
Fund. The Delaware Trustee is unaffiliated with the Manager.
Individual Trustees. The individual trustees of the Fund, all of
whom will be unaffiliated with the Manager, will fulfill those
functions required under the Amex listing standards and certain other
functions as set forth in the Fund's Trust Agreement.
Manager. The Manager is a Delaware limited liability company that
is
[[Page 54492]]
registered with the CFTC as a CPO and CTA and is a wholly-owned
subsidiary of Nuveen Investments, Inc. The Manager will serve as the
CPO and CTA of the Fund and the Master Fund and through the Commodity
Sub-Advisor will be responsible for determining the Master Fund's
overall investment strategy and its implementation. It is anticipated
that the individual trustees, pursuant to the Fund's Trust Agreement,
will delegate all authority (other than the individual trustees'
limited requirements to serve on the Fund's Audit Committee and
Nominating Committee) to the Manager to operate the business of the
Fund and to be responsible for the conduct of the Fund's commodity
affairs. As a registered CPO and CTA, the Manager is required to comply
with various regulatory requirements under the CEA and the rules and
regulations of the CFTC and the NFA.
Commodity Sub-Advisor. The Commodity Sub-Advisor is a Delaware
limited liability company that is registered with the CFTC as a CTA and
a CPO and is a member of the NFA. As a registered CPO and CTA, the
Commodity Sub-Advisor is required to comply with various regulatory
requirements under the CEA and the rules and regulations of the CFTC
and the NFA. The Commodity Sub-Advisor is also registered with the SEC
as an investment adviser.
Collateral Sub-Advisor. The Collateral Sub-Advisor is an affiliate
of the Manager and a wholly owned subsidiary of Nuveen Investments,
Inc. The Collateral Sub-Advisor is registered with the Commission as an
investment adviser.
Transfer Agent, Registrar and Custodian. State Street Bank and
Trust Company (``State Street'') will be the Transfer Agent and
Registrar for the Shares and will be the Custodian for the assets of
the Master Fund.
Commodity Broker. Lehman Brothers Inc. will act as the commodity
broker for the Master Fund and will clear transactions that may be
executed by it or other brokerage firms on a ``give-up'' basis. In
addition, Lehman Brothers Inc. or an affiliate of Lehman Brothers Inc.
may act as counterparty or select other brokers or dealers to act as
counterparty with respect to the Master Fund's transactions in forward
contracts and OTC commodity options. Lehman Brothers Inc. is registered
as a futures commission merchant and a CPO and is a member of the NFA.
Lehman Brothers Inc. also is registered with the Commission as a
broker-dealer.
The Exchange notes that each of the Manager, the Commodity Broker,
and the Commodity Sub-Advisor have represented to the Exchange that
they each have erected and maintain firewalls within their respective
institutions to prevent the flow of non-public information regarding
the portfolio of underlying securities from the personnel involved in
the development and implementation of the investment strategy to others
such as sales and trading personnel.
Product Description
The Shares represent units of fractional undivided beneficial
interest in and ownership of the Fund. Following the original issuance,
the Shares will be traded on the Exchange similar to other equity
securities.
The Fund will invest all of the proceeds of its offering of Shares
in the Master Fund. The Master Fund will issue Master Fund Units, which
represent units of fractional undivided interest in and ownership of
the Master Fund. Master Fund Units may be purchased or redeemed on a
continuous basis, but only by the Fund and the Manager. Master Fund
Units may be purchased or redeemed by the Fund or the Manager, on an
infrequent basis, in connection with the management of the Fund. For
example, the Manager or Fund may purchase additional Master Fund Units
if the Fund issues additional Fund Shares in a secondary offering. The
Fund will own approximately 99% of the Master Fund Units, and the
Manager will own the remaining Master Fund Units. No additional
investors in the Master Fund will be solicited. The Fund will hold no
investment assets other than the Master Fund Units. The investment
results of the Fund will be directly and completely dependent on the
investment results of the Master Fund.
Commencing with the Fund's first distribution, the Fund intends to
make regular monthly distributions to its shareholders at a level rate
(stated in terms of a fixed cents per share distribution rate) based on
past and projected performance of the Fund.\12\ The Fund's ability to
make distributions at such a level rate will depend on a number of
factors, including, most importantly, the long-term total returns
generated by the Master Fund's portfolio investments and the risk
management program.
---------------------------------------------------------------------------
\12\ The Fund's actual financial performance willvary so that
the distribution rate may exceed the Fund's actual total returns.
The Fund does not anticipate borrowing to obtain the cash necessary
to make its distributions; however, in the event that the Fund's
distribution rate exceeds its actual returns, the Master Fund may be
required to liquidate investments in order to make such a
distribution. To the extent that the Fund's total return exceeds the
distribution rate for an extended period of time, the Fund may
increase the distribution rate or distribute supplemental amounts to
investors. Conversely, if the Fund's total return is less than the
distribution rate for an extended period of time, the Fund will be
drawing upon its net assets to meet the distribution payments. The
Master Fund may also make periodic distributions to the Fund in
order to enable the Fund to meet its operating expenses and costs.
---------------------------------------------------------------------------
As portfolio and market conditions change, the rate of
distributions on the Master Fund Units and, in turn, the Shares, and
the Master Fund's and the Fund's distribution policies could
change.\13\
---------------------------------------------------------------------------
\13\ In connection with any change in distributionpolicies, the
Fund will provide written advance notice to investors.
---------------------------------------------------------------------------
State Street will calculate the net asset value (``NAV'') \14\ of
the Master Fund's units shortly after 4 p.m. Eastern Time (``ET'').
Because there will be a direct correspondence between the Shares and
the Master Fund Units, the net asset value per share of the Fund and
the net
[[Page 54493]]
asset value per Master Fund Unit will be equal.
---------------------------------------------------------------------------
\14\ NAV per Master Fund Unit is computed bydividing the value
of all assets of the Master Fund (including any accrued interest and
dividends), less all liabilities (including accrued expenses and
distributions declared but unpaid), by the total number of Master
Fund Units outstanding. Under the Master Fund's current operational
procedures, the Master Fund's net asset value is calculated after
close of the Amex each day. The values of the Master Fund's
exchange-traded futures and forward contracts and options on futures
and forward contracts are valued at the settlement price determined
by the principal exchange through which they are traded. Market
quotes for the Master Fund's exchange-traded futures and forward
contracts and options on futures and forward contracts may not be
readily available if a contract cannot be liquidated due to the
operation of daily limits or, due to extraordinary circumstances,
the exchanges or markets on which the investments are traded do not
open for trading the entire day and no other market prices are
available. In addition, events may occur after the close of the
relevant market, but prior to the determination of the Master Fund's
net asset value, that materially affect the values of the Master
Fund's investments. In such circumstances, the Master Fund will use
an independent pricing service to value such investments. The
Commodity Sub-Advisor will review the values as determined by the
independent pricing service and discuss those valuations with the
pricing service if appropriate based on guidelines established by
the Manager that it believes are consistent with industry standards.
The values of the Master Fund's OTC derivatives will be valued by
the Commodity Sub-Advisor by taking either the arithmetic mean of
prices obtained by several dealers, the prices as determined by the
average of two (2) or more independent means or the prices as
reported by an independent pricing service. In the event the
Commodity Sub-Advisor uses an independent pricing service to value
any of its commodity futures and forward contract, options on
futures and forward contract and OTC derivatives, the pricing
service typically will value such commodity futures and forward
contracts, options on futures and forward contract and OTC
derivatives using a wide range of market data and other information
and analysis, including reference to transactions in other
comparable investments if available. The procedures of any
independent pricing service provider will be reviewed by the Manager
on a periodic basis.
---------------------------------------------------------------------------
The normal trading hours for those investments of the Fund traded
on the various commodities exchanges may differ from the normal trading
hours of the Amex, which are from 9:30 a.m. to 4 p.m. ET. Therefore,
there may be time periods during the trading day where the Shares will
be trading on the Amex, but the futures contracts on various commodity
exchanges will not be trading. The value of the Shares may accordingly
be influenced by the non-concurrent trading hours between the Amex and
the various futures exchanges on which the futures contracts based on
the underlying commodities are traded.
The trading prices of the Fund's Shares listed on the Amex may
differ from the NAV and can be affected not only by movements in the
NAV, but by market forces of supply and demand, economic conditions and
other factors as well. Accordingly, the trading prices of the Shares
should not be viewed as a real-time update of the NAV.
Shares will be registered in book entry form through DTC. Trading
in the Shares on the Exchange will be effected until 4 p.m. ET each
business day. The minimum trading increment for such shares will be
$.01.
Underlying Commodity Interests Information
The daily settlement prices for the commodity futures and forward
contracts held by the Master Fund are publicly available on the Web
sites of the futures and forward exchanges trading the particular
contracts. Various data vendors and news publications publish futures
prices and data. The Exchange represents that futures, forwards and
related exchange-traded options quotes and last sale information for
the commodity contracts are widely disseminated through a variety of
market data vendors worldwide, including Bloomberg and Reuters. In
addition, the Exchange further represents that complete real-time data
for such futures, forwards and exchange-traded options is available by
subscription from Reuters and Bloomberg. The relevant futures and
forward exchanges also provide delayed futures and forward contract
information on current and past trading sessions and market news free
of charge on their respective Web sites. The contract specifications
for the futures and forward contracts are also available from the
futures and forward exchanges on their Web sites as well as other
financial informational sources. Information related to OTC commodity
options is disclosed by the Fund on a monthly basis as discussed below.
Availability of Information Regarding the Shares
The Web site for the Fund and the Manager, https://www.nuveen.com,
which will be publicly accessible at no charge, will contain the
following information: (a) The prior business day's NAV and the
reported closing price; (b) calculation of the premium or discount of
such price against such NAV; and (c) other applicable quantitative
information. During the initial offering period, the Fund's prospectus
also will be available on the Fund's Web site.
The Fund's total portfolio holdings will also be disclosed and
updated on its Web site on each business day that the Amex is open for
trading.\15\ This Web site disclosure of portfolio holdings (as of the
previous day's close) will be made daily and will include, as
applicable: (a) The name and value of each commodity investment; (b)
the value of over-the-counter commodity put options and the value of
the collateral as represented by cash; (c) cash equivalents; and (d)
debt securities held in the Fund's portfolio. The values of the Fund's
portfolio holdings will, in each case, be determined in accordance with
the Fund's valuation policies.
---------------------------------------------------------------------------
\15\ The total portfolio holdings will be disseminated to all
market participants at the same time.
---------------------------------------------------------------------------
As described above, the NAV for the Fund will be calculated and
disseminated daily. The Manager has represented to the Exchange that
the NAV will be disseminated to all market participants at the same
time. The Exchange will also make available on its Web site daily
trading volume, closing prices, and the NAV. The closing price and
settlement prices of the futures contracts held by the Master Fund are
also readily available from the relevant futures exchanges, automated
quotation systems, published or other public sources, or on-line
information services such as Bloomberg or Reuters. In addition, the
Exchange will provide a hyperlink on its Web site at https://
www.amextrader.com to the Manager's Web site.
As noted above, State Street will calculate the NAV of the Master
Fund once each trading day shortly after 4 p.m. ET. The NAV will be
disclosed on the Fund's Web site and the Exchange's Web site.
Termination Events
The Fund and MasterFund will dissolve in certain prescribed
circumstances.\16\ Upon termination of the Fund, shareholders will
surrender their shares and receive in cash their portion of the value
of the Fund.
---------------------------------------------------------------------------
\16\ See Form 19b-4 of the proposed rule change for a detailed
description of such termination events.
---------------------------------------------------------------------------
Criteria for Initial and Continued Listing
The Fund will be subject to the criteria in proposed Rule 1602 for
initial and continued listing of the Shares. A minimum of 2,000,000
shares will be required to be publicly distributed at the start of
trading. It is anticipated that the initial price of a share will be
approximately $25. The Fund will accept subscriptions for a minimum of
100 shares during the initial offering which is expected to last no
more than 60 days. After the completion of the initial offering, shares
can be bought and sold throughout the trading day like any other
publicly-traded security. The Exchange believes that the anticipated
minimum number of shares outstanding at the start of trading is
sufficient to provide adequate market liquidity and to further the
Fund's objectives.
The Fund has represented to the Exchange that, for initial and
continued listing of the Shares, it will be in compliance with Section
803 of the Amex Company Guide (Independent Directors and Audit
Committee) and Rule 10A-3 under the Act.
Original and Annual Listing Fees
The Amex original listing fee applicable to the listing of the Fund
is $5,000. In addition, the annual listing fee applicable under Section
141 of the Amex Company Guide will be based upon the year-end aggregate
number of shares in all series of the Fund outstanding at the end of
each calendar year.
Trading Rules
The Shares are equity securities subject to Amex Rules governing
the trading of equity securities, including, among others, rules
governing priority, parity and precedence of orders, specialist
responsibilities and account opening and customer suitability (Amex
Rule 411). Initial equity margin requirements of 50% will apply to
transactions in the Shares. Shares will trade on the Amex until 4 p.m.
ET each business day and will trade in a minimum price variation of
$0.01 pursuant to Amex Rule 127-AEMI. Trading rules pertaining to odd-
lot trading in Amex equities (Amex Rule 205-AEMI) will also apply.
Amex Rule 154-AEMI(c)(ii) provides that stop and stop limit orders
to buy or sell a security the price of which is
[[Page 54494]]
derivatively priced based upon another security or index of securities,
may be elected by a quotation, as set forth in subparagraphs
(c)(ii)(1)-(4) of Rule 154-AEMI. The Shares are eligible for this
treatment.
The Exchange states that Amex Rule 126A-AEMI complies with Rule 611
of Regulation NMS, which requires among other things, that the Exchange
adopt and enforce written policies and procedures that are reasonably
designed to prevent trade-throughs of protected quotations.\17\
---------------------------------------------------------------------------
\17\ See Securities Exchange Act Release No. 54552 (September
29, 2006), 71 FR 59546 (October 10, 2006) (SR-Amex-2005-104).
---------------------------------------------------------------------------
The Shares will generally be subject to the Exchange's
stabilization rule, Rule 170-AEMI, except that specialists may buy on
``plus ticks'' and sell on ``minus ticks,'' in order to bring the
Shares into parity with the underlying commodity or commodities and/or
futures contract price. Proposed Commentary .01 to Rule 1603 sets forth
this limited exception to Rule 170-AEMI.\18\
---------------------------------------------------------------------------
\18\ Consistent with the adoption by the Commission of
amendments to Regulation SHO and the removal of Rule 10a-1 under the
Act and the Exchange's rescission of Amex Rule 7 and, the Shares may
be sold short without regard to the former ``tick'' tests, i.e., the
``plus tick'' and ``zero-plus tick.'' See Securities Exchange Act
Release Nos. 55970 (June 28, 2007), 72 FR 36348 (July 3, 2007) (File
No. S7-21-06) and 56278 (August 17, 2007), 72 FR 48707 (August 24,
2007) (SR-Amex-2007-72).
---------------------------------------------------------------------------
The trading of the Shares will be subject to certain conflict of
interest provisions set forth in proposed Amex Rules 1603 and 1604.
Rule 1603 provides that the prohibitions in Amex Rule 175(c) apply to a
specialist in the Shares so that the specialist or affiliated person
may not act or function as a market-maker in an underlying asset,
related futures contract or option or any other related derivative. An
exception to the general prohibition in Rule 1603 provides that an
approved person of an equity specialist that has established and
obtained Exchange approval for procedures restricting the flow of
material, non-public market information between itself and the
specialist member organization, and any member, officer, or employee
associated therewith, may act in a market making capacity, other than
as a specialist in the Shares on another market center, in the
underlying asset or commodity, related futures or options on futures,
or any other related derivatives. Rule 1604 provides that specialists
handling the Shares provide the Exchange with all necessary information
relating to their trading in underlying physical assets or commodities,
related futures or options on futures, or any other related
derivatives. In addition, members and member organizations will be
subject to Commentary .03 to proposed Rule 1600 prohibiting such member
or member organizations from entering into the Exchange's order routing
system multiple limit orders as agent (i.e., customer agency orders).
Suitability
The Information Circular (described below) will inform members and
member organizations of the characteristics of the Fund and of
applicable Exchange rules, as well as of the requirements of Amex Rule
411 (Duty to Know and Approve Customers).
The Exchange notes that, pursuant to Rule 411, members and member
organizations are required in connection with recommending transactions
in the Shares to have a reasonable basis to believe that a customer is
suitable for the particular investment given reasonable inquiry
concerning the customer's investment objectives, financial situation,
needs, and any other information known by such member.
Information Circular
The Amex will distribute an Information Circular to its members in
connection with the trading of the Shares. The Circular will discuss
the special characteristics and risks of trading this type of security.
Specifically, the Circular, among other things, will discuss what the
Shares are, the requirement that members and member firms deliver a
prospectus to investors purchasing the Shares prior to or concurrently
with the confirmation of a transaction during the initial public
offering, applicable Amex rules, and trading information and applicable
suitability rules. The Circular will also explain that the Fund is
subject to various fees and expenses described in the Registration
Statement. The Circular will also reference the fact that there is no
regulated source of last sale information regarding physical
commodities and note the respective jurisdictions of the SEC and CFTC.
The Circular will also note that the forward contracts are traded on
the LME, which is subject to regulation by the Securities and
Investment Board in the United Kingdom and the Financial Services
Authority. In addition, the Circular will indicate that OTC instruments
or products may effectively be unregulated.
The Circular will advise members of their suitability obligations
with respect to recommended transactions to customers in the Shares.
The Circular will also discuss any relief, if granted, by the
Commission or the staff from any rules under the Act.
The Circular will disclose that the NAV for shares will be
calculated shortly after 4 p.m. ET each trading day.
Surveillance
The Exchange represents that its surveillance procedures are
adequate to properly monitor the trading of the Shares and to deter and
detect violations of Exchange rules. The Amex will rely on its existing
surveillance procedures governing Index Fund Shares. The Exchange
currently has in place Information Sharing Agreements with ICE FUTURES,
LME and NYMEX for the purpose of providing information in connection
with trading in or related to futures contracts traded on their
respective exchanges. The Exchange also notes that the CBOT, CME, and
NYBOT are members of the Intermarket Surveillance Group (``ISG''). As a
result, the Exchange asserts that market surveillance information is
available from the CBOT, CME, and NYBOT through ISG, if necessary, due
to regulatory concerns that may arise in connection with the futures
contracts.
Limitation of Exchange Liability
Proposed Amex Rule 1605 provides that the Exchange and any of its
agents will not be liable for damages, claims, losses or expenses
caused by any errors, omissions, or delays in calculating or
disseminating any underlying portfolio value, NAV or other information
relating to the purchase, redemption or trading of Trust Units,
resulting from: (i) Any negligent act or omission by the Exchange or
any agent of the Exchange; or (ii) any act, condition or cause beyond
the reasonable control of the Exchange or its agent.
2. Statutory Basis
The Amex believes that the proposed rule change is consistent with
the requirements of Section 6(b) of the Act \19\ in general, and
furthers the objectives of Section 6(b)(5),\20\ of the Act in
particular, in that it is designed to prevent fraudulent and
manipulative acts and practices, to promote just and equitable
principles of trade, to foster cooperation and coordination with
persons engaged in facilitating transactions in securities, and to
remove impediments to and perfect the mechanism of a free and open
market and a national market system.
---------------------------------------------------------------------------
\19\ 15 U.S.C. 78f(b).
\20\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
[[Page 54495]]
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange believes that the proposed rule change would not
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants or Others
The Exchange states that no written comments were solicited or
received with respect to the proposed rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 35 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
(A) By order approve such proposed rule change, or
(B) Institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's Internet comment form (https://
www.sec.gov/rules/sro.shtml); or
Send an e-mail to rule-comments@sec.gov. Please include
File Number SR-Amex-2006-96 on the subject line.
Paper Comments
Send paper comments in triplicate to Nancy M. Morris,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-Amex-2006-96. 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, 100 F Street, NE.,
Washington, DC 20549, on official business days between the hours of 10
a.m. and 3 p.m. Copies of such filing also will be available for
inspection and copying at the principal office of the Exchange. All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-Amex-2006-96 and should be
submitted on or before October 16, 2007.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\21\
---------------------------------------------------------------------------
\21\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Nancy M. Morris,
Secretary.
[FR Doc. E7-18841 Filed 9-24-07; 8:45 am]
BILLING CODE 8010-01-P
