Self-Regulatory Organizations; American Stock Exchange LLC; Notice of Filing of a Proposed Rule Change, and Amendment Nos. 1 and 2 Thereto, Relating to the Listing and Trading of the GreenHaven Continuous Commodity Index Fund, 65994-66002 [E7-22909]
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65994
Federal Register / Vol. 72, No. 226 / Monday, November 26, 2007 / Notices
implementation of the related changes
to the AEMI system eliminating the
post-opening pair-off. As provided in
the proposed rule language, the orders
from the Message Queue following the
opening pair-off will be treated in the
same manner as incoming orders during
the regular session, including the
generation of intermarket sweep orders
as required, and they will enter the
AEMI Book in the same time sequence
in which they entered the Message
Queue.9
The Exchange asserts that the
proposal to effect the foregoing changes
to the AEMI trading system does not
significantly affect the protection of
investors or the public interest, does not
impose any significant burden on
competition, and does not have the
effect of limiting the access to or
availability of the system. The Exchange
believes that the proposed rule changes
are non-controversial and that the
related changes to the AEMI system will
benefit investors by eliminating an
existing system function that could
potentially result in a violation of the
Exchange’s rules. The Amex believes
that the changes also should have the
additional benefit of simplifying the
Amex’s market structure and making its
pricing more transparent.
2. Statutory Basis
The proposed rule change is designed
to be consistent with Section 6(b) of the
Act,10 in general, and furthers the
objectives of Section 6(b)(5) of the Act,11
in particular, in that it is designed to
prevent fraudulent and manipulative
acts and practices, to promote just and
equitable principles of trade, to remove
impediments to and perfect the
mechanism of a free and open market
and a national market system, and, in
general, to protect investors and the
public interest.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
mstockstill on PROD1PC66 with NOTICES
The proposed rule change will impose
no burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
9 The Exchange also proposes to make a
conforming change to the definition of ‘‘Message
Queue’’ in Rule 1A–AEMI to clarify that queued
messages that enter the AEMI Book do so in the
aforementioned time sequence under the current
functioning of the AEMI system.
10 15 U.S.C. 78f(b).
11 15 U.S.C. 78f(b)(5).
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C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants or Others
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
Because the Amex has designated the
proposed rule change as effecting a
change in an existing order-entry or
trading system of the Amex that does
not: (1) Significantly affect the
protection of investors or the public
interest; (2) impose any significant
burden on competition; and (3) have the
effect of limiting the access to or
availability of the system, the foregoing
rule change has become effective
pursuant to Section 19(b)(3)(A)(iii) of
the Act 12 and Rule 19b–4(f)(5)
thereunder.13
At any time within 60 days of the
filing of such proposed rule change, the
Commission may summarily abrogate
such rule change if it appears to the
Commission that such action is
necessary or appropriate in the public
interest, for the protection of investors,
or otherwise in the furtherance of the
purposes of the Act.
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 at https://www.sec.gov/
rules/sro.shtml; or
• Send an e-mail to
rulecomments@sec.gov. Please include
File No. SR–Amex 2007–118 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 No.
SR–Amex 2007–118. 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 at 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 No.
SR–Amex 2007–118 and should be
submitted on or before December 17,
2007.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.14
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–22891 Filed 11–21–07; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–56802; File No. SR–Amex–
2007–53]
Self-Regulatory Organizations;
American Stock Exchange LLC; Notice
of Filing of a Proposed Rule Change,
and Amendment Nos. 1 and 2 Thereto,
Relating to the Listing and Trading of
the GreenHaven Continuous
Commodity Index Fund
November 16, 2007.
Pursuant to section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’) 1 and Rule 19b–4 thereunder,2
notice is hereby given that on May 29,
2007, 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
14 17
12 15
U.S.C. 78s(b)(3)(A)(iii).
13 17 CFR 240.19b–4(f)(5).
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CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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Federal Register / Vol. 72, No. 226 / Monday, November 26, 2007 / Notices
substantially prepared by the Exchange.
On July 31, 2007, Amex filed
Amendment No. 1 to the proposed rule
change, and on November 16, 2007,
Amex filed Amendment No. 2 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, pursuant to
Commentary .07 to Amex Rule 1202, to
list and trade shares of the GreenHaven
Continuous Commodity Index Fund (the
‘‘Fund’’). The text of the proposed rule
change is available at the Commission’s
Public Reference Room, at the
Exchange, and at 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
Exchange included statements
concerning the purpose of, and basis for,
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
the most significant aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
mstockstill on PROD1PC66 with NOTICES
1. Purpose
Pursuant to Commentary .07 to Amex
Rule 1202, the Exchange may approve
for listing and trading trust issued
receipts (‘‘TIRs’’) investing in shares or
securities (the ‘‘Investment Shares’’) that
hold investments in any combination of
securities, futures contracts, options on
futures contracts, swaps, forward
contracts, commodities or portfolios of
investments. Amex proposes to list for
trading the shares of the Fund (the
‘‘Shares’’), which represent beneficial
ownership interests in the Master
Fund’s net assets, consisting solely of
the common units of beneficial interest
(‘‘Master Fund Units’’) of the
GreenHaven Continuous Commodity
Index Tracking Master Fund (the
‘‘Master Fund’’).
The investment objective of the Fund
and the Master Fund is to reflect the
performance of the Continuous
Commodity Total Return Index (the
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Jkt 214001
‘‘Index’’ or ‘‘CCI–TR’’), 3 over time, less
the expenses of the operations of the
Fund and the Master Fund. The Fund
will pursue its investment objective by
investing substantially all of its assets in
the Master Fund. The Master Fund will
pursue its investment objective by
investing in a portfolio of exchangetraded futures, each a ‘‘Commodity
Futures Contract,’’ on the commodities
comprising the Index (‘‘the Index
Commodities’’). The Master Fund will
also hold cash and United States
Treasury securities for deposit with the
Master Fund’s Commodity Broker as
margin and other high credit quality
short-term fixed income securities. The
Master Fund’s portfolio is managed to
reflect the performance of the Index
over time.
The Master Fund will not be ‘‘actively
managed,’’ but instead seeks to track the
performance of the CCI–TR. To maintain
the correspondence between the
composition and weightings of the
Index Commodities comprising the
Index, the Managing Owner may adjust
the portfolio on a daily basis to conform
to periodic changes in the identity and/
or relative weighting of the Index
Commodities. The Managing Owner
will also make adjustments and changes
to the portfolio in the case of significant
changes to the Index. The Managing
Owner is registered as a commodity
pool operator (‘‘CPO’’) and commodity
trading advisor (‘‘CTA’’) with the
Commodity Futures Trading
Commission (‘‘CFTC’’) and is a member
of the National Futures Association
(‘‘NFA’’).
The Exchange submits that
Commentary .07 to Amex Rule 1202
accommodates the listing and trading of
the Shares.
a. Introduction
In January of 2006, the Commission
approved Commentary .07 to Rule 1202,
which expanded the ability of the
Exchange to list and trade TIRs based on
a portfolio of underlying investments
that may not be ‘‘securities.’’ 4 In the
instant proposal, the Exchange proposes
3 Reuters America LLC (‘‘Reuters’’) is the owner,
publisher, and custodian of CCI–TR which
represents a total return version of the original
Commodity Research Bureau (CRB) Index. The
Index is widely viewed as a broad measure of
overall commodity price trends because of the
diverse nature of the Index’s constituent
commodities. The Index is calculated to produce an
unweighted geometric mean of the individual
commodity price relatives, i.e., a ratio of the current
price to the base year average price. The base year
for the CCI–TR is 1982, with a starting value of 100.
4 See Securities Exchange Act Release No. 53105
(January 11, 2006), 71 FR 3129 (January 19, 2006)
(SR–Amex–2005–59).
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65995
to list and trade the Shares pursuant to
such Rule.
Under Commentary .07(c) to Amex
Rule 1202, the Exchange may list and
trade TIRs investing in Investment
Shares 5 such as the Shares. The Shares
will conform to the initial and
continued listing criteria under
Commentary .07(d) to Amex Rule 1202.
The Fund was formed as a separate
series of a Delaware statutory trust
pursuant to a Certificate of Trust and a
Declaration of Trust and Trust
Agreement among, CSC Trust Company
of Delaware, as trustee, and the
Managing Owner and the Limited
Owner, as the holders of the Shares.6
The Exchange notes that the
Commission has permitted the listing
and trading on Amex of products linked
to the performance of underlying
currencies and commodities.7
b. Description of the Index
The CCI–TR, consisting of 17
commodity futures prices, offers
investors a broad benchmark for the
5 Commentary .07(b)(1) to Amex Rule 1202
defines ‘‘Investment Shares’’ as a security (a) that
is issued by a trust, partnership, commodity pool
or other similar entity that invests in any
combination of futures contracts, options on futures
contracts, forward contracts, commodities, swaps or
high credit quality short-term fixed income
securities or other securities; and (b) issued and
redeemed daily at net asset value in amounts
correlating to the number of receipts created and
redeemed in a specified aggregate minimum
number.
6 The Trust and the Funds will not be subject to
registration and regulation under the Investment
Company Act of 1940 (the ‘‘1940 Act’’).
7 See, e.g., Securities Exchange Act Release Nos.
55632 (April 13, 2007), 72 FR 19987 (April 20,
2007) (SR–Amex–2006–112) (approving the listing
and trading of the United States Natural Gas Fund,
LP); 53582 (March 31, 2006), 71 FR 17510 (April
6, 2006) (SR–Amex 2005–127) (approving the
listing and trading of the United States Oil Fund,
LP); 53521 (March 20, 2006), 71 FR 14967 (March
24, 2006) (SR–Amex 2005–72) (approving the
listing and trading of the iShares Silver Trust); and
53105 (January 11, 2006), 71 FR 3129 (January 19,
2006) (SR–Amex 2006–53) (approving the listing
and trading of the DB Commodity Index Tracking
Fund); 53059 (January 5, 2006), 71 FR 2072 (January
12, 2006) (SR–Amex 2005–128) (approving the
listing and trading of the Euro Currency Trust);
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); and
51446 (March 29, 2005), 70 FR 17272 (April 5,
2005) (SR–2005–32) (approving the listing and
trading of streetTRACKS Gold Shares). See also
Securities Exchange Act Release Nos. 55029
(December 29, 2006), 72 FR 806 (January 8, 2007)
(SR–Amex 2006–76) (approving the listing and
trading of the DB Multi-Sector Commodity Trust);
54450 (September 14, 2006), 71 FR 55230
(September 21, 2006) (SR–Amex 2006–44)
(approving the listing and trading of shares of the
DB Currency Index Value Fund); and 55292
(February 14, 2007), 72 FR 8406 (February 26, 2007)
(SR–Amex 2006–86) (approving the listing and
trading of shares on DB U.S. Dollar Index Bullish
Fund and the PowerShares DB U.S. Dollar Index
Bearish Fund).
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Federal Register / Vol. 72, No. 226 / Monday, November 26, 2007 / Notices
performance of the commodity sector.
The 17 commodities are currently: Corn,
wheat, soybeans, live cattle, lean hogs,
gold, silver, copper, cocoa, coffee, sugar
#11, cotton, orange juice, platinum,
crude oil, heating oil, and natural gas.
The Index is intended to provide a
representation of broad trends in overall
commodity prices, and was originally
calculated to produce a ratio of the
current price to the base year average
price. The Index takes into account the
economics of rolling listed Commodity
Futures Contracts forward to avoid
delivery and maintain exposure to
Commodity Futures Contracts with the
liquidity characteristics of being
exchange traded. The Index is generally
viewed as a broad measure of overall
commodity price trends.
As the Commodity Futures Contracts
near expiration, they are replaced by
contracts that have a later expiration.
For example, a contract purchased and
held in November 2006 may specify
January 2007 expiration. As that
contract nears expiration, it may be
replaced by selling the January 2007
contract and purchasing the contract
expiring in March 2007. This process is
referred to as ‘‘rolling.’’ Historically, the
prices of crude oil and heating oil have
frequently been higher for contracts
with shorter-term expirations than for
contracts with longer-term expirations,
which is referred to as ‘‘backwardation.’’
In these circumstances, absent other
factors, the sale of the January 2007
contract would take place at a price that
is higher than the price at which the
March 2007 contract is purchased,
thereby creating a gain in connection
with rolling. While crude oil and
heating oil have historically exhibited
consistent periods of backwardation,
backwardation will likely not exist in
these markets at all times.
Conversely, gold, corn, soybeans and
wheat historically exhibit ‘‘contango’’
markets rather than backwardation,
where the prices of contracts are higher
in the distant delivery months than in
the nearer delivery months due to the
costs of long-term storage of a physical
commodity prior to delivery or other
factors. Although gold, corn, soybeans
and wheat have historically exhibited
consistent periods of contango, it is not
mstockstill on PROD1PC66 with NOTICES
Index commodity
WTI Crude Oil ..........................
Heating Oil ................................
likely this will exist in these markets at
all times.
The Index generally averages all
futures prices six months forward, up to
a maximum of five delivery months per
commodity. A minimum of two delivery
months, however, must be used to
calculate the current price if the second
contract is outside the six-month
window. Commodity Futures Contracts
in the delivery period are excluded from
the calculation. Although each of the 17
commodities is equally weighted, the
Index uses an average of the prices of
the 17 commodities and an average of
those commodities across time within
each commodity. Each commodity is
averaged across time (six-month period)
and then these 17 component figures are
averaged together. The continuous
rebalancing provided by this
methodology means the Index
constantly decreases exposure to
commodity markets gaining in value
and increases exposure to those markets
declining in value to the diverse nature
of its constituent commodities.
The following table reflects the index
weights, of each Index commodity:
Index weight
(percent)
Index commodity
WTI Crude Oil .......................
Heating Oil ............................
Natural Gas ..........................
Corn ......................................
Wheat ...................................
Soybeans ..............................
Live Cattle .............................
Lean Hogs ............................
Sugar ....................................
Cotton ...................................
Coffee ...................................
Cocoa ...................................
Orange Juice ........................
Gold ......................................
Silver .....................................
Platinum ................................
Copper ..................................
5.88
5.88
5.88
5.88
5.88
5.88
5.88
5.88
5.88
5.88
5.88
5.88
5.88
5.88
5.88
5.88
5.88
Calculating Total Return. The
calculation of this index is comprised of
the daily changes in the CCI spot index,
the roll yield that is implied by rolling
selected commodity futures contracts
forward to the next defined commodity
contract on specific dates (Roll Dates),
and the 90 day T-Bill yield for a single
day. The CCI–TR is calculated using the
following three variables:
• The CCI cash index and its daily
return; The CCI is a geometric average
of the 17 commodities multiplied by a
constant factor.
CCI = [Geometric Average (PRICES)/
30.7766] × 0.8486 × 100.
• The second Friday in January,
February, April, June, August, and
November are the roll dates for the CCI–
TR. On these dates, two sets of prices
are considered; one from the expiring
month contract and another from the
next contract month window. The ratio
of the two index values is the roll ratio.
Each index value in the subsequent
contract month, is multiplied by the
value of the ratio. The roll ratio is
determined on the roll date and then is
multiplied to each of the index values
for that contract month. The index
treated by multiplying the CCI with the
roll ratio is called the CCI—Roll Return
Index or CCI Continuous Contract
Index. Roll Ratio = Index Value (nearby
month)/Index value (deferred Month),
on the date.
• The CCI–TR had a starting value of
100 on January 1st 1982. This index is
compounded daily by multiplying the
previous day value with change in CCI
Index on that day and 90 days T-Bill
yield for a single day. On Mondays, the
T-Bill yield for 3 days is used because
of the interest earned by the collateral
over the weekend.
CCI–TR = 100 × (1+ Continuous Daily
Return + T-Bill return for one day),
beginning January 1, 1982.
Continuous Daily return = [CCI
Continuous Contract Index/CCI
Continuous Contract Index t-1].
T-Bill return for one day = {[1/
(1¥(91/360) × T-Bill Rate t-1)]¥(l/
91)}¥1.
c. Commodity Futures Contracts
The prices of the Commodity Futures
Contracts are volatile with fluctuations
expected to affect the value of the
Shares. Commodity Futures Contracts to
be held by the Master Fund will be
traded solely on U.S. futures exchanges.
The Commodity Futures Contracts to be
entered into by the Master Fund are
listed and traded on organized and
regulated exchanges based on the
various commodities comprising the
Index described above.
Exchange
New
York
(‘‘NYMEX’’).
Mercantile
Time traded
Exchange
9 a.m.–2:30 p.m. In addition, NYMEX ACCESS , an electronic
trading system, is open for price discovery on the Benchmark
Futures Contract each Monday through Thursday at 3:15 p.m.
ET through the following morning at 9:50 a.m. E.T., and on Friday from 3:15 p.m. to 5:15 p.m. and from 7 p.m. Sunday night
until Monday morning 9:50 a.m. ET.
Natural Gas.
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Federal Register / Vol. 72, No. 226 / Monday, November 26, 2007 / Notices
65997
Exchange
Time traded
Corn ..........................................
Chicago Board of Trade (‘‘CBOT’’) ..........
Wheat .......................................
CBOT ........................................................
Soybeans ..................................
CBOT ........................................................
Live Cattle ................................
Lean Hogs ................................
Sugar No. 11 ............................
Chicago Mercantile Exchange (‘‘CME’’) ...
CME ..........................................................
New York Board of Trade (‘‘NYBOT’’) .....
Cotton .......................................
NYBOT ......................................................
Coffee .......................................
NYBOT ......................................................
Cocoa .......................................
NYBOT ......................................................
Orange Juice ............................
NYBOT ......................................................
Gold ..........................................
Silver .........................................
Platinum ....................................
Copper ......................................
mstockstill on PROD1PC66 with NOTICES
Index commodity
NYMEX
NYMEX
NYMEX
NYMEX
9:30 a.m.–1:15 p.m. Electronic trading is from 6:30 p.m.–6 a.m.
and 9:30 a.m.–1:15 p.m.
9:30 a.m.–1:15 p.m. Electronic trading is from 6:32 p.m.–6 a.m.
and 9:30 a.m.–1:15 p.m.
9:30 a.m.–1:15 p.m. Electronic trading is from 6:31 p.m.–6 a.m.
and 9:30 a.m.–1:15 p.m.
9:05–1 p.m.
9:10–1 p.m.
8:10 a.m. to 12:30 p.m.; pre-open commences at 8 a.m.; closing
period commences at 11:58 a.m. Electronic trading has a preopening trading session from 8 p.m. of prior day until 1:30 a.m.
and then 1:30 a.m. through 3:15 p.m.
10:30 a.m. to 2:15 p.m.; pre-open commences at 10:20 a.m.; closing period commences at 2:14 p.m. Electronic trading has a preopening trading session from 8 p.m. of prior day until 1:30 a.m.
and then 1:30 a.m. through 3:15 p.m.
8:30 a.m. to 12:30 p.m.; pre-open commences at 8:20 a.m.; closing period commences at 12:28 p.m. Electronic trading has a
pre-opening trading session from 8 p.m. of prior day until 1:30
a.m. and then 1:30 a.m. through 3:15 p.m.
8 a.m.—11:50 a.m. Pre-Open commences at 7:50 a.m.; closing
period commences at 11:45 a.m. Electronic trading has a preopening trading session from 8 p.m. of prior day until 1:30 a.m.
and then 1:30 a.m. through 3:15 p.m.
10 a.m. to 1:30 p.m.; pre-open commences at 9:50 a.m.; pre-close
commences at 1:15 p.m.; closing period commences at 1:29
p.m. Electronic trading has a pre-opening trading session from
6:45 a.m. until 7 a.m. and then 7 a.m. through 3:15 p.m.
8:20 p.m.–1:30 p.m.
8:25 a.m.–1:25 p.m.
8:20 a.m.–1:05 p.m.
8:10 a.m.–1 p.m.
.....................................................
.....................................................
.....................................................
.....................................................
d. Structure of the Funds
Fund and Master Fund. The Fund and
Master Fund are statutory trusts formed
pursuant to the Delaware Statutory
Trust Act and will issue units of
beneficial interest or shares that
represent units of fractional undivided
beneficial interest in and ownership of
the respective Fund, or Master Fund.
Unless terminated earlier, the Fund and
Master Fund are of a perpetual duration.
The investment objective of the Fund,
through its investment in the Master
Fund, is to reflect the performance of
the Index, over time, less the expenses
of the Fund and the Master Fund’s
overall operations. The Fund will
pursue its investment objective by
investing substantially all of its assets in
the Master Fund in a master-feeder
structure. The Fund will hold no
investment assets other than Master
Fund Units. The Master Fund will be
wholly-owned by the Fund and the
Managing Owner. Each Share issued by
the Fund will correlate with a Master
Fund Unit issued by the Master Fund
and held by the Fund.8
The Master Fund will invest in a
portfolio of Commodity Futures
Contracts on the Index Commodities. In
addition, the Master Funds will also
hold cash and U.S. Treasury securities
8 See
infra at note 9.
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22:03 Nov 23, 2007
Jkt 214001
for deposit with futures commission
merchants (‘‘FCM’’) as margin and other
high credit quality short-term fixed
income securities.
Trustee. CSC Trust Company of
Delaware (the ‘‘Trustee’’) is the sole
trustee of the Fund and the Master
Fund. The Trustee delegated to the
Managing Owner certain of the power
and authority to manage the business
and affairs of the Fund and the Master
Fund and has duties and liabilities to
the Fund and the Master Fund.
Managing Owner. GreenHaven
Commodity Services LLC, a Delaware
limited liability company, will serve as
Managing Owner of the Fund and the
Master Fund. The Managing Owner will
serve as the commodity pool operator
and commodity trading advisor of the
Fund and the Master Fund. The
Managing Owner is registered as a
commodity pool operator and
commodity trading advisor with the
Commodity Futures Trading
Commission, or the CFTC, and with the
National Futures Association, or the
NFA. As a registered commodity pool
operator and commodity trading
advisor, with respect to both the Fund
and the Master Fund, the Managing
Owner is required to comply with
various regulatory requirements under
the Commodity Exchange Act and the
rules and regulations of the CFTC and
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the NFA, including investor protection
requirements, antifraud prohibitions,
disclosure requirements, and reporting
and recordkeeping requirements.
Commodity Broker or Clearing Broker.
Fimat (the ‘‘Commodity Broker’’ or the
‘‘Clearing Broker’’) will execute and
clear the Master Fund’s Commodity
Futures Contract transactions and will
perform certain administrative services
for the Master Fund. The Commodity
Broker is registered with the CFTC as a
FCM and is a member of the NFA in
such capacity.
Administrator. The Bank of New York
is the administrator for all of the Funds
and the Master Funds (the
‘‘Administrator’’). The Administrator
will perform or supervise the
performance of services necessary for
the operation and administration of the
Fund and the Master Fund. These
services include, but are not limited to,
receiving and processing orders from
Authorized Participants (as defined
below) to create and redeem Baskets,
accounting, net asset value (‘‘NAV’’) 9
9 For the Master Fund, the NAV is the total assets
of the Master Fund less total liabilities of the Master
Fund, determined on the basis of generally accepted
accounting principles. NAV per Master Fund Unit
is calculated by dividing by the number of
outstanding units of the Master Fund. The NAV per
Share will be the same because of the one-to-one
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calculations and other fund
administrative services.
Distributor. ALPS Distributor, Inc., is
the distributor for both the Fund and the
Master Fund (the ‘‘Distributor’’). The
Distributor will assist the Managing
Owner and the Administrator with
certain functions and duties relating to
the creation and redemption of Baskets,
including receiving and processing
orders from Authorized Participants to
create and redeem Baskets, coordinating
the processing of such orders and
related functions and duties. The
Distributor shall also review and file
marketing materials with the Financial
Industry Regulatory Authority, field
investor calls, distribute prospectuses
and consult with the Managing Owner
and its affiliates in connection with
marketing and sales strategies.
mstockstill on PROD1PC66 with NOTICES
e. Product Description
Creation and Redemption of Shares.
Issuances of the Shares will be made
only in one or more blocks of 50,000
Shares, each a Basket (the ‘‘Basket’’ or
‘‘Basket Aggregation’’). The Fund will
issue and redeem the Shares on a
continuous basis, by or through
participants that have entered into
participant agreements (each, an
‘‘Authorized Participant’’) 10 with the
Managing Owner at the NAV per Share
next determined after an order to
purchase the Shares is received in
proper form. Following issuance, the
Shares will be traded on the Exchange
similar to other equity securities. The
Shares will be registered in book entry
form through DTC.
Baskets will be issued in exchange for
a cash amount equal to the NAV per
Share times 50,000 Shares (the ‘‘Basket
Amount’’). The Basket Amount will be
determined on each business day by the
Administrator. Authorized Participants
that wish to purchase a Basket must
transfer the Basket Amount to the
Administrator (the ‘‘Cash Deposit
Amount’’). Authorized Participants that
wish to redeem a Basket will receive
cash in exchange for each Basket
surrendered in an amount equal to the
NAV per Basket (the ‘‘Cash Redemption
Amount’’). The Commodity Broker will
correlation between the Shares and the Master Fund
Units.
10 An ‘‘Authorized Participant’’ is a person, who
at the time of submitting to the trustee an order to
create or redeem one or more Baskets, (i) is a
registered broker-dealer, (ii) is a Depository Trust
Company (‘‘DTC’’) participant (such as a bank,
broker, dealer and trust company) or is an Indirect
Participant (i.e., someone who maintains either
directly or indirectly, a custodial relationship with
a DTC participant) and (iii) has in effect a valid
participant agreement, which sets forth the
procedures for the creation and redemption of
Baskets of Shares and for the delivery of cash
required for such creations or redemptions.
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22:03 Nov 23, 2007
Jkt 214001
be the custodian for the Master Fund
and responsible for safekeeping the
Master Fund’s assets.
All purchase orders must be placed by
10 a.m., New York time. The Basket will
be issued at noon on the business day
(T+1) immediately following the
purchase order date at the Basket
Amount as of the later of the closing
time on the Exchange or the last to close
futures exchange on which the Master
Fund’s assets are traded.11 The Basket
Amount necessary for the creation of a
Basket will change from day to day. On
each day that the Exchange is open for
regular trading, the Administrator will
adjust the Cash Deposit Amount as
appropriate to reflect the prior day’s
NAV per Share (as described below) and
accrued expenses. The Administrator
will determine the Cash Deposit
Amount for a given business day by
multiplying the NAV per Share by the
number of Shares in each Basket
(50,000).
Likewise, all redemption orders must
be placed by 10 a.m., New York time.
The Shares will not be individually
redeemable but will only be redeemable
in Baskets. To redeem, an Authorized
Participant will be required to
accumulate enough Shares to constitute
a Basket (i.e., 50,000 shares). Upon the
surrender of the Shares, the
Administrator will deliver to the
redeeming Authorized Participant the
Cash Redemption Amount. The
Authorized Participant is required to
pay a transaction fee to the Fund of
$500 per order to create or redeem
Baskets.
On each business day, the
Administrator will make available
immediately prior to the opening of
trading on Amex via the facilities of the
CTA, the most recent Basket Amount for
the creation of a Basket. The Exchange
will disseminate at least every 15
seconds throughout the trading day, via
the CTA, an amount representing on a
per Share basis, the current value of the
Basket Amount. It is anticipated that the
deposit of the Cash Deposit Amount in
exchange for a Basket will be made
primarily by institutional investors,
arbitrageurs, and the Exchange
specialist. Baskets are then separable
upon issuance into identical Shares that
will be listed and traded on the
Exchange.12 The Shares are expected to
11 The Master Fund is permitted to invest its
assets in those futures contracts traded on futures
exchanges that either have a comprehensive
surveillance sharing agreement with the Exchange
or are either SRO members or affiliate members of
the Intermarket Surveillance Group (‘‘ISG’’).
12 The Shares are separate and distinct from the
shares of the Master Funds consisting primarily of
Commodity Futures Contracts on the Index
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be traded on the Exchange by
professionals, as well as institutional
and retail investors. Thus, the Shares
may be acquired in two ways: (1)
Through a deposit of the Cash Deposit
Amount with the Administrator during
normal business hours by Authorized
Participants; or (2) through a purchase
on the Exchange by investors.
Net Asset Value. Shortly after 4:00
p.m. ET each business day, the
Administrator will determine the NAV
for the Fund, utilizing the current
settlement value of each Commodity
Futures Contract held by the Master
Fund. At or about 4 p.m. ET each
business day, the Administrator will
determine the Basket Amounts for
orders placed by Authorized
Participants that day. Thus, although
Authorized Participants may place valid
orders to purchase Shares throughout
the trading day until 10 a.m. ET, the
actual Basket Amounts are determined
at 4 p.m. ET or shortly thereafter.
Shortly after 4 p.m. ET each business
day, the Administrator, Amex and
Managing Owner will disseminate the
NAV per Share and the Basket Amount
(for orders placed during the day). The
Basket Amount and the NAV per Share
are communicated by the Administrator
to all Authorized Participants via
facsimile or electronic mail message and
the NAV per Share will be available on
the Managing Owner’s Web site at
https://www.Greenhavenllc.com.13 Amex
will also disclose the NAV per Share
and Basket Amount on its Web site.
In calculating the NAV per Share the
Administrator will value all Commodity
Futures Contracts based on that day’s
settlement price. However, if a futures
contract on a trading day cannot be
liquidated due to the operation of daily
limits or other rules of an exchange
upon which such futures contract is
traded, the settlement price on the most
recent trading day on which such
Commodity Futures contract could have
been liquidated will be used in
determining the Fund’s NAV per Share.
Accordingly, the Administrator will
typically use that day’s futures
settlement price for determining NAV
per Share. When calculating NAV per
Share, the Administrator will value the
Commodity Futures Contracts held by
the Master Fund on the basis of their
then current market value.
The Exchange believes that the Shares
will not trade at a material discount or
Commodities. The Exchange expects that the
number of outstanding Shares will increase and
decrease as a result of creations and redemptions
of Baskets.
13 If the NAV per Share is not disseminated to all
market participants at the same time, the Exchange
will halt trading in the Shares of a Fund.
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mstockstill on PROD1PC66 with NOTICES
premium to the Commodities Futures
Contracts held by the Fund based on
potential arbitrage opportunities. The
arbitrage process, in this case, provides
an opportunity to profit from the
differences in prices of the same or
similar securities or futures contracts,
increases the efficiency of the markets,
and serves to prevent potentially
manipulative efforts. If the price of a
Share deviates enough from the
Indicative Fund Value (discussed
below) on a per Share basis to create a
material discount or premium, an
arbitrage opportunity is created,
allowing the arbitrageur to either buy
Shares at a discount and immediately
short the component future contracts of
the CCI–TR Index or sell Shares short at
a premium and buy the component
futures contracts of the CCI–TR Index.
Due to the fact that the Shares can be
created and redeemed only in Basket
Aggregations at NAV, the Exchange
submits that arbitrage opportunities
should provide a mechanism to mitigate
the effect of any premiums or discounts
that may exist from time to time.
f. Dissemination of the Index and
Underlying Contract Information
Reuters America LLC is the owner,
publisher and custodian of CCI–TR,
which represents a total return version
of the ninth revision (as of 1995) of the
original Commodity Research Bureau
(CRB) Index. Values of the underlying
Index are computed by Reuters America
LLC and widely disseminated every 15
seconds during the day.
CCI–TR is calculated to offer investors
a representation of the investable
returns that an investor should expect to
receive by attempting to replicate the
CCI index by buying the respective
commodity futures and collateralizing
their investment with United States
Government securities (i.e., 90-day TBills). The CCI–TR takes into account
the economics of rolling listed
commodity futures forward to avoid
delivery and maintain exposure in
liquid contracts. To achieve the
objectives of the index, Reuters has
established rules for calculation of the
index. Specifically, only settlement and
last-sale prices are used in the Index’s
calculation, bids and offers are not
recognized—including limit-bid and
limit-offer price quotes. Where no lastsale price exists, typically in the more
deferred contract months, the previous
days’ settlement price is used.
The Managing Owner represents that
it will seek to arrange to have the Index
calculated and disseminated on a daily
basis through a third party if the Index
Sponsor ceases to calculate and
disseminate the Index. If, however, the
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22:03 Nov 23, 2007
Jkt 214001
Managing Owner is unable to arrange
the calculation and dissemination of the
Index, the Exchange will undertake to
delist the Shares.
The disseminated value of the Index
will not reflect changes to the prices of
the Index Commodities between the
close of trading of the various
Commodity Futures Contracts and the
close of trading at Amex at 4:15 p.m. ET.
In addition, Reuters and the Exchange
on their respective Web sites will also
provide any adjustments or changes to
the Index.
The daily settlement prices for each of
the Commodity Futures Contracts held
by the Master Fund are publicly
available on the NYBOT, NYMEX, CME
and CBOT Web sites.14 In addition,
various data vendors and news
publications publish futures prices and
data. The Exchange represents that
futures contract quotes and last sale
information for the Commodity Futures
Contracts on the Index Commodities is
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 Commodity Futures Contracts
is available by subscription from
Reuters and Bloomberg. The various
futures exchanges also provide delayed
futures information on current and past
trading sessions and market news free of
charge on their respective Web sites.
The specific contract specifications for
each Commodity Futures Contract are
also available from the various futures
exchanges on their Web sites as well as
other financial informational sources.
g. Availability of Information Regarding
the Shares
The Web sites for the Fund and/or the
Exchange, which are publicly accessible
at no charge, will contain the following
information: (a) The current NAV per
Share daily and the prior business day’s
NAV per Share and the reported closing
price; (b) the mid-point of the bid-ask
price15 in relation to the NAV per Share
as of the time it is calculated (the ‘‘BidAsk Price’’); (c) calculation of the
premium or discount of such price
against the NAV per Share; (d) data in
chart form displaying the frequency
distribution of discounts and premiums
of the Bid-Ask Price against the NAV
per Share, within appropriate ranges for
each of the four previous calendar
14 See https://www.nybot.com, https://
www.nymex.com, https://www.cme.com, and https://
www.cbot.com.
15 The bid-ask price of Shares is determined using
the highest bid and lowest offer as of the time of
calculation of the NAV.
PO 00000
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65999
quarters; (e) the Prospectus; and (f) other
applicable quantitative information.
As described above, the NAV per
Share will be calculated and
disseminated daily. Amex will
disseminate for the Fund on a daily
basis by means of CTA/CQ High Speed
Lines information with respect to the
corresponding Indicative Fund Value
(as discussed below), recent NAVs per
Share and Shares outstanding. The
Exchange will also make available on its
Web site daily trading volume of the
Shares, closing prices of the Shares, and
the NAV per Share. The closing price
and settlement prices of the Commodity
Futures Contracts held by the Master
Fund are also readily available from the
NYMEX, CBOT, CME and NYBOT,
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.amex.com to the CCI’s
Web site at https://www.crbtrader.com.
h. Dissemination of Indicative Fund
Value
As noted above, the Administrator
calculates and disseminates, once each
trading day, the NAV per Share to
market participants. The Exchange
represents that it will obtain a
representation (prior to listing of the
Funds) from the Trust that the NAV per
Share will be calculated daily and made
available to all market participants at
the same time. In addition, the
Administrator causes to be made
available on a daily basis the
corresponding Cash Deposit Amounts to
be deposited in connection with the
issuance of the respective Shares. In
addition, other investors can request
such information directly from the
Administrator, and such information
will be provided upon request.
In order to provide updated
information relating to the Fund for use
by investors, professionals and persons
wishing to create or redeem the Shares,
the Exchange will disseminate through
the facilities of CTA, an updated
Indicative Fund Value (the ‘‘Indicative
Fund Value’’) for the Fund. The
respective Indicative Fund Value will be
disseminated on a per Share basis at
least every 15 seconds during regular
Amex trading hours of 9:30 a.m. to 4:15
p.m. ET. The Indicative Fund Value will
be calculated based on the cash required
for creations and redemptions (i.e., NAV
× 50,000) for the Fund adjusted to
reflect the price changes of the
Commodity Futures Contracts and the
holdings of U.S. Treasury securities and
other high credit quality short-term
fixed income securities.
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mstockstill on PROD1PC66 with NOTICES
The Indicative Fund Value will not
reflect price changes to the price of an
underlying commodity between the
close of trading of the futures contract
at the relevant futures exchange and the
close of trading on Amex at 4 p.m. ET.
The value of a Share may accordingly be
influenced by non-concurrent trading
hours between Amex and the various
futures exchanges on which the futures
contracts based on the Index
commodities are traded. While the
Shares will trade on Amex from 9 a.m.
to 4 p.m. ET, the trading hours for each
of the Index commodities underlying
the futures contracts will vary as
previously noted.
While the market for futures trading
for each of the Index commodities is
open, the Indicative Fund Value can be
expected to closely approximate the
value per Share of the Basket Amount.
However, during Amex trading hours
when the futures contracts have ceased
trading, spreads and resulting premiums
or discounts may widen, and therefore,
increase the difference between the
price of the Shares and the NAV of the
Shares. Indicative Fund Value on a per
Share basis disseminated during Amex
trading hours should not be viewed as
a real time update of the NAV, which is
calculated only once a day.
The Exchange believes that
dissemination of the Indicative Fund
Value based on the cash amount
required for a Basket Aggregation
provides additional information that is
not otherwise available to the public
and is useful to professionals and
investors in connection with the Shares
trading on the Exchange or the creation
or redemption of the Shares.
i. Termination Events
The Fund will be terminated if any of
the following circumstances occur: (1)
The filing of a certificate of dissolution
or revocation of the Managing Owner’s
charter (subject to 90-day notice period)
or upon the withdrawal, removal,
adjudication or admission of bankruptcy
or insolvency of the Managing Owner,
or an event of withdrawal, subject to
exceptions; (2) the occurrence of any
event which would make unlawful the
continued existence of the Trust or any
Fund, as the case may be; (3) the event
of the suspension, revocation or
termination of the Managing Owner’s
registration as a CPO, or membership as
a CPO with the NFA, subject to certain
conditions; (4) the Trust or any Fund, as
the case may be, becomes insolvent or
bankrupt; (5) shareholders holding
Shares representing at least 75% of the
Fund NAV (excluding the Shares of the
Managing Owner) notify the Managing
Owner that they wish to dissolve the
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22:03 Nov 23, 2007
Jkt 214001
Trust; (6) the determination of the
Managing Owner that the aggregate net
assets of the Fund in relation to the
operating expenses of the Fund make it
unreasonable or imprudent to continue
the business of the Fund, or, in the
exercise of its reasonable discretion, the
determination by the Managing Owner
to dissolve the Trust because the
aggregate net asset value of the Trust as
of the close of business on any business
day declines below $10 million; (7) the
Trust or any Fund becoming required to
register as an investment company
under the 1940 Act; or (8) DTC is unable
or unwilling to continue to perform its
functions, and a compatible
replacement is unavailable.
If not terminated earlier, the Fund
will endure perpetually. Upon
termination of the Fund, holders of the
Shares will surrender their Shares and
receive from the Administrator, in cash,
their portion of the value of the Fund.
j. Criteria for Initial and Continued
Listing
The Fund will be subject to the
criteria in Commentary .07(d) of Amex
Rule 1202 for initial and continued
listing of the Shares.
The Fund will accept subscriptions
for Shares in Baskets from Authorized
Participants at $30.00 per Share ($1.5
million per Basket) during an initial
offering period commencing with the
initial effective date of the prospectus,
and terminating no later than the 90th
day following such date, unless (i) the
subscription minimum is reached before
that date and the Managing Owner
determines to end the initial offering
period early, or (ii) that date is extended
by the Managing Owner for up to an
additional 90 days.
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 objectives of
the Fund.
The Exchange represents that, for the
initial and continued listing, the Shares
must be in compliance with Section 803
of the Amex Company Guide and Rule
10A–3 under the Act.
k. 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 the Fund outstanding at the
end of each calendar year.
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l. Disclosure
The Exchange, in an Information
Circular (described below) distributed to
Exchange members and member
organizations, will inform members and
member organizations, prior to
commencement of trading, of the
prospectus delivery requirements
applicable to the Fund. The Exchange
notes that investors purchasing Shares
directly from the Fund (by delivery of
the corresponding Cash Deposit
Amounts) will receive a prospectus.
Amex members purchasing Shares from
the Administrator for resale to investors
will deliver a prospectus to such
investors.
m. Purchase and Redemptions in the
Basket Amount
In the Information Circular (described
below), members and member
organizations will be informed that
procedures for purchases and
redemptions of Shares in the Basket
Amount are described in the Prospectus
and that Shares are not individually
redeemable but are redeemable only in
Baskets or multiples thereof.
n. 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 (Rule
411). Initial equity margin requirements
of 50% will apply to transactions in the
Shares. Shares will trade on Amex until
4:15 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 oddlot trading in Amex equities (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
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.
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
through of protected quotations.16
Specialist transactions of the Shares
made in connection with the creation
and redemption of Shares will not be
16 See Securities Exchange Act Release No. 54552
(September 29, 2006), 71 FR 59546 (October 10,
2006) (SR–Amex–2005–104).
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subject to the prohibitions of Amex Rule
190(a).17 The Shares will generally be
subject to the Exchange’s stabilization
rule (Amex Rule 170), 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.
Commentary .07(f) to Amex Rule 1202
sets forth this limited exception to
Amex Rule 170.
The Exchange’s surveillance
procedures for the Shares will be similar
to those used for other TIRs and
exchange-traded funds and will
incorporate and rely upon existing
Amex surveillance procedures
governing options and equities.
The trading of the Shares will be
subject to certain conflict of interest
provisions set forth in Commentary
.07(e) to Amex Rule 1202.
mstockstill on PROD1PC66 with NOTICES
o. 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
Amex 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.
p. Information Circular
Amex will distribute an information
circular to its members in connection
with the trading of the Shares
(‘‘Information Circular’’). The
Information Circular will discuss the
special characteristics and risks of
trading this type of security, such as
currency fluctuation risk. Specifically,
the Information Circular, among other
things, will discuss what the Shares are,
how a Basket is created and redeemed,
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, applicable Amex rules,
dissemination information, trading
information and applicable suitability
rules. The Information Circular will also
explain that the Fund is subject to
various fees and expenses described in
the Registration Statement. The
Information Circular will also reference
the fact that the CFTC has regulatory
jurisdiction over the trading of
Commodity Futures Contracts.
The Information Circular will also
notify members and member
organizations about the procedures for
purchases and redemptions of Shares in
Baskets, and that Shares are not
individually redeemable but are
redeemable only in one or more Baskets.
The Information Circular will advise
members of their suitability obligations
with respect to recommended
transactions to customers in the Shares.
The Information Circular will also
discuss any relief, if granted, by the
Commission or the staff from any rules
under the Act.
The Information Circular will disclose
that the trading hours of the Shares will
be from 9:30 a.m. to 4:15 p.m. ET and
that the NAV for the Shares will be
calculated shortly after 4 p.m. ET each
trading day. Information about the
Shares and the Index will be publicly
available on Amex’s Web site and the
Fund’s Web site.
q. 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 applicable rules.
Specifically, the Exchange will rely on
its existing surveillance procedures
applicable to TIRs, Portfolio Depository
Receipts and Index Fund Shares, which
the Exchange states have been deemed
adequate under the Act. The Exchange
currently has in place comprehensive
surveillance 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 comprising the
Indexes. The Exchange also notes that
CBOE, CME and NYBOT are members of
the Intermarket Surveillance Group
(‘‘ISG’’). As a result, the Exchange
asserts that market surveillance
information is available from relevant
futures exchanges, if necessary, due to
regulatory concerns that may arise in
connection with the Commodity Futures
Contracts.
2. Statutory Basis
The Exchange believes that the
proposed rule change is consistent with
section 6 of the Act 18 in general, and
furthers the objectives of section
6(b)(5) 19 in particular in that it is
18 15
17 See
Commentary .05 to Amex Rule 190.
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22:03 Nov 23, 2007
Jkt 214001
19 15
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U.S.C. 78f(b)(5).
Frm 00065
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66001
designed to prevent fraudulent and
manipulative acts and practices, to
promote just and equitable principles of
trade, to remove impediments to and
perfect the mechanism for a free and
open market and a national market
system, and, in general, to protect
investors and the public interest.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will impose
any burden on competition.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
The Exchange did not receive any
written comments on the proposed rule
change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 35 days of the date of
publication of this notice in the Federal
Register or within such longer period (i)
as the Commission may designate up to
90 days of such date if it finds such
longer period to be appropriate and
publishes its reasons for so finding or
(ii) as to which 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.
The Commission is considering
granting accelerated approval of the
proposed rule change at the end of a 15day comment period.20
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 rulecomments@sec.gov. Please include File
Number SR–Amex–2007–53 on the
subject line.
20 Amex requested accelerated approval of this
proposed rule change prior to the 30th day after the
date of publication of the notice of the filing
thereof.
E:\FR\FM\26NON1.SGM
26NON1
66002
Federal Register / Vol. 72, No. 226 / Monday, November 26, 2007 / Notices
Paper Comments
• Send paper comments in triplicate
to Nancy M. Morris, Secretary,
Securities and Exchange Commission,
100 F Street, NE., Washington, DC
20549–1090.
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–56804; File No. SR–Amex–
2006–107]
Self-Regulatory Organizations;
American Stock Exchange LLC; Order
Approving a Proposed Rule Change,
All submissions should refer to File
as Modified by Amendment No. 1, to
Number SR–Amex–2007–53. This file
Eliminate Options Specialists’ Agency
number should be included on the
subject line if e-mail is used. To help the Responsibilities and Establish Amex
Book Clerks
Commission process and review your
comments more efficiently, please use
November 16, 2007.
only one method. The Commission will
I. Introduction
post all comments on the Commission’s
On November 14, 2006, American
Internet Web site (https://www.sec.gov/
Stock Exchange LLC (‘‘Amex’’ or
rules/sro.shtml). Copies of the
‘‘Exchange’’) filed with the Securities
submission, all subsequent
and Exchange Commission
amendments, all written statements
(‘‘Commission’’), pursuant to section
with respect to the proposed rule
19(b)(1) of the Securities Exchange Act
change that are filed with the
of 1934 (‘‘Act’’ or ‘‘Exchange Act’’) 1 and
Commission, and all written
Rule 19b–4 thereunder,2 a proposal to
communications relating to the
eliminate the agency obligations of
proposed rule change between the
Exchange options specialists and
Commission and any person, other than establish Amex book clerks (‘‘ABCs’’).
those that may be withheld from the
The Exchange filed Amendment No. 1
public in accordance with the
to the proposed rule change on March
provisions of 5 U.S.C. 552, will be
29, 2007. The proposal as amended was
available for inspection and copying in
published for comment in the Federal
the Commission’s Public Reference
Register on April 13, 2007.3 The
Room, 100 F Street, NE., Washington,
Commission received no comments on
DC 20549, on official business days
the proposal. This order approves the
between the hours of 10 a.m. and 3 p.m. proposed rule change, as modified by
Amendment No. 1.
Copies of such filing also will be
available for inspection and copying at
II. Description of the Proposal
the principal office of the Exchange. All
The Exchange has proposed to
comments received will be posted
eliminate the obligation and ability of
without change; the Commission does
an Exchange options specialist to act as
not edit personal identifying
an agent in connection with orders in
information from submissions. You
his or her assigned options classes. This
should submit only information that
proposal would permit the Exchange to
you wish to make available publicly. All designate Exchange employees or
submissions should refer to File
independent contractors to serve as
Number SR–Amex–2007–53 and should ABCs, responsible for maintaining and
be submitted on or before December 11, operating the ANTE Central Book (i.e.,
2007.
the specialist’s customer limit order
book) and the ANTE Display Book.4 The
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.21
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–22909 Filed 11–23–07; 8:45 am]
mstockstill on PROD1PC66 with NOTICES
BILLING CODE 8011–01–P
21 17
CFR 200.30–3(a)(12).
VerDate Aug<31>2005
22:03 Nov 23, 2007
Jkt 214001
1 15
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 See Securities Exchange Act Release No. 55583
(April 5, 2007), 72 FR 18695 (‘‘Notice’’).
4 The Exchange submits that all incoming
customer orders are represented in the ANTE
Central Book, and if marketable, will be
automatically executed subject to a number of
limited exceptions. Orders that are otherwise
eligible for automatic execution may not receive an
automatic execution: (i) Whenever the Amex Best
Bid or Offer (ABBO) crosses the National Best Bid
or Offer (NBBO) and causes an inversion in the
quote; or (ii) whenever a better bid or offer is being
disseminated by another options exchange and the
order is not eligible for automatic price matching.
In addition, if quotes are deemed unreliable or the
Exchange is experiencing communications or
systems problems, non-firm markets or delays in
the dissemination of quotes by the Options Price
Reporting Authority, orders will not be
automatically executed. In these limited cases,
PO 00000
Frm 00066
Fmt 4703
Sfmt 4703
Exchange also seeks to amend certain
Exchange rules relating to the operation
of the Plan for the Purpose of Creating
and Operating an Intermarket Option
Linkage (‘‘Linkage Plan’’) to
accommodate the implementation of
pertinent ABC rules and other proposed
rule changes described herein.5 Finally,
the proposed rule change would
implement several other amendments to
conform other Exchange rules to the
proposal. The Exchange has noted that
its proposal substantially mirrors
changes recently adopted by the
Chicago Board Options Exchange to
eliminate DPM agency responsibilities
and establish PAR Officials.6 The
following description summarizes
certain significant effects this proposed
rule change would have on existing
Exchange rules.7
Under the current rules of the
Exchange, options specialists are
required to execute options orders on an
agency basis for those classes of options
assigned to them.8 Accordingly, all
options specialists on the Amex
presently act as both agent and principal
for orders in their respective assigned
options classes.
The Exchange has now determined
that it is in the best interest of the
Exchange, its members, and investors to
eliminate the agency obligation of
options specialists. The Exchange has
proposed to amend its rules to remove
an options specialist’s obligation to act
as an agent in its allocated securities on
the Exchange.9 The Exchange has
further proposed to designate ABCs who
would be responsible for handling
certain orders in the same manner as
they are currently handled by the
options specialists.10 The ABCs will
maintain and operate the customer limit
order book,11 effect proper executions of
orders that are routed to the customer
limit order book,12 display eligible limit
incoming customer orders will be routed to the
ANTE Display Book for manual handling.
5 Exchange rules governing the operation of the
Linkage Plan are set forth under Amex Rules 940
through 945 and Amex Rule 941–ANTE.
6 See Securities Exchange Act Release No. 52798
(November 18, 2005), 70 FR 71344 (November 28,
2005) (SR–CBOE–2005–46).
7 For a complete description of the proposed rule
change, see the Notice, supra note 3.
8 See Amex Rule 950–ANTE(l), incorporating
Amex Rule 170 to options transactions.
9 See Proposed Amex Rules 950–ANTE(f) cmt. .01
and 950–ANTE(l) cmt. .01.
10 See Proposed Amex Rule 995–ANTE.
11 See Proposed Amex Rule 995–ANTE(a)(i).
12 See Proposed Amex Rule 995–ANTE(a)(ii). The
requirement that options specialists effect proper
executions would require an options specialist to
use due diligence to execute customer orders at the
best prices available under the rules of the
Exchange. See Proposed Amex Rule 995–
ANTE(b)(ii).
E:\FR\FM\26NON1.SGM
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]]>Agencies
[Federal Register Volume 72, Number 226 (Monday, November 26, 2007)]
[Notices]
[Pages 65994-66002]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E7-22909]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-56802; File No. SR-Amex-2007-53]
Self-Regulatory Organizations; American Stock Exchange LLC;
Notice of Filing of a Proposed Rule Change, and Amendment Nos. 1 and 2
Thereto, Relating to the Listing and Trading of the GreenHaven
Continuous Commodity Index Fund
November 16, 2007.
Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on May 29, 2007, 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
[[Page 65995]]
substantially prepared by the Exchange. On July 31, 2007, Amex filed
Amendment No. 1 to the proposed rule change, and on November 16, 2007,
Amex filed Amendment No. 2 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, pursuant to Commentary .07 to Amex Rule
1202, to list and trade shares of the GreenHaven Continuous Commodity
Index Fund (the ``Fund''). The text of the proposed rule change is
available at the Commission's Public Reference Room, at the Exchange,
and at 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 Exchange included statements
concerning the purpose of, and basis for, the proposed rule change and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
Pursuant to Commentary .07 to Amex Rule 1202, the Exchange may
approve for listing and trading trust issued receipts (``TIRs'')
investing in shares or securities (the ``Investment Shares'') that hold
investments in any combination of securities, futures contracts,
options on futures contracts, swaps, forward contracts, commodities or
portfolios of investments. Amex proposes to list for trading the shares
of the Fund (the ``Shares''), which represent beneficial ownership
interests in the Master Fund's net assets, consisting solely of the
common units of beneficial interest (``Master Fund Units'') of the
GreenHaven Continuous Commodity Index Tracking Master Fund (the
``Master Fund'').
The investment objective of the Fund and the Master Fund is to
reflect the performance of the Continuous Commodity Total Return Index
(the ``Index'' or ``CCI-TR''), \3\ over time, less the expenses of the
operations of the Fund and the Master Fund. The Fund will pursue its
investment objective by investing substantially all of its assets in
the Master Fund. The Master Fund will pursue its investment objective
by investing in a portfolio of exchange-traded futures, each a
``Commodity Futures Contract,'' on the commodities comprising the Index
(``the Index Commodities''). The Master Fund will also hold cash and
United States Treasury securities for deposit with the Master Fund's
Commodity Broker as margin and other high credit quality short-term
fixed income securities. The Master Fund's portfolio is managed to
reflect the performance of the Index over time.
---------------------------------------------------------------------------
\3\ Reuters America LLC (``Reuters'') is the owner, publisher,
and custodian of CCI-TR which represents a total return version of
the original Commodity Research Bureau (CRB) Index. The Index is
widely viewed as a broad measure of overall commodity price trends
because of the diverse nature of the Index's constituent
commodities. The Index is calculated to produce an unweighted
geometric mean of the individual commodity price relatives, i.e., a
ratio of the current price to the base year average price. The base
year for the CCI-TR is 1982, with a starting value of 100.
---------------------------------------------------------------------------
The Master Fund will not be ``actively managed,'' but instead seeks
to track the performance of the CCI-TR. To maintain the correspondence
between the composition and weightings of the Index Commodities
comprising the Index, the Managing Owner may adjust the portfolio on a
daily basis to conform to periodic changes in the identity and/or
relative weighting of the Index Commodities. The Managing Owner will
also make adjustments and changes to the portfolio in the case of
significant changes to the Index. The Managing Owner is registered as a
commodity pool operator (``CPO'') and commodity trading advisor
(``CTA'') with the Commodity Futures Trading Commission (``CFTC'') and
is a member of the National Futures Association (``NFA'').
The Exchange submits that Commentary .07 to Amex Rule 1202
accommodates the listing and trading of the Shares.
a. Introduction
In January of 2006, the Commission approved Commentary .07 to Rule
1202, which expanded the ability of the Exchange to list and trade TIRs
based on a portfolio of underlying investments that may not be
``securities.'' \4\ In the instant proposal, the Exchange proposes to
list and trade the Shares pursuant to such Rule.
---------------------------------------------------------------------------
\4\ See Securities Exchange Act Release No. 53105 (January 11,
2006), 71 FR 3129 (January 19, 2006) (SR-Amex-2005-59).
---------------------------------------------------------------------------
Under Commentary .07(c) to Amex Rule 1202, the Exchange may list
and trade TIRs investing in Investment Shares \5\ such as the Shares.
The Shares will conform to the initial and continued listing criteria
under Commentary .07(d) to Amex Rule 1202. The Fund was formed as a
separate series of a Delaware statutory trust pursuant to a Certificate
of Trust and a Declaration of Trust and Trust Agreement among, CSC
Trust Company of Delaware, as trustee, and the Managing Owner and the
Limited Owner, as the holders of the Shares.\6\
---------------------------------------------------------------------------
\5\ Commentary .07(b)(1) to Amex Rule 1202 defines ``Investment
Shares'' as a security (a) that is issued by a trust, partnership,
commodity pool or other similar entity that invests in any
combination of futures contracts, options on futures contracts,
forward contracts, commodities, swaps or high credit quality short-
term fixed income securities or other securities; and (b) issued and
redeemed daily at net asset value in amounts correlating to the
number of receipts created and redeemed in a specified aggregate
minimum number.
\6\ The Trust and the Funds will not be subject to registration
and regulation under the Investment Company Act of 1940 (the ``1940
Act'').
---------------------------------------------------------------------------
The Exchange notes that the Commission has permitted the listing
and trading on Amex of products linked to the performance of underlying
currencies and commodities.\7\
---------------------------------------------------------------------------
\7\ See, e.g., Securities Exchange Act Release Nos. 55632 (April
13, 2007), 72 FR 19987 (April 20, 2007) (SR-Amex-2006-112)
(approving the listing and trading of the United States Natural Gas
Fund, LP); 53582 (March 31, 2006), 71 FR 17510 (April 6, 2006) (SR-
Amex 2005-127) (approving the listing and trading of the United
States Oil Fund, LP); 53521 (March 20, 2006), 71 FR 14967 (March 24,
2006) (SR-Amex 2005-72) (approving the listing and trading of the
iShares Silver Trust); and 53105 (January 11, 2006), 71 FR 3129
(January 19, 2006) (SR-Amex 2006-53) (approving the listing and
trading of the DB Commodity Index Tracking Fund); 53059 (January 5,
2006), 71 FR 2072 (January 12, 2006) (SR-Amex 2005-128) (approving
the listing and trading of the Euro Currency Trust); 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);
and 51446 (March 29, 2005), 70 FR 17272 (April 5, 2005) (SR-2005-32)
(approving the listing and trading of streetTRACKS Gold Shares). See
also Securities Exchange Act Release Nos. 55029 (December 29, 2006),
72 FR 806 (January 8, 2007) (SR-Amex 2006-76) (approving the listing
and trading of the DB Multi-Sector Commodity Trust); 54450
(September 14, 2006), 71 FR 55230 (September 21, 2006) (SR-Amex
2006-44) (approving the listing and trading of shares of the DB
Currency Index Value Fund); and 55292 (February 14, 2007), 72 FR
8406 (February 26, 2007) (SR-Amex 2006-86) (approving the listing
and trading of shares on DB U.S. Dollar Index Bullish Fund and the
PowerShares DB U.S. Dollar Index Bearish Fund).
---------------------------------------------------------------------------
b. Description of the Index
The CCI-TR, consisting of 17 commodity futures prices, offers
investors a broad benchmark for the
[[Page 65996]]
performance of the commodity sector. The 17 commodities are currently:
Corn, wheat, soybeans, live cattle, lean hogs, gold, silver, copper,
cocoa, coffee, sugar 11, cotton, orange juice, platinum, crude
oil, heating oil, and natural gas. The Index is intended to provide a
representation of broad trends in overall commodity prices, and was
originally calculated to produce a ratio of the current price to the
base year average price. The Index takes into account the economics of
rolling listed Commodity Futures Contracts forward to avoid delivery
and maintain exposure to Commodity Futures Contracts with the liquidity
characteristics of being exchange traded. The Index is generally viewed
as a broad measure of overall commodity price trends.
As the Commodity Futures Contracts near expiration, they are
replaced by contracts that have a later expiration. For example, a
contract purchased and held in November 2006 may specify January 2007
expiration. As that contract nears expiration, it may be replaced by
selling the January 2007 contract and purchasing the contract expiring
in March 2007. This process is referred to as ``rolling.''
Historically, the prices of crude oil and heating oil have frequently
been higher for contracts with shorter-term expirations than for
contracts with longer-term expirations, which is referred to as
``backwardation.'' In these circumstances, absent other factors, the
sale of the January 2007 contract would take place at a price that is
higher than the price at which the March 2007 contract is purchased,
thereby creating a gain in connection with rolling. While crude oil and
heating oil have historically exhibited consistent periods of
backwardation, backwardation will likely not exist in these markets at
all times.
Conversely, gold, corn, soybeans and wheat historically exhibit
``contango'' markets rather than backwardation, where the prices of
contracts are higher in the distant delivery months than in the nearer
delivery months due to the costs of long-term storage of a physical
commodity prior to delivery or other factors. Although gold, corn,
soybeans and wheat have historically exhibited consistent periods of
contango, it is not likely this will exist in these markets at all
times.
The Index generally averages all futures prices six months forward,
up to a maximum of five delivery months per commodity. A minimum of two
delivery months, however, must be used to calculate the current price
if the second contract is outside the six-month window. Commodity
Futures Contracts in the delivery period are excluded from the
calculation. Although each of the 17 commodities is equally weighted,
the Index uses an average of the prices of the 17 commodities and an
average of those commodities across time within each commodity. Each
commodity is averaged across time (six-month period) and then these 17
component figures are averaged together. The continuous rebalancing
provided by this methodology means the Index constantly decreases
exposure to commodity markets gaining in value and increases exposure
to those markets declining in value to the diverse nature of its
constituent commodities.
The following table reflects the index weights, of each Index
commodity:
------------------------------------------------------------------------
Index weight
Index commodity (percent)
------------------------------------------------------------------------
WTI Crude Oil........................................... 5.88
Heating Oil............................................. 5.88
Natural Gas............................................. 5.88
Corn.................................................... 5.88
Wheat................................................... 5.88
Soybeans................................................ 5.88
Live Cattle............................................. 5.88
Lean Hogs............................................... 5.88
Sugar................................................... 5.88
Cotton.................................................. 5.88
Coffee.................................................. 5.88
Cocoa................................................... 5.88
Orange Juice............................................ 5.88
Gold.................................................... 5.88
Silver.................................................. 5.88
Platinum................................................ 5.88
Copper.................................................. 5.88
------------------------------------------------------------------------
Calculating Total Return. The calculation of this index is
comprised of the daily changes in the CCI spot index, the roll yield
that is implied by rolling selected commodity futures contracts forward
to the next defined commodity contract on specific dates (Roll Dates),
and the 90 day T-Bill yield for a single day. The CCI-TR is calculated
using the following three variables:
The CCI cash index and its daily return; The CCI is a
geometric average of the 17 commodities multiplied by a constant
factor.
CCI = [Geometric Average (PRICES)/30.7766] x 0.8486 x 100.
The second Friday in January, February, April, June,
August, and November are the roll dates for the CCI-TR. On these dates,
two sets of prices are considered; one from the expiring month contract
and another from the next contract month window. The ratio of the two
index values is the roll ratio. Each index value in the subsequent
contract month, is multiplied by the value of the ratio. The roll ratio
is determined on the roll date and then is multiplied to each of the
index values for that contract month. The index treated by multiplying
the CCI with the roll ratio is called the CCI--Roll Return Index or CCI
Continuous Contract Index. Roll Ratio = Index Value (nearby month)/
Index value (deferred Month), on the date.
The CCI-TR had a starting value of 100 on January 1st
1982. This index is compounded daily by multiplying the previous day
value with change in CCI Index on that day and 90 days T-Bill yield for
a single day. On Mondays, the T-Bill yield for 3 days is used because
of the interest earned by the collateral over the weekend.
CCI-TR = 100 x (1+ Continuous Daily Return + T-Bill return for one
day), beginning January 1, 1982.
Continuous Daily return = [CCI Continuous Contract Index/CCI
Continuous Contract Index t-1].
T-Bill return for one day = {[1/(1-(91/360) x T-Bill Rate t-1)]-(l/
91){time} -1.
c. Commodity Futures Contracts
The prices of the Commodity Futures Contracts are volatile with
fluctuations expected to affect the value of the Shares. Commodity
Futures Contracts to be held by the Master Fund will be traded solely
on U.S. futures exchanges. The Commodity Futures Contracts to be
entered into by the Master Fund are listed and traded on organized and
regulated exchanges based on the various commodities comprising the
Index described above.
----------------------------------------------------------------------------------------------------------------
Index commodity Exchange Time traded
----------------------------------------------------------------------------------------------------------------
WTI Crude Oil.......................... New York Mercantile 9 a.m.-2:30 p.m. In addition, NYMEX ACCESS
Heating Oil............................ Exchange (``NYMEX''). [reg], an electronic trading system, is
open for price discovery on the Benchmark
Futures Contract each Monday through
Thursday at 3:15 p.m. ET through the
following morning at 9:50 a.m. E.T., and
on Friday from 3:15 p.m. to 5:15 p.m. and
from 7 p.m. Sunday night until Monday
morning 9:50 a.m. ET.
Natural Gas............................
[[Page 65997]]
Corn................................... Chicago Board of Trade 9:30 a.m.-1:15 p.m. Electronic trading is
(``CBOT''). from 6:30 p.m.-6 a.m. and 9:30 a.m.-1:15
p.m.
Wheat.................................. CBOT....................... 9:30 a.m.-1:15 p.m. Electronic trading is
from 6:32 p.m.-6 a.m. and 9:30 a.m.-1:15
p.m.
Soybeans............................... CBOT....................... 9:30 a.m.-1:15 p.m. Electronic trading is
from 6:31 p.m.-6 a.m. and 9:30 a.m.-1:15
p.m.
Live Cattle............................ Chicago Mercantile Exchange 9:05-1 p.m.
(``CME'').
Lean Hogs.............................. CME........................ 9:10-1 p.m.
Sugar No. 11........................... New York Board of Trade 8:10 a.m. to 12:30 p.m.; pre-open
(``NYBOT''). commences at 8 a.m.; closing period
commences at 11:58 a.m. Electronic
trading has a pre-opening trading session
from 8 p.m. of prior day until 1:30 a.m.
and then 1:30 a.m. through 3:15 p.m.
Cotton................................. NYBOT...................... 10:30 a.m. to 2:15 p.m.; pre-open
commences at 10:20 a.m.; closing period
commences at 2:14 p.m. Electronic trading
has a pre-opening trading session from 8
p.m. of prior day until 1:30 a.m. and
then 1:30 a.m. through 3:15 p.m.
Coffee................................. NYBOT...................... 8:30 a.m. to 12:30 p.m.; pre-open
commences at 8:20 a.m.; closing period
commences at 12:28 p.m. Electronic
trading has a pre-opening trading session
from 8 p.m. of prior day until 1:30 a.m.
and then 1:30 a.m. through 3:15 p.m.
Cocoa.................................. NYBOT...................... 8 a.m.--11:50 a.m. Pre-Open commences at
7:50 a.m.; closing period commences at
11:45 a.m. Electronic trading has a pre-
opening trading session from 8 p.m. of
prior day until 1:30 a.m. and then 1:30
a.m. through 3:15 p.m.
Orange Juice........................... NYBOT...................... 10 a.m. to 1:30 p.m.; pre-open commences
at 9:50 a.m.; pre-close commences at 1:15
p.m.; closing period commences at 1:29
p.m. Electronic trading has a pre-opening
trading session from 6:45 a.m. until 7
a.m. and then 7 a.m. through 3:15 p.m.
Gold................................... NYMEX...................... 8:20 p.m.-1:30 p.m.
Silver................................. NYMEX...................... 8:25 a.m.-1:25 p.m.
Platinum............................... NYMEX...................... 8:20 a.m.-1:05 p.m.
Copper................................. NYMEX...................... 8:10 a.m.-1 p.m.
----------------------------------------------------------------------------------------------------------------
d. Structure of the Funds
Fund and Master Fund. The Fund and Master Fund are statutory trusts
formed pursuant to the Delaware Statutory Trust Act and will issue
units of beneficial interest or shares that represent units of
fractional undivided beneficial interest in and ownership of the
respective Fund, or Master Fund. Unless terminated earlier, the Fund
and Master Fund are of a perpetual duration. The investment objective
of the Fund, through its investment in the Master Fund, is to reflect
the performance of the Index, over time, less the expenses of the Fund
and the Master Fund's overall operations. The Fund will pursue its
investment objective by investing substantially all of its assets in
the Master Fund in a master-feeder structure. The Fund will hold no
investment assets other than Master Fund Units. The Master Fund will be
wholly-owned by the Fund and the Managing Owner. Each Share issued by
the Fund will correlate with a Master Fund Unit issued by the Master
Fund and held by the Fund.\8\
---------------------------------------------------------------------------
\8\ See infra at note 9.
---------------------------------------------------------------------------
The Master Fund will invest in a portfolio of Commodity Futures
Contracts on the Index Commodities. In addition, the Master Funds will
also hold cash and U.S. Treasury securities for deposit with futures
commission merchants (``FCM'') as margin and other high credit quality
short-term fixed income securities.
Trustee. CSC Trust Company of Delaware (the ``Trustee'') is the
sole trustee of the Fund and the Master Fund. The Trustee delegated to
the Managing Owner certain of the power and authority to manage the
business and affairs of the Fund and the Master Fund and has duties and
liabilities to the Fund and the Master Fund.
Managing Owner. GreenHaven Commodity Services LLC, a Delaware
limited liability company, will serve as Managing Owner of the Fund and
the Master Fund. The Managing Owner will serve as the commodity pool
operator and commodity trading advisor of the Fund and the Master Fund.
The Managing Owner is registered as a commodity pool operator and
commodity trading advisor with the Commodity Futures Trading
Commission, or the CFTC, and with the National Futures Association, or
the NFA. As a registered commodity pool operator and commodity trading
advisor, with respect to both the Fund and the Master Fund, the
Managing Owner is required to comply with various regulatory
requirements under the Commodity Exchange Act and the rules and
regulations of the CFTC and the NFA, including investor protection
requirements, antifraud prohibitions, disclosure requirements, and
reporting and recordkeeping requirements.
Commodity Broker or Clearing Broker. Fimat (the ``Commodity
Broker'' or the ``Clearing Broker'') will execute and clear the Master
Fund's Commodity Futures Contract transactions and will perform certain
administrative services for the Master Fund. The Commodity Broker is
registered with the CFTC as a FCM and is a member of the NFA in such
capacity.
Administrator. The Bank of New York is the administrator for all of
the Funds and the Master Funds (the ``Administrator''). The
Administrator will perform or supervise the performance of services
necessary for the operation and administration of the Fund and the
Master Fund. These services include, but are not limited to, receiving
and processing orders from Authorized Participants (as defined below)
to create and redeem Baskets, accounting, net asset value (``NAV'') \9\
[[Page 65998]]
calculations and other fund administrative services.
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\9\ For the Master Fund, the NAV is the total assets of the
Master Fund less total liabilities of the Master Fund, determined on
the basis of generally accepted accounting principles. NAV per
Master Fund Unit is calculated by dividing by the number of
outstanding units of the Master Fund. The NAV per Share will be the
same because of the one-to-one correlation between the Shares and
the Master Fund Units.
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Distributor. ALPS Distributor, Inc., is the distributor for both
the Fund and the Master Fund (the ``Distributor''). The Distributor
will assist the Managing Owner and the Administrator with certain
functions and duties relating to the creation and redemption of
Baskets, including receiving and processing orders from Authorized
Participants to create and redeem Baskets, coordinating the processing
of such orders and related functions and duties. The Distributor shall
also review and file marketing materials with the Financial Industry
Regulatory Authority, field investor calls, distribute prospectuses and
consult with the Managing Owner and its affiliates in connection with
marketing and sales strategies.
e. Product Description
Creation and Redemption of Shares. Issuances of the Shares will be
made only in one or more blocks of 50,000 Shares, each a Basket (the
``Basket'' or ``Basket Aggregation''). The Fund will issue and redeem
the Shares on a continuous basis, by or through participants that have
entered into participant agreements (each, an ``Authorized
Participant'') \10\ with the Managing Owner at the NAV per Share next
determined after an order to purchase the Shares is received in proper
form. Following issuance, the Shares will be traded on the Exchange
similar to other equity securities. The Shares will be registered in
book entry form through DTC.
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\10\ An ``Authorized Participant'' is a person, who at the time
of submitting to the trustee an order to create or redeem one or
more Baskets, (i) is a registered broker-dealer, (ii) is a
Depository Trust Company (``DTC'') participant (such as a bank,
broker, dealer and trust company) or is an Indirect Participant
(i.e., someone who maintains either directly or indirectly, a
custodial relationship with a DTC participant) and (iii) has in
effect a valid participant agreement, which sets forth the
procedures for the creation and redemption of Baskets of Shares and
for the delivery of cash required for such creations or redemptions.
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Baskets will be issued in exchange for a cash amount equal to the
NAV per Share times 50,000 Shares (the ``Basket Amount''). The Basket
Amount will be determined on each business day by the Administrator.
Authorized Participants that wish to purchase a Basket must transfer
the Basket Amount to the Administrator (the ``Cash Deposit Amount'').
Authorized Participants that wish to redeem a Basket will receive cash
in exchange for each Basket surrendered in an amount equal to the NAV
per Basket (the ``Cash Redemption Amount''). The Commodity Broker will
be the custodian for the Master Fund and responsible for safekeeping
the Master Fund's assets.
All purchase orders must be placed by 10 a.m., New York time. The
Basket will be issued at noon on the business day (T+1) immediately
following the purchase order date at the Basket Amount as of the later
of the closing time on the Exchange or the last to close futures
exchange on which the Master Fund's assets are traded.\11\ The Basket
Amount necessary for the creation of a Basket will change from day to
day. On each day that the Exchange is open for regular trading, the
Administrator will adjust the Cash Deposit Amount as appropriate to
reflect the prior day's NAV per Share (as described below) and accrued
expenses. The Administrator will determine the Cash Deposit Amount for
a given business day by multiplying the NAV per Share by the number of
Shares in each Basket (50,000).
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\11\ The Master Fund is permitted to invest its assets in those
futures contracts traded on futures exchanges that either have a
comprehensive surveillance sharing agreement with the Exchange or
are either SRO members or affiliate members of the Intermarket
Surveillance Group (``ISG'').
---------------------------------------------------------------------------
Likewise, all redemption orders must be placed by 10 a.m., New York
time. The Shares will not be individually redeemable but will only be
redeemable in Baskets. To redeem, an Authorized Participant will be
required to accumulate enough Shares to constitute a Basket (i.e.,
50,000 shares). Upon the surrender of the Shares, the Administrator
will deliver to the redeeming Authorized Participant the Cash
Redemption Amount. The Authorized Participant is required to pay a
transaction fee to the Fund of $500 per order to create or redeem
Baskets.
On each business day, the Administrator will make available
immediately prior to the opening of trading on Amex via the facilities
of the CTA, the most recent Basket Amount for the creation of a Basket.
The Exchange will disseminate at least every 15 seconds throughout the
trading day, via the CTA, an amount representing on a per Share basis,
the current value of the Basket Amount. It is anticipated that the
deposit of the Cash Deposit Amount in exchange for a Basket will be
made primarily by institutional investors, arbitrageurs, and the
Exchange specialist. Baskets are then separable upon issuance into
identical Shares that will be listed and traded on the Exchange.\12\
The Shares are expected to be traded on the Exchange by professionals,
as well as institutional and retail investors. Thus, the Shares may be
acquired in two ways: (1) Through a deposit of the Cash Deposit Amount
with the Administrator during normal business hours by Authorized
Participants; or (2) through a purchase on the Exchange by investors.
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\12\ The Shares are separate and distinct from the shares of the
Master Funds consisting primarily of Commodity Futures Contracts on
the Index Commodities. The Exchange expects that the number of
outstanding Shares will increase and decrease as a result of
creations and redemptions of Baskets.
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Net Asset Value. Shortly after 4:00 p.m. ET each business day, the
Administrator will determine the NAV for the Fund, utilizing the
current settlement value of each Commodity Futures Contract held by the
Master Fund. At or about 4 p.m. ET each business day, the Administrator
will determine the Basket Amounts for orders placed by Authorized
Participants that day. Thus, although Authorized Participants may place
valid orders to purchase Shares throughout the trading day until 10
a.m. ET, the actual Basket Amounts are determined at 4 p.m. ET or
shortly thereafter.
Shortly after 4 p.m. ET each business day, the Administrator, Amex
and Managing Owner will disseminate the NAV per Share and the Basket
Amount (for orders placed during the day). The Basket Amount and the
NAV per Share are communicated by the Administrator to all Authorized
Participants via facsimile or electronic mail message and the NAV per
Share will be available on the Managing Owner's Web site at https://
www.Greenhavenllc.com.\13\ Amex will also disclose the NAV per Share
and Basket Amount on its Web site.
---------------------------------------------------------------------------
\13\ If the NAV per Share is not disseminated to all market
participants at the same time, the Exchange will halt trading in the
Shares of a Fund.
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In calculating the NAV per Share the Administrator will value all
Commodity Futures Contracts based on that day's settlement price.
However, if a futures contract on a trading day cannot be liquidated
due to the operation of daily limits or other rules of an exchange upon
which such futures contract is traded, the settlement price on the most
recent trading day on which such Commodity Futures contract could have
been liquidated will be used in determining the Fund's NAV per Share.
Accordingly, the Administrator will typically use that day's futures
settlement price for determining NAV per Share. When calculating NAV
per Share, the Administrator will value the Commodity Futures Contracts
held by the Master Fund on the basis of their then current market
value.
The Exchange believes that the Shares will not trade at a material
discount or
[[Page 65999]]
premium to the Commodities Futures Contracts held by the Fund based on
potential arbitrage opportunities. The arbitrage process, in this case,
provides an opportunity to profit from the differences in prices of the
same or similar securities or futures contracts, increases the
efficiency of the markets, and serves to prevent potentially
manipulative efforts. If the price of a Share deviates enough from the
Indicative Fund Value (discussed below) on a per Share basis to create
a material discount or premium, an arbitrage opportunity is created,
allowing the arbitrageur to either buy Shares at a discount and
immediately short the component future contracts of the CCI-TR Index or
sell Shares short at a premium and buy the component futures contracts
of the CCI-TR Index. Due to the fact that the Shares can be created and
redeemed only in Basket Aggregations at NAV, the Exchange submits that
arbitrage opportunities should provide a mechanism to mitigate the
effect of any premiums or discounts that may exist from time to time.
f. Dissemination of the Index and Underlying Contract Information
Reuters America LLC is the owner, publisher and custodian of CCI-
TR, which represents a total return version of the ninth revision (as
of 1995) of the original Commodity Research Bureau (CRB) Index. Values
of the underlying Index are computed by Reuters America LLC and widely
disseminated every 15 seconds during the day.
CCI-TR is calculated to offer investors a representation of the
investable returns that an investor should expect to receive by
attempting to replicate the CCI index by buying the respective
commodity futures and collateralizing their investment with United
States Government securities (i.e., 90-day T-Bills). The CCI-TR takes
into account the economics of rolling listed commodity futures forward
to avoid delivery and maintain exposure in liquid contracts. To achieve
the objectives of the index, Reuters has established rules for
calculation of the index. Specifically, only settlement and last-sale
prices are used in the Index's calculation, bids and offers are not
recognized--including limit-bid and limit-offer price quotes. Where no
last-sale price exists, typically in the more deferred contract months,
the previous days' settlement price is used.
The Managing Owner represents that it will seek to arrange to have
the Index calculated and disseminated on a daily basis through a third
party if the Index Sponsor ceases to calculate and disseminate the
Index. If, however, the Managing Owner is unable to arrange the
calculation and dissemination of the Index, the Exchange will undertake
to delist the Shares.
The disseminated value of the Index will not reflect changes to the
prices of the Index Commodities between the close of trading of the
various Commodity Futures Contracts and the close of trading at Amex at
4:15 p.m. ET. In addition, Reuters and the Exchange on their respective
Web sites will also provide any adjustments or changes to the Index.
The daily settlement prices for each of the Commodity Futures
Contracts held by the Master Fund are publicly available on the NYBOT,
NYMEX, CME and CBOT Web sites.\14\ In addition, various data vendors
and news publications publish futures prices and data. The Exchange
represents that futures contract quotes and last sale information for
the Commodity Futures Contracts on the Index Commodities is 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 Commodity Futures
Contracts is available by subscription from Reuters and Bloomberg. The
various futures exchanges also provide delayed futures information on
current and past trading sessions and market news free of charge on
their respective Web sites. The specific contract specifications for
each Commodity Futures Contract are also available from the various
futures exchanges on their Web sites as well as other financial
informational sources.
g. Availability of Information Regarding the Shares
The Web sites for the Fund and/or the Exchange, which are publicly
accessible at no charge, will contain the following information: (a)
The current NAV per Share daily and the prior business day's NAV per
Share and the reported closing price; (b) the mid-point of the bid-ask
price\15\ in relation to the NAV per Share as of the time it is
calculated (the ``Bid-Ask Price''); (c) calculation of the premium or
discount of such price against the NAV per Share; (d) data in chart
form displaying the frequency distribution of discounts and premiums of
the Bid-Ask Price against the NAV per Share, within appropriate ranges
for each of the four previous calendar quarters; (e) the Prospectus;
and (f) other applicable quantitative information.
---------------------------------------------------------------------------
\14\ See https://www.nybot.com, https://www.nymex.com, https://
www.cme.com, and https://www.cbot.com.
\15\ The bid-ask price of Shares is determined using the highest
bid and lowest offer as of the time of calculation of the NAV.
---------------------------------------------------------------------------
As described above, the NAV per Share will be calculated and
disseminated daily. Amex will disseminate for the Fund on a daily basis
by means of CTA/CQ High Speed Lines information with respect to the
corresponding Indicative Fund Value (as discussed below), recent NAVs
per Share and Shares outstanding. The Exchange will also make available
on its Web site daily trading volume of the Shares, closing prices of
the Shares, and the NAV per Share. The closing price and settlement
prices of the Commodity Futures Contracts held by the Master Fund are
also readily available from the NYMEX, CBOT, CME and NYBOT, 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.amex.com to the CCI's Web site at https://www.crbtrader.com.
h. Dissemination of Indicative Fund Value
As noted above, the Administrator calculates and disseminates, once
each trading day, the NAV per Share to market participants. The
Exchange represents that it will obtain a representation (prior to
listing of the Funds) from the Trust that the NAV per Share will be
calculated daily and made available to all market participants at the
same time. In addition, the Administrator causes to be made available
on a daily basis the corresponding Cash Deposit Amounts to be deposited
in connection with the issuance of the respective Shares. In addition,
other investors can request such information directly from the
Administrator, and such information will be provided upon request.
In order to provide updated information relating to the Fund for
use by investors, professionals and persons wishing to create or redeem
the Shares, the Exchange will disseminate through the facilities of
CTA, an updated Indicative Fund Value (the ``Indicative Fund Value'')
for the Fund. The respective Indicative Fund Value will be disseminated
on a per Share basis at least every 15 seconds during regular Amex
trading hours of 9:30 a.m. to 4:15 p.m. ET. The Indicative Fund Value
will be calculated based on the cash required for creations and
redemptions (i.e., NAV x 50,000) for the Fund adjusted to reflect the
price changes of the Commodity Futures Contracts and the holdings of
U.S. Treasury securities and other high credit quality short-term fixed
income securities.
[[Page 66000]]
The Indicative Fund Value will not reflect price changes to the
price of an underlying commodity between the close of trading of the
futures contract at the relevant futures exchange and the close of
trading on Amex at 4 p.m. ET. The value of a Share may accordingly be
influenced by non-concurrent trading hours between Amex and the various
futures exchanges on which the futures contracts based on the Index
commodities are traded. While the Shares will trade on Amex from 9 a.m.
to 4 p.m. ET, the trading hours for each of the Index commodities
underlying the futures contracts will vary as previously noted.
While the market for futures trading for each of the Index
commodities is open, the Indicative Fund Value can be expected to
closely approximate the value per Share of the Basket Amount. However,
during Amex trading hours when the futures contracts have ceased
trading, spreads and resulting premiums or discounts may widen, and
therefore, increase the difference between the price of the Shares and
the NAV of the Shares. Indicative Fund Value on a per Share basis
disseminated during Amex trading hours should not be viewed as a real
time update of the NAV, which is calculated only once a day.
The Exchange believes that dissemination of the Indicative Fund
Value based on the cash amount required for a Basket Aggregation
provides additional information that is not otherwise available to the
public and is useful to professionals and investors in connection with
the Shares trading on the Exchange or the creation or redemption of the
Shares.
i. Termination Events
The Fund will be terminated if any of the following circumstances
occur: (1) The filing of a certificate of dissolution or revocation of
the Managing Owner's charter (subject to 90-day notice period) or upon
the withdrawal, removal, adjudication or admission of bankruptcy or
insolvency of the Managing Owner, or an event of withdrawal, subject to
exceptions; (2) the occurrence of any event which would make unlawful
the continued existence of the Trust or any Fund, as the case may be;
(3) the event of the suspension, revocation or termination of the
Managing Owner's registration as a CPO, or membership as a CPO with the
NFA, subject to certain conditions; (4) the Trust or any Fund, as the
case may be, becomes insolvent or bankrupt; (5) shareholders holding
Shares representing at least 75% of the Fund NAV (excluding the Shares
of the Managing Owner) notify the Managing Owner that they wish to
dissolve the Trust; (6) the determination of the Managing Owner that
the aggregate net assets of the Fund in relation to the operating
expenses of the Fund make it unreasonable or imprudent to continue the
business of the Fund, or, in the exercise of its reasonable discretion,
the determination by the Managing Owner to dissolve the Trust because
the aggregate net asset value of the Trust as of the close of business
on any business day declines below $10 million; (7) the Trust or any
Fund becoming required to register as an investment company under the
1940 Act; or (8) DTC is unable or unwilling to continue to perform its
functions, and a compatible replacement is unavailable.
If not terminated earlier, the Fund will endure perpetually. Upon
termination of the Fund, holders of the Shares will surrender their
Shares and receive from the Administrator, in cash, their portion of
the value of the Fund.
j. Criteria for Initial and Continued Listing
The Fund will be subject to the criteria in Commentary .07(d) of
Amex Rule 1202 for initial and continued listing of the Shares.
The Fund will accept subscriptions for Shares in Baskets from
Authorized Participants at $30.00 per Share ($1.5 million per Basket)
during an initial offering period commencing with the initial effective
date of the prospectus, and terminating no later than the 90th day
following such date, unless (i) the subscription minimum is reached
before that date and the Managing Owner determines to end the initial
offering period early, or (ii) that date is extended by the Managing
Owner for up to an additional 90 days.
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 objectives of the Fund.
The Exchange represents that, for the initial and continued
listing, the Shares must be in compliance with Section 803 of the Amex
Company Guide and Rule 10A-3 under the Act.
k. 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 the Fund outstanding at the end of each calendar
year.
l. Disclosure
The Exchange, in an Information Circular (described below)
distributed to Exchange members and member organizations, will inform
members and member organizations, prior to commencement of trading, of
the prospectus delivery requirements applicable to the Fund. The
Exchange notes that investors purchasing Shares directly from the Fund
(by delivery of the corresponding Cash Deposit Amounts) will receive a
prospectus. Amex members purchasing Shares from the Administrator for
resale to investors will deliver a prospectus to such investors.
m. Purchase and Redemptions in the Basket Amount
In the Information Circular (described below), members and member
organizations will be informed that procedures for purchases and
redemptions of Shares in the Basket Amount are described in the
Prospectus and that Shares are not individually redeemable but are
redeemable only in Baskets or multiples thereof.
n. 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 (Rule
411). Initial equity margin requirements of 50% will apply to
transactions in the Shares. Shares will trade on Amex until 4:15 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 (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 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.
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 through of protected quotations.\16\
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\16\ See Securities Exchange Act Release No. 54552 (September
29, 2006), 71 FR 59546 (October 10, 2006) (SR-Amex-2005-104).
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Specialist transactions of the Shares made in connection with the
creation and redemption of Shares will not be
[[Page 66001]]
subject to the prohibitions of Amex Rule 190(a).\17\ The Shares will
generally be subject to the Exchange's stabilization rule (Amex Rule
170), 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.
Commentary .07(f) to Amex Rule 1202 sets forth this limited exception
to Amex Rule 170.
---------------------------------------------------------------------------
\17\ See Commentary .05 to Amex Rule 190.
---------------------------------------------------------------------------
The Exchange's surveillance procedures for the Shares will be
similar to those used for other TIRs and exchange-traded funds and will
incorporate and rely upon existing Amex surveillance procedures
governing options and equities.
The trading of the Shares will be subject to certain conflict of
interest provisions set forth in Commentary .07(e) to Amex Rule 1202.
o. 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 Amex 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.
p. Information Circular
Amex will distribute an information circular to its members in
connection with the trading of the Shares (``Information Circular'').
The Information Circular will discuss the special characteristics and
risks of trading this type of security, such as currency fluctuation
risk. Specifically, the Information Circular, among other things, will
discuss what the Shares are, how a Basket is created and redeemed, 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, applicable Amex rules, dissemination
information, trading information and applicable suitability rules. The
Information Circular will also explain that the Fund is subject to
various fees and expenses described in the Registration Statement. The
Information Circular will also reference the fact that the CFTC has
regulatory jurisdiction over the trading of Commodity Futures
Contracts.
The Information Circular will also notify members and member
organizations about the procedures for purchases and redemptions of
Shares in Baskets, and that Shares are not individually redeemable but
are redeemable only in one or more Baskets. The Information Circular
will advise members of their suitability obligations with respect to
recommended transactions to customers in the Shares. The Information
Circular will also discuss any relief, if granted, by the Commission or
the staff from any rules under the Act.
The Information Circular will disclose that the trading hours of
the Shares will be from 9:30 a.m. to 4:15 p.m. ET and that the NAV for
the Shares will be calculated shortly after 4 p.m. ET each trading day.
Information about the Shares and the Index will be publicly available
on Amex's Web site and the Fund's Web site.
q. 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 applicable rules. Specifically, the Exchange will
rely on its existing surveillance procedures applicable to TIRs,
Portfolio Depository Receipts and Index Fund Shares, which the Exchange
states have been deemed adequate under the Act. The Exchange currently
has in place comprehensive surveillance 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 comprising the Indexes. The Exchange also
notes that CBOE, CME and NYBOT are members of the Intermarket
Surveillance Group (``ISG''). As a result, the Exchange asserts that
market surveillance information is available from relevant futures
exchanges, if necessary, due to regulatory concerns that may arise in
connection with the Commodity Futures Contracts.
2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with section 6 of the Act \18\ in general, and furthers the objectives
of section 6(b)(5) \19\ in particular in that it is designed to prevent
fraudulent and manipulative acts and practices, to promote just and
equitable principles of trade, to remove impediments to and perfect the
mechanism for a free and open market and a national market system, and,
in general, to protect investors and the public interest.
---------------------------------------------------------------------------
\18\ 15 U.S.C. 78f(b).
\19\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
The Exchange did not receive any written comments on the proposed
rule change.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Within 35 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which 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.
The Commission is considering granting accelerated approval of the
proposed rule change at the end of a 15-day comment period.\20\
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\20\ Amex requested accelerated approval of this proposed rule
change prior to the 30th day after the date of publication of the
notice of the filing thereof.
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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-2007-53 on the subject line.
[[Page 66002]]
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-2007-53. 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-2007-53 and should be
submitted on or before December 11, 2007.
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\21\ 17 CFR 200.30-3(a)(12).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\21\
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7-22909 Filed 11-23-07; 8:45 am]
BILLING CODE 8011-01-P
