Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Order Granting Accelerated Approval of a Proposed Rule Change to List and Trade Shares of the iShares S&P GSCI Commodity-Indexed Trust, 71178-71184 [E7-24194]
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Federal Register / Vol. 72, No. 240 / Friday, December 14, 2007 / Notices
notification time. The Commission
hereby waives the five-day notice
period. As explained above, it was
necessary for Nasdaq to file its proposed
rule change expeditiously so as to avoid
any disruption in service to its
members.
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 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:
copying at Nasdaq’s principal office and
on Nasdaq’s Web site at https://
nasdaq.complinet.com/nasdaq/display/
display.html?rbid=1705&element_id=4.
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
submission should refer to File No. SR–
NASDAQ–2007–086 and should be
submitted on or before January 4, 2008.
For the Commission by the Division of
Trading and Markets pursuant to delegated
authority.16
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–24201 Filed 12–12–07; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
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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
No. SR–NASDAQ–2007–086 on the
subject line.
[Release No. 34–56932; File No. SR–
NYSEArca–2007–112]
Paper Comments
• Send paper comments in triplicate
to Nancy M. Morris, Secretary,
Securities and Exchange Commission,
Station Place, 100 F Street, NE.,
Washington, DC 20549–1090.
All submissions should refer to File No.
NASDAQ–2007–086. 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, 450 Fifth Street, NW.,
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
December 7, 2007
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Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing and Order
Granting Accelerated Approval of a
Proposed Rule Change to List and
Trade Shares of the iShares S&P GSCI
Commodity-Indexed Trust
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 December
7, 2007, NYSE Arca, Inc. (‘‘NYSE Arca’’
or ‘‘Exchange’’) filed with the Securities
and Exchange Commission
(‘‘Commission’’) the proposed rule
change as described in Items I and II
below, which Items have been
substantially prepared by the Exchange.
This order provides notice of the
proposed rule change, and approves the
proposed rule change on an accelerated
basis.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
NYSE Arca, through its wholly owned
subsidiary NYSE Arca Equities, Inc.
(‘‘NYSE Arca Equities’’), proposes to list
and trade under NYSE Arca Equities
Rule 8.203 shares (‘‘Shares’’) of the
iShares S&P GSCITM CommodityIndexed Trust (‘‘Trust’’).3 The Trust
16 17
CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
3 iShares is a registered trademark of Barclays
Global Investors, N.A. ‘‘S&P GSCI’’ is a trademark
of Standard & Poor’s (‘‘S&P’’ or ‘‘Index Sponsor’’),
a division of The McGraw-Hill Companies, Inc.
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issues units of beneficial interest (i.e.,
the Shares) representing fractional
undivided beneficial interests in the net
assets of the Trust. The text of the
proposed rule change is available on the
Exchange’s Web site at https://
www.nyse.com, at the Exchange’s
principal office, and at the
Commission’s Public Reference Room.
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 III 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
The Exchange proposes to list and
trade the Shares under NYSE Arca
Equities Rule 8.203. The objective of the
Trust is for the performance of the
Shares to correspond generally to the
performance of the S&P GSCITM Total
Return Index, before payment of the
Trust’s and the Investing Pool’s (as
described below) expenses and
liabilities (the ‘‘Total Return Index’’).
The Trust is currently listed on the New
York Stock Exchange LLC (‘‘NYSE’’) and
trades on NYSE Arca pursuant to
unlisted trading privileges. Following
Commission approval of this proposed
rule change, the Trust will transfer
listing from NYSE to NYSE Arca,4 and
will not trade on NYSE. The Exchange
represents that the Shares satisfy the
requirements of NYSE Arca Equities
Rule 8.203 and thereby qualify for
listing on the Exchange.
The commodity component of the
Total Return Index is comprised of a
group of commodities included in the
S&P GSCITM Commodity Index (‘‘S&P
GSCITM’’ or ‘‘Index’’), which is a
production-weighted index of the prices
4 See Securities Exchange Act Release No. 54013
(June 16, 2006), 71 FR 36372 (June 26, 2006) (SR–
NYSE–2006–17) (‘‘NYSE Order’’) (approving listing
and trading of the Shares on NYSE); Securities
Exchange Act Release No. 54025 (June 21, 2006), 71
FR 36856 (June 28, 2006) (SR–NYSEArca–2006–12)
(approving, among other things, the trading of the
Shares on NYSE Arca pursuant to unlisted trading
privileges).
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Federal Register / Vol. 72, No. 240 / Friday, December 14, 2007 / Notices
of a diversified group of futures
contracts on physical commodities. The
Total Return Index reflects the return of
the S&P GSCITM Excess Return Index
(‘‘S&P GSCITM-ER’’), described below,
together with the return on specified
U.S. Treasury securities that are deemed
to have been held to collateralize a
hypothetical long position in the futures
contracts comprising the S&P GSCITMER.
The S&P GSCITM-ER is calculated
based on the same commodities as those
in the Total Return Index and S&P
GSCITM Index and reflects the returns
that are potentially available through a
rolling uncollateralized investment in
the contracts comprising the S&P
GSCITM Index. The S&P GSCITM-ER
does not reflect the return on U.S.
Treasury securities used to collateralize
positions in futures contracts
comprising that index.5
The Trust will attempt to approximate
the Total Return Index by holding
interests in an Investing Pool (described
below) which, in turn, holds futures
contracts on the S&P GSCITM-ER
(‘‘CERFs’’), together with cash or other
short-term securities used to
collateralize the futures positions.
rmajette on PROD1PC64 with NOTICES
a. The Trust and Investing Pool
The Trust is a Delaware statutory trust
that issues units of beneficial interest
called Shares, representing fractional
undivided beneficial interests in its net
assets. Substantially all of the assets of
the Trust consist of holdings of the
limited liability company interests of a
specified commodity pool (‘‘Investing
Pool Interests’’), which are the only
securities in which the Trust may
invest. Specifically, the Trust holds
interests in the iShares S&P GSCITM
Commodity-Indexed Investing Pool
(‘‘Investing Pool’’).
The Investing Pool holds long
positions in futures contracts on the
S&P GSCITM-ER and will post margin in
the form of cash or short-term securities
to collateralize these futures positions.
Trading on the Chicago Mercantile
Exchange (‘‘CME’’) Globex electronic
5 S&P acquired the S&P GSCITM (formerly known
as the ‘‘Goldman Sachs Commodity Index’’), the
S&P GSCITM-ER and the Total Return Index from
Goldman Sachs & Co., the prior Index Sponsor,
effective May 2007. The Sponsor, defined infra,
filed Form S–1 for iShares GSCITM CommodityIndexed Trust on July 22, 2005. See Registration No.
333–126810 and Registration No. 333–142259
(Trust prospectus dated May 11, 2007). These
filings are referred to collectively herein as the
‘‘Registration Statement.’’ According to the
Registration Statement, S&P has represented that it
will not modify the determination methodology for
the S&P GSCITM Total Return Index from that
existing on the date of transfer (May 9, 2007) for at
least one year. Thereafter, there can be no assurance
as to whether the methodology will be changed.
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15:31 Dec 13, 2007
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trading platform of CERFs based on the
GSCI–ER Index commenced effective
March 12, 2006 for trade date March 13,
2006.
The Trust and the Investing Pool are
each commodity pools managed by a
commodity pool operator registered as
such with the Commodity Futures
Trading Commission (‘‘CFTC’’).
According to the Registration Statement,
neither the Trust nor the Investing Pool
is an investment company registered
under the Investment Company Act of
1940.6
b. The Sponsor and Trustee
The sponsor of the Trust (‘‘Sponsor’’)
is Barclays Global Investors
International, Inc. The Sponsor’s
primary business function is to act as
Sponsor and commodity pool operator
of the Trust and Manager of the
Investing Pool, as discussed below.7 The
Advisor to the Investing Pool is Barclays
Global Fund Advisors, a California
corporation and an indirect subsidiary
of Barclays Bank PLC.
Barclays Global Investors
International, Inc. also serves as the
Manager of the Investing Pool, in which
capacity it serves as commodity pool
operator of the Investing Pool and is
responsible for its administration. The
Manager arranges for and pays the costs
of organizing the Investing Pool. The
Manager has delegated some of its
responsibilities for administering the
Investing Pool to the Administrator,
State Street Bank and Trust Company
which, in turn, has employed the
Investing Pool Administrator and the
Tax Administrator (PriceWaterhouse
Coopers) to maintain various records on
behalf of the Investing Pool.
The trustee of the Trust (‘‘Trustee’’) is
Barclays Global Investors, N.A., a
national banking association affiliated
with the Sponsor. The Trustee is
responsible for the day-to-day
administration of the Trust.8 Pursuant to
NYSE Arca Equities Rule 8.203(e)(4)(ii),
a change in the Trustee would require
prior notice to and approval by the
Exchange. The Exchange notes that both
the Sponsor and the Trustee will
establish firewall procedures with
respect to personnel who have access to
information concerning changes and
adjustments to components of the Trust
to prevent the use and dissemination of
material non-public information.
c. The Investing Pool
The Investing Pool holds long
positions in CERFs, which are cashsettled futures contracts listed on the
CME that have a term of approximately
five years after listing and whose
settlement at expiration is based on the
value of the S&P GSCITM–ER at that
time. The Investing Pool also earns
interest on the assets used to
collateralize its holdings of CERFs.
A detailed description of the Trust,
the Investing Pool, characteristics and
calculation of the S&P GSCITM Total
Return Index, the S&P GSCITM Index,
and S&P GSCITM–ER, characteristics and
valuation of CERFs, computation of the
Trust’s net asset value, creation and
redemption procedures, and Trust fees
is included in the NYSE Order 9 and the
Registration Statement.10
d. The Index Committee and Index
Advisory Panel
The Index Sponsor has established an
Index Committee to oversee the daily
management and operations of the S&P
GSCITM, and is responsible for all
analytical methods and calculations.
The Index Committee is comprised of
three full-time professional members of
S&P’s staff and two members of
Goldman Sachs Group. At each meeting,
the Index Committee reviews any issues
that may affect index constituents,
statistics comparing the composition of
the indices to the market, commodities
that are being considered as candidates
for addition to an index, and any
significant market events. In addition,
the Index Committee may revise index
policy covering rules for selecting
commodities, or other matters.
S&P considers information about
changes to its indices and related
matters to be potentially market moving
and material. Therefore, all Index
Committee discussions are
confidential.11
In addition, the Index Sponsor has
established an Index Advisory Panel to
assist it with the operation of the S&P
GSCITM. The principal purpose of the
Index Advisory Panel is to advise the
Index Sponsor with respect to, among
other things, the calculation of the S&P
GSCITM, the effectiveness of the S&P
9 See
6 15
U.S.C. 80a.
7 Barclays Global Investors International, Inc. is a
commodity pool operator registered with the CFTC.
8 Except as otherwise specifically noted, the
information provided by the Exchange in its
proposed rule change relating to the Trust and the
Shares, commodities markets, and related
information is based entirely on information
included in the Registration Statement.
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71179
supra at note 4.
supra at note 5.
11 The Exchange states that, in this instance, it
will apply Commentary .01(b)(1) of NYSE Arca
Equities Rule 5.2(j)(3) to the Shares. This provision
requires, among other things, that the Index
Committee implement and maintain, or be subject
to, procedures designed to prevent the use and
dissemination of material non-public information
regarding the Index.
10 See
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Federal Register / Vol. 72, No. 240 / Friday, December 14, 2007 / Notices
GSCITM as a measure of commodity
futures market performance and the
need for changes in the composition or
the methodology of the S&P GSCITM.
The Index Advisory Panel acts solely in
an advisory and consultative capacity.
All decisions with respect to the
composition, calculation and operation
of the S&P GSCITM are made by the
Index Committee.
The Index Advisory Panel generally
meets in October of each year. Prior to
the meeting, the Index Sponsor
determines the commodities to be
included in the S&P GSCITM for the
following calendar year and the
weighting factors for each commodity.
The Index Advisory Panel’s members
receive the proposed composition of the
S&P GSCITM in advance of the meeting
and discuss the composition at the
meeting. The Index Sponsor also
consults the Index Advisory Panel on
any other significant matters with
respect to the calculation and operation
of the S&P GSCITM. The Index Advisory
Panel may, if necessary or practicable,
meet at other times during the year as
issues arise that warrant its
consideration.
The contracts currently included in
the S&P GSCITM are all futures contracts
traded on the New York Mercantile
Exchange, Inc. (‘‘NYM’’), ICE Futures
(‘‘ICE’’) and its subsidiary, the New
York Board of Trade (‘‘NYBOT’’), the
Weight
8/13/07
Commodity
WTI Crude Oil .....................................
Brent Crude Oil ...................................
Natural Gas .........................................
Heating Oil ..........................................
Gas Oil ................................................
Copper .................................................
Chicago Wheat ....................................
Aluminum ............................................
Corn .....................................................
Live Cattle ...........................................
Gold .....................................................
Soybeans ............................................
Lean Hogs ...........................................
Kansas City Wheat .............................
RBOB Gas ..........................................
Nickel ...................................................
Zinc ......................................................
Sugar ...................................................
Cotton ..................................................
Coffee ..................................................
Lead ....................................................
Feeder Cattle ......................................
Silver ...................................................
Cocoa ..................................................
ADTV
(contracts)
36.03
14.61
7.16
5.79
5.17
4.06
3.84
3.01
2.96
2.61
2.00
1.98
1.50
1.31
1.28
1.11
1.10
1.03
0.91
0.72
0.70
0.63
0.27
0.21
203,372
237,534
112,312
71,276
89,636
14,894
76,630
155,886
248,132
36,530
90,592
122,705
30,698
17,476
80,211
14,543
48,483
26,452
26,452
20,664
16,998
4,416
24,458
13,582
CME, the Chicago Board of Trade
(‘‘CBT’’), the Coffee, Sugar & Cocoa
Exchange, Inc. (‘‘CSC’’), the Kansas City
Board of Trade (‘‘KBT’’), the COMEX
Division of the New York Mercantile
Exchange, Inc. (‘‘CMX’’) and the London
Metal Exchange (‘‘LME’’).
The futures contracts currently
included in the S&P GSCITM, their
percentage dollar weights (as of August
13, 2007), their market symbols and the
exchanges on which they are traded,
trading hours (New York Time), Average
Daily Trading Volume (‘‘ADTV’’) for
January 2007 through July, 2007, and
units per contract are as follows:
Market
symbol
Trading
facility
CL ................
LCO .............
NG ...............
HO ...............
LGO ............
MCU ............
W .................
MAL .............
C .................
LC ................
GC ...............
S ..................
LH ................
KW ..............
RB ...............
MNI ..............
MZN ............
SB ...............
CT ...............
KC ...............
MPB ............
FC ...............
SI .................
CC ...............
NYM ............
ICE ..............
NYM ............
NYM ............
ICE ..............
NYM ............
CBT .............
LME .............
CBT .............
CME ............
NYM ............
CBT .............
CME ............
KBT .............
NYM ............
LME .............
LME .............
NYBOT ........
NYBOT ........
NYBOT ........
LME .............
CME ............
NYM ............
NYBOT ........
Units
1,000 index points.
1,000 barrels.
42,000 U.S. Gallons.
42,000 U.S. Gallons.
100 metric tons.
25,000 lbs.
5,000 bushels.
25 metric tons.
5,000 bushels.
40,000 lbs.
100 Troy ounces.
5,000 bushels.
40,000 lbs.
5,000 bushels.
50,000 X PADD.
6 metric tons.
25 metric tons.
112,000 lbs.
50,000 lbs.
37,500 lbs.
25 metric tons.
50,000 lbs.
5,000 troy ounces.
10 metric tons.
The hours of trading (New York Time)
of the commodities in the charts above
are as follows:
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Commodity
Trading facility
Crude Oil ....................................................................................................................................
Brent Crude Oil ..........................................................................................................................
Natural Gas ................................................................................................................................
Heating Oil ..................................................................................................................................
RBOB Gasoline ..........................................................................................................................
Gas Oil .......................................................................................................................................
Live Cattle ..................................................................................................................................
Wheat .........................................................................................................................................
Aluminum ....................................................................................................................................
Corn ............................................................................................................................................
Copper ........................................................................................................................................
Soybeans ....................................................................................................................................
Lean Hogs ..................................................................................................................................
Gold ............................................................................................................................................
Sugar ..........................................................................................................................................
Cotton .........................................................................................................................................
Red Wheat .................................................................................................................................
Coffee .........................................................................................................................................
NYM .......................
ICE .........................
NYM .......................
NYM .......................
NYM .......................
ICE .........................
CME .......................
CBT ........................
LME .......................
CBT ........................
LME .......................
CBT ........................
CME .......................
CMX .......................
CSC .......................
NYC .......................
KBT ........................
CSC .......................
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E:\FR\FM\14DEN1.SGM
14DEN1
Trading hours
(NY time)
10 a.m.–2:30 p.m.
8 p.m.–5 p.m. (next day).
10 a.m.–2:30 p.m.
10:05 a.m.–2:30 p.m.
10:05 a.m.–2:30 p.m.
8 p.m.–5 p.m. (next day).
10:05 a.m.–2 p.m.
10:30 a.m.–2:15 p.m.
6:55 a.m.–12:00 p.m.
10:30 a.m.–2:15 p.m.
7 a.m.–12 p.m.
10:30 a.m.–2:15 p.m.
9:10 a.m.–1 p.m.
8:20 a.m.–1:30 p.m.
9 a.m.–12 p.m.
10:30 a.m.–2:15 p.m.
10:30 a.m.–2:15 p.m.
9:15 a.m.–12:30 p.m.
Federal Register / Vol. 72, No. 240 / Friday, December 14, 2007 / Notices
Commodity
Trading facility
Standard Lead ............................................................................................................................
Feeder Cattle ..............................................................................................................................
Zinc .............................................................................................................................................
Primary Nickel ............................................................................................................................
Cocoa .........................................................................................................................................
Silver ...........................................................................................................................................
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e. Dissemination of Information Relating
to the Shares
The Web site for the Trust (https://
www.ishares.com), which is publicly
accessible at no charge, contains the
following information: (a) The prior
Business Day’s 12 net asset value
(‘‘NAV’’), calculated on a per Share
basis, and the reported closing price; (b)
the mid-point of the bid-ask price 13 in
relation to the NAV as of the time the
NAV is calculated (the ‘‘Bid-Ask
Price’’); (c) calculation of the premium
or discount of such price against such
NAV; (d) data in chart form displaying
the frequency distribution of discounts
and premiums of the Bid-Ask Price
against the NAV, within appropriate
ranges for each of the four previous
calendar quarters; (e) the prospectus; (f)
the holdings of the Trust, including
CERFs, cash and Treasury securities; (g)
the Basket Amount;14 and (h) other
applicable quantitative information.
The NAV for the Shares is calculated
and disseminated daily. In addition,
during the NYSE Arca Core Trading
Session (i.e., 9:30 a.m. to 4:15 p.m., New
York Time) for the Trust, one or more
major market data vendors disseminates
information with respect to the
Indicative Intra-day Value (as discussed
below), recent NAV, and Shares
outstanding on a daily basis. The NAV
for each Business Day on which the
NYSE is open for regular trading is
distributed through major market data
vendors and will be published online at
https://www.ishares.com, or any
successor thereto. The Trust updates the
NAV as soon as practicable after each
subsequent NAV is calculated.
The Sponsor for the Trust (Barclays
Global Investors International, Inc.) has
represented to the Exchange that the
12 The Trust’s Registration Statement defines
‘‘Business Day’’ as any day (1) on which none of
the following occurs: (a) The NYSE is closed for
regular trading, (b) the CME is closed for regular
trading or (c) the Federal Reserve transfer system is
closed for cash wire transfers; or (2) the Trustee
determines that it is able to conduct business.
13 The bid-ask price of Shares is determined using
the highest bid and lowest offer as of the time of
calculation of the NAV.
14 The Basket Amount is the amount of CERFs
and Short-Term Securities or cash that an
Authorized Participant must deliver in exchange for
one Basket.
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15:31 Dec 13, 2007
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LME
CME
LME
LME
CSC
CMX
Trustee for the Trust will make the NAV
on a per Share basis available to all
market participants at the same time.
At present, official calculation by the
Index Sponsor of the value of S&P
GSCITM Index is performed
continuously and is updated on Reuters
at least every 15 seconds during the
NYSE Arca Core Trading Session and
during business hours on each Business
Day on which the offices of the Index
Sponsor in New York City are open for
business. In the event that the Exchange
is open for business on a day that is not
an S&P GSCITM Business Day, the
Exchange will not permit trading of the
Shares on that day.
In addition, values updated at least
every 15 seconds are disseminated on
Reuters for the Total Return Index
during the NYSE Arca Core Trading
Session. Daily settlement values for the
S&P GSCITM, the Total Return Index and
S&P GSCITM-ER are also widely
disseminated.
If the relevant trading facility fails to
make a daily contract reference price
available or publishes a daily contract
reference price (as discussed in the
Registration Statement and the NYSE
Order) that, in the reasonable judgment
of the Index Sponsor, reflects manifest
error, the relevant calculation will be
delayed until the price is made available
or corrected; provided, that, if the price
is not made available or corrected by 4
p.m. New York Time, the Index Sponsor
may, if it deems that action to be
appropriate under the circumstances,
determine the appropriate daily contract
reference price for the applicable futures
contract in its reasonable judgment for
purposes of the relevant calculation.
Various data vendors and news
publications publish futures prices and
data. Futures quotes and last sale
information for the commodities
underlying the Index are widely
disseminated through a variety of
market data vendors worldwide,
including Bloomberg and Reuters. In
addition, complete real-time data for
such futures is available by subscription
from Reuters and Bloomberg. The
futures exchanges on which the
underlying commodities and CERFs
trade also provide delayed futures
information on current and past trading
PO 00000
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.......................
.......................
.......................
.......................
.......................
.......................
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Trading hours
(NY time)
7:05 a.m.–11:50 a.m.
10:05 a.m.–2 p.m.
7:10 a.m.–11:55 a.m.
7:10 a.m.–11:55 a.m.
8 a.m.–11:50 a.m.
8:25 a.m.–1:25 p.m.
sessions and market news generally free
of charge on their respective Web sites.
The specific contract specifications for
the futures contracts are also available
from the futures exchanges on their Web
sites as well as other financial
informational sources.
f. Indicative Intra-Day Value
In order to provide updated
information relating to the Trust for use
by investors, professionals, and other
persons, one or more major market data
vendors disseminate an updated
Indicative Intra-day Value (‘‘IIV’’) on a
per Share basis. The IIV is disseminated
at least every 15 seconds from 9:30 a.m.
to 4:15 p.m., New York Time. The IIV
is calculated based on the cash and
collateral in a Basket Amount 15 divided
by 50,000, adjusted to reflect the market
value of the investments held by the
Investing Pool, i.e. CERFs. The IIV does
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 in the NYSE Arca Core
Trading Session. The value of a Share
may accordingly be influenced by nonconcurrent trading hours between NYSE
Arca and the various futures exchanges
on which the futures contracts based on
the Index commodities are traded. The
table above lists the trading hours for
each of the Index commodities
underlying the futures contracts.
When the market for futures trading
for each of the relevant Index
commodities is open, the IIV can be
expected to closely approximate the
value per Share of the Basket Amount.
However, during the NYSE Arca Core
Trading Session 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. IIV
on a per Share basis disseminated
during the NYSE Arca Core Trading
Session should not be viewed as a real
time update of the NAV, which is
calculated only once a day.
15 The Basket Amount is the amount of CERFs
and Short-Term Securities or cash that an
Authorized Participant must deliver in exchange for
one Basket.
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g. Other Characteristics of the Shares
General Information. The trading
hours for the Shares on the Exchange
are the same as those set forth in NYSE
Arca Equities Rule 7.34 (Opening, Core
Trading, and Late Trading Sessions, 4
a.m. to 8 p.m., New York Time). The
minimum trading increment for Shares
on the Exchange is $0.01.
Initial Listing Criteria. NYSE Arca
Equities Rule 8.203(e)(1) requires a
minimum number of Shares
outstanding, as determined by the
Exchange. For the purpose of this
product, the minimum number is
100,000 Shares.
Continued Listing Criteria. The Shares
will be subject to the continued listing
criteria of NYSE Arca Equities Rule
8.203(e)(2). Under the applicable
continued listing criteria, the Shares
may be delisted as follows: (1)
Following the initial 12-month period
beginning upon the commencement of
trading of the Shares, there are fewer
than 50 record and/or beneficial holders
of the Shares for 30 or more consecutive
trading days; (2) the value of the Total
Return Index ceases to be calculated by
or available from a major market data
vendor on at least a 15-second basis
from a source unaffiliated with the
Sponsor, the Trust or the Trustee; (3) the
NAV is no longer disseminated to all
market participants at the same time; (4)
the IIV ceases to be available on at least
a 15-second delayed basis from a major
market data vendor; or (5) such other
event shall occur or condition exist that,
in the opinion of the Exchange, makes
further dealings on the Exchange
inadvisable. The Exchange will remove
Shares from listing and trading upon
termination of the Trust.
rmajette on PROD1PC64 with NOTICES
h. Trading Rules
The Exchange deems the Shares to be
equity securities, thus rendering trading
in the Shares subject to the Exchange’s
existing rules governing the trading of
equity securities. Trading in the Shares
on the Exchange occurs in accordance
with NYSE Arca Equities Rule 7.34(a).
The Exchange has appropriate rules to
facilitate transactions in the Shares
during this time.
Further, NYSE Arca Equities Rules
8.203(g)–(i) set forth certain restrictions
on equity trading permit holders (‘‘ETP
Holders’’) acting as registered Market
Makers 16 in Commodity Index Trust
Shares to facilitate surveillance. NYSE
16 The term ‘‘Market Maker’’ is defined in NYSE
Arca Equities Rule 1.1 as an ETP Holder that acts
as a Market Maker pursuant to NYSE Arca Equities
Rule 7. Market Makers are required to be registered
with the Exchange pursuant to NYSE Arca Equities
Rule 7.20 and have limitations on dealings as set
forth in NYSE Arca Equities Rule 7.26.
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Arca Equities Rule 8.203(h) requires that
the ETP Holder acting as a registered
Market Maker in the Shares provide the
Exchange with information relating to
its trading in the applicable physical
commodities included in, or options,
futures or options on futures on, the
applicable Index or any other
derivatives based on the Index. NYSE
Arca Equities Rule 8.203(i) prohibits the
ETP Holder acting as a registered market
maker in the Shares from using any
material nonpublic information received
from any person associated with an ETP
Holder or employee of such person
regarding trading by such person or
employee in the applicable physical
commodities included in, or options,
futures or options on futures on, the
Index or any other derivatives based on
the Index (including the Shares). In
addition, as stated above, NYSE Arca
Equities Rule 8.203(g) prohibits the ETP
Holder acting as a registered Market
Maker in the Shares from being
affiliated with a Market Maker in the
applicable physical commodities
included in, or options, futures or
options on futures on, the Index or any
other derivatives based on the Index
unless adequate information barriers are
in place, as provided in NYSE Arca
Equities Rule 7.26.
With respect to trading halts, the
Exchange may consider all relevant
factors in exercising its discretion to
halt or suspend trading in the Shares.
Trading on the Exchange in the Shares
may be halted because of market
conditions or for reasons that, in the
view of the Exchange, make trading in
the Shares inadvisable. These may
include: (1) The extent to which trading
is not occurring in CERFs or the futures
contracts included in the Index; or (2)
whether other unusual conditions or
circumstances detrimental to the
maintenance of a fair and orderly
market are present. In addition, trading
in Shares will be subject to trading halts
caused by extraordinary market
volatility pursuant to the Exchange’s
‘‘circuit breaker’’ rule. 17 If the value of
the Total Return Index or the IIV is not
being disseminated on at least a 15second basis during the hours the
Shares trade on the Exchange, the
Exchange may halt trading during the
day in which the interruption to the
dissemination of the IIV or the Index
value occurs. If the interruption to the
dissemination of the IIV or the Index
value persists past the trading day in
which it occurred, the Exchange will
halt trading no later than the beginning
17 See
PO 00000
NYSE ARCA Equities Rule 7.12.
Frm 00071
Fmt 4703
Sfmt 4703
of the trading day following the
interruption.
The Exchange has regulatory
jurisdiction over its ETP Holders and
any person or entity controlling an ETP
Holder. The Exchange also has
regulatory jurisdiction over a subsidiary
or affiliate of an ETP Holder that is in
the securities business. A subsidiary or
affiliate of an ETP Holder that does
business only in commodities or futures
contracts would not be subject to
Exchange jurisdiction, but the Exchange
could obtain certain information
regarding the activities of such
subsidiary or affiliate through
surveillance sharing agreements with
regulatory organizations of which such
subsidiary or affiliate is a member.
i. Surveillance
The Exchange intends to utilize its
existing surveillance procedures
applicable to derivative products to
monitor trading in the Shares. The
Exchange represents that these
procedures are adequate to properly
monitor Exchange trading of the Shares
in all trading sessions and to deter and
detect violations of Exchange rules.
The Exchange’s current trading
surveillances focus on detecting
securities trading outside their normal
patterns. When such situations are
detected, surveillance analysis follows
and investigations are opened, where
appropriate, to review the behavior of
all relevant parties for all relevant
trading violations. The Exchange is able
to obtain information regarding trading
in the Shares, the physical commodities
included in, or options, futures or
options on futures on, an index
underlying an issue of Commodity
Index Trust Shares or any other
derivatives based on such index,
through ETP Holders, in connection
with such ETP Holders’ proprietary or
customer trades which they effect on
any relevant market. With regard to the
Index components, the Exchange can
obtain market surveillance information,
including customer identity
information, with respect to transactions
occurring on NYM, KBT, ICE and LME,
pursuant to its comprehensive
information sharing agreements with
each of those exchanges. All of the other
trading venues on which current Index
components are traded are members of
the Intermarket Surveillance Group
(‘‘ISG’’) and the Exchange therefore has
access to all relevant trading
information with respect to those
contracts without any further action
being required on the part of the
Exchange. A list of ISG members and
affiliate members is available at https://
www.isgportal.com.
E:\FR\FM\14DEN1.SGM
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Federal Register / Vol. 72, No. 240 / Friday, December 14, 2007 / Notices
in the Registration Statement. The
Information Bulletin will also reference
the fact that there is no regulated source
of last sale information regarding
physical commodities, and will discuss
the relevant regulatory jurisdiction over
the trading of physical commodities or
the futures contracts on which the value
of the Shares is based.
j. Information Bulletin
Prior to the commencement of
trading, the Exchange will inform its
ETP Holders in an Information Bulletin
of the special characteristics and risks
associated with trading the Shares,
including risks inherent with trading
the Shares during the Opening and Late
Trading Sessions and suitability
recommendation requirements.
Specifically, the Information Bulletin
will discuss the following: (1) The
procedures for purchases and
redemptions of Shares in Baskets; (2)
NYSE Arca Equities Rule 9.2(a),18 which
imposes a duty of due diligence on its
ETP Holders to learn the essential facts
relating to every customer prior to
trading the Shares; (3) how information
regarding the IIV is disseminated; (4) the
risks involved in trading the Shares
during the Opening and Late Trading
Sessions when an updated IIV will not
be calculated or publicly disseminated;
(5) the requirement that ETP Holders
deliver a prospectus to investors
purchasing newly issued Shares prior to
or concurrently with the confirmation of
a transaction; and (6) trading
information. For example, the
Information Bulletin will advise ETP
Holders, prior to the commencement of
trading, of the prospectus delivery
requirements applicable to the Trust.
The Exchange notes that investors
purchasing Shares directly from the
Trust (by delivery of the Basket
Amount) will receive a prospectus. ETP
Holders purchasing Shares from the
Trust for resale to investors will deliver
a prospectus to such investors.
In addition, the Information Bulletin
will reference that the Trust is subject
to various fees and expenses described
rmajette on PROD1PC64 with NOTICES
A new component may be added to
the Index if it does not constitute more
than 10% of the weight of the Index or,
if it constitutes more than 10% of the
weight of the Index, the principal
trading market for such component
either (a) is a member of ISG or (b) has
in effect a comprehensive surveillance
sharing agreement with the Exchange.
2. Statutory Basis
18 NYSE Arca Equities Rule 9.2(a) (‘‘Diligence as
to Accounts’’) provides that ETP Holders, before
recommending a transaction, must have reasonable
grounds to believe that the recommendation is
suitable for the customer based on any facts
disclosed by the customer as to his other security
holdings and as to his financial situation and needs.
Further, the rule provides, with a limited exception,
that prior to the execution of a transaction
recommended to a non-institutional customer, the
ETP Holders shall make reasonable efforts to obtain
information concerning the customer’s financial
status, tax status, investment objectives, and any
other information that they believe would be useful
to make a recommendation. See Securities
Exchange Act Release No. 54026 (June 21, 2006), 71
FR 36850 (June 28, 2006) (SR–PCX–2005–115).
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The basis under the Exchange Act for
this proposed rule change is the
requirement under Section 6(b)(5)19 that
a national securities exchange have
rules that are designed to prevent
fraudulent and manipulative acts and
practices, to promote just and equitable
principles of trade, to foster cooperation
and coordination with persons engaged
in facilitating transactions in securities,
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
The Exchange does not believe that
the proposed rule change will impose
any burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received From
Members, Participants, or Others
The Exchange has neither solicited
nor received written comments on the
proposed rule change.
III. 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–NYSEArca–2007–112 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.
19 15
PO 00000
U.S.C. 78f(b)(5).
Frm 00072
Fmt 4703
Sfmt 4703
71183
All submissions should refer to File
Number SR–NYSEArca–2007–112. 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–NYSEArca–2007–112 and
should be submitted on or before
January 4, 2008.
IV. Commission’s Findings and Order
Granting Accelerated Approval of the
Proposed Rule Change
After careful consideration, the
Commission finds that the proposed
rule change is consistent with the
requirements of the Act and the rules
and regulations thereunder applicable to
a national securities exchange.20 In
particular, the Commission finds that
the proposed rule change is consistent
with Section 6(b)(5) of the Act,21 which
requires that the rules of a national
securities exchange be designed, among
other things, to promote just and
equitable principles of trade, to remove
impediments to and perfect the
mechanism of a free and open market
and a national market system, and, in
general, to protect investors and the
public interest. The Commission also
finds that the proposal is consistent
with Section 11A(a)(1)(C)(iii) of the
20 In approving this rule change, the Commission
notes that it has considered the proposed rule’s
impact on efficiency, competition, and capital
formation. See 15 U.S.C. 78c(f).
21 15 U.S.C. 78f(b)(5).
E:\FR\FM\14DEN1.SGM
14DEN1
rmajette on PROD1PC64 with NOTICES
71184
Federal Register / Vol. 72, No. 240 / Friday, December 14, 2007 / Notices
Act,22 which sets forth Congress’ finding
that it is in the public interest and
appropriate for the protection of
investors and the maintenance of fair
and orderly markets to assure the
availability to brokers, dealers, and
investors of information with respect to
quotations for and transactions in
securities.
As described above, the Exchange
represents that futures prices and data,
including quotes and last-sale
information for the commodities
underlying the Index, are widely
disseminated through a variety of
market data vendors, including
Bloomberg and Reuters. The Exchange
also represents that complete real-time
data on such futures is available by
subscription, and the relevant futures
exchanges generally provide delayed
futures information on current and past
trading sessions and market news free of
charge on their respective Web sites.
Additionally, the specific contract
specifications for the futures contracts
are available from the futures exchanges
on their Web sites as well as other
financial informational sources. Further,
the Trust’s Web site, which is accessible
for no charge, contains the following
information: (a) The prior business day’s
NAV on a per Share basis and the
reported closing price; (b) the Bid-Ask
Price; (c) calculation of the premium or
discount of such price against such
NAV; (d) data in chart form displaying
the frequency distribution of discounts
and premiums of the Bid-Ask Price
against the NAV, within appropriate
ranges for each of the four previous
calendar quarters; (e) the prospectus; (f)
the holdings of the Trust, including
CERFs, cash and Treasury securities; (g)
the Basket Amount, and (h) other
applicable quantitative information.
The Commission believes that the
proposed rule change is reasonably
designed to promote fair disclosure of
information that may be necessary to
appropriately price the Shares. The
NAV per Share is calculated daily, and
the Sponsor has represented that the
Trustee will make the NAV on a per
Share basis available to all market
participants at the same time. In
addition, the Exchange represents that
the Web site disclosure of the portfolio
composition of the Trust will be made
to all market participants at the same
time. Further, as described above, NYSE
Arca Equities Rules 8.203(g)–(i) set forth
certain restrictions on ETP Holders
acting as registered Market Makers in
Commodity Index Trust Shares.
The Commission also believes that the
Exchange’s trading halt rules are
22 15
U.S.C. 78k–1(a)(1)(C)(iii).
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15:31 Dec 13, 2007
Jkt 214001
reasonably designed to prevent trading
in the Shares when transparency is
impaired. Trading in the Shares would
be subject to trading halts caused by
extraordinary market volatility pursuant
to the Exchange’s ‘‘circuit breaker’’ rule,
NYSE Arca Equities Rule 7.12. In
exercising its discretion to halt or
suspend trading in the Shares, the
Exchange may consider factors such as
the extent to which trading is not
occurring in CERFs or the futures
contracts included in the Index or
whether other unusual conditions or
circumstances detrimental to the
maintenance of a fair and orderly
market are present. If the value of the
Total Return Index or the IIV is not
being disseminated on at least a 15second basis during the hours the
Shares trade on the Exchange, the
Exchange may halt trading during the
day in which the interruption to the
dissemination of the IIV or the Index
value occurs. If the interruption to the
dissemination of the IIV or the Index
value persists past the trading day in
which it occurred, the Exchange will
halt trading no later than the beginning
of the trading day following the
interruption.
The Commission further believes that
the trading rules and procedures to
which the Fund Units will be subject
pursuant to this proposal are consistent
with the Act. The Exchange has
represented that the Shares are equity
securities subject to NYSE Arca’s rules
governing the trading of equity
securities.
In support of this proposal, the
Exchange has made the following
representations:
1. The Exchange’s surveillance
procedures are adequate to properly
monitor the trading of the Shares, and
to deter and detect violations of
Exchange rules. In addition, the
Exchange is able to obtain information
regarding trading in the Shares, the
physical commodities included in, or
options, futures or options on futures
on, an index underlying an issue of
Commodity Index Trust Shares or any
other derivatives based on such index.
With regard to the Index components,
the Exchange can obtain market
surveillance information, including
customer identity information, with
respect to transactions occurring on
NYM, KBT, ICE and LME, pursuant to
its comprehensive information sharing
agreements with each of those
exchanges. All of the other trading
venues on which current Index
components are traded are members of
the ISG and the Exchange therefore has
access to all relevant trading
information with respect to those
PO 00000
Frm 00073
Fmt 4703
Sfmt 4703
contracts without any further action
being required on the part of the
Exchange.
2. Prior to the commencement of
trading, the Exchange will inform its
ETP Holders in an Information Bulletin
of the special characteristics and risks
associated with trading the Shares,
including risks inherent with trading
the Shares during the Opening and Late
Trading Sessions and suitability
recommendation requirements. The
Information Bulletin will also advise
ETP Holders, prior to the
commencement of trading, of the
prospectus delivery requirements
applicable to the Trust. The Information
Bulletin will also reference the fact that
there is no regulated source of last sale
information regarding physical
commodities, and will discuss the
relevant regulatory jurisdiction of
trading of physical commodities or the
futures contracts on which the value of
the Shares is based.
This approval order is based on the
Exchange’s representations.
The Commission finds good cause,
pursuant to Section 19(b)(2) of the
Act,23 for approving the proposed rule
change prior to the 30th day after the
date of publication of notice in the
Federal Register. The Commission has
previously approved both the listing
and trading of the Shares on NYSE and
the trading of the Shares on NYSE Arca
pursuant to unlisted trading
privileges,24 and does not believe that
allowing the product to be both listed
and traded on NYSE Arca raises novel
regulatory issues. Consequently, the
Commission believes that it is
appropriate to allow the switching of
listing markets without delay.
Accordingly, the Commission finds that
there is good cause, consistent with
Section 6(b)(5) of the Act,25 to approve
the proposal on an accelerated basis.
V. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) under the Act,26 that
the proposed rule change (SR–
NYSEArca–2007–112) be, and it hereby
is, approved on an accelerated basis.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.27
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7–24194 Filed 12–13–07; 8:45 am]
BILLING CODE 8011–01–P
23 15
U.S.C. 78s(b)(2).
supra at note 4.
25 15 U.S.C. 78f(b)(5).
26 15 U.S.C. 78s(b)(2).
27 17 CFR 200.30–3(a)(12).
24 See
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]]>Agencies
[Federal Register Volume 72, Number 240 (Friday, December 14, 2007)]
[Notices]
[Pages 71178-71184]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E7-24194]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-56932; File No. SR-NYSEArca-2007-112]
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
and Order Granting Accelerated Approval of a Proposed Rule Change to
List and Trade Shares of the iShares S&P GSCI Commodity-Indexed Trust
December 7, 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 December 7, 2007, NYSE Arca, Inc. (``NYSE Arca'' or ``Exchange'')
filed with the Securities and Exchange Commission (``Commission'') the
proposed rule change as described in Items I and II below, which Items
have been substantially prepared by the Exchange. This order provides
notice of the proposed rule change, and approves the proposed rule
change on an accelerated basis.
---------------------------------------------------------------------------
\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
NYSE Arca, through its wholly owned subsidiary NYSE Arca Equities,
Inc. (``NYSE Arca Equities''), proposes to list and trade under NYSE
Arca Equities Rule 8.203 shares (``Shares'') of the iShares[supreg] S&P
GSCI\TM\ Commodity-Indexed Trust (``Trust'').\3\ The Trust issues units
of beneficial interest (i.e., the Shares) representing fractional
undivided beneficial interests in the net assets of the Trust. The text
of the proposed rule change is available on the Exchange's Web site at
https://www.nyse.com, at the Exchange's principal office, and at the
Commission's Public Reference Room.
---------------------------------------------------------------------------
\3\ iShares[supreg] is a registered trademark of Barclays Global
Investors, N.A. ``S&P GSCI'' is a trademark of Standard & Poor's
(``S&P'' or ``Index Sponsor''), a division of The McGraw-Hill
Companies, Inc.
---------------------------------------------------------------------------
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 III 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
The Exchange proposes to list and trade the Shares under NYSE Arca
Equities Rule 8.203. The objective of the Trust is for the performance
of the Shares to correspond generally to the performance of the S&P
GSCI\TM\ Total Return Index, before payment of the Trust's and the
Investing Pool's (as described below) expenses and liabilities (the
``Total Return Index''). The Trust is currently listed on the New York
Stock Exchange LLC (``NYSE'') and trades on NYSE Arca pursuant to
unlisted trading privileges. Following Commission approval of this
proposed rule change, the Trust will transfer listing from NYSE to NYSE
Arca,\4\ and will not trade on NYSE. The Exchange represents that the
Shares satisfy the requirements of NYSE Arca Equities Rule 8.203 and
thereby qualify for listing on the Exchange.
---------------------------------------------------------------------------
\4\ See Securities Exchange Act Release No. 54013 (June 16,
2006), 71 FR 36372 (June 26, 2006) (SR-NYSE-2006-17) (``NYSE
Order'') (approving listing and trading of the Shares on NYSE);
Securities Exchange Act Release No. 54025 (June 21, 2006), 71 FR
36856 (June 28, 2006) (SR-NYSEArca-2006-12) (approving, among other
things, the trading of the Shares on NYSE Arca pursuant to unlisted
trading privileges).
---------------------------------------------------------------------------
The commodity component of the Total Return Index is comprised of a
group of commodities included in the S&P GSCI\TM\ Commodity Index
(``S&P GSCI\TM\'' or ``Index''), which is a production-weighted index
of the prices
[[Page 71179]]
of a diversified group of futures contracts on physical commodities.
The Total Return Index reflects the return of the S&P GSCI\TM\ Excess
Return Index (``S&P GSCI\TM\-ER''), described below, together with the
return on specified U.S. Treasury securities that are deemed to have
been held to collateralize a hypothetical long position in the futures
contracts comprising the S&P GSCI\TM\-ER.
The S&P GSCI\TM\-ER is calculated based on the same commodities as
those in the Total Return Index and S&P GSCI\TM\ Index and reflects the
returns that are potentially available through a rolling
uncollateralized investment in the contracts comprising the S&P
GSCI\TM\ Index. The S&P GSCI\TM\-ER does not reflect the return on U.S.
Treasury securities used to collateralize positions in futures
contracts comprising that index.\5\
---------------------------------------------------------------------------
\5\ S&P acquired the S&P GSCI\TM\ (formerly known as the
``Goldman Sachs Commodity Index''), the S&P GSCI\TM\-ER and the
Total Return Index from Goldman Sachs & Co., the prior Index
Sponsor, effective May 2007. The Sponsor, defined infra, filed Form
S-1 for iShares[supreg] GSCI\TM\ Commodity-Indexed Trust on July 22,
2005. See Registration No. 333-126810 and Registration No. 333-
142259 (Trust prospectus dated May 11, 2007). These filings are
referred to collectively herein as the ``Registration Statement.''
According to the Registration Statement, S&P has represented that it
will not modify the determination methodology for the S&P GSCI\TM\
Total Return Index from that existing on the date of transfer (May
9, 2007) for at least one year. Thereafter, there can be no
assurance as to whether the methodology will be changed.
---------------------------------------------------------------------------
The Trust will attempt to approximate the Total Return Index by
holding interests in an Investing Pool (described below) which, in
turn, holds futures contracts on the S&P GSCI\TM\-ER (``CERFs''),
together with cash or other short-term securities used to collateralize
the futures positions.
a. The Trust and Investing Pool
The Trust is a Delaware statutory trust that issues units of
beneficial interest called Shares, representing fractional undivided
beneficial interests in its net assets. Substantially all of the assets
of the Trust consist of holdings of the limited liability company
interests of a specified commodity pool (``Investing Pool Interests''),
which are the only securities in which the Trust may invest.
Specifically, the Trust holds interests in the iShares[supreg] S&P
GSCI\TM\ Commodity-Indexed Investing Pool (``Investing Pool'').
The Investing Pool holds long positions in futures contracts on the
S&P GSCI\TM\-ER and will post margin in the form of cash or short-term
securities to collateralize these futures positions. Trading on the
Chicago Mercantile Exchange (``CME'') Globex electronic trading
platform of CERFs based on the GSCI-ER Index commenced effective March
12, 2006 for trade date March 13, 2006.
The Trust and the Investing Pool are each commodity pools managed
by a commodity pool operator registered as such with the Commodity
Futures Trading Commission (``CFTC''). According to the Registration
Statement, neither the Trust nor the Investing Pool is an investment
company registered under the Investment Company Act of 1940.\6\
---------------------------------------------------------------------------
\6\ 15 U.S.C. 80a.
---------------------------------------------------------------------------
b. The Sponsor and Trustee
The sponsor of the Trust (``Sponsor'') is Barclays Global Investors
International, Inc. The Sponsor's primary business function is to act
as Sponsor and commodity pool operator of the Trust and Manager of the
Investing Pool, as discussed below.\7\ The Advisor to the Investing
Pool is Barclays Global Fund Advisors, a California corporation and an
indirect subsidiary of Barclays Bank PLC.
---------------------------------------------------------------------------
\7\ Barclays Global Investors International, Inc. is a commodity
pool operator registered with the CFTC.
---------------------------------------------------------------------------
Barclays Global Investors International, Inc. also serves as the
Manager of the Investing Pool, in which capacity it serves as commodity
pool operator of the Investing Pool and is responsible for its
administration. The Manager arranges for and pays the costs of
organizing the Investing Pool. The Manager has delegated some of its
responsibilities for administering the Investing Pool to the
Administrator, State Street Bank and Trust Company which, in turn, has
employed the Investing Pool Administrator and the Tax Administrator
(PriceWaterhouse Coopers) to maintain various records on behalf of the
Investing Pool.
The trustee of the Trust (``Trustee'') is Barclays Global
Investors, N.A., a national banking association affiliated with the
Sponsor. The Trustee is responsible for the day-to-day administration
of the Trust.\8\ Pursuant to NYSE Arca Equities Rule 8.203(e)(4)(ii), a
change in the Trustee would require prior notice to and approval by the
Exchange. The Exchange notes that both the Sponsor and the Trustee will
establish firewall procedures with respect to personnel who have access
to information concerning changes and adjustments to components of the
Trust to prevent the use and dissemination of material non-public
information.
---------------------------------------------------------------------------
\8\ Except as otherwise specifically noted, the information
provided by the Exchange in its proposed rule change relating to the
Trust and the Shares, commodities markets, and related information
is based entirely on information included in the Registration
Statement.
---------------------------------------------------------------------------
c. The Investing Pool
The Investing Pool holds long positions in CERFs, which are cash-
settled futures contracts listed on the CME that have a term of
approximately five years after listing and whose settlement at
expiration is based on the value of the S&P GSCITM-ER at
that time. The Investing Pool also earns interest on the assets used to
collateralize its holdings of CERFs.
A detailed description of the Trust, the Investing Pool,
characteristics and calculation of the S&P GSCITM Total
Return Index, the S&P GSCITM Index, and S&P
GSCITM-ER, characteristics and valuation of CERFs,
computation of the Trust's net asset value, creation and redemption
procedures, and Trust fees is included in the NYSE Order \9\ and the
Registration Statement.\10\
---------------------------------------------------------------------------
\9\ See supra at note 4.
\10\ See supra at note 5.
---------------------------------------------------------------------------
d. The Index Committee and Index Advisory Panel
The Index Sponsor has established an Index Committee to oversee the
daily management and operations of the S&P GSCITM, and is
responsible for all analytical methods and calculations. The Index
Committee is comprised of three full-time professional members of S&P's
staff and two members of Goldman Sachs Group. At each meeting, the
Index Committee reviews any issues that may affect index constituents,
statistics comparing the composition of the indices to the market,
commodities that are being considered as candidates for addition to an
index, and any significant market events. In addition, the Index
Committee may revise index policy covering rules for selecting
commodities, or other matters.
S&P considers information about changes to its indices and related
matters to be potentially market moving and material. Therefore, all
Index Committee discussions are confidential.\11\
---------------------------------------------------------------------------
\11\ The Exchange states that, in this instance, it will apply
Commentary .01(b)(1) of NYSE Arca Equities Rule 5.2(j)(3) to the
Shares. This provision requires, among other things, that the Index
Committee implement and maintain, or be subject to, procedures
designed to prevent the use and dissemination of material non-public
information regarding the Index.
---------------------------------------------------------------------------
In addition, the Index Sponsor has established an Index Advisory
Panel to assist it with the operation of the S&P GSCITM. The
principal purpose of the Index Advisory Panel is to advise the Index
Sponsor with respect to, among other things, the calculation of the S&P
GSCITM, the effectiveness of the S&P
[[Page 71180]]
GSCITM as a measure of commodity futures market performance
and the need for changes in the composition or the methodology of the
S&P GSCITM. The Index Advisory Panel acts solely in an
advisory and consultative capacity. All decisions with respect to the
composition, calculation and operation of the S&P GSCITM are
made by the Index Committee.
The Index Advisory Panel generally meets in October of each year.
Prior to the meeting, the Index Sponsor determines the commodities to
be included in the S&P GSCI\TM\ for the following calendar year and the
weighting factors for each commodity. The Index Advisory Panel's
members receive the proposed composition of the S&P GSCI\TM\ in advance
of the meeting and discuss the composition at the meeting. The Index
Sponsor also consults the Index Advisory Panel on any other significant
matters with respect to the calculation and operation of the S&P
GSCI\TM\. The Index Advisory Panel may, if necessary or practicable,
meet at other times during the year as issues arise that warrant its
consideration.
The contracts currently included in the S&P GSCI\TM\ are all
futures contracts traded on the New York Mercantile Exchange, Inc.
(``NYM''), ICE Futures (``ICE'') and its subsidiary, the New York Board
of Trade (``NYBOT''), the CME, the Chicago Board of Trade (``CBT''),
the Coffee, Sugar & Cocoa Exchange, Inc. (``CSC''), the Kansas City
Board of Trade (``KBT''), the COMEX Division of the New York Mercantile
Exchange, Inc. (``CMX'') and the London Metal Exchange (``LME'').
The futures contracts currently included in the S&P GSCI\TM\, their
percentage dollar weights (as of August 13, 2007), their market symbols
and the exchanges on which they are traded, trading hours (New York
Time), Average Daily Trading Volume (``ADTV'') for January 2007 through
July, 2007, and units per contract are as follows:
--------------------------------------------------------------------------------------------------------------------------------------------------------
ADTV
Commodity Weight 8/13/07 (contracts) Market symbol Trading facility Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
WTI Crude Oil......................... 36.03 203,372 CL........................ NYM....................... 1,000 index points.
Brent Crude Oil....................... 14.61 237,534 LCO....................... ICE....................... 1,000 barrels.
Natural Gas........................... 7.16 112,312 NG........................ NYM....................... 42,000 U.S. Gallons.
Heating Oil........................... 5.79 71,276 HO........................ NYM....................... 42,000 U.S. Gallons.
Gas Oil............................... 5.17 89,636 LGO....................... ICE....................... 100 metric tons.
Copper................................ 4.06 14,894 MCU....................... NYM....................... 25,000 lbs.
Chicago Wheat......................... 3.84 76,630 W......................... CBT....................... 5,000 bushels.
Aluminum.............................. 3.01 155,886 MAL....................... LME....................... 25 metric tons.
Corn.................................. 2.96 248,132 C......................... CBT....................... 5,000 bushels.
Live Cattle........................... 2.61 36,530 LC........................ CME....................... 40,000 lbs.
Gold.................................. 2.00 90,592 GC........................ NYM....................... 100 Troy ounces.
Soybeans.............................. 1.98 122,705 S......................... CBT....................... 5,000 bushels.
Lean Hogs............................. 1.50 30,698 LH........................ CME....................... 40,000 lbs.
Kansas City Wheat..................... 1.31 17,476 KW........................ KBT....................... 5,000 bushels.
RBOB Gas.............................. 1.28 80,211 RB........................ NYM....................... 50,000 X PADD.
Nickel................................ 1.11 14,543 MNI....................... LME....................... 6 metric tons.
Zinc.................................. 1.10 48,483 MZN....................... LME....................... 25 metric tons.
Sugar................................. 1.03 26,452 SB........................ NYBOT..................... 112,000 lbs.
Cotton................................ 0.91 26,452 CT........................ NYBOT..................... 50,000 lbs.
Coffee................................ 0.72 20,664 KC........................ NYBOT..................... 37,500 lbs.
Lead.................................. 0.70 16,998 MPB....................... LME....................... 25 metric tons.
Feeder Cattle......................... 0.63 4,416 FC........................ CME....................... 50,000 lbs.
Silver................................ 0.27 24,458 SI........................ NYM....................... 5,000 troy ounces.
Cocoa................................. 0.21 13,582 CC........................ NYBOT..................... 10 metric tons.
--------------------------------------------------------------------------------------------------------------------------------------------------------
The hours of trading (New York Time) of the commodities in the
charts above are as follows:
----------------------------------------------------------------------------------------------------------------
Commodity Trading facility Trading hours (NY time)
----------------------------------------------------------------------------------------------------------------
Crude Oil........................... NYM............................. 10 a.m.-2:30 p.m.
Brent Crude Oil..................... ICE............................. 8 p.m.-5 p.m. (next day).
Natural Gas......................... NYM............................. 10 a.m.-2:30 p.m.
Heating Oil......................... NYM............................. 10:05 a.m.-2:30 p.m.
RBOB Gasoline....................... NYM............................. 10:05 a.m.-2:30 p.m.
Gas Oil............................. ICE............................. 8 p.m.-5 p.m. (next day).
Live Cattle......................... CME............................. 10:05 a.m.-2 p.m.
Wheat............................... CBT............................. 10:30 a.m.-2:15 p.m.
Aluminum............................ LME............................. 6:55 a.m.-12:00 p.m.
Corn................................ CBT............................. 10:30 a.m.-2:15 p.m.
Copper.............................. LME............................. 7 a.m.-12 p.m.
Soybeans............................ CBT............................. 10:30 a.m.-2:15 p.m.
Lean Hogs........................... CME............................. 9:10 a.m.-1 p.m.
Gold................................ CMX............................. 8:20 a.m.-1:30 p.m.
Sugar............................... CSC............................. 9 a.m.-12 p.m.
Cotton.............................. NYC............................. 10:30 a.m.-2:15 p.m.
Red Wheat........................... KBT............................. 10:30 a.m.-2:15 p.m.
Coffee.............................. CSC............................. 9:15 a.m.-12:30 p.m.
[[Page 71181]]
Standard Lead....................... LME............................. 7:05 a.m.-11:50 a.m.
Feeder Cattle....................... CME............................. 10:05 a.m.-2 p.m.
Zinc................................ LME............................. 7:10 a.m.-11:55 a.m.
Primary Nickel...................... LME............................. 7:10 a.m.-11:55 a.m.
Cocoa............................... CSC............................. 8 a.m.-11:50 a.m.
Silver.............................. CMX............................. 8:25 a.m.-1:25 p.m.
----------------------------------------------------------------------------------------------------------------
e. Dissemination of Information Relating to the Shares
The Web site for the Trust (https://www.ishares.com), which is
publicly accessible at no charge, contains the following information:
(a) The prior Business Day's \12\ net asset value (``NAV''), calculated
on a per Share basis, and the reported closing price; (b) the mid-point
of the bid-ask price \13\ in relation to the NAV as of the time the NAV
is calculated (the ``Bid-Ask Price''); (c) calculation of the premium
or discount of such price against such NAV; (d) data in chart form
displaying the frequency distribution of discounts and premiums of the
Bid-Ask Price against the NAV, within appropriate ranges for each of
the four previous calendar quarters; (e) the prospectus; (f) the
holdings of the Trust, including CERFs, cash and Treasury securities;
(g) the Basket Amount;\14\ and (h) other applicable quantitative
information.
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\12\ The Trust's Registration Statement defines ``Business Day''
as any day (1) on which none of the following occurs: (a) The NYSE
is closed for regular trading, (b) the CME is closed for regular
trading or (c) the Federal Reserve transfer system is closed for
cash wire transfers; or (2) the Trustee determines that it is able
to conduct business.
\13\ The bid-ask price of Shares is determined using the highest
bid and lowest offer as of the time of calculation of the NAV.
\14\ The Basket Amount is the amount of CERFs and Short-Term
Securities or cash that an Authorized Participant must deliver in
exchange for one Basket.
---------------------------------------------------------------------------
The NAV for the Shares is calculated and disseminated daily. In
addition, during the NYSE Arca Core Trading Session (i.e., 9:30 a.m. to
4:15 p.m., New York Time) for the Trust, one or more major market data
vendors disseminates information with respect to the Indicative Intra-
day Value (as discussed below), recent NAV, and Shares outstanding on a
daily basis. The NAV for each Business Day on which the NYSE is open
for regular trading is distributed through major market data vendors
and will be published online at https://www.ishares.com, or any
successor thereto. The Trust updates the NAV as soon as practicable
after each subsequent NAV is calculated.
The Sponsor for the Trust (Barclays Global Investors International,
Inc.) has represented to the Exchange that the Trustee for the Trust
will make the NAV on a per Share basis available to all market
participants at the same time.
At present, official calculation by the Index Sponsor of the value
of S&P GSCI\TM\ Index is performed continuously and is updated on
Reuters at least every 15 seconds during the NYSE Arca Core Trading
Session and during business hours on each Business Day on which the
offices of the Index Sponsor in New York City are open for business. In
the event that the Exchange is open for business on a day that is not
an S&P GSCI\TM\ Business Day, the Exchange will not permit trading of
the Shares on that day.
In addition, values updated at least every 15 seconds are
disseminated on Reuters for the Total Return Index during the NYSE Arca
Core Trading Session. Daily settlement values for the S&P GSCI\TM\, the
Total Return Index and S&P GSCI\TM\-ER are also widely disseminated.
If the relevant trading facility fails to make a daily contract
reference price available or publishes a daily contract reference price
(as discussed in the Registration Statement and the NYSE Order) that,
in the reasonable judgment of the Index Sponsor, reflects manifest
error, the relevant calculation will be delayed until the price is made
available or corrected; provided, that, if the price is not made
available or corrected by 4 p.m. New York Time, the Index Sponsor may,
if it deems that action to be appropriate under the circumstances,
determine the appropriate daily contract reference price for the
applicable futures contract in its reasonable judgment for purposes of
the relevant calculation.
Various data vendors and news publications publish futures prices
and data. Futures quotes and last sale information for the commodities
underlying the Index are widely disseminated through a variety of
market data vendors worldwide, including Bloomberg and Reuters. In
addition, complete real-time data for such futures is available by
subscription from Reuters and Bloomberg. The futures exchanges on which
the underlying commodities and CERFs trade also provide delayed futures
information on current and past trading sessions and market news
generally free of charge on their respective Web sites. The specific
contract specifications for the futures contracts are also available
from the futures exchanges on their Web sites as well as other
financial informational sources.
f. Indicative Intra-Day Value
In order to provide updated information relating to the Trust for
use by investors, professionals, and other persons, one or more major
market data vendors disseminate an updated Indicative Intra-day Value
(``IIV'') on a per Share basis. The IIV is disseminated at least every
15 seconds from 9:30 a.m. to 4:15 p.m., New York Time. The IIV is
calculated based on the cash and collateral in a Basket Amount \15\
divided by 50,000, adjusted to reflect the market value of the
investments held by the Investing Pool, i.e. CERFs. The IIV does 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 in the NYSE Arca Core Trading
Session. The value of a Share may accordingly be influenced by non-
concurrent trading hours between NYSE Arca and the various futures
exchanges on which the futures contracts based on the Index commodities
are traded. The table above lists the trading hours for each of the
Index commodities underlying the futures contracts.
---------------------------------------------------------------------------
\15\ The Basket Amount is the amount of CERFs and Short-Term
Securities or cash that an Authorized Participant must deliver in
exchange for one Basket.
---------------------------------------------------------------------------
When the market for futures trading for each of the relevant Index
commodities is open, the IIV can be expected to closely approximate the
value per Share of the Basket Amount. However, during the NYSE Arca
Core Trading Session 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. IIV on a per Share basis disseminated during the NYSE Arca
Core Trading Session should not be viewed as a real time update of the
NAV, which is calculated only once a day.
[[Page 71182]]
g. Other Characteristics of the Shares
General Information. The trading hours for the Shares on the
Exchange are the same as those set forth in NYSE Arca Equities Rule
7.34 (Opening, Core Trading, and Late Trading Sessions, 4 a.m. to 8
p.m., New York Time). The minimum trading increment for Shares on the
Exchange is $0.01.
Initial Listing Criteria. NYSE Arca Equities Rule 8.203(e)(1)
requires a minimum number of Shares outstanding, as determined by the
Exchange. For the purpose of this product, the minimum number is
100,000 Shares.
Continued Listing Criteria. The Shares will be subject to the
continued listing criteria of NYSE Arca Equities Rule 8.203(e)(2).
Under the applicable continued listing criteria, the Shares may be
delisted as follows: (1) Following the initial 12-month period
beginning upon the commencement of trading of the Shares, there are
fewer than 50 record and/or beneficial holders of the Shares for 30 or
more consecutive trading days; (2) the value of the Total Return Index
ceases to be calculated by or available from a major market data vendor
on at least a 15-second basis from a source unaffiliated with the
Sponsor, the Trust or the Trustee; (3) the NAV is no longer
disseminated to all market participants at the same time; (4) the IIV
ceases to be available on at least a 15-second delayed basis from a
major market data vendor; or (5) such other event shall occur or
condition exist that, in the opinion of the Exchange, makes further
dealings on the Exchange inadvisable. The Exchange will remove Shares
from listing and trading upon termination of the Trust.
h. Trading Rules
The Exchange deems the Shares to be equity securities, thus
rendering trading in the Shares subject to the Exchange's existing
rules governing the trading of equity securities. Trading in the Shares
on the Exchange occurs in accordance with NYSE Arca Equities Rule
7.34(a). The Exchange has appropriate rules to facilitate transactions
in the Shares during this time.
Further, NYSE Arca Equities Rules 8.203(g)-(i) set forth certain
restrictions on equity trading permit holders (``ETP Holders'') acting
as registered Market Makers \16\ in Commodity Index Trust Shares to
facilitate surveillance. NYSE Arca Equities Rule 8.203(h) requires that
the ETP Holder acting as a registered Market Maker in the Shares
provide the Exchange with information relating to its trading in the
applicable physical commodities included in, or options, futures or
options on futures on, the applicable Index or any other derivatives
based on the Index. NYSE Arca Equities Rule 8.203(i) prohibits the ETP
Holder acting as a registered market maker in the Shares from using any
material nonpublic information received from any person associated with
an ETP Holder or employee of such person regarding trading by such
person or employee in the applicable physical commodities included in,
or options, futures or options on futures on, the Index or any other
derivatives based on the Index (including the Shares). In addition, as
stated above, NYSE Arca Equities Rule 8.203(g) prohibits the ETP Holder
acting as a registered Market Maker in the Shares from being affiliated
with a Market Maker in the applicable physical commodities included in,
or options, futures or options on futures on, the Index or any other
derivatives based on the Index unless adequate information barriers are
in place, as provided in NYSE Arca Equities Rule 7.26.
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\16\ The term ``Market Maker'' is defined in NYSE Arca Equities
Rule 1.1 as an ETP Holder that acts as a Market Maker pursuant to
NYSE Arca Equities Rule 7. Market Makers are required to be
registered with the Exchange pursuant to NYSE Arca Equities Rule
7.20 and have limitations on dealings as set forth in NYSE Arca
Equities Rule 7.26.
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With respect to trading halts, the Exchange may consider all
relevant factors in exercising its discretion to halt or suspend
trading in the Shares. Trading on the Exchange in the Shares may be
halted because of market conditions or for reasons that, in the view of
the Exchange, make trading in the Shares inadvisable. These may
include: (1) The extent to which trading is not occurring in CERFs or
the futures contracts included in the Index; or (2) whether other
unusual conditions or circumstances detrimental to the maintenance of a
fair and orderly market are present. In addition, trading in Shares
will be subject to trading halts caused by extraordinary market
volatility pursuant to the Exchange's ``circuit breaker'' rule. \17\ If
the value of the Total Return Index or the IIV is not being
disseminated on at least a 15-second basis during the hours the Shares
trade on the Exchange, the Exchange may halt trading during the day in
which the interruption to the dissemination of the IIV or the Index
value occurs. If the interruption to the dissemination of the IIV or
the Index value persists past the trading day in which it occurred, the
Exchange will halt trading no later than the beginning of the trading
day following the interruption.
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\17\ See NYSE ARCA Equities Rule 7.12.
---------------------------------------------------------------------------
The Exchange has regulatory jurisdiction over its ETP Holders and
any person or entity controlling an ETP Holder. The Exchange also has
regulatory jurisdiction over a subsidiary or affiliate of an ETP Holder
that is in the securities business. A subsidiary or affiliate of an ETP
Holder that does business only in commodities or futures contracts
would not be subject to Exchange jurisdiction, but the Exchange could
obtain certain information regarding the activities of such subsidiary
or affiliate through surveillance sharing agreements with regulatory
organizations of which such subsidiary or affiliate is a member.
i. Surveillance
The Exchange intends to utilize its existing surveillance
procedures applicable to derivative products to monitor trading in the
Shares. The Exchange represents that these procedures are adequate to
properly monitor Exchange trading of the Shares in all trading sessions
and to deter and detect violations of Exchange rules.
The Exchange's current trading surveillances focus on detecting
securities trading outside their normal patterns. When such situations
are detected, surveillance analysis follows and investigations are
opened, where appropriate, to review the behavior of all relevant
parties for all relevant trading violations. The Exchange is able to
obtain information regarding trading in the Shares, the physical
commodities included in, or options, futures or options on futures on,
an index underlying an issue of Commodity Index Trust Shares or any
other derivatives based on such index, through ETP Holders, in
connection with such ETP Holders' proprietary or customer trades which
they effect on any relevant market. With regard to the Index
components, the Exchange can obtain market surveillance information,
including customer identity information, with respect to transactions
occurring on NYM, KBT, ICE and LME, pursuant to its comprehensive
information sharing agreements with each of those exchanges. All of the
other trading venues on which current Index components are traded are
members of the Intermarket Surveillance Group (``ISG'') and the
Exchange therefore has access to all relevant trading information with
respect to those contracts without any further action being required on
the part of the Exchange. A list of ISG members and affiliate members
is available at https://www.isgportal.com.
[[Page 71183]]
A new component may be added to the Index if it does not constitute
more than 10% of the weight of the Index or, if it constitutes more
than 10% of the weight of the Index, the principal trading market for
such component either (a) is a member of ISG or (b) has in effect a
comprehensive surveillance sharing agreement with the Exchange.
j. Information Bulletin
Prior to the commencement of trading, the Exchange will inform its
ETP Holders in an Information Bulletin of the special characteristics
and risks associated with trading the Shares, including risks inherent
with trading the Shares during the Opening and Late Trading Sessions
and suitability recommendation requirements.
Specifically, the Information Bulletin will discuss the following:
(1) The procedures for purchases and redemptions of Shares in Baskets;
(2) NYSE Arca Equities Rule 9.2(a),\18\ which imposes a duty of due
diligence on its ETP Holders to learn the essential facts relating to
every customer prior to trading the Shares; (3) how information
regarding the IIV is disseminated; (4) the risks involved in trading
the Shares during the Opening and Late Trading Sessions when an updated
IIV will not be calculated or publicly disseminated; (5) the
requirement that ETP Holders deliver a prospectus to investors
purchasing newly issued Shares prior to or concurrently with the
confirmation of a transaction; and (6) trading information. For
example, the Information Bulletin will advise ETP Holders, prior to the
commencement of trading, of the prospectus delivery requirements
applicable to the Trust. The Exchange notes that investors purchasing
Shares directly from the Trust (by delivery of the Basket Amount) will
receive a prospectus. ETP Holders purchasing Shares from the Trust for
resale to investors will deliver a prospectus to such investors.
---------------------------------------------------------------------------
\18\ NYSE Arca Equities Rule 9.2(a) (``Diligence as to
Accounts'') provides that ETP Holders, before recommending a
transaction, must have reasonable grounds to believe that the
recommendation is suitable for the customer based on any facts
disclosed by the customer as to his other security holdings and as
to his financial situation and needs. Further, the rule provides,
with a limited exception, that prior to the execution of a
transaction recommended to a non-institutional customer, the ETP
Holders shall make reasonable efforts to obtain information
concerning the customer's financial status, tax status, investment
objectives, and any other information that they believe would be
useful to make a recommendation. See Securities Exchange Act Release
No. 54026 (June 21, 2006), 71 FR 36850 (June 28, 2006) (SR-PCX-2005-
115).
---------------------------------------------------------------------------
In addition, the Information Bulletin will reference that the Trust
is subject to various fees and expenses described in the Registration
Statement. The Information Bulletin will also reference the fact that
there is no regulated source of last sale information regarding
physical commodities, and will discuss the relevant regulatory
jurisdiction over the trading of physical commodities or the futures
contracts on which the value of the Shares is based.
2. Statutory Basis
The basis under the Exchange Act for this proposed rule change is
the requirement under Section 6(b)(5)\19\ that a national securities
exchange have rules that are designed to prevent fraudulent and
manipulative acts and practices, to promote just and equitable
principles of trade, to foster cooperation and coordination with
persons engaged in facilitating transactions in securities, 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.
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\19\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
The Exchange has neither solicited nor received written comments on
the proposed rule change.
III. 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-NYSEArca-2007-112 on the subject line.
Paper Comments
Send paper comments in triplicate to Nancy M. Morris,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSEArca-2007-112. 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-NYSEArca-2007-112 and should
be submitted on or before January 4, 2008.
IV. Commission's Findings and Order Granting Accelerated Approval of
the Proposed Rule Change
After careful consideration, the Commission finds that the proposed
rule change is consistent with the requirements of the Act and the
rules and regulations thereunder applicable to a national securities
exchange.\20\ In particular, the Commission finds that the proposed
rule change is consistent with Section 6(b)(5) of the Act,\21\ which
requires that the rules of a national securities exchange be designed,
among other things, to promote just and equitable principles of trade,
to remove impediments to and perfect the mechanism of a free and open
market and a national market system, and, in general, to protect
investors and the public interest. The Commission also finds that the
proposal is consistent with Section 11A(a)(1)(C)(iii) of the
[[Page 71184]]
Act,\22\ which sets forth Congress' finding that it is in the public
interest and appropriate for the protection of investors and the
maintenance of fair and orderly markets to assure the availability to
brokers, dealers, and investors of information with respect to
quotations for and transactions in securities.
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\20\ In approving this rule change, the Commission notes that it
has considered the proposed rule's impact on efficiency,
competition, and capital formation. See 15 U.S.C. 78c(f).
\21\ 15 U.S.C. 78f(b)(5).
\22\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
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As described above, the Exchange represents that futures prices and
data, including quotes and last-sale information for the commodities
underlying the Index, are widely disseminated through a variety of
market data vendors, including Bloomberg and Reuters. The Exchange also
represents that complete real-time data on such futures is available by
subscription, and the relevant futures exchanges generally provide
delayed futures information on current and past trading sessions and
market news free of charge on their respective Web sites. Additionally,
the specific contract specifications for the futures contracts are
available from the futures exchanges on their Web sites as well as
other financial informational sources. Further, the Trust's Web site,
which is accessible for no charge, contains the following information:
(a) The prior business day's NAV on a per Share basis and the reported
closing price; (b) the Bid-Ask Price; (c) calculation of the premium or
discount of such price against such NAV; (d) data in chart form
displaying the frequency distribution of discounts and premiums of the
Bid-Ask Price against the NAV, within appropriate ranges for each of
the four previous calendar quarters; (e) the prospectus; (f) the
holdings of the Trust, including CERFs, cash and Treasury securities;
(g) the Basket Amount, and (h) other applicable quantitative
information.
The Commission believes that the proposed rule change is reasonably
designed to promote fair disclosure of information that may be
necessary to appropriately price the Shares. The NAV per Share is
calculated daily, and the Sponsor has represented that the Trustee will
make the NAV on a per Share basis available to all market participants
at the same time. In addition, the Exchange represents that the Web
site disclosure of the portfolio composition of the Trust will be made
to all market participants at the same time. Further, as described
above, NYSE Arca Equities Rules 8.203(g)-(i) set forth certain
restrictions on ETP Holders acting as registered Market Makers in
Commodity Index Trust Shares.
The Commission also believes that the Exchange's trading halt rules
are reasonably designed to prevent trading in the Shares when
transparency is impaired. Trading in the Shares would be subject to
trading halts caused by extraordinary market volatility pursuant to the
Exchange's ``circuit breaker'' rule, NYSE Arca Equities Rule 7.12. In
exercising its discretion to halt or suspend trading in the Shares, the
Exchange may consider factors such as the extent to which trading is
not occurring in CERFs or the futures contracts included in the Index
or whether other unusual conditions or circumstances detrimental to the
maintenance of a fair and orderly market are present. If the value of
the Total Return Index or the IIV is not being disseminated on at least
a 15-second basis during the hours the Shares trade on the Exchange,
the Exchange may halt trading during the day in which the interruption
to the dissemination of the IIV or the Index value occurs. If the
interruption to the dissemination of the IIV or the Index value
persists past the trading day in which it occurred, the Exchange will
halt trading no later than the beginning of the trading day following
the interruption.
The Commission further believes that the trading rules and
procedures to which the Fund Units will be subject pursuant to this
proposal are consistent with the Act. The Exchange has represented that
the Shares are equity securities subject to NYSE Arca's rules governing
the trading of equity securities.
In support of this proposal, the Exchange has made the following
representations:
1. The Exchange's surveillance procedures are adequate to properly
monitor the trading of the Shares, and to deter and detect violations
of Exchange rules. In addition, the Exchange is able to obtain
information regarding trading in the Shares, the physical commodities
included in, or options, futures or options on futures on, an index
underlying an issue of Commodity Index Trust Shares or any other
derivatives based on such index. With regard to the Index components,
the Exchange can obtain market surveillance information, including
customer identity information, with respect to transactions occurring
on NYM, KBT, ICE and LME, pursuant to its comprehensive information
sharing agreements with each of those exchanges. All of the other
trading venues on which current Index components are traded are members
of the ISG and the Exchange therefore has access to all relevant
trading information with respect to those contracts without any further
action being required on the part of the Exchange.
2. Prior to the commencement of trading, the Exchange will inform
its ETP Holders in an Information Bulletin of the special
characteristics and risks associated with trading the Shares, including
risks inherent with trading the Shares during the Opening and Late
Trading Sessions and suitability recommendation requirements. The
Information Bulletin will also advise ETP Holders, prior to the
commencement of trading, of the prospectus delivery requirements
applicable to the Trust. The Information Bulletin will also reference
the fact that there is no regulated source of last sale information
regarding physical commodities, and will discuss the relevant
regulatory jurisdiction of trading of physical commodities or the
futures contracts on which the value of the Shares is based.
This approval order is based on the Exchange's representations.
The Commission finds good cause, pursuant to Section 19(b)(2) of
the Act,\23\ for approving the proposed rule change prior to the 30th
day after the date of publication of notice in the Federal Register.
The Commission has previously approved both the listing and trading of
the Shares on NYSE and the trading of the Shares on NYSE Arca pursuant
to unlisted trading privileges,\24\ and does not believe that allowing
the product to be both listed and traded on NYSE Arca raises novel
regulatory issues. Consequently, the Commission believes that it is
appropriate to allow the switching of listing markets without delay.
Accordingly, the Commission finds that there is good cause, consistent
with Section 6(b)(5) of the Act,\25\ to approve the proposal on an
accelerated basis.
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\23\ 15 U.S.C. 78s(b)(2).
\24\ See supra at note 4.
\25\ 15 U.S.C. 78f(b)(5).
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V. Conclusion
It is therefore ordered, pursuant to Section 19(b)(2) under the
Act,\26\ that the proposed rule change (SR-NYSEArca-2007-112) be, and
it hereby is, approved on an accelerated basis.
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\26\ 15 U.S.C. 78s(b)(2).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\27\
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\27\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7-24194 Filed 12-13-07; 8:45 am]
BILLING CODE 8011-01-P
