Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing of a Proposed Rule Change, and Amendment No. 1 Thereto, Relating to the Listing and Trading of Six iShares® S&P GSCITM, 9381-9395 [E8-3042]
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Federal Register / Vol. 73, No. 34 / Wednesday, February 20, 2008 / Notices
liquidity providing volume, and the
price of the securities (with a distinction
for those above and below $1.00). These
factors are taken into consideration and
reflected in the introduction of a
reduced liquidity taking fee (provided
certain volume thresholds are met) as an
incentive to ETP Holders to both post
and take liquidity at NSX and the more
simplified fee schedule for Tape B
securities (in lieu of the longer list of the
fees associated with specific Designated
ETF Shares 8). NSX notes that it operates
in a highly competitive market in which
market participants can readily direct
order flow to competing venues if they
deem fee levels at a particular venue to
be more attractive. Accordingly, the
proposed modifications attempt to keep
the fees reflected in the Fee Schedule
competitive with fees charged by other
venues and to continue to be reasonable
and equitably allocated to those ETP
Holders that opt to direct orders to NSX.
Based upon the information above, the
Exchange believes that the proposed
rule change is consistent with the
protection of investors and the public
interest.
Effective Date and Notice
The Exchange intends to make
operative the tape rebate structure and
new Fee Schedule in accordance with
the proposed rule change on February 1,
2008. Pursuant to Exchange Rule
16.1(c), the Exchange will ‘‘provide ETP
Holders with notice of all relevant dues,
fees, assessments and charges of the
Exchange’’ through the issuance of a
Regulatory Circular of the changes to the
Fee Schedule and will provide a copy
of the rule filing on the Exchange’s Web
site (https://www.nsx.com).
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2. Statutory Basis
The Exchange believes that the
proposed rule change is consistent with
the provisions of section 6(b) of the
Act,9 in general, and section 6(b)(4) of
the Act,10 in particular, in that it is
designed to provide for the equitable
allocation of reasonable dues, fees and
other charges. Moreover, the proposed
liquidity provider rebates are not
discriminatory in that all ETP Holders
are eligible to trade in Tape A, B, and
C securities in AutoEx and may do so
at their discretion.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
The Exchange does not believe that
the proposed rule change will result in
any burden on competition that is not
8 See
supra note 6.
U.S.C. 78f(b).
10 15 U.S.C. 78f(b)(4).
9 15
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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
Written comments on the proposed
rule change were neither solicited nor
received.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
The foregoing proposed rule change is
filed pursuant to section 19(b)(3)(A)(ii)
of the Act 11 and subparagraph (f)(2) of
Rule 19b–4 thereunder 12 because it
establishes or changes a due, fee, or
other charge applicable only to a
member imposed by a self-regulatory
organization. Accordingly, the proposal
is effective upon Commission receipt of
the filing. At any time within 60 days
of the filing of the 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.13
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
Electronic Comments
9381
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 NSX. 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–NSX–2008–01 and should
be submitted on or before March 12,
2008.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.14
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E8–3040 Filed 2–19–08; 8:45 am]
• 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–NSX–2008–01 on the
subject line.
BILLING CODE 8011–01–P
Paper Comments
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing of a
Proposed Rule Change, and
Amendment No. 1 Thereto, Relating to
the Listing and Trading of Six iShares
S&P GSCITM Commodity-Indexed
Trusts
• 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–NSX–2008–01. This file
number should be included on the
11 15
U.S.C. 78s(b)(3)(A)(ii).
CFR 240.19b–4(f)(2).
13 For purposes of calculating the 60-day period
within which the Commission may summarily
abrogate the proposed rule change under Section
19(b)(3)(C) of the Act, the Commission considers
the period to commence on February 6, 2008, the
date on which NSX filed Amendment No. 1. See 15
U.S.C. 78s(b)(3)(C).
12 17
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SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–57318; File No. SR–
NYSEArca–2007–91]
February 12, 2008.
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 August
30, 2007, NYSE Arca, Inc. (‘‘NYSE
Arca’’ or ‘‘Exchange’’), through its
14 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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Federal Register / Vol. 73, No. 34 / Wednesday, February 20, 2008 / Notices
wholly-owned subsidiary NYSE Arca
Equities, Inc. (‘‘NYSE Arca Equities’’),
filed with the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change as described in
Items I, II, and III below, which Items
have been substantially prepared by the
Exchange. On February 11, 2008, the
Exchange filed Amendment No. 1 to the
proposed rule change. The Commission
is publishing this notice to solicit
comments on the proposed rule change,
as amended, from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
NYSE Arca proposes to list and trade
shares of the following trusts under
NYSE Arca Equities Rule 8.203:
iShares S&P GSCI TM Energy
Commodity-Indexed Trust; iShares
S&P GSCI TM Natural Gas CommodityIndexed Trust; iShares S&P GSCI TM
Industrial Metals Commodity-Indexed
Trust; iShares S&P GSCI TM Light
Energy Commodity-Indexed Trust;
iShares S&P GSCI TM Livestock
Commodity-Indexed Trust; and
iShares S&P GSCI TM Non-Energy
Commodity-Indexed Trust.3 The shares
will represent units of beneficial interest
representing fractional undivided
beneficial interests in the net assets of
the issuing trust.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
concerning the purpose of, and basis for,
the proposed rule change, and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in sections A, B, and C below, of
the most significant aspects of such
statements.
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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, under NYSE Arca Equities Rule
8.203, shares (‘‘Shares’’) of the following
trusts: iShares S&P GSCI TM Energy
Commodity-Indexed Trust; iShares
S&P GSCI TM Natural Gas Commodity3 iShares is a registered trademark of Barclays
Global Investors, N.A. ‘‘S&P GSCI’’ is a trademark
of Standard & Poor’s, a division of The McGraw-Hill
Companies, Inc.
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Indexed Trust; iShares S&P GSCI TM
Industrial Metals Commodity-Indexed
Trust; iShares S&P GSCI TM Light
Energy Commodity-Indexed Trust;
iShares S&P GSCI TM Livestock
Commodity-Indexed Trust; and
iShares S&P GSCI TM Non-Energy
Commodity-Indexed Trust (collectively,
the ‘‘Trusts’’).4 The objective of each
Trust is for the performance of the
Shares to correspond generally to the
performance of the following indexes,
respectively, before payment of the
Trust’s and the Investing Pool’s (as
described below) expenses and
liabilities: the S&P GSCI TM Energy Total
Return Index; S&P GSCI TM Natural Gas
Total Return Index; S&P GSCI TM
Industrial Metals Total Return Index;
S&P GSCI TM Light Energy Total Return
Index; S&P GSCI TM Livestock Total
Return Index; and S&P GSCI TM NonEnergy Total Return Index (collectively,
the ‘‘Total Return Indexes’’).5
The commodity component of each of
the Total Return Indexes is comprised of
either one or a group of commodities
included in the S&P GSCI TM
Commodity Index (‘‘S&P GSCI TM’’),
which is a production-weighted index
of the prices of a diversified group of
futures contracts on physical
commodities. Each Total Return Index
reflects the return of the corresponding
S&P GSCI TM Excess Return Index,
described below, together with the
return on specified U.S. Treasury
securities that are deemed to have been
held to collateralize a hypothetical long
4 The Sponsor (defined infra) filed Form S–1 for
the iShares GS Commodity Industrial Metals
Indexed Trust, iShares GS Commodity Light Energy
Indexed Trust, iShares GS Commodity Livestock
Indexed Trust and iShares GS Commodity NonEnergy Indexed Trust on August 31, 2006. See
Registration Nos. 333–135823 through 135826. The
Sponsor filed Pre-Effective Amendment No 3 to the
Form S–1 for the iShares S&P GSCI TM Industrial
Metals Commodity-Indexed Trust and iShares
S&P GSCI TM Non-Energy Commodity-Indexed Trust
on June 18, 2007. See Registration Nos. 333–135825
and 333–135824. The Sponsor filed Form S–1 for
the iShares S&P GSCI TM Energy CommodityIndexed Trust and iShares S&P GSCI TM Natural
Gas Commodity-Indexed Trust on January 23, 2007
and Amendment No. 1 thereto on June 18, 2007.
See Registration Nos. 333–140162 and 333–140164.
These filings are referred to collectively herein as
the ‘‘Registration Statements.’’
5 The Commission approved for listing on the
New York Stock Exchange LLC (‘‘NYSE’’) shares of
the iShares GS Commodity Light Energy Indexed
Trust, shares of the iShares GS Commodity
Industrial Metals Indexed Trust, shares of the
iShares GS Commodity Livestock Indexed Trust,
and shares of the iShares GS Commodity NonEnergy Indexed Trust. See Securities Exchange Act
Release No. 55585 (April 5, 2007), 72 FR 18500
(April 12, 2007) (SR–NYSE–2006–75). None of the
Trusts, however, have commenced trading on the
NYSE and, following Commission approval of this
proposed rule change, will be listed on NYSE Arca
rather than on NYSE and will not trade on NYSE.
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position in the futures contracts
comprising the corresponding index.
Each S&P GSCI TM Excess Return
Index is calculated based on the same
commodities as those in the respective
Total Return Index and S&P GS Index
(defined below), and reflects the returns
that are potentially available through a
rolling uncollateralized investment in
the contracts comprising the applicable
S&P GS Index, as described below. An
S&P GSCI TM Excess Return Index does
not reflect the return on U.S. Treasury
securities used to collateralize positions
in futures contracts comprising that
index.6
Each Trust will attempt to
approximate its respective Total Return
Index by holding interests in an
Investing Pool (described below),
which, in turn, holds futures contracts
(referred to as CERFs) on the
corresponding Excess Return Index,
together with cash or other short-term
securities used to collateralize the
futures positions.
a. The Trusts and Investing Pools
Each Trust is a Delaware statutory
trust that will issue units of beneficial
interest called Shares, representing
fractional undivided beneficial interests
in its net assets. Substantially all of the
assets of each 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 Trusts will
hold interests in the following
commodity pools, respectively:
iShares S&P GSCI TM Energy
Commodity-Indexed Investing Pool;
iShares S&P GSCI TM Natural Gas
Commodity-Indexed Investing Pool;
iShares S&P GSCI TM Industrial Metals
Commodity-Indexed Investing Pool;
iShares S&P GSCI TM Light Energy
Commodity-Indexed Investing Pool;
6 S&P acquired the S&P GSCI (formerly known as
the ‘‘Goldman Sachs Commodity Index’’), the S&P
GSCI–ER and the Total Return Indexes from
Goldman Sachs & Co., the prior Index Sponsor,
effective May 2007. According to the Registration
Statements, S&P has represented that it will not
modify the determination methodology for the S&P
GSCI Total Return Indexes 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. To date, the
Registration Statements for iShares GS Commodity
Light Energy Indexed Trust and iShares GS
Commodity Livestock Indexed Trust have not been
updated to reflect S&P’s index acquisitions from
Goldman Sachs. The Sponsor of the Trusts,
Barclays Global Investors International, Inc., has
represented that the Registration Statements for
iShares GS Commodity Light Energy Indexed Trust
and iShares GS Commodity Livestock Indexed
Trust will be updated to reflect S&P’s acquisitions
prior to commencement of secondary market
trading of Shares of such Trusts.
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iShares S&P GSCI TM Livestock
Commodity-Indexed Investing Pool; and
iShares S&P GSCI TM Non-Energy
Commodity-Indexed Investing Pool
(collectively, ‘‘Investing Pools’’).
Each commodity pool holds long
positions in futures contracts on the
following indexes, respectively,
(collectively, the ‘‘Excess Return
Indexes’’) and will post margin in the
form of cash or short-term securities to
collateralize these futures positions:
S&P GSCI TM Energy Excess Return
Index (‘‘S&P GS Energy-ER’’); S&P
GSCI TM Natural Gas Excess Return
Index (‘‘S&P GS Natural Gas-ER’’); S&P
GSCI TM Industrial Metals Excess Return
Index (‘‘S&P GS Industrial Metals-ER’’);
S&P GSCI TM Light Energy Excess Return
Index (‘‘S&P GSLE-ER’’); S&P GSCI TM
Livestock Excess Return Index (‘‘S&P
GS-Livestock-ER’’); and S&P GSCI TM
Non-Energy Excess Return Index (‘‘S&P
GSNE-ER’’). Trading on the Chicago
Mercantile Exchange (‘‘CME’’) Globex
electronic trading platform of CERFs
based on the GSCI Excess Return Index
commenced effective March 12, 2006 for
trade date March 13, 2006. Trading in
CERFs based on the other Excess Return
Indexes is expected to begin shortly
before the initial sale of the Shares to
the public.
The Trusts and the Investing Pools are
each commodity pools managed by a
commodity pool operator registered as
such with the Commodity Futures
Trading Commission (‘‘CFTC’’).
According to the Registration
Statements, neither the Trusts nor the
Investing Pools are investment
companies registered under the
Investment Company Act of 1940
(‘‘Investment Company Act’’).7
According to the Registration
Statements, the Shares are intended to
constitute a relatively cost-effective
means of achieving investment exposure
to the performance of the respective
Total Return Indexes, which are
intended to reflect the performance of a
specified group of commodities.
Although the Shares will not be the
exact equivalent of an investment in the
underlying futures contracts and
Treasury securities represented by the
Total Return Indexes, the Shares are
intended to provide investors with an
alternative way of participating in the
commodities market.
b. The Sponsor and Trustee
The Sponsor of the Trusts is Barclays
Global Investors International, Inc. The
Sponsor’s primary business function is
to act as Sponsor and commodity pool
operator of the Trusts and Manager of
7 15
U.S.C. 80a et seq.
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the Investing Pools, as discussed
below.8 The Advisor to the Investing
Pools is Barclays Global Fund Advisors,
a California corporation and an indirect
subsidiary of Barclays Bank PLC.
Barclays Global Investors
International, Inc. will also serve as the
Manager of the Investing Pools, in
which capacity it will serve as
commodity pool operator of the
Investing Pools and be responsible for
their administration. The Manager will
arrange for and pay the costs of
organizing the Investing Pools. The
Manager has delegated some of its
responsibilities for administering the
Investing Pools 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 Pools.
The Trustee is Barclays Global
Investors, N.A., a national banking
association affiliated with the Sponsor.
The Trustee is responsible for the dayto-day administration of the Trusts. Dayto-day administration includes (1)
processing orders for the creation and
redemption of Baskets (each Basket an
aggregation of 50,000 Shares), (2)
coordinating with the Manager of the
Investing Pools the receipt and delivery
of consideration transferred to, or by,
the Trusts in connection with each
issuance and redemption of Baskets,
and (3) calculating the net asset value
(‘‘NAV’’) of the Trusts on each Business
Day.9 The Trustee has delegated these
responsibilities to the Trust
Administrator, State Street Bank and
Trust Company, a banking corporation
that is not affiliated with the Sponsor or
the Trustee.10 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.
c. The Investing Pools
The Investing Pools will hold 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
8 Barclays Global Investors International, Inc. is a
commodity pool operator registered with the CFTC.
9 The Registration Statements define ‘‘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.
10 Except as otherwise specifically noted, the
information provided in this proposed rule change
relating to the Trusts and the Shares, commodities
markets, and related information is based entirely
on information included in the Registration
Statements.
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9383
settlement at expiration is based on the
value of the respective Excess Return
Indexes at that time. The Investing Pools
will also earn interest on the assets used
to collateralize its holdings of CERFs.
d. The Total Return Indexes
The S&P GSCI TM Industrial Metals
Total Return Index is intended to reflect
the performance of a group of industrial
metal commodities (currently including
copper, aluminum, zinc, nickel and
lead). The S&P GSCI TM Light Energy
Total Return Index is intended to reflect
the performance of the same group of
commodities included in the S&P
GSCI, but with a reduced weighting for
energy commodities. The S&P GSCI TM
Livestock Total Return Index is
intended to reflect the performance of a
group of commodities comprising the
livestock component of the S&P GSCI TM
(currently including live cattle, live
hogs and feeder cattle). The S&P
GSCI TM Non-Energy Total Return Index
is intended to reflect the performance of
a group of non-energy commodities. The
S&P GSCI TM Energy Total Return Index
is intended to reflect the performance of
a group of commodities comprising the
energy component of the S&P GSCITM.
The S&P GSCI TM Natural Gas Total
Return Index is intended to reflect the
performance of the performance of
natural gas included in the S&P GSCITM.
Each relevant Index is administered,
calculated and published by Standard &
Poor’s (the ‘‘Index Sponsor’’). The
Excess Return Indexes reflect the return
of an uncollateralized investment in the
contracts comprising the S&P GSCITM
Energy Index, the S&P GSCITM Natural
Gas Index, the S&P GSCITM Industrial
Metals Index, the S&P GSCITM Light
Energy Index, the S&P GSCITM
Livestock Index, and the S&P GSCITM
Non-Energy Index, respectively
(collectively, the ‘‘S&P GS Indexes’’). In
addition, the Excess Return Indexes
incorporate the economic effect of
‘‘rolling’’ the contracts included in the
S&P GS Indexes as they near expiration.
‘‘Rolling’’ a futures contract means
closing out a position in an expiring
futures contract and establishing an
equivalent position in the contract on
the same commodity with the next
expiration date. If S&P ceases to
maintain the Total Return Indexes, the
Trusts, through the Investing Pools, may
seek investment results that correspond
generally to the performance of a fully
collateralized investment in a successor,
or, in the opinion of the Manager,
reasonably similar indexes to the Total
Return Indexes.
Each Trust, through its respective
Investing Pool, will be a passive
investor in CERFs and the cash or Short-
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Federal Register / Vol. 73, No. 34 / Wednesday, February 20, 2008 / Notices
Term Securities 11 posted as margin to
collateralize the Investing Pool’s CERF
positions. Neither such Trust nor the
respective Investing Pool will engage in
any activities designed to obtain a profit
from, or to ameliorate losses caused by,
changes in the value of CERFs or
securities posted as margin. Each
Investing Pool, and some other types of
market participants, will be required to
deposit margin with a value equal to
100% of the value of each CERF
position at the time it is established.
Those market participants not subject to
the 100% margin requirement are
required to deposit margin generally
with a value of 3% to 5% of the
established position. Interest paid on
the collateral deposited as margin, net of
expenses, will be reinvested by the
Investing Pool or, at the Trustee’s
discretion, may be distributed from time
to time to the Shareholders. The
Investing Pool’s profit or loss on its
CERF positions should correlate with
increases and decreases in the value of
the applicable Excess Return Index,
although this correlation will not be
exact. The interest on the collateral
deposited by the Investing Pool as
margin, together with the returns
corresponding to the performance of the
applicable Excess Return Index, is
expected to result in a total return for
the Investing Pool that corresponds
generally, but is not identical, to the
applicable Index. Differences between
the returns of the Investing Pool and the
applicable Index may be based on,
among other factors, any differences
between the return on the assets used by
the Investing Pool to collateralize its
CERF positions and the U.S. Treasury
rate used to calculate the return
component of the Index, timing
differences, differences between the
weighting of the Investing Pool’s
proportion of assets invested in CERFs
versus the Index, and the payment of
expenses and liabilities by the Investing
Pool. Each Trust’s net asset value will
reflect the performance of the applicable
Investing Pool, such Trust’s sole
investment.
The Investing Pools will be managed
by the Advisor, which will invest all of
the Investing Pools’ assets in long
positions in respective CERFs and post
margin in the form of cash or ShortTerm Securities to collateralize the
CERF positions. Any cash that the
Investing Pool accepts as consideration
from the Trusts for Investing Pool
Interests will be used to purchase
11 ‘‘Short-Term
Securities’’ means U.S. Treasury
Securities or other short-term securities and similar
securities, in each case that are eligible as margin
deposits under the rules of the CME.
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16:47 Feb 19, 2008
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additional CERFs, in an amount that the
Advisor determines will enable the
Investing Pools to achieve investment
results that correspond with the
applicable Index, and to collateralize
the CERFs. According to the
Registration Statements, the Advisor
will not engage in any activities
designed to obtain a profit from, or to
ameliorate losses caused by, changes in
value of any of the commodities
represented by the S&P GSCITM–ER
Indexes or the positions or other assets
held by the Investing Pool.
e. Futures Contracts on the Excess
Return Indexes
The assets of the Investing Pools will
consist of CERFs and cash or ShortTerm Securities posted as margin to
collateralize the Investing Pools’ CERF
positions. Futures contracts and options
on futures contracts on the GSCI, which
does not reflect the excess return
embedded in the GSCI–ER, have been
traded on the CME since 1992. CERFs
are listed and traded separately from the
S&P GSCI futures contracts and options
on futures contracts.
CERFs trading is subject to the rules
of the CME. According to the
Registration Statements, CERFs trade on
GLOBEX, the CME’s electronic trading
system, and do not trade through open
outcry on the floor of the CME.12
Transactions in CERFs are cleared
through the CME clearinghouse by the
trader’s futures commission merchant
acting as its agent. Under these clearing
arrangements, the CME clearinghouse
becomes the buyer to each member
futures commission merchant
representing a seller of the contract and
the seller to each member futures
commission merchant representing a
buyer of the contract. As a result of
these clearing arrangements, each trader
holding a position in CERFs is subject
to the credit risk of the CME
clearinghouse and the futures
commission merchant carrying its
position in CERFs.
Each CERF is a contract that provides
for cash settlement, at expiration, based
upon the final settlement value of the
applicable Excess Return Index at the
expiration of the contract, multiplied by
a fixed dollar multiplier. On a daily
basis, most market participants with
positions in CERFs are obligated to pay,
or entitled to receive, cash (known as
‘‘variation margin’’) in an amount equal
to the change in the daily settlement
level of the CERF from the preceding
12 Trading hours for CERFs on GLOBEX will be
as follows: Sunday, 6 p.m. to 2:40 p.m. (next day)
(New York Time); Monday to Thursday, 6 p.m. to
2:40 p.m. (next day) and 3 p.m. to 5 p.m. (New York
Time).
PO 00000
Frm 00112
Fmt 4703
Sfmt 4703
trading day’s settlement level (or,
initially, the contract price at which the
position was entered into). Specifically,
if the daily settlement price of the
contract increases over the previous
day’s price, the seller of the contract
must pay the difference to the buyer,
and if the daily settlement price is less
than the previous day’s price, the buyer
of the contract must pay the difference
to the seller.
Futures contracts also typically
require deposits of initial margin as well
as payments of daily variation margin as
the value of the contracts fluctuate. For
most market participants, the initial
margin requirement for CERFs is
generally expected to be 3% to 5%.
Certain market participants (known as
‘‘100% margin participants’’), however,
will be required to deposit with their
futures commission merchant (‘‘FCM’’)
initial margin in an amount equal to
100% of the value of the CERF on the
date the position is established. The
FCM, in turn, will be required to deliver
to the CME clearinghouse initial margin
in a specified amount and pledge to the
clearinghouse, pursuant to a separate
custody arrangement, an amount equal
to the remainder of the 100% margin
amount posted by 100% margin
participants, either from amounts
posted by those 100% margin
participants or from its own assets. The
separate custody arrangement will be
either an account with the FCM or a
third party custody account.
As a result of these arrangements, a
100% margin participant buying a CERF
will be subject to substantially greater
initial margin requirements than other
market participants, but will not be
required to pay any additional amounts
to its futures commission merchant as
variation margin if the value of the
CERFs declines. Instead, the futures
commission merchant will be obligated
to make variation margin payments to
the clearinghouse in respect of CERFs
held by 100% margin participants,
which it will withdraw from the
separate custody account (and, in turn,
from the 100% margin posted by those
participants).
If the daily settlement price increases,
the futures commission merchant will
receive variation margin from the
clearinghouse for the account of the
100% margin participant, which it will
hold in the separate custody account for
the benefit of 100% margin participants.
The buyer will not, however, be entitled
to receive this variation margin from its
futures commission merchant (until the
liquidation or final settlement of its
CERF position). The buyer will be
entitled to receive interest or other
income on the assets it has deposited as
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margin or that are credited to the
custody account on its behalf from time
to time.
Upon liquidation or settlement of a
CERF, a 100% margin participant will
receive from its futures commission
merchant its initial margin deposit,
adjusted for variation margin paid or
received by the futures commission
merchant with respect to the contract
during the time it was held by the
participant (or the proceeds from
liquidation of any investments made
with such funds for the benefit of the
participant under the terms of its
custody arrangement with the carrying
futures commission merchant).
The 100% margin participants will
include any market participant that is
(1) an investment company registered
under the Investment Company Act or
(2) an investment fund, commodity
pool, or other similar type of pooled
trading vehicle (other than a pension
plan or fund) that is offered to the
public pursuant to an effective
registration statement filed under the
Securities Act of 1933,13 regardless of
whether it is also registered under the
Investment Company Act, and that has
its principal place of business in the
United States.
The Investing Pools will be a 100%
margin participants. The Investing Pools
will satisfy the 100% margin
requirement by depositing with the
Clearing FCM 14 cash or Short-Term
Securities with a value equal to 100%
of the value of each long position in
CERFs.
According to the Registration
Statements, CERFs also differ from
traditional futures contracts in another
significant respect. In contrast to other
types of futures contracts, which are
typically listed with monthly,
bimonthly or quarterly expirations,
CERFs will be listed only with
approximately five-year expirations. A
buyer or seller of CERFs will be able to
trade CERFs on the market maintained
by the CME and will consequently be
able to liquidate its position at any time,
subject to the existence of a liquid
market. If a party to a CERF wishes to
hold its position to expiration, however,
it will be necessary to maintain the
position for up to five years. According
to the Registration Statements, as a
CERF nears expiration, it is anticipated,
but there can be no assurance, that the
CME will list an additional CERF with
an approximately five-year expiration.
13 15
U.S.C. 77a, et seq.
term ‘‘Clearing FCM’’ is defined in the
Registration Statement as Goldman, Sachs & Co. or
any other futures commission merchant appointed
by the Manager as clearing futures commission
merchant for the Investing Pool.
14 The
VerDate Aug<31>2005
16:47 Feb 19, 2008
Jkt 214001
f. The S&P GSCITM and S&P GS Indexes
GSCITM
The S&P
itself is an index on
a production-weighted basket of
principal physical commodities that
satisfy specified criteria. The S&P
GSCITM reflects the level of commodity
prices at a given time and is designed
to be a measure of the performance over
time of the markets for these
commodities. The commodities
represented in the S&P GSCITM are
those physical commodities on which
active and liquid contracts are traded on
trading facilities in major industrialized
countries. The commodities included in
the S&P GSCITM are weighted, on a
production basis, to reflect the relative
significance (in the view of the Index
Sponsor) of those commodities to the
world economy. The fluctuations in the
level of the S&P GSCITM are intended
generally to correlate with changes in
the prices of those physical
commodities in global markets.
The Index Sponsor makes the official
calculations of the value of the S&P
GSCITM and S&P GS Indexes. At
present, these calculations are
performed continuously and are
reported on Reuters Pages GSCI (for S&P
GSCI), GSNG (for S&P GS Natural Gas),
GSCO (for S&P GS Industrial Metals),
GSLE (for S&P GS Light Energy), GSCL
(for S&P GS Livestock), GSCN (for S&P
GS Non-Energy), and GSCP (for S&P GS
Energy), and is updated on Reuters at
least every 15 seconds during 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.
The calculation for each applicable
Index is also updated on Reuters at least
every 15 seconds. The settlement price
for each Excess Return Index is also
reported on the Reuters Pages noted
above. If Reuters ceases to publish the
value of the S&P GSCI or applicable S&P
GS Index or the settlement price of the
S&P GSCITM–ER or the Excess Return
Indexes, the Index Sponsor has
undertaken to use commercially
reasonable efforts to ensure that a
comparable reporting service publishes
the S&P GSCITM or applicable S&P GS
Index and the applicable Excess Return
Index so long as any Shares are
outstanding.
g. 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
PO 00000
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Fmt 4703
Sfmt 4703
9385
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.
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
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.
h. Composition of the S&P GSCITM
In order to be included in the S&P
GSCITM, and the S&P GS Indexes, a
contract must satisfy the following
eligibility criteria:
(1) The contract must:
(a) Be in respect of a physical
commodity and not a financial
commodity;
(b) have a specified expiration or
term, or provide in some other manner
for delivery or settlement at a specified
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time, or within a specified period, in the
future; and
(c) be available, at any given point in
time, for trading at least five months
prior to its expiration or such other date
or time period specified for delivery or
settlement.
(2) The commodity must be the
subject of a contract that:
(a) Is denominated in U.S. dollars;
and
(b) Is traded on or through an
exchange, facility or other platform,
referred to as a ‘‘trading facility,’’ that
has its principal place of business or
operations in a country that is a member
of the Organization for Economic
Cooperation and Development and:
i. Makes price quotations generally
available to its members or participants
(and, if the Index Sponsor is not such
a member or participant, to the Index
Sponsor) in a manner and with a
frequency that is sufficient to provide
reasonably reliable indications of the
level of the relevant market at any given
point in time;
ii. Makes reliable trading volume
information available to the Index
Sponsor with at least the frequency
required by the Index Sponsor to make
the monthly determinations;
iii. Accepts bids and offers from
multiple participants or price providers;
and
iv. Is accessible by a sufficiently broad
range of participants.
(3) The price of the relevant contract
that is used as a reference or benchmark
by market participants, referred to as the
‘‘daily contract reference price,’’
generally must have been available on a
continuous basis for at least two years
prior to the proposed date of inclusion
in the S&P GSCITM. In appropriate
circumstances, however, the Index
Sponsor may determine that a shorter
time period is sufficient or that
historical daily contract reference prices
for that contract may be derived from
daily contract reference prices for a
similar or related contract. The daily
contract reference price may be (but is
not required to be) the settlement price
or other similar price published by the
relevant trading facility for purposes of
margining transactions or for other
purposes.
(4) At and after the time a contract is
included in the S&P GSCITM, the daily
contract reference price for that contract
must be published between 10:00 a.m.
and 4:00 p.m., New York Time, on each
Business Day relating to that contract by
the trading facility on or through which
it is traded and must generally be
available to all members of, or
participants in, that trading facility
(and, if the Index Sponsor is not such
VerDate Aug<31>2005
16:47 Feb 19, 2008
Jkt 214001
a member or participant, to the Index
Sponsor) on the same day from the
trading facility or through a recognized
third-party data vendor. Such
publication must include, at all times,
daily contract reference prices for at
least one expiration or settlement date
that is five months or more from the
date the determination is made, as well
as for all expiration or settlement dates
during that five-month period.
(5) Volume data with respect to the
contract must be available for at least
the three months immediately preceding
the date on which the determination is
made.
(6) A contract that is not included in
the S&P GSCITM at the time of
determination and that is based on a
commodity that is not represented in
the S&P GSCITM at that time must, in
order to be added to the S&P GSCITM at
that time, have a total dollar value
traded, over the relevant period, as the
case may be and annualized, of at least
$15 billion. The total dollar value traded
is the dollar value of the total quantity
of the commodity underlying
transactions in the relevant contract
over the period for which the
calculation is made, based on the
average of the daily contract reference
prices on the last day of each month
during the period.
(7) A contract that is already included
in the S&P GSCITM at the time of
determination and that is the only
contract on the relevant commodity
included in the S&P GSCITM must, in
order to continue to be included in the
S&P GSCITM after that time, have a total
dollar value traded, over the relevant
period, as the case may be and
annualized, of at least $5 billion and at
least $10 billion during at least one of
the three most recent annual periods
used in making the determination.
(8) A contract that is not included in
the S&P GSCITM at the time of
determination and that is based on a
commodity on which there are one or
more contracts already included in the
S&P GSCITM at that time must, in order
to be added to the S&P GSCITM at that
time, have a total dollar value traded,
over the relevant period, as the case may
be and annualized, of at least $30
billion.
(9) A contract that is already included
in the S&P GSCITM at the time of
determination and that is based on a
commodity on which there are one or
more contracts already included in the
S&P GSCITM at that time must, in order
to continue to be included in the S&P
GSCITM after that time, have a total
dollar value traded, over the relevant
period, as the case may be and
annualized, of at least $10 billion and at
PO 00000
Frm 00114
Fmt 4703
Sfmt 4703
least $20 billion during at least one of
the three most recent annual periods
used in making the determination.
(10) A contract that is:
(a) Already included in the S&P
GSCITM at the time of determination
must, in order to continue to be
included after that time, have a
reference percentage dollar weight of at
least 0.10%. The ‘‘reference percentage
dollar weight’’ of a contract represents
the current value of the quantity of the
underlying commodity that is included
in the Index at a given time. This figure
is determined by multiplying the
contract production weight of a
contract, or ‘‘CPW,’’ by the average of its
daily contract reference prices on the
last day of each month during the
relevant period. These amounts are
summed for all contracts included in
the S&P GSCITM and each contract’s
percentage of the total is then
determined. The CPW of a contract is its
weight in the Index.
(b) not included in the S&P GSCITM at
the time of determination must, in order
to be added to the S&P GSCITM at that
time, have a reference percentage dollar
weight of at least 0.75%.
(11) In the event that two or more
contracts on the same commodity satisfy
the eligibility criteria:
(a) Such contracts will be included in
the S&P GSCITM in the order of their
respective total quantity traded during
the relevant period (determined as the
total quantity of the commodity
underlying transactions in the relevant
contract), with the contract having the
highest total quantity traded being
included first, provided that no further
contracts will be included if such
inclusion would result in the portion of
the S&P GSCITM attributable to that
commodity exceeding a particular level.
(b) if additional contracts could be
included with respect to several
commodities at the same time, that
procedure is first applied with respect
to the commodity that has the smallest
portion of the S&P GSCITM attributable
to it at the time of determination.
Subject to the other eligibility criteria
described above, the contract with the
highest total quantity traded on that
commodity will be included. Before any
additional contracts on the same
commodity or on any other commodity
are included, the portion of the S&P
GSCITM attributable to all commodities
is recalculated. The selection procedure
described above is then repeated with
respect to the contracts on the
commodity that then has the smallest
portion of the S&P GSCITM attributable
to it.
Beginning in 2007, in order for a
contract to be included in the S&P
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GSCITM, (1) the trading facility in which
the contract is traded must allow market
participants to execute spread
transactions, through a single order
entry, between the pairs of contract
expirations included in the S&P GSCITM
that at any given point in time will be
involved in the rolls to be effected in the
next three roll periods and (2) a contract
that is not included in the S&P GSCITM
at the time of determination must, in
order to be added to the S&P GSCITM at
that time, have a reference percentage
dollar weight of at least 1.00%.
The contracts currently included in
the S&P GSCITM are all futures contracts
traded on the New York Mercantile
Exchange, Inc. (‘‘NYM’’), the 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 New York
Cotton Exchange (‘‘NYC’’), the Kansas
Weight
8/13/07
(percent)
Commodity
WTI Crude Oil ..........................................................
Brent Crude Oil ........................................................
Natural Gas ..............................................................
Heating Oil ...............................................................
Gas Oil .....................................................................
RBOB Oil ..................................................................
The futures contracts currently
included in the S&P GSCITM Natural Gas
Index, ADTV for January 2007 through
51.43
20.86
10.23
8.27
7.39
1.82
Weight
8/13/07
(percent)
Natural Gas ..............................................................
100.00
Weight
8/13/07
(percent)
Copper ......................................................................
Aluminum .................................................................
Primary Nickel ..........................................................
Zinc ...........................................................................
Standard Lead ..........................................................
rwilkins on PROD1PC63 with NOTICES
40.66
30.14
11.13
11.05
7.02
Weight
8/13/07
(percent)
WTI Crude Oil ..........................................................
Copper ......................................................................
Chicago Wheat .........................................................
Brent Crude Oil ........................................................
Aluminum .................................................................
Corn ..........................................................................
Live Cattle ................................................................
Gold ..........................................................................
Soybeans .................................................................
Natural Gas ..............................................................
Lean Hogs ................................................................
Heating Oil ...............................................................
Kansas City Wheat ..................................................
16:47 Feb 19, 2008
Jkt 214001
CL ................
LCO .............
NG ...............
HO ...............
LGO ............
RB ...............
NYM ............
ICE ..............
NYM ............
NYM ............
ICE ..............
NYM ............
ADTV
(contracts)
111,548
ADTV
(contracts)
Trading
facility
NG ...............
NYM ............
PO 00000
18.97
8.56
8.10
7.69
6.35
6.24
5.50
4.21
4.17
3.77
3.16
3.05%
2.76
Frm 00115
Fmt 4703
ADTV
(contracts)
Trading
facility
MCU ............
MAL .............
MNI ..............
MZN ............
MPB ............
NYM ............
LME .............
LME .............
LME .............
LME .............
Sfmt 4703
Units
42,000 U.S. gallons.
Units
25,000 lbs.
25 metric tons.
6 metric tons.
25 metric tons.
25 metric tons.
symbols and the exchanges on which
they are traded are as follows:
Market
symbol
200,605
14,793
75,587
235,918
155,886
244,756
36,530
89,976
121,036
111,548
30,698
70,791
17,238
1,000 index points.
1,000 barrels.
42,000 U.S. gallons.
42,000 U.S. gallons.
100 metric tons.
50,000 X PADD.
symbols and the exchanges on which
they are traded are as follows:
Market
symbol
14,793
155,886
14,543
48,483
16,998
Units
and the exchanges on which they are
traded are as follows:
Market
symbol
through July 2007, percentage dollar
weights (as of August 13, 2007), market
Commodity
VerDate Aug<31>2005
200,605
235,918
111,548
70,791
88,417
79,665
Trading
facility
through July 2007, percentage dollar
weights (as of August 13, 2007), market
Commodity
The futures contracts currently
included in the S&P GSCITM Light
Energy Index, ADTV for January 2007
Market
symbol
July 2007, percentage dollar weights (as
of August 13, 2007), market symbols
Commodity
The futures contracts currently
included in the S&P GSCITM Industrial
Metals Index, ADTV for January 2007
ADTV
(contracts)
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 Energy
Index, Average Daily Trading Volume
(‘‘ADTV’’) for January 2007 through July
2007, percentage dollar weights (as of
August 13, 2007), market symbols and
the exchanges on which they are traded
are as follows:
Trading
facility
CL ................
MCU ............
W .................
LCO .............
MAL .............
C .................
LC ................
GC ...............
S ..................
NG ...............
LH ................
HO ...............
KW ..............
NYM ............
NYM ............
CBOT ..........
ICE ..............
LME .............
CBOT ..........
CME ............
NYM ............
CBOT ..........
NYM ............
CME ............
NYM ............
KCE .............
E:\FR\FM\20FEN1.SGM
20FEN1
Units
1,000 index points.
25,000 lbs.
5,000 bushels.
1,000 barrels.
25 metric tons.
5,000 bushels.
40,000 lbs.
100 troy ounces.
5,000 bushels.
42,000 U.S. gallons.
40,000 lbs.
42,000 U.S. gallons.
5,000 bushels.
9388
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Weight
8/13/07
(percent)
Commodity
Gas Oil .....................................................................
Nickel ........................................................................
Zinc ...........................................................................
Sugar ........................................................................
Cotton .......................................................................
Coffee .......................................................................
Lead .........................................................................
Feeder Cattle ...........................................................
RBOB Gas ...............................................................
Silver ........................................................................
Cocoa .......................................................................
The futures contracts currently
included in the S&P GSCITM Livestock
Index, ADTV for January 2007 through
2.72
2.34
2.33
2.17
1.91
1.51
1.48
1.32
0.67
0.57
0.45
Market
symbol
88,417
14,543
48,483
90,166
26,092
20,383
16,998
4,416
79,665
24,292
13,397
Trading
facility
LGO ............
MNI ..............
MZN ............
SB ...............
CT ...............
KC ...............
MPB ............
FC ...............
RB ...............
SI .................
CC ...............
ICE ..............
LME .............
LME .............
NYBOT ........
NYBOT ........
NYBOT ........
LME .............
CME ............
NYM ............
NYM ............
NYBOT ........
July 2007, percentage dollar weights (as
of August 13, 2007), market symbols
Weight
8/13/07
(percent)
Commodity
Live Cattle ................................................................
Lean Hogs ................................................................
Feeder Cattle ...........................................................
The futures contracts currently
included in the S&P GSCITM NonEnergy Index, ADTV for January 2007
ADTV
(contracts)
55.08
31.72
13.20
ADTV
(contracts)
Trading
facility
LC ................
LH ................
FC ...............
CME ............
CME ............
CME ............
through July 2007, percentage dollar
weights (as of August 13, 2007), market
Weight
8/13/07
(percent)
Commodity
Copper ......................................................................
Chicago Wheat .........................................................
Aluminum .................................................................
Corn ..........................................................................
Live Cattle ................................................................
Gold ..........................................................................
Soybeans .................................................................
Lean Hogs ................................................................
Kansas City Wheat ..................................................
Nickel ........................................................................
Zinc ...........................................................................
Sugar ........................................................................
Cotton .......................................................................
Coffee .......................................................................
Lead .........................................................................
Feeder Cattle ...........................................................
Silver ........................................................................
Cocoa .......................................................................
13.56
12.83
10.06
9.89
8.71
6.66
6.61
5.01
4.37
3.71
3.69
3.44
3.03
2.39
2.34
2.09
0.90
0.71
ADTV
(contracts)
Units
40,000 lbs.
40,000 lbs.
50,000 lbs.
symbols and the exchanges on which
they are traded are as follows:
Market
symbol
14,793
75,587
155,886
244,756
36,530
89,976
121,036
30,698
17,238
14,543
48,483
90,166
26,092
20,383
16,998
4,416
24,292
13,397
100 metric tons.
6 metric tons.
25 metric tons.
112,000 lbs.
50,000 lbs.
37,500 lbs.
25 metric tons.
50,000 lbs.
50,000 X PADD.
5,000 troy ounces.
10 metric tons.
and the exchanges on which they are
traded are as follows:
Market
symbol
36,530
30,698
4,416
Units
Trading
facility
MCU ............
W .................
MAL .............
C .................
LC ................
GC ...............
S ..................
LH ................
KW ..............
MNI ..............
MZN ............
SB ...............
CT ...............
KC ...............
MPB ............
FC ...............
SI .................
CC ...............
NYM ............
CBOT ..........
LME .............
CBOT ..........
CME ............
NYM ............
CBOT ..........
CME ............
KCE .............
LME .............
LME .............
NYBOT ........
NYBOT ........
NYBOT ........
LME .............
CME ............
NYM ............
NYBOT ........
Units
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.
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:
rwilkins on PROD1PC63 with NOTICES
Commodity
Trading facility
Crude Oil ..........................................................................
Brent Crude Oil ................................................................
Natural Gas ......................................................................
Heating Oil ........................................................................
RBOB Gasoline ................................................................
Gas Oil .............................................................................
Live Cattle ........................................................................
Wheat ...............................................................................
Aluminum ..........................................................................
NYM ...................................
ICE .....................................
NYM ...................................
NYM ...................................
NYM ...................................
ICE .....................................
CME ...................................
CBT ....................................
LME ....................................
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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 p.m.
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Commodity
Trading facility
rwilkins on PROD1PC63 with NOTICES
Corn ..................................................................................
Copper ..............................................................................
Soybeans ..........................................................................
Lean Hogs ........................................................................
Gold ..................................................................................
Sugar ................................................................................
Cotton ...............................................................................
Red Wheat .......................................................................
Coffee ...............................................................................
Standard Lead ..................................................................
Feeder Cattle ....................................................................
Zinc ...................................................................................
Primary Nickel ..................................................................
Cocoa ...............................................................................
Silver .................................................................................
The quantity of each of the contracts
included in the S&P GSCITM is
determined on the basis of a five-year
average, referred to as the ‘‘world
production average,’’ of the production
quantity of the underlying commodity
as published by the United Nations
Statistical Yearbook, the Industrial
Commodity Statistics Yearbook and
other official sources. However, if a
commodity is primarily a regional
commodity, based on its production,
use, pricing, transportation or other
factors, the Index Sponsor, may
calculate the weight of that commodity
based on regional, rather than world,
production data. At present, natural gas
is the only commodity the weights of
which are calculated on the basis of
regional production data, with the
relevant region defined as North
America.
The five-year moving average is
updated annually for each commodity
included in the S&P GSCITM, based on
the most recent five-year period (ending
approximately two years prior to the
date of calculation and moving
backwards) for which complete data for
all commodities is available. The CPWs
used in calculating the S&P GSCITM are
derived from world or regional
production averages, as applicable, of
the relevant commodities, and are
calculated based on the total quantity
traded for the relevant contract and the
world or regional production average, as
applicable, of the underlying
commodity. However, if the volume of
trading in the relevant contract, as a
multiple of the production levels of the
commodity, is below specified
thresholds, the CPW of the contract is
reduced until the threshold is satisfied.
This is designed to ensure that trading
in each contract is sufficiently liquid
relative to the production of the
commodity.
In addition, the Index Sponsor
performs this calculation on a monthly
basis and, if the multiple of any contract
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CBT
LME
CBT
CME
CMX
CSC
NYC
KBT
CSC
LME
CME
LME
LME
CSC
CMX
Trading hours (NY time)
....................................
....................................
....................................
...................................
...................................
....................................
....................................
....................................
....................................
....................................
...................................
....................................
....................................
....................................
...................................
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.
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.
is below the prescribed threshold, the
composition of the S&P GSCITM is
reevaluated, based on the criteria and
weighting procedure described above.
This procedure is undertaken to allow
the S&P GSCITM to shift from contracts
that have lost substantial liquidity into
more liquid contracts during the course
of a given year. As a result, it is possible
that the composition or weighting of the
S&P GSCITM will change on one or more
of these monthly evaluation dates. The
likely circumstances under which the
Index Sponsor would be expected to
change the composition of the Index
during a given year, however, are (1) a
substantial shift of liquidity away from
a contract included in the Index or its
subsidiaries as described above, or (2)
an emergency, such as a natural disaster
or act of war or terrorism, that causes
trading in a particular contract to cease
permanently or for an extended period
of time. In either event, the Index
Sponsor will consult with the Index
Committee in connection with the
changes to be made and will publish the
nature of the changes, through Web
sites, news media or other outlets, with
as much prior notice to market
participants as is reasonably practicable.
Moreover, regardless of whether any
changes have occurred during the year,
the Index Sponsor reevaluates the
composition of the S&P GSCITM, in
consultation with its Index Committee,
at the conclusion of each year, based on
the above criteria. Other commodities
that satisfy that criteria, if any, will be
added to the S&P GSCITM. Commodities
included in the S&P GSCITM that no
longer satisfy that criteria, if any, will be
deleted.
The Index Sponsor also determines
whether modifications in the selection
criteria or the methodology for
determining the composition and
weights of and for calculating the S&P
GSCITM are necessary or appropriate in
order to assure that the S&P GSCITM
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9389
represents a measure of commodity
market performance. The Index Sponsor
has the discretion to make any such
modifications.
i. Total Dollar Weight of the S&P GSCI
and S&P GS Indexes
The total dollar weight of the S&P
GSCITM and each S&P GS Index is the
sum of the dollar weight of each of the
underlying commodities. The dollar
weight of each such commodity on any
given day is equal to:
• The daily contract reference price;
• Multiplied by the appropriate CPW;
and
• During a roll period, the
appropriate ‘‘roll weights’’(discussed
below).
The daily contract reference price
used in calculating the dollar weight of
each commodity on any given day is the
most recent daily contract reference
price made available by the relevant
trading facility, except that the daily
contract reference price for the most
recent prior day will be used if the
exchange is closed or otherwise fails to
publish a daily contract reference price
on that day. In addition, if the trading
facility fails to make a daily contract
reference price available or publishes a
daily contract reference price 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 Index
calculation.
j. Calculation of Total Return Indexes
The Total Return Indexes to which
the performance of the Shares is linked
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were established in May of 1991, with
the exception of the S&P GSCITM Light
Energy Total Return Index, which was
established in April, 2004. Each Total
Return Index reflects the return of the
applicable Excess Return Index, 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 applicable S&P
GS Index.
rwilkins on PROD1PC63 with NOTICES
k. Calculation of the Excess Return
Indexes
Because futures contracts have
scheduled expirations, or delivery
months, as one contract nears expiration
it becomes necessary to close out the
position in that delivery month and
establish a position in the next available
delivery month. This process is referred
to as ‘‘rolling’’ the position forward.
Each Excess Return Index is designed to
reflect the return from rolling each
contract included in the S&P GSCITM or
applicable S&P GS Index in this manner
into the next available delivery month
as it nears expiration. This is
accomplished by selling the position in
the first delivery month and purchasing
a position of equivalent value in the
second delivery month. If the price of
the second contract is lower than the
price of the first contract, the ‘‘rolling’’
process results in a greater quantity of
the second contract being acquired for
the same value. Conversely, if the price
of the second contract is higher than the
price of the first contract, the ‘‘rolling’’
process results in a smaller quantity of
the second contract being acquired for
the same value.
The value of each Excess Return
Index on any S&P GSCITM Business Day
is equal to the product of (1) the value
of the applicable Excess Return Index
on the immediately preceding S&P
GSCITM Business Day multiplied by (2)
one plus the contract daily return on the
S&P GSCITM Business Day on which the
calculation is made.
The value of each Total Return Index
on any S&P GSCITM Business Day is
equal to the product of (1) the value of
the Index on the immediately preceding
S&P GSCITM Business Day multiplied
by (2) one plus the sum of the contract
daily return 15 and the Treasury bill
15 The contract daily return on any given day is
equal to the sum, for each of the commodities
included in the S&P GSCITM or the applicable S&P
GS Index, of the applicable daily contract reference
price on the relevant contract multiplied by the
appropriate CPW and the appropriate ‘‘roll weight,’’
divided by the total dollar weight of the such Index
on the preceding day, minus one.
The ‘‘roll weight’’ of each commodity reflects the
fact that the positions in contracts must be
liquidated or rolled forward into more distant
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return on the S&P GSCITM Business Day
on which the calculation is made,
multiplied by (3) one plus the Treasury
bill return for each non-S&P GSCITM
Business Day since the immediately
preceding S&P GSCITM Business Day.
The Treasury bill return is the return on
a hypothetical investment at a rate equal
to the interest rate on a specified U.S.
Treasury bill.
2. Valuation of CERFs; Computation of
Trusts’ Net Asset Value
On each Business Day on which the
NYSE is open for regular trading, as
soon as practicable after the close of
regular trading of the Shares on the
NYSE (normally, 4:15 p.m., New York
Time), the Trustee will determine the
NAV of the Trusts as of that time.
The Trustee will value the Trusts’
assets based upon the determination by
the Manager, which may act through the
Investing Pool Administrator, of the net
asset value of the Investing Pool. The
Manager will determine the net asset
value of the Investing Pool as of the
same time that the Trustee determines
the net asset value of the Trusts.
The Manager will value the Investing
Pools’ long position in CERFs on the
basis of that day’s announced CME
settlement price for the CERFs. The
value of the Investing Pools’ CERF
position (including any related margin)
will equal the product of (a) the number
of CERF contracts owned by the
particular Investing Pool and (b) the
settlement price on the date of
calculation. If there is no announced
CME settlement price for the CERF on
a Business Day, the Manager will use
the most recently announced CME
settlement price unless the Manager
determines that that price is
inappropriate as a basis for evaluation.16
The daily settlement price for the CERF
is established by the CME shortly after
contract expirations as they near expiration. If
actual positions in the relevant markets were rolled
forward, the roll would likely need to take place
over a period of days. Since the S&P GSCITM and
S&P GS Indexes are designed to replicate the
performance of actual investments in the
underlying contracts, the rolling process
incorporated in such Indexes also takes place over
a period of days at the beginning of each month,
referred to as the ‘‘roll period.’’ On each day of the
roll period, the ‘‘roll weights’’ of the first nearby
contract expirations on a particular commodity and
the more distant contract expiration into which it
is rolled are adjusted, so that the hypothetical
position in the contract on the commodity that is
included in the applicable Index is gradually
shifted from the first nearby contract expiration to
the more distant contract expiration.
16 The Exchange states that the Manager’s use of
a price that is not the most recently announced
CME settlement price, other than on a temporary
basis based on extraordinary circumstances, would
require Commission approval of an Exchange
proposed rule change pursuant to Rule 19b–4.
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the close of trading in Chicago on each
trading day.
Once the value of the CERFs and
interest earned on any assets posted as
margin and any other assets of the
Investing Pool has been determined, the
Manager will subtract all accrued
expenses and liabilities of each
Investing Pool as of the time of
calculation in order to calculate the net
asset value of the Investing Pool. The
Manager, or the Investing Pool
Administrator on its behalf, will then
calculate the value of the applicable
Trust’s Investing Pool Interest and
provide this information to the Trustee.
Once the value of the Trusts’
Investing Pool Interests have been
determined and provided to the Trustee,
the Trustee will subtract all accrued
expenses and other liabilities of each
Trust from the total value of the assets
of the Trust, in each case as of the
calculation time. The resulting amount
is the net asset value of the Trust. The
Trustee will determine the NAV by
dividing the net asset value of the Trust
by the number of Shares outstanding at
the time the calculation is made.
The NAV for each Business Day on
which the NYSE is open for regular
trading will be distributed through
major market data vendors and will be
published online at https://
www.ishares.com, or any successor
thereto. The Trusts will update the NAV
as soon as practicable after each
subsequent NAV is calculated.
3. Creations of Baskets
According to the Registration
Statements, creation and redemption of
interests in the Trusts, and the
corresponding creation and redemption
of interests in the respective Investing
Pools, will generally be effected through
transactions in ‘‘exchanges of futures for
physicals,’’ or ‘‘EFPs.’’ EFPs involve
contemporaneous transactions in
futures contracts and the underlying
cash commodity or a closely related
commodity. In a typical EFP, the buyer
of the futures contract sells the
underlying commodity to the seller of
the futures contract in exchange for a
cash payment reflecting the value of the
commodity and the relationship
between the price of the commodity and
the related futures contract. According
to the Registration Statements, in the
context of CERFs, CME rules permit the
execution of EFPs consisting of
simultaneous purchases (sales) of CERFs
and sales (purchases) of Shares. This
mechanism will generally be used by
the Trusts in connection with the
creation and redemption of Baskets.
Specifically, it is anticipated that an
Authorized Participant (as described
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rwilkins on PROD1PC63 with NOTICES
below) requesting the creation of
additional Baskets typically will transfer
CERFs and cash (or, in the discretion of
the Trustee, Short-Term Securities in
lieu of cash) to the Trusts in return for
Shares. Baskets may be created and
redeemed only by Authorized
Participants. Each Authorized
Participant must: (1) Be a registered
broker-dealer and, if required in
connection with its activities, a
registered futures commission
merchant; (2) be a DTC Participant; (3)
have entered into an Authorized
Participant Agreement; and (4) be in a
position to transfer CERFs and the
required cash or Short-Term Securities
to, and take delivery of these assets
from, the Trustee through one or more
accounts.
The Trusts will simultaneously
contribute to the Investing Pools the
CERFs (and any cash or securities)
received from the Authorized
Participant in return for an increase in
its Investing Pool Interests. If an EFP is
executed in connection with the
redemption of one or more Baskets, an
Authorized Participant will transfer to
the applicable Trust the interests being
redeemed and the Trust will transfer to
the Authorized Participant CERFs, cash
or Short-Term Securities. In order to
obtain the CERFs, cash or Short-Term
Securities to be transferred to the
Authorized Participant, the Trust will
redeem an equivalent portion of its
interest in the Investing Pool Interests.
The Trusts will offer Shares on a
continuous basis on each Business Day,
but only in Baskets consisting of 50,000
Shares. Baskets will be typically issued
only in exchange for an amount of
CERFs and cash (or, in the discretion of
the Trustee, Short-Term Securities in
lieu of cash) equal to the Basket
Amount 17 for the Business Day on
which the creation order was received
by the Trustee. The Basket Amount for
a Business Day will have a per Share
value equal to the NAV as of such day.
However, orders received by the Trustee
after 2:40 p.m., New York Time, will be
treated as received on the next following
Business Day. The Trustee will notify
the Authorized Participants of the
Basket Amount on each Business Day.
Before the Trusts will issue any
Baskets to an Authorized Participant,
17 The Basket Amount represents the amount of
CERFs and cash (or, in the discretion of the
Sponsor, Short-Term Securities in lieu of cash), that
an Authorized Participant must transfer in
exchange for one Basket, or that an Authorized
Participant is entitled to receive in exchange for
each Basket surrendered for redemption. The value
of the Basket Amount will equal the product of the
NAV per Share and the number of Shares
constituting a Basket, in each case as of the time
of determination.
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16:47 Feb 19, 2008
Jkt 214001
that Authorized Participant must deliver
to the Trustee a creation order
indicating the number of Baskets it
intends to purchase and providing other
details with respect to the procedures by
which the Baskets will be transferred.
The Trustee will acknowledge the
creation order unless it or the Sponsor
decides to refuse the order as described
in the prospectus.
Upon the transfer of (1) the required
consideration of CERFs and cash (or, in
the discretion of the Trustee, ShortTerm Securities in lieu of cash) in the
amounts, and to the accounts, specified
by the Trustee, and (2) the Trustee’s
transaction fee per Basket (described
below), the Trustee will deliver the
appropriate number of Baskets to the
Depository Trust Company (‘‘DTC’’)
account of the Authorized Participant.
In limited circumstances and with the
approval of the Trustee, Baskets may be
created for cash, in which case the
Authorized Participant will be required
to pay any additional issuance costs,
including the costs to the applicable
Investing Pool of establishing the
corresponding CERF position.
Only Authorized Participants can
transfer the required consideration and
receive Baskets in exchange. Authorized
Participants may act for their own
accounts or as agents for broker-dealers,
custodians and other securities market
participants that wish to create or
redeem Baskets. An Authorized
Participant will have no obligation to
create or redeem Baskets for itself or on
behalf of other persons. An order for one
or more baskets may be placed by an
Authorized Participant on behalf of
multiple clients. The Sponsor and the
Trustee will maintain a current list of
Authorized Participants.
No Shares will be issued unless and
until the Trustee receives confirmation
that (1) the required consideration has
been received in the account or
accounts specified by the Trustee and
(2) the Manager confirms that Investing
Pool Interests with an initial value equal
to the consideration received for the
Shares have been issued to the Trust. It
is expected that delivery of the Shares
will be made against transfer of
consideration on the next Business Day
(T+1) following the Business Day on
which the creation order is received by
the Trustee. If the Trustee has not
received the required consideration for
the Shares to be delivered on the
delivery date, by 11 a.m., New York
Time, the Trustee may cancel the
creation order.18
18 The
price at which the Shares trade should be
disciplined by arbitrage opportunities created by
the ability to purchase or redeem shares of the Trust
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9391
4. Redemptions of Baskets
Authorized Participants may typically
surrender Baskets in exchange only for
an amount of CERFs and cash (or, in the
discretion of the Trustee, Short-Term
Securities in lieu of cash) equal to the
Basket Amount on the Business Day the
redemption request is received by the
Trustee. However, redemption requests
received by the Trustee after 2:40 p.m.,
New York Time (or, on any day on
which the CME is scheduled to close
early, after the close of trading of CERFs
on the CME on such day), will be
treated as received on the next following
Business Day. Holders of Baskets who
are not Authorized Participants will be
able to redeem their Baskets only
through an Authorized Participant. It is
expected that Authorized Participants
may redeem Baskets for their own
accounts or on behalf of Shareholders
who are not Authorized Participants,
but they are under no obligation to do
so.
Before surrendering Baskets for
redemption, an Authorized Participant
must deliver to the Trustee a written
request indicating the number of
Baskets it intends to redeem and
providing other details with respect to
the procedures by which the required
Basket Amount will be transferred. The
Trustee will acknowledge the
redemption order unless it or the
Sponsor decides to refuse the
redemption order as described in the
Trusts’ prospectuses.
After the delivery by the Authorized
Participant to the Trustee’s DTC account
of the total number of Shares to be
redeemed by an Authorized Participant,
the Trustee will deliver to the order of
the redeeming Authorized Participant
redemption proceeds consisting of
CERFs and cash (or, in the discretion of
the Trustee, Short-term Securities in
lieu of cash). In connection with a
redemption order, the redeeming
Authorized Participant authorizes the
Trustee to deduct from the proceeds of
redemption a transaction fee per Basket
(described below). In limited
circumstances and with the approval of
the Trustee, Baskets may be redeemed
for cash, in which case the Authorized
Participants will be required to pay any
additional redemption costs, including
the costs to the Investing Pool of
liquidating the corresponding CERF
position. The Trust will receive these
redemption proceeds pursuant to the
Trust’s contemporaneous redemption of
Investing Pool Interests of
in Basket size. This should help ensure that the
Shares will not trade at a material discount or
premium to their net asset value or redemption
value.
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corresponding value. Shares can be
surrendered for redemption only in
Baskets consisting of 50,000 Shares
each.
It is expected that delivery of the
CERFs, cash or Short-term Securities to
the redeeming Shareholder will be made
against transfer of the Baskets on the
next Business Day following the
Business Day on which the redemption
request is received by the Trustee. If the
Trustee’s DTC account has not been
credited with the total number of Shares
to be redeemed pursuant to the
redemption order by 11 a.m., New York
Time, on the delivery date, the Trustee
may cancel the redemption order.
DTC will accept the Shares for
settlement through its book-entry
settlement system. Shares do not have
any voting rights.
5. Fees and Expenses of the Trustee
Each order for the creation of Baskets
must be accompanied by a payment to
the Trustee of a transaction fee per
Basket of $6.50 multiplied by the
number of CERFs included in the Basket
Amount. For redemption orders, the
redeeming Authorized Participant will
authorize the Trustee to deduct from the
proceeds of the redemption a
transaction fee per Basket equal to $6.50
multiplied by the number of CERFs
included in the Basket Amount, plus
any expenses, taxes or charges (such as
stamp taxes or stock transfer taxes or
fees) related to the creation or surrender
for redemption. The creation and
redemption transaction fee per basket is
subject to modification from time to
time.
The Trustee will be entitled to
reimburse itself from the assets of the
Trusts for all expenses and
disbursements incurred by it for
extraordinary services it may provide to
the Trusts or in connection with any
discretionary action the Trustee may
take to protect the Trusts or the interests
of the holders to the extent not paid by
the Sponsor.
rwilkins on PROD1PC63 with NOTICES
6. Dissemination of Information Relating
to the Shares
The Web site for the Trusts (https://
www.ishares.com), which will be
publicly accessible at no charge, will
contain the following information: (a)
The prior Business Day’s NAV on a per
Share basis and the reported closing
price; (b) the mid-point of the bid-ask
price 19 in relation to the NAV as of the
time the NAV is calculated (the ‘‘BidAsk Price’’); (c) calculation of the
19 The bid-ask price of Shares is determined using
the highest bid and lowest offer as of the time of
calculation of the NAV.
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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
Trusts, including CERFs, cash and
Treasury securities; (g) the Basket
Amount, and (h) other applicable
quantitative information. The Exchange
on its Web site at https://www.nyse.com
will include a hyperlink to the Trusts’
Web site at https://www.ishares.com.
As described above, the NAV for the
Fund will be calculated and
disseminated daily. In addition, during
the NYSE Arca Core Trading Session
(9:30 a.m. to 4:15 p.m., New York Time)
for the Trusts, one or more major market
data vendors will disseminate
information with respect to the
Indicative Intra-day Value (as discussed
below), recent NAV, and Shares
outstanding on a daily basis.
The Sponsor for the Trusts (Barclays
Global Investors International, Inc.) has
represented to the Exchange that the
Trustee for the Trusts will make the
NAV per Share available to all market
participants at the same time.
At present, official calculation by the
Index Sponsor of the value of each GS
Index is performed continuously and is
updated on Reuters at least every 15
seconds during NYSE trading hours for
the Shares and during business hours on
each Business Day (as defined above) 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 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 Indexes
during Exchange trading hours. Daily
settlement values for the S&P GSCI and
S&P GS Indexes, Total Return Indexes
and Excess Return Indexes 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 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
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Fmt 4703
Sfmt 4703
in its reasonable judgment for purposes
of the relevant calculation. If such
actions by the Index Sponsor are
implemented on more than a temporary
basis, the Exchange will contact the
Commission Staff and, as necessary,
make an appropriate filing under Rule
19b–4.
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 or 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.
7. Indicative Intra-day Value
In order to provide updated
information relating to the Trusts for use
by investors, professionals, and other
persons, one or more major market data
vendors will disseminate an updated
Indicative Intra-day Value (‘‘IIV’’) on a
per Share basis. The IIV will be
disseminated at least every 15 seconds
from 9:30 a.m. to 4:15 p.m., New York
Time. The IIV will be calculated based
on the cash and collateral in a Basket
Amount divided by 50,000, adjusted to
reflect the market value of the
investments held by the applicable
Investing Pool, i.e. CERFs. The IIV will
not reflect price changes to the price of
an underlying commodity between the
close of trading of the futures contract
at the relevant futures exchange and the
close of the Core Trading Session on
NYSE Arca at 4:15 p.m. New York Time.
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.
When the market for futures trading
for each of the relevant Index
commodities is open, the IIV can be
expected to approximate the value per
Share of the Basket Amount. IIV on a
per Share basis disseminated during the
NYSE Arca Core Trading Session should
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rwilkins on PROD1PC63 with NOTICES
not be viewed as a real time update of
the NAV, which is calculated only once
a day.
8. Other Characteristics of the Shares
General Information. A minimum of
two Baskets, representing 100,000
Shares, will be outstanding for each
Trust at the commencement of trading
on the Exchange.
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
will be $0.01.
Continued Listing Criteria. Under the
applicable continued listing criteria, the
Shares may be delisted as follows: (1)
Following the initial twelve-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 Indexes
cease 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 IIV ceases to be
available on at least a 15-second delayed
basis from a major market data vendor;
or (4) 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.
In addition, the Exchange will file a
proposed change pursuant to Rule 19b–
4 under the Act seeking approval to
continue trading the Shares and, unless
approved, the Exchange will commence
delisting the Shares, if: (1) The Index
Sponsor substantially changes either the
applicable Index component selection
methodology or the weighting
methodology; (2) a new component is
added to the Index (or pricing
information is used for a new or existing
component) that constitutes more than
10% of the weight of the Index with
whose principal trading market the
Exchange does not have a
comprehensive surveillance sharing
agreement; (3) the Manager uses a price
to value the Investing Pool’s long
position in CERFs based on a price other
than the most recently announced CME
settlement price, other than on a
temporary basis based on extraordinary
circumstances; or (4) a successor or
substitute index is used in connection
with the Shares. With respect to the
successor or substitute index, the Rule
19b–4 filing will address, among other
things, the listing and trading
characteristics of such index and the
Exchange’s surveillance procedures
applicable thereto.
9. 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 will occur 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) sets forth certain restrictions
on equity trading permit holders (‘‘ETP
Holders’’) acting as registered Market
Makers 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.
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 applicable
Index or Indexes; or (2) whether other
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16:47 Feb 19, 2008
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9393
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.20 If the value of the Total Return
Index associated with a Trust’s Shares
or the applicable 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.
Additionally, if the Exchange becomes
aware that the NAV is not disseminated
to all market participants at the same
time, it will halt trading in the Shares
until such time as the NAV is available
to all market participants.
As a general matter, 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.
10. 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
20 See
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NYSE ARCA Equities Rule 7.12.
20FEN1
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Federal Register / Vol. 73, No. 34 / Wednesday, February 20, 2008 / Notices
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 the NYM, the Kansas City
Board of Trade, ICE and the 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.
In addition, the Exchange will file a
proposed change pursuant to Rule 19b–
4 under the Act seeking approval to
continue trading the Shares if the Index
Sponsor adds a new component to an
Index (or pricing information is used for
a new or existing component) that
constitutes more than 10% of the weight
of the Index where the principal trading
market for such component is not a
member or affiliate of ISG or where the
Exchange does not have a
comprehensive surveillance sharing
agreement with such market.
rwilkins on PROD1PC63 with NOTICES
11. 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 when the updated IIV
is not calculated and disseminated 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),21 which
21 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,
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16:47 Feb 19, 2008
Jkt 214001
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
requirement that ETP Holders deliver a
prospectus to investors purchasing
newly issued Shares prior to or
concurrently with the confirmation of a
transaction; and (5) 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 Trusts. The Exchange
notes that investors purchasing Shares
directly from the Trusts (by delivery of
the Basket Amount) will receive a
prospectus. ETP Holders purchasing
Shares from the Trusts for resale to
investors will deliver a prospectus to
such investors.
In addition, the Information Bulletin
will reference that the Trusts are subject
to various fees and expenses described
in the Registration Statements. The
Information Bulletin will also reference
the fact that there is no regulated source
of last sale information regarding
physical commodities, that the
Commission has no jurisdiction over the
trading of physical commodities or the
futures contracts on which the value of
the Shares is based.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received from
Members, Participants, or Others
The Exchange has neither solicited
nor received written comments on the
proposed rule change.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Within 35 days of the date of
publication of this notice in the Federal
Register or within such longer period (i)
as the Commission may designate up to
90 days of such date if it finds such
longer period to be appropriate and
publishes its reasons for so finding or
(ii) as to which the self-regulatory
organization consents, the Commission
will:
A. By order approve such proposed
rule change, or
B. Institute proceedings to determine
whether the proposed rule change
should be disapproved.
The Commission is considering granting
accelerated approval of the proposed
rule change at the end of a 15-day
comment period.23
12. Statutory Basis
The basis under the Act for this
proposed rule change is the requirement
under section 6(b)(5) 22 that an Exchange
have rules that are designed to prevent
fraudulent and manipulative acts and
practices, to promote just and equitable
principles of trade, to 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.
IV. Solicitation of Comments
Interested persons are invited to
submit written data, views, and
arguments concerning the foregoing,
including whether the proposed rule
change is consistent with the Act.
Comments may be submitted by any of
the following methods:
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an e-mail to rulecomments@sec.gov. Please include File
Number SR–NYSEArca–2007–91 on the
subject line.
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.
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).
22 15 U.S.C. 78f(b)(5).
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Frm 00122
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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–2007–91. 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/
23 NYSE Arca requested accelerated approval of
this proposed rule change prior to the 30th day after
the date of publication of the notice of the filing
thereof.
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Federal Register / Vol. 73, No. 34 / Wednesday, February 20, 2008 / Notices
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–2007–91 and
should be submitted on or before March
6, 2008.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.24
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E8–3042 Filed 2–19–08; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–57320; File No. SR–
NYSEArca–2008–15]
Self-Regulatory Organizations; NYSE
Arca, Inc.; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change To Continue To List and
Trade the Shares of the iShares MSCI
Mexico Index Fund
rwilkins on PROD1PC63 with NOTICES
February 13, 2008.
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 January
28, 2008, NYSE Arca, Inc. (‘‘NYSE
Arca’’ or ‘‘Exchange’’), through its
wholly owned subsidiary, NYSE Arca
Equities, Inc. (‘‘NYSE Arca Equities’’),
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
24 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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16:47 Feb 19, 2008
Jkt 214001
Exchange. NYSE Arca filed the proposal
pursuant to Section 19(b)(3)(A) of the
Act 3 and Rule 19b–4(f)(6) thereunder,4
which renders the proposal effective
upon filing with the Commission. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to continue to
list and trade the shares (‘‘Shares’’) of
the iShares MSCI Mexico Index Fund
(‘‘Fund’’). The Fund seeks to provide
investment results that correspond
generally to the price and yield
performance, before fees and expenses,
of publicly traded securities in the
aggregate in the Mexican market, as
represented by the MSCI Mexico
Investable Market Index (‘‘Index’’). The
text of the proposed rule change is
available at the Exchange, the
Commission’s Public Reference Room,
and www.nyse.com.
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission, the
Exchange included statements
concerning the purpose of, and basis for,
the proposed rule change and discussed
any comments it received on the
proposed rule change. The text of these
statements may be examined at the
places specified in Item IV below. The
Exchange has prepared summaries, set
forth in Sections A, B, and C below, of
the most significant aspects of such
statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange proposes to continue to
list and trade the Shares of the Fund
under NYSE Arca Equities Rule 5.2(j)(3),
the Exchange’s listing standards for
Investment Company Units (‘‘ICUs’’).5
Although the Shares are currently listed
and traded on NYSE Arca, the Exchange
submits this proposed rule change
3 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6).
5 ICUs are securities that represent an interest in
a registered investment company or similar entity
that (1) holds securities comprising, or otherwise
based on or representing an interest in, an index or
portfolio of securities, or (2) holds securities in
another registered investment company that holds
securities comprising, or otherwise based on or
representing an interest in, an index or portfolio of
securities. See NYSE Arca Equities Rule
5.2(j)(3)(A)(i).
4 17
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9395
because, as a result of revisions to the
methodology for calculating the Index
that were implemented on December 1,
2007, the Shares no longer satisfy all of
the ‘‘generic’’ listing requirements of
Commentary .01(a)(B) to NYSE Arca
Equities Rule 5.2(j)(3) applicable to ICUs
based on an international or global
index or portfolio.6
Specifically, the revised Index fails to
satisfy the provisions of Commentary
.01(a)(B)(3) to NYSE Arca Equities Rule
5.2(j)(3), which requires that: (1) The
most heavily weighted component shall
not exceed 25% of the weight of the
Index; and (2) the five most heavily
weighted component stocks shall not
exceed 60% of the weight of the Index.7
The Exchange represents that, except for
Commentary .01(a)(B)(3) to NYSE Arca
Equities Rule 5.2(j)(3), the Shares
currently satisfy all of the generic listing
standards under NYSE Arca Equities
Rule 5.2(j)(3), and the continued listing
standards under NYSE Arca Equities
Rules 5.2(j)(3) and 5.5(g)(2) applicable to
ICUs continue to apply to the Shares.
The Exchange further represents that
iShares, Inc. is required to comply with
Rule 10A–3 under the Act 8 for the
initial and continued listing of the
Shares.
Detailed descriptions of the Fund,
Index (including the methodology used
to determine the composition of the
Index), procedures and payment
requirements for creating and redeeming
Shares, transaction fees and expenses,
dividends, distributions, taxes, and
reports to be distributed to beneficial
owners of the Shares can be found in
the Registration Statement 9 or on the
Internet Web site for the Fund (https://
www.iShares.com), as applicable.
6 The generic listing requirements under NYSE
Arca Equities Rule 5.2(j)(3) permit the listing and
trading of ICUs pursuant to Rule 19b–4(e) under the
Act (17 CFR 240.19b–4(e)). Rule 19b–4(e) provides
that the listing and trading of a new derivative
securities product by a self-regulatory organization
(‘‘SRO’’) shall not be deemed a proposed rule
change, pursuant to Rule 19b–4(c)(1), if the
Commission has approved, pursuant to Section
19(b) of the Act, the SRO’s trading rules,
procedures, and listing standards for the product
class that would include the new derivatives
securities product, and the SRO has a surveillance
program for the product class.
7 The Exchange represents that, as of December 3,
2007, the most heavily weighted component of the
Index represented 32.2% of the Index weight, and
the five most heavily weighted component stocks
represented 65.2% of the Index weight.
8 17 CFR 240.10A–3.
9 See Registration Statement on Form N–1A (PostEffective Amendment) filed by iShares, Inc. with
the Commission on December 28, 2007 (File Nos.
033–97598 and 811–09102) (‘‘Registration
Statement’’).
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]]>Agencies
[Federal Register Volume 73, Number 34 (Wednesday, February 20, 2008)]
[Notices]
[Pages 9381-9395]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E8-3042]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-57318; File No. SR-NYSEArca-2007-91]
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of a Proposed Rule Change, and Amendment No. 1 Thereto, Relating to the
Listing and Trading of Six iShares[supreg] S&P GSCI\TM\ Commodity-
Indexed Trusts
February 12, 2008.
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 August 30, 2007, NYSE Arca, Inc. (``NYSE Arca'' or ``Exchange''),
through its
[[Page 9382]]
wholly-owned subsidiary NYSE Arca Equities, Inc. (``NYSE Arca
Equities''), filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I, II,
and III below, which Items have been substantially prepared by the
Exchange. On February 11, 2008, the Exchange filed Amendment No. 1 to
the proposed rule change. The Commission is publishing this notice to
solicit comments on the proposed rule change, as amended, from
interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
NYSE Arca proposes to list and trade shares of the following trusts
under NYSE Arca Equities Rule 8.203: iShares [supreg] S&P GSCI
TM Energy Commodity-Indexed Trust; iShares [supreg] S&P GSCI
TM Natural Gas Commodity-Indexed Trust; iShares [supreg] S&P
GSCI TM Industrial Metals Commodity-Indexed Trust; iShares
[supreg] S&P GSCI TM Light Energy Commodity-Indexed Trust;
iShares [supreg] S&P GSCI TM Livestock Commodity-Indexed
Trust; and iShares [supreg] S&P GSCI TM Non-Energy
Commodity-Indexed Trust.\3\ The shares will represent units of
beneficial interest representing fractional undivided beneficial
interests in the net assets of the issuing trust.
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\3\ iShares [supreg] is a registered trademark of Barclays
Global Investors, N.A. ``S&P GSCI'' is a trademark of Standard &
Poor's, a division of The McGraw-Hill Companies, Inc.
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II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the Exchange included statements
concerning the purpose of, and basis for, the proposed rule change, and
discussed any comments it received on the proposed rule change. The
text of these statements may be examined at the places specified in
Item IV below. The Exchange has prepared summaries, set forth in
sections A, B, and C below, of the most significant aspects of such
statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange proposes to list and trade, under NYSE Arca Equities
Rule 8.203, shares (``Shares'') of the following trusts: iShares
[supreg] S&P GSCI TM Energy Commodity-Indexed Trust; iShares
[supreg] S&P GSCI TM Natural Gas Commodity-Indexed Trust;
iShares [supreg] S&P GSCI TM Industrial Metals Commodity-
Indexed Trust; iShares [supreg] S&P GSCI TM Light Energy
Commodity-Indexed Trust; iShares [supreg] S&P GSCI TM
Livestock Commodity-Indexed Trust; and iShares [supreg] S&P GSCI
TM Non-Energy Commodity-Indexed Trust (collectively, the
``Trusts'').\4\ The objective of each Trust is for the performance of
the Shares to correspond generally to the performance of the following
indexes, respectively, before payment of the Trust's and the Investing
Pool's (as described below) expenses and liabilities: the S&P GSCI
TM Energy Total Return Index; S&P GSCI TM Natural
Gas Total Return Index; S&P GSCI TM Industrial Metals Total
Return Index; S&P GSCI TM Light Energy Total Return Index;
S&P GSCI TM Livestock Total Return Index; and S&P GSCI
TM Non-Energy Total Return Index (collectively, the ``Total
Return Indexes'').\5\
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\4\ The Sponsor (defined infra) filed Form S-1 for the iShares
GS Commodity Industrial Metals Indexed Trust, iShares GS Commodity
Light Energy Indexed Trust, iShares GS Commodity Livestock Indexed
Trust and iShares GS Commodity Non-Energy Indexed Trust on August
31, 2006. See Registration Nos. 333-135823 through 135826. The
Sponsor filed Pre-Effective Amendment No 3 to the Form S-1 for the
iShares [supreg] S&P GSCI TM Industrial Metals Commodity-
Indexed Trust and iShares [supreg] S&P GSCI TM Non-Energy
Commodity-Indexed Trust on June 18, 2007. See Registration Nos. 333-
135825 and 333-135824. The Sponsor filed Form S-1 for the iShares
[supreg] S&P GSCI TM Energy Commodity-Indexed Trust and
iShares [supreg] S&P GSCI TM Natural Gas Commodity-
Indexed Trust on January 23, 2007 and Amendment No. 1 thereto on
June 18, 2007. See Registration Nos. 333-140162 and 333-140164.
These filings are referred to collectively herein as the
``Registration Statements.''
\5\ The Commission approved for listing on the New York Stock
Exchange LLC (``NYSE'') shares of the iShares GS Commodity Light
Energy Indexed Trust, shares of the iShares GS Commodity Industrial
Metals Indexed Trust, shares of the iShares GS Commodity Livestock
Indexed Trust, and shares of the iShares GS Commodity Non-Energy
Indexed Trust. See Securities Exchange Act Release No. 55585 (April
5, 2007), 72 FR 18500 (April 12, 2007) (SR-NYSE-2006-75). None of
the Trusts, however, have commenced trading on the NYSE and,
following Commission approval of this proposed rule change, will be
listed on NYSE Arca rather than on NYSE and will not trade on NYSE.
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The commodity component of each of the Total Return Indexes is
comprised of either one or a group of commodities included in the S&P
GSCI TM Commodity Index (``S&P GSCI TM''), which
is a production-weighted index of the prices of a diversified group of
futures contracts on physical commodities. Each Total Return Index
reflects the return of the corresponding S&P GSCI TM Excess
Return Index, 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 corresponding index.
Each S&P GSCI TM Excess Return Index is calculated based
on the same commodities as those in the respective Total Return Index
and S&P GS Index (defined below), and reflects the returns that are
potentially available through a rolling uncollateralized investment in
the contracts comprising the applicable S&P GS Index, as described
below. An S&P GSCI TM Excess Return Index does not reflect
the return on U.S. Treasury securities used to collateralize positions
in futures contracts comprising that index.\6\
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\6\ S&P acquired the S&P GSCI (formerly known as the ``Goldman
Sachs Commodity Index''), the S&P GSCI-ER and the Total Return
Indexes from Goldman Sachs & Co., the prior Index Sponsor, effective
May 2007. According to the Registration Statements, S&P has
represented that it will not modify the determination methodology
for the S&P GSCI Total Return Indexes 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.
To date, the Registration Statements for iShares GS Commodity Light
Energy Indexed Trust and iShares GS Commodity Livestock Indexed
Trust have not been updated to reflect S&P's index acquisitions from
Goldman Sachs. The Sponsor of the Trusts, Barclays Global Investors
International, Inc., has represented that the Registration
Statements for iShares GS Commodity Light Energy Indexed Trust and
iShares GS Commodity Livestock Indexed Trust will be updated to
reflect S&P's acquisitions prior to commencement of secondary market
trading of Shares of such Trusts.
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Each Trust will attempt to approximate its respective Total Return
Index by holding interests in an Investing Pool (described below),
which, in turn, holds futures contracts (referred to as CERFs) on the
corresponding Excess Return Index, together with cash or other short-
term securities used to collateralize the futures positions.
a. The Trusts and Investing Pools
Each Trust is a Delaware statutory trust that will issue units of
beneficial interest called Shares, representing fractional undivided
beneficial interests in its net assets. Substantially all of the assets
of each 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 Trusts will hold interests in the following commodity
pools, respectively: iShares [supreg] S&P GSCI TM Energy
Commodity-Indexed Investing Pool; iShares [supreg] S&P GSCI
TM Natural Gas Commodity-Indexed Investing Pool; iShares
[supreg] S&P GSCI TM Industrial Metals Commodity-Indexed
Investing Pool; iShares [supreg] S&P GSCI TM Light Energy
Commodity-Indexed Investing Pool;
[[Page 9383]]
iShares [supreg] S&P GSCI TM Livestock Commodity-Indexed
Investing Pool; and iShares [supreg] S&P GSCI TM Non-Energy
Commodity-Indexed Investing Pool (collectively, ``Investing Pools'').
Each commodity pool holds long positions in futures contracts on
the following indexes, respectively, (collectively, the ``Excess Return
Indexes'') and will post margin in the form of cash or short-term
securities to collateralize these futures positions: S&P GSCI
TM Energy Excess Return Index (``S&P GS Energy-ER''); S&P
GSCI TM Natural Gas Excess Return Index (``S&P GS Natural
Gas-ER''); S&P GSCI TM Industrial Metals Excess Return Index
(``S&P GS Industrial Metals-ER''); S&P GSCI TM Light Energy
Excess Return Index (``S&P GSLE-ER''); S&P GSCI TM Livestock
Excess Return Index (``S&P GS-Livestock-ER''); and S&P GSCI
TM Non-Energy Excess Return Index (``S&P GSNE-ER''). Trading
on the Chicago Mercantile Exchange (``CME'') Globex electronic trading
platform of CERFs based on the GSCI Excess Return Index commenced
effective March 12, 2006 for trade date March 13, 2006. Trading in
CERFs based on the other Excess Return Indexes is expected to begin
shortly before the initial sale of the Shares to the public.
The Trusts and the Investing Pools are each commodity pools managed
by a commodity pool operator registered as such with the Commodity
Futures Trading Commission (``CFTC''). According to the Registration
Statements, neither the Trusts nor the Investing Pools are investment
companies registered under the Investment Company Act of 1940
(``Investment Company Act'').\7\
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\7\ 15 U.S.C. 80a et seq.
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According to the Registration Statements, the Shares are intended
to constitute a relatively cost-effective means of achieving investment
exposure to the performance of the respective Total Return Indexes,
which are intended to reflect the performance of a specified group of
commodities. Although the Shares will not be the exact equivalent of an
investment in the underlying futures contracts and Treasury securities
represented by the Total Return Indexes, the Shares are intended to
provide investors with an alternative way of participating in the
commodities market.
b. The Sponsor and Trustee
The Sponsor of the Trusts is Barclays Global Investors
International, Inc. The Sponsor's primary business function is to act
as Sponsor and commodity pool operator of the Trusts and Manager of the
Investing Pools, as discussed below.\8\ The Advisor to the Investing
Pools is Barclays Global Fund Advisors, a California corporation and an
indirect subsidiary of Barclays Bank PLC.
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\8\ Barclays Global Investors International, Inc. is a commodity
pool operator registered with the CFTC.
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Barclays Global Investors International, Inc. will also serve as
the Manager of the Investing Pools, in which capacity it will serve as
commodity pool operator of the Investing Pools and be responsible for
their administration. The Manager will arrange for and pay the costs of
organizing the Investing Pools. The Manager has delegated some of its
responsibilities for administering the Investing Pools 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 Pools.
The 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 Trusts. Day-to-day administration
includes (1) processing orders for the creation and redemption of
Baskets (each Basket an aggregation of 50,000 Shares), (2) coordinating
with the Manager of the Investing Pools the receipt and delivery of
consideration transferred to, or by, the Trusts in connection with each
issuance and redemption of Baskets, and (3) calculating the net asset
value (``NAV'') of the Trusts on each Business Day.\9\ The Trustee has
delegated these responsibilities to the Trust Administrator, State
Street Bank and Trust Company, a banking corporation that is not
affiliated with the Sponsor or the Trustee.\10\ 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.
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\9\ The Registration Statements define ``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.
\10\ Except as otherwise specifically noted, the information
provided in this proposed rule change relating to the Trusts and the
Shares, commodities markets, and related information is based
entirely on information included in the Registration Statements.
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c. The Investing Pools
The Investing Pools will hold 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 respective Excess Return
Indexes at that time. The Investing Pools will also earn interest on
the assets used to collateralize its holdings of CERFs.
d. The Total Return Indexes
The S&P GSCI TM Industrial Metals Total Return Index is
intended to reflect the performance of a group of industrial metal
commodities (currently including copper, aluminum, zinc, nickel and
lead). The S&P GSCI TM Light Energy Total Return Index is
intended to reflect the performance of the same group of commodities
included in the S&P GSCI[supreg], but with a reduced weighting for
energy commodities. The S&P GSCI TM Livestock Total Return
Index is intended to reflect the performance of a group of commodities
comprising the livestock component of the S&P GSCI TM
(currently including live cattle, live hogs and feeder cattle). The S&P
GSCI TM Non-Energy Total Return Index is intended to reflect
the performance of a group of non-energy commodities. The S&P GSCI
TM Energy Total Return Index is intended to reflect the
performance of a group of commodities comprising the energy component
of the S&P GSCITM. The S&P GSCI TM Natural Gas
Total Return Index is intended to reflect the performance of the
performance of natural gas included in the S&P GSCITM.
Each relevant Index is administered, calculated and published by
Standard & Poor's (the ``Index Sponsor''). The Excess Return Indexes
reflect the return of an uncollateralized investment in the contracts
comprising the S&P GSCI\TM\ Energy Index, the S&P GSCI\TM\ Natural Gas
Index, the S&P GSCI\TM\ Industrial Metals Index, the S&P GSCI\TM\ Light
Energy Index, the S&P GSCI\TM\ Livestock Index, and the S&P GSCI\TM\
Non-Energy Index, respectively (collectively, the ``S&P GS Indexes'').
In addition, the Excess Return Indexes incorporate the economic effect
of ``rolling'' the contracts included in the S&P GS Indexes as they
near expiration. ``Rolling'' a futures contract means closing out a
position in an expiring futures contract and establishing an equivalent
position in the contract on the same commodity with the next expiration
date. If S&P ceases to maintain the Total Return Indexes, the Trusts,
through the Investing Pools, may seek investment results that
correspond generally to the performance of a fully collateralized
investment in a successor, or, in the opinion of the Manager,
reasonably similar indexes to the Total Return Indexes.
Each Trust, through its respective Investing Pool, will be a
passive investor in CERFs and the cash or Short-
[[Page 9384]]
Term Securities \11\ posted as margin to collateralize the Investing
Pool's CERF positions. Neither such Trust nor the respective Investing
Pool will engage in any activities designed to obtain a profit from, or
to ameliorate losses caused by, changes in the value of CERFs or
securities posted as margin. Each Investing Pool, and some other types
of market participants, will be required to deposit margin with a value
equal to 100% of the value of each CERF position at the time it is
established. Those market participants not subject to the 100% margin
requirement are required to deposit margin generally with a value of 3%
to 5% of the established position. Interest paid on the collateral
deposited as margin, net of expenses, will be reinvested by the
Investing Pool or, at the Trustee's discretion, may be distributed from
time to time to the Shareholders. The Investing Pool's profit or loss
on its CERF positions should correlate with increases and decreases in
the value of the applicable Excess Return Index, although this
correlation will not be exact. The interest on the collateral deposited
by the Investing Pool as margin, together with the returns
corresponding to the performance of the applicable Excess Return Index,
is expected to result in a total return for the Investing Pool that
corresponds generally, but is not identical, to the applicable Index.
Differences between the returns of the Investing Pool and the
applicable Index may be based on, among other factors, any differences
between the return on the assets used by the Investing Pool to
collateralize its CERF positions and the U.S. Treasury rate used to
calculate the return component of the Index, timing differences,
differences between the weighting of the Investing Pool's proportion of
assets invested in CERFs versus the Index, and the payment of expenses
and liabilities by the Investing Pool. Each Trust's net asset value
will reflect the performance of the applicable Investing Pool, such
Trust's sole investment.
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\11\ ``Short-Term Securities'' means U.S. Treasury Securities or
other short-term securities and similar securities, in each case
that are eligible as margin deposits under the rules of the CME.
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The Investing Pools will be managed by the Advisor, which will
invest all of the Investing Pools' assets in long positions in
respective CERFs and post margin in the form of cash or Short-Term
Securities to collateralize the CERF positions. Any cash that the
Investing Pool accepts as consideration from the Trusts for Investing
Pool Interests will be used to purchase additional CERFs, in an amount
that the Advisor determines will enable the Investing Pools to achieve
investment results that correspond with the applicable Index, and to
collateralize the CERFs. According to the Registration Statements, the
Advisor will not engage in any activities designed to obtain a profit
from, or to ameliorate losses caused by, changes in value of any of the
commodities represented by the S&P GSCI\TM\-ER Indexes or the positions
or other assets held by the Investing Pool.
e. Futures Contracts on the Excess Return Indexes
The assets of the Investing Pools will consist of CERFs and cash or
Short-Term Securities posted as margin to collateralize the Investing
Pools' CERF positions. Futures contracts and options on futures
contracts on the GSCI, which does not reflect the excess return
embedded in the GSCI-ER, have been traded on the CME since 1992. CERFs
are listed and traded separately from the S&P GSCI futures contracts
and options on futures contracts.
CERFs trading is subject to the rules of the CME. According to the
Registration Statements, CERFs trade on GLOBEX, the CME's electronic
trading system, and do not trade through open outcry on the floor of
the CME.\12\ Transactions in CERFs are cleared through the CME
clearinghouse by the trader's futures commission merchant acting as its
agent. Under these clearing arrangements, the CME clearinghouse becomes
the buyer to each member futures commission merchant representing a
seller of the contract and the seller to each member futures commission
merchant representing a buyer of the contract. As a result of these
clearing arrangements, each trader holding a position in CERFs is
subject to the credit risk of the CME clearinghouse and the futures
commission merchant carrying its position in CERFs.
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\12\ Trading hours for CERFs on GLOBEX will be as follows:
Sunday, 6 p.m. to 2:40 p.m. (next day) (New York Time); Monday to
Thursday, 6 p.m. to 2:40 p.m. (next day) and 3 p.m. to 5 p.m. (New
York Time).
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Each CERF is a contract that provides for cash settlement, at
expiration, based upon the final settlement value of the applicable
Excess Return Index at the expiration of the contract, multiplied by a
fixed dollar multiplier. On a daily basis, most market participants
with positions in CERFs are obligated to pay, or entitled to receive,
cash (known as ``variation margin'') in an amount equal to the change
in the daily settlement level of the CERF from the preceding trading
day's settlement level (or, initially, the contract price at which the
position was entered into). Specifically, if the daily settlement price
of the contract increases over the previous day's price, the seller of
the contract must pay the difference to the buyer, and if the daily
settlement price is less than the previous day's price, the buyer of
the contract must pay the difference to the seller.
Futures contracts also typically require deposits of initial margin
as well as payments of daily variation margin as the value of the
contracts fluctuate. For most market participants, the initial margin
requirement for CERFs is generally expected to be 3% to 5%. Certain
market participants (known as ``100% margin participants''), however,
will be required to deposit with their futures commission merchant
(``FCM'') initial margin in an amount equal to 100% of the value of the
CERF on the date the position is established. The FCM, in turn, will be
required to deliver to the CME clearinghouse initial margin in a
specified amount and pledge to the clearinghouse, pursuant to a
separate custody arrangement, an amount equal to the remainder of the
100% margin amount posted by 100% margin participants, either from
amounts posted by those 100% margin participants or from its own
assets. The separate custody arrangement will be either an account with
the FCM or a third party custody account.
As a result of these arrangements, a 100% margin participant buying
a CERF will be subject to substantially greater initial margin
requirements than other market participants, but will not be required
to pay any additional amounts to its futures commission merchant as
variation margin if the value of the CERFs declines. Instead, the
futures commission merchant will be obligated to make variation margin
payments to the clearinghouse in respect of CERFs held by 100% margin
participants, which it will withdraw from the separate custody account
(and, in turn, from the 100% margin posted by those participants).
If the daily settlement price increases, the futures commission
merchant will receive variation margin from the clearinghouse for the
account of the 100% margin participant, which it will hold in the
separate custody account for the benefit of 100% margin participants.
The buyer will not, however, be entitled to receive this variation
margin from its futures commission merchant (until the liquidation or
final settlement of its CERF position). The buyer will be entitled to
receive interest or other income on the assets it has deposited as
[[Page 9385]]
margin or that are credited to the custody account on its behalf from
time to time.
Upon liquidation or settlement of a CERF, a 100% margin participant
will receive from its futures commission merchant its initial margin
deposit, adjusted for variation margin paid or received by the futures
commission merchant with respect to the contract during the time it was
held by the participant (or the proceeds from liquidation of any
investments made with such funds for the benefit of the participant
under the terms of its custody arrangement with the carrying futures
commission merchant).
The 100% margin participants will include any market participant
that is (1) an investment company registered under the Investment
Company Act or (2) an investment fund, commodity pool, or other similar
type of pooled trading vehicle (other than a pension plan or fund) that
is offered to the public pursuant to an effective registration
statement filed under the Securities Act of 1933,\13\ regardless of
whether it is also registered under the Investment Company Act, and
that has its principal place of business in the United States.
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\13\ 15 U.S.C. 77a, et seq.
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The Investing Pools will be a 100% margin participants. The
Investing Pools will satisfy the 100% margin requirement by depositing
with the Clearing FCM \14\ cash or Short-Term Securities with a value
equal to 100% of the value of each long position in CERFs.
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\14\ The term ``Clearing FCM'' is defined in the Registration
Statement as Goldman, Sachs & Co. or any other futures commission
merchant appointed by the Manager as clearing futures commission
merchant for the Investing Pool.
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According to the Registration Statements, CERFs also differ from
traditional futures contracts in another significant respect. In
contrast to other types of futures contracts, which are typically
listed with monthly, bimonthly or quarterly expirations, CERFs will be
listed only with approximately five-year expirations. A buyer or seller
of CERFs will be able to trade CERFs on the market maintained by the
CME and will consequently be able to liquidate its position at any
time, subject to the existence of a liquid market. If a party to a CERF
wishes to hold its position to expiration, however, it will be
necessary to maintain the position for up to five years. According to
the Registration Statements, as a CERF nears expiration, it is
anticipated, but there can be no assurance, that the CME will list an
additional CERF with an approximately five-year expiration.
f. The S&P GSCI\TM\ and S&P GS Indexes
The S&P GSCI\TM\ itself is an index on a production-weighted basket
of principal physical commodities that satisfy specified criteria. The
S&P GSCI\TM\ reflects the level of commodity prices at a given time and
is designed to be a measure of the performance over time of the markets
for these commodities. The commodities represented in the S&P GSCI\TM\
are those physical commodities on which active and liquid contracts are
traded on trading facilities in major industrialized countries. The
commodities included in the S&P GSCI\TM\ are weighted, on a production
basis, to reflect the relative significance (in the view of the Index
Sponsor) of those commodities to the world economy. The fluctuations in
the level of the S&P GSCI\TM\ are intended generally to correlate with
changes in the prices of those physical commodities in global markets.
The Index Sponsor makes the official calculations of the value of
the S&P GSCI\TM\ and S&P GS Indexes. At present, these calculations are
performed continuously and are reported on Reuters Pages GSCI (for S&P
GSCI), GSNG (for S&P GS Natural Gas), GSCO (for S&P GS Industrial
Metals), GSLE (for S&P GS Light Energy), GSCL (for S&P GS Livestock),
GSCN (for S&P GS Non-Energy), and GSCP (for S&P GS Energy), and is
updated on Reuters at least every 15 seconds during 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. The calculation for each applicable Index is also updated on
Reuters at least every 15 seconds. The settlement price for each Excess
Return Index is also reported on the Reuters Pages noted above. If
Reuters ceases to publish the value of the S&P GSCI or applicable S&P
GS Index or the settlement price of the S&P GSCI\TM\-ER or the Excess
Return Indexes, the Index Sponsor has undertaken to use commercially
reasonable efforts to ensure that a comparable reporting service
publishes the S&P GSCI\TM\ or applicable S&P GS Index and the
applicable Excess Return Index so long as any Shares are outstanding.
g. 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 GSCI\TM\, 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.
In addition, the Index Sponsor has established an Index Advisory
Panel to assist it with the operation of the S&P GSCI\TM\. 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
GSCI\TM\, the effectiveness of the S&P GSCI\TM\ as a measure of
commodity futures market performance and the need for changes in the
composition or the methodology of the S&P GSCI\TM\. 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 GSCI\TM\ 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.
h. Composition of the S&P GSCI\TM\
In order to be included in the S&P GSCI\TM\, and the S&P GS
Indexes, a contract must satisfy the following eligibility criteria:
(1) The contract must:
(a) Be in respect of a physical commodity and not a financial
commodity;
(b) have a specified expiration or term, or provide in some other
manner for delivery or settlement at a specified
[[Page 9386]]
time, or within a specified period, in the future; and
(c) be available, at any given point in time, for trading at least
five months prior to its expiration or such other date or time period
specified for delivery or settlement.
(2) The commodity must be the subject of a contract that:
(a) Is denominated in U.S. dollars; and
(b) Is traded on or through an exchange, facility or other
platform, referred to as a ``trading facility,'' that has its principal
place of business or operations in a country that is a member of the
Organization for Economic Cooperation and Development and:
i. Makes price quotations generally available to its members or
participants (and, if the Index Sponsor is not such a member or
participant, to the Index Sponsor) in a manner and with a frequency
that is sufficient to provide reasonably reliable indications of the
level of the relevant market at any given point in time;
ii. Makes reliable trading volume information available to the
Index Sponsor with at least the frequency required by the Index Sponsor
to make the monthly determinations;
iii. Accepts bids and offers from multiple participants or price
providers; and
iv. Is accessible by a sufficiently broad range of participants.
(3) The price of the relevant contract that is used as a reference
or benchmark by market participants, referred to as the ``daily
contract reference price,'' generally must have been available on a
continuous basis for at least two years prior to the proposed date of
inclusion in the S&P GSCI\TM\. In appropriate circumstances, however,
the Index Sponsor may determine that a shorter time period is
sufficient or that historical daily contract reference prices for that
contract may be derived from daily contract reference prices for a
similar or related contract. The daily contract reference price may be
(but is not required to be) the settlement price or other similar price
published by the relevant trading facility for purposes of margining
transactions or for other purposes.
(4) At and after the time a contract is included in the S&P
GSCI\TM\, the daily contract reference price for that contract must be
published between 10:00 a.m. and 4:00 p.m., New York Time, on each
Business Day relating to that contract by the trading facility on or
through which it is traded and must generally be available to all
members of, or participants in, that trading facility (and, if the
Index Sponsor is not such a member or participant, to the Index
Sponsor) on the same day from the trading facility or through a
recognized third-party data vendor. Such publication must include, at
all times, daily contract reference prices for at least one expiration
or settlement date that is five months or more from the date the
determination is made, as well as for all expiration or settlement
dates during that five-month period.
(5) Volume data with respect to the contract must be available for
at least the three months immediately preceding the date on which the
determination is made.
(6) A contract that is not included in the S&P GSCI\TM\ at the time
of determination and that is based on a commodity that is not
represented in the S&P GSCI\TM\ at that time must, in order to be added
to the S&P GSCI\TM\ at that time, have a total dollar value traded,
over the relevant period, as the case may be and annualized, of at
least $15 billion. The total dollar value traded is the dollar value of
the total quantity of the commodity underlying transactions in the
relevant contract over the period for which the calculation is made,
based on the average of the daily contract reference prices on the last
day of each month during the period.
(7) A contract that is already included in the S&P GSCI\TM\ at the
time of determination and that is the only contract on the relevant
commodity included in the S&P GSCI\TM\ must, in order to continue to be
included in the S&P GSCI\TM\ after that time, have a total dollar value
traded, over the relevant period, as the case may be and annualized, of
at least $5 billion and at least $10 billion during at least one of the
three most recent annual periods used in making the determination.
(8) A contract that is not included in the S&P GSCITM at
the time of determination and that is based on a commodity on which
there are one or more contracts already included in the S&P
GSCITM at that time must, in order to be added to the S&P
GSCITM at that time, have a total dollar value traded, over
the relevant period, as the case may be and annualized, of at least $30
billion.
(9) A contract that is already included in the S&P
GSCITM at the time of determination and that is based on a
commodity on which there are one or more contracts already included in
the S&P GSCITM at that time must, in order to continue to be
included in the S&P GSCITM after that time, have a total
dollar value traded, over the relevant period, as the case may be and
annualized, of at least $10 billion and at least $20 billion during at
least one of the three most recent annual periods used in making the
determination.
(10) A contract that is:
(a) Already included in the S&P GSCITM at the time of
determination must, in order to continue to be included after that
time, have a reference percentage dollar weight of at least 0.10%. The
``reference percentage dollar weight'' of a contract represents the
current value of the quantity of the underlying commodity that is
included in the Index at a given time. This figure is determined by
multiplying the contract production weight of a contract, or ``CPW,''
by the average of its daily contract reference prices on the last day
of each month during the relevant period. These amounts are summed for
all contracts included in the S&P GSCITM and each contract's
percentage of the total is then determined. The CPW of a contract is
its weight in the Index.
(b) not included in the S&P GSCITM at the time of
determination must, in order to be added to the S&P GSCITM
at that time, have a reference percentage dollar weight of at least
0.75%.
(11) In the event that two or more contracts on the same commodity
satisfy the eligibility criteria:
(a) Such contracts will be included in the S&P GSCITM in
the order of their respective total quantity traded during the relevant
period (determined as the total quantity of the commodity underlying
transactions in the relevant contract), with the contract having the
highest total quantity traded being included first, provided that no
further contracts will be included if such inclusion would result in
the portion of the S&P GSCITM attributable to that commodity
exceeding a particular level.
(b) if additional contracts could be included with respect to
several commodities at the same time, that procedure is first applied
with respect to the commodity that has the smallest portion of the S&P
GSCITM attributable to it at the time of determination.
Subject to the other eligibility criteria described above, the contract
with the highest total quantity traded on that commodity will be
included. Before any additional contracts on the same commodity or on
any other commodity are included, the portion of the S&P
GSCITM attributable to all commodities is recalculated. The
selection procedure described above is then repeated with respect to
the contracts on the commodity that then has the smallest portion of
the S&P GSCITM attributable to it.
Beginning in 2007, in order for a contract to be included in the
S&P
[[Page 9387]]
GSCITM, (1) the trading facility in which the contract is
traded must allow market participants to execute spread transactions,
through a single order entry, between the pairs of contract expirations
included in the S&P GSCITM that at any given point in time
will be involved in the rolls to be effected in the next three roll
periods and (2) a contract that is not included in the S&P
GSCITM at the time of determination must, in order to be
added to the S&P GSCITM at that time, have a reference
percentage dollar weight of at least 1.00%.
The contracts currently included in the S&P GSCITM are
all futures contracts traded on the New York Mercantile Exchange, Inc.
(``NYM''), the 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 New
York Cotton Exchange (``NYC''), 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 Energy Index, Average Daily Trading Volume (``ADTV'')
for January 2007 through July 2007, percentage dollar weights (as of
August 13, 2007), market symbols and the exchanges on which they are
traded are as follows:
--------------------------------------------------------------------------------------------------------------------------------------------------------
Weight 8/13/ ADTV
Commodity 07 (percent) (contracts) Market symbol Trading facility Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
WTI Crude Oil..................... 51.43 200,605 CL.................... NYM................... 1,000 index points.
Brent Crude Oil................... 20.86 235,918 LCO................... ICE................... 1,000 barrels.
Natural Gas....................... 10.23 111,548 NG.................... NYM................... 42,000 U.S. gallons.
Heating Oil....................... 8.27 70,791 HO.................... NYM................... 42,000 U.S. gallons.
Gas Oil........................... 7.39 88,417 LGO................... ICE................... 100 metric tons.
RBOB Oil.......................... 1.82 79,665 RB.................... NYM................... 50,000 X PADD.
--------------------------------------------------------------------------------------------------------------------------------------------------------
The futures contracts currently included in the S&P
GSCITM Natural Gas Index, ADTV for January 2007 through July
2007, percentage dollar weights (as of August 13, 2007), market symbols
and the exchanges on which they are traded are as follows:
--------------------------------------------------------------------------------------------------------------------------------------------------------
Weight 8/13/07 ADTV
Commodity (percent) (contracts) Market symbol Trading facility Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
Natural Gas....................... 100.00 111,548 NG.................... NYM................... 42,000 U.S. gallons.
--------------------------------------------------------------------------------------------------------------------------------------------------------
The futures contracts currently included in the S&P
GSCITM Industrial Metals Index, ADTV for January 2007
through July 2007, percentage dollar weights (as of August 13, 2007),
market symbols and the exchanges on which they are traded are as
follows:
--------------------------------------------------------------------------------------------------------------------------------------------------------
Weight 8/13/07 ADTV
Commodity (percent) (contracts) Market symbol Trading facility Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
Copper............................ 40.66 14,793 MCU................... NYM................... 25,000 lbs.
Aluminum.......................... 30.14 155,886 MAL................... LME................... 25 metric tons.
Primary Nickel.................... 11.13 14,543 MNI................... LME................... 6 metric tons.
Zinc.............................. 11.05 48,483 MZN................... LME................... 25 metric tons.
Standard Lead..................... 7.02 16,998 MPB................... LME................... 25 metric tons.
--------------------------------------------------------------------------------------------------------------------------------------------------------
The futures contracts currently included in the S&P
GSCITM Light Energy Index, ADTV for January 2007 through
July 2007, percentage dollar weights (as of August 13, 2007), market
symbols and the exchanges on which they are traded are as follows:
--------------------------------------------------------------------------------------------------------------------------------------------------------
Weight 8/13/07 ADTV
Commodity (percent) (contracts) Market symbol Trading facility Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
WTI Crude Oil..................... 18.97 200,605 CL.................... NYM................... 1,000 index points.
Copper............................ 8.56 14,793 MCU................... NYM................... 25,000 lbs.
Chicago Wheat..................... 8.10 75,587 W..................... CBOT.................. 5,000 bushels.
Brent Crude Oil................... 7.69 235,918 LCO................... ICE................... 1,000 barrels.
Aluminum.......................... 6.35 155,886 MAL................... LME................... 25 metric tons.
Corn.............................. 6.24 244,756 C..................... CBOT.................. 5,000 bushels.
Live Cattle....................... 5.50 36,530 LC.................... CME................... 40,000 lbs.
Gold.............................. 4.21 89,976 GC.................... NYM................... 100 troy ounces.
Soybeans.......................... 4.17 121,036 S..................... CBOT.................. 5,000 bushels.
Natural Gas....................... 3.77 111,548 NG.................... NYM................... 42,000 U.S. gallons.
Lean Hogs......................... 3.16 30,698 LH.................... CME................... 40,000 lbs.
Heating Oil....................... 3.05% 70,791 HO.................... NYM................... 42,000 U.S. gallons.
Kansas City Wheat................. 2.76 17,238 KW.................... KCE................... 5,000 bushels.
[[Page 9388]]
Gas Oil........................... 2.72 88,417 LGO................... ICE................... 100 metric tons.
Nickel............................ 2.34 14,543 MNI................... LME................... 6 metric tons.
Zinc.............................. 2.33 48,483 MZN................... LME................... 25 metric tons.
Sugar............................. 2.17 90,166 SB.................... NYBOT................. 112,000 lbs.
Cotton............................ 1.91 26,092 CT.................... NYBOT................. 50,000 lbs.
Coffee............................ 1.51 20,383 KC.................... NYBOT................. 37,500 lbs.
Lead.............................. 1.48 16,998 MPB................... LME................... 25 metric tons.
Feeder Cattle..................... 1.32 4,416 FC.................... CME................... 50,000 lbs.
RBOB Gas.......................... 0.67 79,665 RB.................... NYM................... 50,000 X PADD.
Silver............................ 0.57 24,292 SI.................... NYM................... 5,000 troy ounces.
Cocoa............................. 0.45 13,397 CC.................... NYBOT................. 10 metric tons.
--------------------------------------------------------------------------------------------------------------------------------------------------------
The futures contracts currently included in the S&P
GSCITM Livestock Index, ADTV for January 2007 through July
2007, percentage dollar weights (as of August 13, 2007), market symbols
and the exchanges on which they are traded are as follows:
--------------------------------------------------------------------------------------------------------------------------------------------------------
Weight 8/13/07 ADTV
Commodity (percent) (contracts) Market symbol Trading facility Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
Live Cattle....................... 55.08 36,530 LC.................... CME................... 40,000 lbs.
Lean Hogs......................... 31.72 30,698 LH.................... CME................... 40,000 lbs.
Feeder Cattle..................... 13.20 4,416 FC.................... CME................... 50,000 lbs.
--------------------------------------------------------------------------------------------------------------------------------------------------------
The futures contracts currently included in the S&P
GSCITM Non-Energy Index, ADTV for January 2007 through July
2007, percentage dollar weights (as of August 13, 2007), market symbols
and the exchanges on which they are traded are as follows:
--------------------------------------------------------------------------------------------------------------------------------------------------------
Weight 8/13/07 ADTV
Commodity (percent) (contracts) Market symbol Trading facility Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
Copper............................ 13.56 14,793 MCU................... NYM................... 25,000 lbs.
Chicago Wheat..................... 12.83 75,587 W..................... CBOT.................. 5,000 bushels.
Aluminum.......................... 10.06 155,886 MAL................... LME................... 25 metric tons.
Corn.............................. 9.89 244,756 C..................... CBOT.................. 5,000 bushels.
Live Cattle....................... 8.71 36,530 LC.................... CME................... 40,000 lbs.
Gold.............................. 6.66 89,976 GC.................... NYM................... 100 troy ounces.
Soybeans.......................... 6.61 121,036 S..................... CBOT.................. 5,000 bushels.
Lean Hogs......................... 5.01 30,698 LH.................... CME................... 40,000 lbs.
Kansas City Wheat................. 4.37 17,238 KW.................... KCE................... 5,000 bushels.
Nickel............................ 3.71 14,543 MNI................... LME................... 6 metric tons.
Zinc.............................. 3.69 48,483 MZN................... LME................... 25 metric tons.
Sugar............................. 3.44 90,166 SB.................... NYBOT................. 112,000 lbs.
Cotton............................ 3.03 26,092 CT.................... NYBOT................. 50,000 lbs.
Coffee............................ 2.39 20,383 KC.................... NYBOT................. 37,500 lbs.
Lead.............................. 2.34 16,998 MPB................... LME................... 25 metric tons.
Feeder Cattle..................... 2.09 4,416 FC.................... CME................... 50,000 lbs.
Silver............................ 0.90 24,292 SI.................... NYM................... 5,000 troy ounces.
Cocoa............................. 0.71 13,397 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 p.m.
[[Page 9389]]
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.
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.
----------------------------------------------------------------------------------------------------------------
The quantity of each of the contracts included in the S&P GSCI\TM\
is determined on the basis of a five-year average, referred to as the
``world production average,'' of the production quantity of the
underlying commodity as published by the United Nations Statistical
Yearbook, the Industrial Commodity Statistics Yearbook and other
official sources. However, if a commodity is primarily a regional
commodity, based on its production, use, pricing, transportation or
other factors, the Index Sponsor, may calculate the weight of that
commodity based on regional, rather than world, production data. At
present, natural gas is the only commodity the weights of which are
calculated on the basis of regional production data, with the relevant
region defined as North America.
The five-year moving average is updated annually for each commodity
included in the S&P GSCI\TM\, based on the most recent five-year period
(ending approximately two years prior to the date of calculation and
moving backwards) for which complete data for all commodities is
available. The CPWs used in calculating the S&P GSCI\TM\ are derived
from world or regional production averages, as applicable, of the
relevant commodities, and are calculated based on the total quantity
traded for the relevant contract and the world or regional production
average, as applicable, of the underlying commodity. However, if the
volume of trading in the relevant contract, as a multiple of the
production levels of the commodity, is below specified thresholds, the
CPW of the contract is reduced until the threshold is satisfied. This
is designed to ensure that trading in each contract is sufficiently
liquid relative to the production of the commodity.
In addition, the Index Sponsor performs this calculation on a
monthly basis and, if the multiple of any contract is below the
prescribed threshold, the composition of the S&P GSCI\TM\ is
reevaluated, based on the criteria and weighting procedure described
above. This procedure is undertaken to allow the S&P GSCI\TM\ to shift
from contracts that have lost substantial liquidity into more liquid
contracts during the course of a given year. As a result, it is
possible that the composition or weighting of the S&P GSCI\TM\ will
change on one or more of these monthly evaluation dates. The likely
circumstances under which the Index Sponsor would be expected to change
the composition of the Index during a given year, however, are (1) a
substantial shift of liquidity away from a contract included in the
Index or its subsidiaries as described above, or (2) an emergency, such
as a natural disaster or act of war or terrorism, that causes trading
in a particular contract to cease permanently or for an extended period
of time. In either event, the Index Sponsor will consult with the Index
Committee in connection with the changes to be made and will publish
the nature of the changes, through Web sites, news media or other
outlets, with as much prior notice to market participants as is
reasonably practicable. Moreover, regardless of whether any changes
have occurred during the year, the Index Sponsor reevaluates the
composition of the S&P GSCI\TM\, in consultation with its Index
Committee, at the conclusion of each year, based on the above criteria.
Other commodities that satisfy that criteria, if any, will be added to
the S&P GSCI\TM\. Commodities included in the S&P GSCI\TM\ that no
longer satisfy that criteria, if any, will be deleted.
The Index Sponsor also determines whether modifications in the
selection criteria or the methodology for determining the composition
and weights of and for calculating the S&P GSCI\TM\ are necessary or
appropriate in order to assure that the S&P GSCI\TM\ represents a
measure of commodity market performance. The Index Sponsor has the
discretion to make any such modifications.
i. Total Dollar Weight of the S&P GSCI and S&P GS Indexes
The total dollar weight of the S&P GSCI\TM\ and each S&P GS Index
is the sum of the dollar weight of each of the underlying commodities.
The dollar weight of each such commodity on any given day is equal to:
The daily contract reference price;
Multiplied by the appropriate CPW; and
During a roll period, the appropriate ``roll
weights''(discussed below).
The daily contract reference price used in calculating the dollar
weight of each commodity on any given day is the most recent daily
contract reference price made available by the relevant trading
facility, except that the daily contract reference price for the most
recent prior day will be used if the exchange is closed or otherwise
fails to publish a daily contract reference price on that day. In
addition, if the trading facility fails to make a daily contract
reference price available or publishes a daily contract reference price
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 Index calculation.
j. Calculation of Total Return Indexes
The Total Return Indexes to which the performance of the Shares is
linked
[[Page 9390]]
were established in May of 1991, with the exception of the S&P GSCI\TM
