Self-Regulatory Organizations; American Stock Exchange LLC; Order Granting Accelerated Approval of Proposed Rule Change to List and Trade Shares of the MacroShares $100 Oil Up Trust and the MacroShares $100 Oil Down Trust, 38474-38479 [E8-15206]
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38474
Federal Register / Vol. 73, No. 130 / Monday, July 7, 2008 / Notices
mstockstill on PROD1PC66 with NOTICES
estimates that each response would take
approximately 262 hours, requiring
approximately 1048 total hours
annually per custodian. The total
annual burden associated with these
requirements of the rule would be
approximately 15,720 hours (15 global
custodians × 1048 hours per custodian).
Therefore, the total annual burden of all
collection of information requirements
of rule 17f–5 is estimated to be up to
16,038 hours (318 + 15,720). The total
annual cost of burden hours is estimated
to be $3,214,080 (318 hours × $2000/
hour for board of director’s time, plus
15,720 hours × $164/hour for a trust
administrator’s time).5 Compliance with
the collection of information
requirements of the rule is necessary to
obtain the benefit of relying on the
rule’s permission for funds to maintain
their assets in foreign custodians.
The estimate of average burden hours
is made solely for the purposes of the
Paperwork Reduction Act. The estimate
is not derived from a comprehensive or
even a representative survey or study of
the costs of Commission rules and
forms. Compliance with the collection
of information requirements of the rule
is necessary to obtain the benefit of
relying on the rule’s permission for
funds to maintain their assets in foreign
custodians.
Written comments are invited on: (a)
Whether the collection of information is
necessary for the proper performance of
the functions of the Commission,
including whether the information has
practical utility; (b) the accuracy of the
Commission’s estimate of the burden of
the collection of information; (c) ways to
enhance the quality, utility, and clarity
of the information collected; and (d)
ways to minimize the burden of the
collection of information on
respondents, including through the use
of automated collection techniques or
other forms of information technology.
Consideration will be given to
comments and suggestions submitted in
writing within 60 days of this
publication.
Please direct your written comments
to R. Corey Booth, Director/Chief
Information Officer, Securities and
Exchange Commission, c/o Shirley
Martinson, 6432 General Green Way,
Alexandria, VA 22312; or send an
e-mail to: PRA_Mailbox@sec.gov.
5 The
$164/hour figure for a trust administrator is
from SIFMA’s Management & Professional Earnings
in the Securities Industry 2007, modified to account
for an 1800-hour work-year and multiplied by 5.35
to account for bonuses, firm size, employee benefits
and overhead. The $2000/hr board of director time
is from industry sources.
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17:39 Jul 03, 2008
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Dated: June 26, 2008.
Florence E. Harmon,
Acting Secretary.
[FR Doc. E8–15200 Filed 7–3–08; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
Sunshine Act Meeting
It appears to the Securities and
Exchange Commission that there is a
lack of current and accurate information
concerning the securities of Wireless
Frontier Internet, Inc. because it has not
filed any periodic reports since
September 30, 2004.
It appears to the Securities and
Exchange Commission that there is a
lack of current and accurate information
concerning the securities of World
Associates, Inc. because it has not filed
any periodic reports since the period
ended September 30, 2004.
The Commission is of the opinion that
the public interest and the protection of
investors require a suspension of trading
in the securities of the above-listed
companies.
Therefore, it is ordered, pursuant to
Section 12(k) of the Securities Exchange
Act of 1934, that trading in the abovelisted companies is suspended for the
period from 9:30 a.m. EDT on July 2,
2008, through 11:59 p.m. EDT on July
16, 2008.
Notice is hereby given, pursuant to
the provisions of the Government in the
Sunshine Act, Pub. L. 94–409, that the
Securities and Exchange Commission
will hold a Roundtable on Fair Value
Accounting Standards on Wednesday,
July 9, 2008 beginning at 9 a.m.
The Roundtable will take place in the
Auditorium of the Commission’s
headquarters at 100 F Street, NE.,
Washington, DC. The Roundtable will
be open to the public with seating on a
first-come, first-served basis. Doors will
open at 8:30 a.m. Visitors will be subject
to security checks.
The roundtable will consist of an
open discussion of the benefits and
potential challenges associated with
existing fair value accounting and
auditing standards and will be
organized as two panels: The first panel
will discuss fair value accounting issues
from the perspective of larger financial
institutions and the needs of their
investors; and the second panel will
discuss the issues from the perspective
of all public companies, including small
public companies and the needs of their
investors.
For further information, please
contact the Office of the Secretary at
(202) 551–5400.
By the Commission.
Florence E. Harmon,
Acting Secretary.
[FR Doc. 08–1415 Filed 7–2–08; 11:14 am]
Dated: July 1, 2008.
Florence E. Harmon,
Acting Secretary.
[FR Doc. E8–15285 Filed 7–3–08; 8:45 am]
June 30, 2008.
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[File No. 500–1]
In the Matter of WarpRadio.com, Inc.,
Wireless Frontier Internet, Inc., and
World Associates, Inc.; Order of
Suspension of Trading
July 2, 2008.
It appears to the Securities and
Exchange Commission that there is a
lack of current and accurate information
concerning the securities of
WarpRadio.com, Inc. because it has not
filed any periodic reports since the
period ended September 30, 2000.
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BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–58057; File No. SR–Amex–
2008–36]
Self-Regulatory Organizations;
American Stock Exchange LLC; Order
Granting Accelerated Approval of
Proposed Rule Change to List and
Trade Shares of the MacroShares $100
Oil Up Trust and the MacroShares $100
Oil Down Trust
I. Introduction
On May 20, 2008, the American Stock
Exchange LLC (‘‘Amex’’ or ‘‘Exchange’’),
filed with the Securities and Exchange
Commission (‘‘Commission’’), pursuant
to Section 19(b)(1) of the Securities
Exchange Act of 1934 (‘‘Act’’) 1 and Rule
19b–4 thereunder,2 a proposed rule
change to: (1) Amend Amex Rules 1400,
1401, 1402 and 1405 relating to the
trading of Paired Trust Shares; and (2)
list and trade shares (‘‘Shares’’) of the
MacroShares $100 Oil Up Trust (‘‘Up
Trust’’) and the MacroShares $100 Oil
Down Trust (‘‘Down Trust’’)
(collectively, the ‘‘Trusts’’). The
proposed rule change was published for
comment in the Federal Register on
1 15
2 17
E:\FR\FM\07JYN1.SGM
U.S.C. 78s(b)(1).
CFR 240.19b–4.
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Federal Register / Vol. 73, No. 130 / Monday, July 7, 2008 / Notices
June 11, 2008 for a 15-day comment
period.3 The Commission received no
comments on the proposal. This order
approves the proposed rule change on
an accelerated basis.
II. Description of the Proposal
The Exchange proposes to amend
Amex Rules 1400, 1401, 1402 and 1405,
which apply to Paired Trust Shares, to
accommodate the listing and trading of
shares of the Up Trust (‘‘Up
MacroShares’’) and shares of the Down
Trust (‘‘Down MacroShares’’). In their
current form, these rules apply to Paired
Trust Shares that consist of Holding
Shares and Tradeable Shares.4
A. Amendments to Amex Rules 1400,
1401, 1402 and 1405
The Exchange proposes to amend
Amex Rules 1400, 1401, 1402 and 1405
to provide for the listing and trading of
Paired Trust Shares in the case of a
series that has only one set of paired
trusts.5 Under the proposed
amendments to Amex Rule 1400, the
term ‘‘Paired Trust Shares’’ refers to: (1)
Both Holding Shares and any related
Tradeable Shares; or (2) solely ‘‘Trading
Shares,’’ which is a new defined term.
As proposed, Trading Shares has the
same definition as Holding Shares,
except that it is not required that a
majority of Trading Shares be acquired
and deposited in a related Tradeable
Trust, as it is with Holding Shares. The
Exchange proposes conforming changes
in Amex Rules 1401, 1402 and 1405.6
The Exchange represents that there are
no substantive differences between the
proposed Paired Trust Shares structure
(i.e., a single set of Trading Trusts that
issue Trading Shares and hold financial
instruments) and the current two-tier
structure (i.e., a set of Tradeable Trusts
that issue Tradeable Shares and hold
Holding Shares issued by a set of
Holding Trusts that invest in financial
instruments).
mstockstill on PROD1PC66 with NOTICES
3 See
Securities Exchange Act Release No. 57925
(June 5, 2008), 73 FR 33121 (‘‘Notice’’).
4 Holding Shares are issued by a matched pair of
trusts (‘‘Holding Trusts’’) in exchange for cash;
Tradeable Shares are issued by a different pair of
trusts (‘‘Tradeable Trusts’’) in exchange for the
deposit of Holding Shares.
5 The Exchange states that it has been notified
that the need for the current two-tier trust structure
set forth in Amex Rule 1400 for Paired Trust Shares
is no longer necessary as a result of a recent
interpretation by the staff of the Internal Revenue
Service relating to the inability to interpose a
grantor trust to utilize a certain tax reporting form.
6 In paragraph (b)(i) of Amex Rule 1402, the
Exchange also proposes to correct an error that was
inadvertently made when the rule was originally
adopted by replacing the word ‘‘certificates’’ with
the word ‘‘shares’’ (consistent with all other
references to shares in the rules for Paired Trust
Shares).
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B. Listing and Trading the Shares
The Up MacroShares and the Down
MacroShares represent undivided
beneficial interests in the Up Trust and
the Down Trust, respectively. The Up
Trust and the Down Trust would issue
Up MacroShares and Down
MacroShares, respectively, on a
continuous basis on an ongoing basis at
any time after the closing date only to
and as directed by authorized
participants, at the per-Share values of
those Shares on the business day on
which a creation order for the Shares is
delivered to and accepted by the
administrative agent for both Trusts.7
The Shares then may be sold by
authorized participants to the public at
the prevailing market price. As
mentioned above, Amex proposes to list
and trade the Shares pursuant to
amended Amex Rules 1400, 1401, 1402
and 1405.
The assets of each Trust will include
an income distribution agreement and
settlement contracts entered into with
the other Trust. Under the income
distribution agreement, as of any
distribution date, each Trust will either:
(1) Be required to pay all or a portion
of its available income to the other
Trust; or (2) be entitled to receive all or
a portion of the other Trust’s available
income, based, in each case, on the level
of the Applicable Reference Price of
Crude Oil 8 for each day during the
preceding calculation period. Under
each settlement contract, in connection
with the final scheduled termination
date, an early termination date or any
redemption date, each Trust will either
be required to make a final payment out
of its assets to the other Trust or be
entitled to receive a final payment from
the other Trust out of the assets of the
other Trust, based, in each case, on the
change in the level of the Applicable
Reference Price of Crude Oil from its
starting level on the closing date to its
ending level on the relevant price
determination day preceding the final
scheduled termination date, early
termination date, or redemption date, as
the case may be. Each Trust will also
hold U.S. Treasuries and repurchase
agreements on U.S. Treasuries
(collectively, ‘‘treasuries’’) to secure its
7 The Up MacroShares and the Down
MacroShares may be issued only in MacroShares
Units, consisting of 50,000 Up MacroShares issued
by the Up Trust and 50,000 Down MacroShares
issued by the Down Trust.
8 The Applicable Reference Price of Crude Oil is
defined as the settlement price of the New York
Mercantile Exchange (‘‘NYMEX’’) division light
sweet crude oil futures contract of the designated
maturity, as established and reported by the
NYMEX on a per barrel basis in U.S. dollars at the
end of each price determination day.
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38475
obligations under the income
distribution agreement and the
settlement contracts. Each Trust will
make quarterly distributions of income
on the treasuries and a final distribution
of all assets it holds on deposit on the
final scheduled termination date, an
early termination date or a redemption
date.9 Each quarterly and final
distribution will be based on the value
of the Applicable Reference Price of
Crude Oil.
With respect to the Up Trust, if the
level of the Applicable Reference Price
of Crude Oil on any price determination
day exceeds its starting level on the
closing date (the date on which the
Trusts entered into the income
distribution agreement), the underlying
value of the Up Trust will increase to
include all of its assets plus a portion of
the assets of the paired Down Trust.
Conversely, if the level of the
Applicable Reference Price of Crude Oil
on any price determination day falls
below its starting level, the Up Trust’s
underlying value will decrease because
a portion of its assets will be included
in the underlying value of the paired
Down Trust. The underlying value of
the Up Trust on each price
determination day represents the
aggregate amount of the assets in the
paired Trusts to which the Up Trust
would be entitled if the settlement
contracts were settled on that day.
With respect to the Down Trust, if the
level of the Applicable Reference Price
of Crude Oil on any price determination
day exceeds its starting level on the
closing date, the underlying value of the
Down Trust will decrease because a
portion of its assets will be included in
the underlying value of the paired Up
Trust. Conversely, if the level of the
Applicable Reference Price of Crude Oil
on any price determination day falls
below its starting level, the Down
Trust’s underlying value will increase to
9 Each Trust’s quarterly distribution to holders of
that Trust’s Shares will be made out of the income
that it holds on deposit after it has deducted an
appropriate amount for fees, either made or
received a payment under the income distribution
agreement, and acquired treasuries with an
aggregate purchase price equal to the aggregate par
amount of the outstanding Shares of that Trust on
that distribution date. On any distribution date, if
a Trust’s actual fees and expenses exceeds its
income from the treasuries, there will be a
corresponding reduction in the underlying value of
the Trust that will be permanent unless it can be
made up out of treasury income on future
distribution dates, net of fees and expenses on those
distribution dates.
Each Trust’s final distribution to holders of that
Trust’s Shares will depend on the payments that it
is required to make to, or that it is entitled to
receive from, the other Trust under the settlement
contracts that are settled in connection with the
final scheduled termination date, early termination
date, or redemption date, as the case may be.
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Federal Register / Vol. 73, No. 130 / Monday, July 7, 2008 / Notices
include all of its assets plus a portion of
the assets of the Up Trust. The
underlying value of the Down Trust on
each price determination day represents
the aggregate amount of the assets in the
paired Trusts to which the Down Trust
would be entitled if the settlement
contracts were settled on that day.
The Notice and the Registration
Statements contain more information
regarding the Shares, the Trusts, the
Applicable Reference Price of Crude Oil,
quarterly distributions, final
distributions, price determination days,
underlying values, risks, fees and
expenses, termination triggers, and
creation and redemption procedures.
1. Availability of Information Regarding
the Shares
mstockstill on PROD1PC66 with NOTICES
a. Intraday Indicative Values
Throughout each price determination
day, Amex, acting as the calculation
agent for each Trust, will calculate and
disseminate, at least every 15 seconds
during regular Amex trading hours,
through the facilities of the
Consolidated Tape Association
(‘‘CTA’’), an estimated value (referred to
as an ‘‘Intraday Indicative Value’’ or
‘‘IIV’’) of the values per-Share of both
the Up MacroShares and the Down
MacroShares. To enable this calculation,
Amex will receive real time price data
from the NYMEX through major market
data vendors for the light sweet crude
oil futures contract of the designated
maturity that trades on the NYMEX.
Because the NYMEX market for the
light sweet crude oil futures contract
will be closed for portions of Amex
trading day, the IIV calculated values
will become fixed and will not be
updated at such times that the NYMEX
contract is not trading.10 Conversely, at
times when the light sweet crude oil
futures contract of the designated
maturity is trading on NYMEX, those
trades will be used to update the IIV
values.
Amex will make available through its
in-house systems, for use by the
specialist and market makers, the IIV
values distributed through the facilities
of the CTA. This data will also be
available to Amex surveillance systems
and personnel for their purposes.
b. Availability of Other Information and
Data
At the end of each price
determination day, Amex will calculate
the premium or discount of the
10 The IIV calculated during the period following
the daily opening of trading of the Shares on Amex
but prior to any trades taking place on the NYMEX
in the relevant light sweet crude oil futures contract
will be based on the final price of the futures
contract on the prior trading day.
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17:39 Jul 03, 2008
Jkt 214001
midpoint of the bid/offer for the Up
MacroShares at the close on Amex
relative to the value per share for that
price determination day, after the latter
is calculated and provided to Amex by
the trustee. Amex will also perform the
same calculation with respect to the
Down MacroShares. Amex will then
post these premiums/discounts, together
with the end-of-day price information
for the Shares, on its Web site (https://
www.amex.com/amextrader). Further,
Amex will post on its Web site any
corrections made by NYMEX to the
Applicable Reference Price of Crude Oil
that was reported by NYMEX for any
price determination day. Amex also
intends to disseminate a variety of data
with respect to the Shares on a daily
basis by means of CTA and CQ High
Speed Lines, including quotation and
last-sale data information.
On each price determination day,
State Street Bank and Trust Company,
the trustee for the Up Trust and the
Down Trust, will calculate the value of
the Up Trust and the Down Trust and
the per-Share values of the Up
MacroShares and Down MacroShares,
based on the Applicable Reference Price
of Crude Oil established and reported by
NYMEX. The trustee will then provide
such values to the administrative agent,
which will post them on its Web site
(https://www.macromarkets.com). All
investors and market participants will
have access to the administrative agent’s
Web site at no charge.
Information regarding secondary
market prices and volume of the Shares
will be broadly available on a real-time
basis throughout the trading day on
brokers’ computer screens and other
electronic services. The previous day’s
closing price and trading volume
information will be published daily in
the financial section of newspapers.
Delayed information on futures
contracts is often publicly available
from futures exchanges. Daily
settlement prices for the oil futures
contract designated as the Applicable
Reference Price of Crude Oil for the
Shares is publicly available on
NYMEX’s Web site.
2. Initial and Continued Listing Criteria
Amex Rule 1402 sets forth initial and
continued listing criteria applicable to
Paired Trust Shares. Currently, these
criteria are applicable to Holding Shares
and Tradeable Shares. The proposed
rule change would make them
applicable to Trading Shares as well.
A minimum of 150,000 Up
MacroShares and 150,000 Down
MacroShares will be required to be
outstanding at the commencement of
trading. The Exchange believes that this
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Sfmt 4703
minimum number of outstanding Shares
at the start of trading is sufficient to
provide adequate market liquidity, and
it is the same initial minimum
requirement that was applicable to the
Claymore MACROshares Oil Up
Tradeable Shares and the Claymore
MACROshares Oil Down Tradeable
Shares (the first series of Paired Trust
Shares to be listed and traded on the
Exchange). The starting level for the
Applicable Reference Price of Crude Oil
will be $100 and is based on recent
prices for a barrel of light sweet crude
oil. The Exchange will obtain a
representation on behalf of the Up Trust
and the Down Trust that the values perShare of the Up MacroShares and Down
MacroShares, respectively, will be
calculated daily and will be made
available to all market participants at
the same time. The Exchange will
remove from listing the Up MacroShares
or the Down MacroShares under the
following circumstances, pursuant to
proposed Amex Rule 1402:
• If following the initial twelve
month period following the
commencement of trading of the Shares:
(1) The Up Trust or the Down Trust has
more than 60 days remaining until
termination and there are fewer than 50
record and/or beneficial holders of Up
MacroShares or Down MacroShares,
respectively, for 30 or more consecutive
trading days; (2) if the Up Trust or the
Down Trust has fewer than 50,000 Up
MacroShares or Down MacroShares,
respectively, issued and outstanding; or
(3) if the combined market value of all
Shares issued and outstanding for the
Up Trust and the Down Trust combined
is less than $1,000,000;
• If the intraday level of the
Applicable Reference Price of Crude Oil
is no longer calculated or available on
at least a 15-second delayed basis
during the time the Shares trade on
Amex from a source unaffiliated with
the sponsor, custodian, depositor, Up
Trading Trust, Down Trading Trust or
the Exchange that is a major market data
vendor;
• If the IIV of each Up Trading Share
or Down Trading Share, as the case may
be, is no longer made available on at
least a 15-second delayed basis by a
major market data vendor during the
time the Shares trade on the Exchange;
• If a replacement benchmark is
selected for the determination of the
Applicable Reference Price of Crude Oil,
unless the Exchange files with the
Commission a related proposed rule
change pursuant to Commission Rule
19b–4 under the Act seeking approval to
continue trading the Up MacroShares or
Down MacroShares and such rule
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Federal Register / Vol. 73, No. 130 / Monday, July 7, 2008 / Notices
change is approved by the Commission;
or
• If such other event shall occur or
condition exists which in the opinion of
the Exchange makes further dealings on
the Exchange inadvisable.
mstockstill on PROD1PC66 with NOTICES
3. Trading Halts
Prior to the commencement of
trading, the Exchange will issue an
Information Circular (described below)
to members informing them of, among
other things, Exchange policies
regarding halts in trading of the Shares.
First, the Information Circular will
advise that trading will be halted in the
event the market volatility trading halt
parameters set forth in Amex Rule 117
have been reached. In exercising its
discretion to halt or suspend trading in
the Shares, the Exchange may also
consider other relevant factors and the
existence of unusual conditions or
circumstances that may be detrimental
to the maintenance of a fair and orderly
market. During any trading halt in the
Shares, the underlying light sweet crude
oil futures contracts are expected to
continue to trade on the NYMEX
because the NYMEX does not provide
for trading halts in these contracts.
In the event that (a) The underlying
value of each Trust or the per-Share
values of each of the Up Trading Shares
or the Down Trading Shares are not
disseminated daily to all market
participants at the same time, (b) the
IIV, updated at least every 15 seconds,
for the underlying value per Share of the
Up Trading Shares or the Down Trading
Shares is no longer being calculated or
disseminated by a major market data
vendor during the time the Shares trade
on Amex, or (c) the price of the NYMEX
light sweet crude oil futures contract is
no longer available at least every 15
seconds from a major market data
vendor during the time the Shares trade
on Amex 11 (e.g., due to a temporary
disruption in connection with either the
pricing of the light sweet crude oil
futures contract on the NYMEX or the
transmission of real time price data from
the NYMEX), then the Exchange will
halt trading.12 However, in the case of
(b) or (c) involving interruption to the
required dissemination of IIVs or futures
contract prices, the Exchange may
consider relevant factors and exercise its
discretion regarding the halt or
11 Trading in the MACRO Tradeable Shares will
not be halted on Amex, however, simply because
price data from the NYMEX based on current
trading is not available outside the normal open
outcry trading hours of light sweet crude oil futures
contracts on the NYMEX from 10 a.m. to 2:30 p.m.,
Eastern Time.
12 In each of these circumstances, the Exchange
may contact the Commission staff to discuss the
matter.
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17:39 Jul 03, 2008
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suspension of trading during the day in
which the interruption to the
dissemination of the IIVs or the futures
contract prices occurs. If the
interruption to the dissemination of the
IIVs or the futures contract prices
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.
4. Trading Rules
The Shares are equity securities
subject to Amex Rules governing the
trading of equity securities, including,
among others, rules governing priority,
parity and precedence of orders,
specialist responsibilities and account
opening and customer suitability (Amex
Rule 411). The Shares will trade on
Amex from 9:30 a.m. until either 4 p.m.
or 4:15 p.m. Eastern Time each business
day for each series, as specified by the
Exchange, and will trade in a minimum
price variation of $0.01 pursuant to
Amex Rule 127–AEMI. Trading rules
pertaining to odd-lot trading in Amex
equities (Amex Rule 205–AEMI) will
also apply.
Amex Rule 154–AEMI(c)(ii) provides
that stop and stop limit orders to buy or
sell a security the price of which is
derivatively priced based upon another
security or index of securities, may be
elected by a quotation, as set forth in
subparagraphs (c)(ii)(1)–(4) of Amex
Rule 154–AEMI . By this rule filing, the
Exchange is designating the Shares as
eligible for this treatment.13 In addition,
Amex Rule 126A–AEMI complies with
Rule 611 of Regulation NMS, which
requires, among other things, that the
Exchange adopt and enforce written
policies and procedures that are
reasonably designed to prevent tradethroughs of protected quotations.
13 See Securities Exchange Act Release No. 29063
(April 10, 1991), 56 FR 15652 (April 17, 1991) (SR–
Amex–90–31) at note 9, regarding the Exchange’s
designation of equity derivative securities as
eligible for such treatment by means of a new rule
filing with the Commission. In the instant case, the
price of the Up MacroShares and the Down
MacroShares are derivatively based upon, and
should fluctuate with, the value of the underlying
settlement contracts held by the Up Trust or the
Down Trust, as the case may be, which settlement
contracts: (1) Determine the amount of the aggregate
assets in the paired Trusts to which each respective
Trust would be entitled if settlement occurred on
that day; and (2) have a value that is determined
by the level of the Applicable Reference Price of
Crude Oil. Consequently, as with other equity
derivative securities designated by the Exchange as
eligible under the terms of Securities Exchange Act
Release No. 29063 to allow stop and stop limit
orders to be elected by a quotation, the Exchange
believes that the derivative pricing relationship to
which the Shares are subject does not present the
type of opportunity for manipulation and trading
abuses in connection with elections of stop orders
by specialists that the Commission seeks to
prohibit.
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38477
Members and member organizations
will be subject to Commentary .03 to
Amex Rule 1400 prohibiting such
member or member organizations from
entering into the Exchange’s order
routing system multiple limit orders as
agent (i.e., customer agency orders).
5. Information Circular
Prior to the commencement of
trading, the Exchange will inform its
members and member organizations in
an Information Circular of the special
characteristics and risks associated with
trading the Shares. Specifically, the
Information Circular will discuss the
following: (1) What the Shares are; (2)
the procedures for purchases and paired
optional redemptions of Shares, which
may only be effected in MacroShares
Units 14 or multiples thereof by
Authorized Participants (noting in
particular that Shares are not
individually redeemable); (3) prospectus
delivery requirements that are
applicable in connection with the
purchase of newly issued Shares by
investors; (4) applicable Amex rules; (5)
dissemination of information regarding
the underlying value of each Trust and
the share of that underlying value
allocable to one Up MacroShare and one
Down MacroShare; (6) trading
information; and (7) suitability
obligations of members with respect to
recommended transactions to customers
in the Shares (discussed below).
In addition, the Information Circular
will reference that the Shares are subject
to various fees and expenses described
in the Registration Statements on Form
S–1 for the Up MacroShares or the
Down MacroShares, as applicable.15
The Information Circular will discuss
any exemptive, no-action, and
interpretive relief granted by the
Commission from any rules under the
Exchange Act. It will also reference the
fact that the Commission has no
jurisdiction over the trading of the
NYMEX light sweet crude oil futures
contract. Finally, the Information
Circular will also advise members that
the upside gains to investors are capped
once the price level percentage change
of the Applicable Reference Price of
Crude Oil equals or exceeds 100%.
6. Suitability
The Exchange, in the Information
Circular referenced above, will inform
14 See
supra note 7.
April 17, 2008, the depositor filed with the
Commission a Registration Statement on Form S–
1 for both the Up MacroShares (File No. 333–
150282–01) (‘‘Up Trust Registration Statement’’)
and the Down MacroShares (File No. 333–150282–
02) (‘‘Down Trust Registration Statement’’ and
together with the Up Trust Registration Statement,
the ‘‘Registration Statements’’).
15 On
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members and member organizations of
the characteristics of the Trusts and the
Shares and of applicable Exchange
rules, as well as of the requirements of
Amex Rule 411 (Duty to Know and
Approve Customers).
The Exchange notes that pursuant to
Amex Rule 411, members and member
organizations are required in connection
with recommending transactions in the
Shares to have a reasonable basis to
believe that a customer is suitable for
the particular investment given
reasonable inquiry concerning the
customer’s investment objectives,
financial situation, needs, and any other
information known by such member.
mstockstill on PROD1PC66 with NOTICES
7. Surveillance
The Exchange represents that its
surveillance procedures are adequate to
properly monitor the trading of the
Shares and to deter and detect
violations of Exchange rules and
applicable federal securities laws.
Specifically, Amex will rely on its
existing surveillance procedures
applicable to derivative securities
products, including Paired Trust Shares,
to monitor trading in the Shares. In
addition, the Exchange also has a
general policy prohibiting the
distribution of material, non-public
information by its employees.
The Exchange currently has in place
a comprehensive surveillance sharing
agreement with the NYMEX for the
purpose of providing information in
connection with trading in, or related to,
futures contracts traded on the NYMEX
that will serve as the Applicable
Reference Price of Crude Oil. This
agreement supports the surveillance
responsibilities of the two exchanges,
including monitoring for fraudulent and
manipulative practices in the trading of
the Shares. The Exchange also notes that
NYMEX is a member of the Intermarket
Surveillance Group (‘‘ISG’’) and a
signatory to the existing ISG Agreement,
as is Amex. Pursuant to the ISG
Agreement, NYMEX has the obligation
to provide relevant surveillance
information in response to a request
from Amex.
III. Discussion and Commission’s
Findings
The Commission has carefully
reviewed the proposed rule change and
finds that it is consistent with the
requirements of Section 6 of the Act 16
and the rules and regulations
thereunder applicable to a national
securities exchange.17 In particular, the
16 15
U.S.C. 78f.
approving this proposed rule change the
Commission has considered the proposed rule’s
17 In
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17:39 Jul 03, 2008
Jkt 214001
Commission finds that the proposal is
consistent with Section 6(b)(5) of the
Act,18 which requires, among other
things, that the Exchange’s rules be
designed to promote just and equitable
principles of trade, to remove
impediments to and perfect the
mechanism of a free and open market
and a national market system, and, in
general, to protect investors and the
public interest.
A. Amendments to Amex Rules 1400,
1401, 1402 and 1405
Amex Rule 1400 governs the listing
and trading of Paired Trust Shares. The
definition of Paired Trust Shares is
currently limited to Holding Shares and
Tradeable Shares.19 Amex proposes to
broaden the definition of Paired Trust
Shares to include Trading Shares. The
structure of Trading Shares differs from
the structures described under the
current Amex Rules governing Paired
Trust Shares in that, for Trading Shares,
there are no Holding Trusts and there is
only one set of trusts (i.e., the ‘‘Up
Trust’’ and the ‘‘Down Trust’’) instead of
two. The Exchange has represented that
there are no substantive differences in
the new structure, which has been
proposed because of a recent
interpretation by the staff of the Internal
Revenue Service that the two-tier
Holding Shares and Tradeable Shares
structure is no longer necessary.
The Commission finds that Amex’s
proposal contains adequate rules and
procedures to govern the listing and
trading of Trading Shares on the
Exchange. Previously, the Commission
found that the current rules governing
the listing and trading of Paired Trust
Shares are consistent with Section
6(b)(5) of the Act.20 Given the
substantial similarities between the
current and proposed types of Paired
Trust Shares, the Commission believes
that including Trading Shares within
Amex’s existing regime for listing and
trading Paired Trust Shares is
appropriate and does not raise any
regulatory issues.
The Commission believes that the
proposal should help to facilitate the
listing and trading of additional types of
exchange-traded products that should
enhance competition among market
participants, to the benefit of investors
and the marketplace. In addition, the
Commission believes that the listing and
trading criteria for Trading Shares set
impact on efficiency, competition, and capital
formation. See 15 U.S.C. 78c(f).
18 15 U.S.C. 78f(b)(5).
19 See current Amex Rule 1400(b)(1).
20 See Securities Exchange Act Release No. 54839
(November 29, 2006), 71 FR 70804, 70809
(December 6, 2006) (SR–AMEX–2006–82).
PO 00000
Frm 00090
Fmt 4703
Sfmt 4703
forth in proposed Amex Rule 1400 are
reasonably designed to protect investors
and the public interest, as discussed
herein.
B. Listing and Trading the Shares
The Commission finds that the
proposal to list and trade the Shares on
the Exchange is consistent with Section
11A(a)(1)(C)(iii) of the Act,21 which sets
forth Congress’ finding that it is in the
public interest and appropriate for the
protection of investors and the
maintenance of fair and orderly markets
to assure the availability to brokers,
dealers, and investors of information
with respect to quotations for and
transactions in securities. Amex will
disseminate a variety of data with
respect to the Shares on a daily basis by
means of CTA and CQ High Speed
Lines, including quotation and last-sale
data information. The Exchange states
that information regarding secondary
market prices and volume of the Shares
will be broadly available on a real-time
basis throughout the trading day on
brokers’ computer screens and other
electronic services, and that the
previous day’s closing price and trading
volume information will be published
daily in the financial section of
newspapers. Amex will also post the
premium or discount of the midpoint of
the bid/offer for the Up MacroShares
and Down MacroShares at the close on
Amex relative to the values per Share
for that price determination day,
together with the end-of-day price
information for the Shares, on its Web
site (https://www.amex.com/
amextrader).22
On each price determination day, the
per-Share values of the Up MacroShares
and Down MacroShares, based on the
Applicable Reference Price of Crude Oil
established and reported by NYMEX,
will be calculated and posted on the
administrative agent’s Web site (https://
www.macromarkets.com). All investors
and market participants will have access
to the administrative agent’s Web site at
no charge.
The Exchange states that delayed
information on futures contracts often is
publicly available from futures
exchanges. Daily settlement prices for
the oil futures contract designated as the
Applicable Reference Price of Crude Oil
for the Shares is publicly available on
NYMEX’s Web site.
The Commission believes that the
proposal to list and trade the Shares is
reasonably designed to promote fair
21 15
U.S.C. 78k–1(a)(1)(C)(iii).
will also post on its Web site any
corrections made by NYMEX to the Applicable
Reference Price of Crude Oil that was reported by
NYMEX for any price determination day.
22 Amex
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disclosure of information that may be
necessary to price the Shares
appropriately and to prevent trading
when a reasonable degree of
transparency cannot be assured. The
Commission notes that the Exchange
will obtain a representation on behalf of
the Trusts that the per-Share net asset
values for the Trusts will be calculated
daily and made available to all market
participants at the same time.
Additionally, the Exchange will halt
trading in the Shares if the value of each
Trust or the per-share values of each of
the Up Trading Shares or the Down
Trading Shares are not disseminated
daily to all market participants at the
same time. The Commission also notes
that, pursuant to proposed Amex Rule
1402, the Exchange will remove from
listing the Up MacroShares or the Down
MacroShares under certain
circumstances, including if: (1) The
intraday level of the Applicable
Reference Price of Crude Oil is no
longer calculated or available on at least
a 15-second delayed basis during the
time the Shares trade on Amex from a
source unaffiliated with the sponsor,
custodian, depositor, Up Trading Trust,
Down Trading Trust or the Exchange
that is a major market data vendor; or
(2) the IIV of the Share is no longer
made available on at least a 15-second
delayed basis by a major market data
vendor during the time the shares trade
on the Exchange.
The Exchange has represented that
the Shares are equity securities subject
to the Exchange’s rules governing the
trading of equity securities. In support
of this proposal, the Exchange has made
the following representations:
(1) The Exchange’s surveillance
procedures are adequate to properly
monitor Exchange trading of the Shares
and to deter and detect violations of
Exchange rules and applicable federal
securities laws.
(2) Prior to the commencement of
trading, the Exchange will inform its
members and Member Organizations an
Information Circular of the special
characteristics and risks associated with
trading the Shares. Specifically, the
Information Circular will discuss the
following: (1) What the Shares are; (2)
the procedures for purchases and paired
optional redemptions of Shares; (3)
prospectus delivery requirements that
are applicable in connection with the
purchase of newly issued Shares by
investors; (4) applicable Amex rules; (5)
dissemination of information regarding
the underlying value of each Trust and
the share of that underlying value
allocable to one Up MacroShare and one
Down MacroShare; (6) trading
information; (7) suitability obligations of
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17:39 Jul 03, 2008
Jkt 214001
members with respect to recommended
transactions to customers in the Shares;
(8) that the Shares are subject to various
fees and expenses described in the
Registration Statement on Form S–1 for
the Up MacroShares or the Down
MacroShares, as applicable; 23 and (9)
any exemptive, no-action, and
interpretive relief granted by the
Commission from any rules under the
Act.
This approval order is based on the
Exchange’s representations.
For the foregoing reasons, the
Commission finds that the proposed
rule change is consistent with the Act
and the rules and regulations
thereunder applicable to a national
securities exchange, and, in particular,
with Section 6(b)(5) of the Act.24
C. Acceleration
The Commission finds good cause for
approving the proposed rule change
before the 30th day after the date of
publication of notice of filing thereof in
the Federal Register. The Commission
notes that the Shares are substantially
similar to another product previously
approved for listing and trading on the
Exchange.25
Therefore, the Commission finds good
cause, consistent with Section 19(b)(2)
of the Act, to approve the proposed rule
change on an accelerated basis.
IV. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act,26 that the
proposed rule change (SR–Amex–2008–
36) be, and it hereby is, approved on an
accelerated basis.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.27
Florence E. Harmon,
Acting Secretary.
[FR Doc. E8–15206 Filed 7–3–08; 8:45 am]
BILLING CODE 8010–01–P
PO 00000
38479
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–58053; File No. SR–NSCC–
2008–03]
Self-Regulatory Organizations; The
National Securities Clearing
Corporation; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change To Support the
Processing of Instructions for the
Transfer or Reallocation of Underlying
Investment Options Within a Variable
Insurance Contract
June 26, 2008.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 notice is hereby given that on
June 19, 2008, the National Securities
Clearing Corporation (‘‘NSCC’’) filed
with the Securities and Exchange
Commission (‘‘Commission’’) the
proposed rule change described in Items
I, II, and III below, which items have
been prepared primarily by NSCC. The
Commission is publishing this notice to
solicit comments on the proposed rule
change from interested parties.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
NSCC proposes to amend its rule in
order to enhance its insurance services
to support the processing of instructions
for the transfer or reallocation of
underlying investment options within a
variable insurance contract.2
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission,
NSCC 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. NSCC has prepared
summaries, set forth in sections (A), (B),
and (C) below, of the most significant
aspects of these statements.3
(A) Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The purpose of the proposed rule
change is to enhance NSCC’s insurance
23 See
supra note 15.
U.S.C. 78f(b)(5).
25 See supra note 20.
26 15 U.S.C. 78s(b)(2).
27 17 CFR 200.30–3(a)(12).
24 15
Frm 00091
Fmt 4703
Sfmt 4703
1 15
U.S.C. 78s(b)(1).
are to the rule text that appears in the
electronic manual of NSCC found at https://
www.nscc.com/legal/.
3 The Commission has modified the text of the
summaries prepared by the NSCC.
2 Changes
E:\FR\FM\07JYN1.SGM
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]]>Agencies
[Federal Register Volume 73, Number 130 (Monday, July 7, 2008)]
[Notices]
[Pages 38474-38479]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E8-15206]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-58057; File No. SR-Amex-2008-36]
Self-Regulatory Organizations; American Stock Exchange LLC; Order
Granting Accelerated Approval of Proposed Rule Change to List and Trade
Shares of the MacroShares $100 Oil Up Trust and the MacroShares $100
Oil Down Trust
June 30, 2008.
I. Introduction
On May 20, 2008, the American Stock Exchange LLC (``Amex'' or
``Exchange''), filed with the Securities and Exchange Commission
(``Commission''), pursuant to Section 19(b)(1) of the Securities
Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 thereunder,\2\ a
proposed rule change to: (1) Amend Amex Rules 1400, 1401, 1402 and 1405
relating to the trading of Paired Trust Shares; and (2) list and trade
shares (``Shares'') of the MacroShares $100 Oil Up Trust (``Up Trust'')
and the MacroShares $100 Oil Down Trust (``Down Trust'') (collectively,
the ``Trusts''). The proposed rule change was published for comment in
the Federal Register on
[[Page 38475]]
June 11, 2008 for a 15-day comment period.\3\ The Commission received
no comments on the proposal. This order approves the proposed rule
change on an accelerated basis.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ See Securities Exchange Act Release No. 57925 (June 5,
2008), 73 FR 33121 (``Notice'').
---------------------------------------------------------------------------
II. Description of the Proposal
The Exchange proposes to amend Amex Rules 1400, 1401, 1402 and
1405, which apply to Paired Trust Shares, to accommodate the listing
and trading of shares of the Up Trust (``Up MacroShares'') and shares
of the Down Trust (``Down MacroShares''). In their current form, these
rules apply to Paired Trust Shares that consist of Holding Shares and
Tradeable Shares.\4\
---------------------------------------------------------------------------
\4\ Holding Shares are issued by a matched pair of trusts
(``Holding Trusts'') in exchange for cash; Tradeable Shares are
issued by a different pair of trusts (``Tradeable Trusts'') in
exchange for the deposit of Holding Shares.
---------------------------------------------------------------------------
A. Amendments to Amex Rules 1400, 1401, 1402 and 1405
The Exchange proposes to amend Amex Rules 1400, 1401, 1402 and 1405
to provide for the listing and trading of Paired Trust Shares in the
case of a series that has only one set of paired trusts.\5\ Under the
proposed amendments to Amex Rule 1400, the term ``Paired Trust Shares''
refers to: (1) Both Holding Shares and any related Tradeable Shares; or
(2) solely ``Trading Shares,'' which is a new defined term. As
proposed, Trading Shares has the same definition as Holding Shares,
except that it is not required that a majority of Trading Shares be
acquired and deposited in a related Tradeable Trust, as it is with
Holding Shares. The Exchange proposes conforming changes in Amex Rules
1401, 1402 and 1405.\6\ The Exchange represents that there are no
substantive differences between the proposed Paired Trust Shares
structure (i.e., a single set of Trading Trusts that issue Trading
Shares and hold financial instruments) and the current two-tier
structure (i.e., a set of Tradeable Trusts that issue Tradeable Shares
and hold Holding Shares issued by a set of Holding Trusts that invest
in financial instruments).
---------------------------------------------------------------------------
\5\ The Exchange states that it has been notified that the need
for the current two-tier trust structure set forth in Amex Rule 1400
for Paired Trust Shares is no longer necessary as a result of a
recent interpretation by the staff of the Internal Revenue Service
relating to the inability to interpose a grantor trust to utilize a
certain tax reporting form.
\6\ In paragraph (b)(i) of Amex Rule 1402, the Exchange also
proposes to correct an error that was inadvertently made when the
rule was originally adopted by replacing the word ``certificates''
with the word ``shares'' (consistent with all other references to
shares in the rules for Paired Trust Shares).
---------------------------------------------------------------------------
B. Listing and Trading the Shares
The Up MacroShares and the Down MacroShares represent undivided
beneficial interests in the Up Trust and the Down Trust, respectively.
The Up Trust and the Down Trust would issue Up MacroShares and Down
MacroShares, respectively, on a continuous basis on an ongoing basis at
any time after the closing date only to and as directed by authorized
participants, at the per-Share values of those Shares on the business
day on which a creation order for the Shares is delivered to and
accepted by the administrative agent for both Trusts.\7\ The Shares
then may be sold by authorized participants to the public at the
prevailing market price. As mentioned above, Amex proposes to list and
trade the Shares pursuant to amended Amex Rules 1400, 1401, 1402 and
1405.
---------------------------------------------------------------------------
\7\ The Up MacroShares and the Down MacroShares may be issued
only in MacroShares Units, consisting of 50,000 Up MacroShares
issued by the Up Trust and 50,000 Down MacroShares issued by the
Down Trust.
---------------------------------------------------------------------------
The assets of each Trust will include an income distribution
agreement and settlement contracts entered into with the other Trust.
Under the income distribution agreement, as of any distribution date,
each Trust will either: (1) Be required to pay all or a portion of its
available income to the other Trust; or (2) be entitled to receive all
or a portion of the other Trust's available income, based, in each
case, on the level of the Applicable Reference Price of Crude Oil \8\
for each day during the preceding calculation period. Under each
settlement contract, in connection with the final scheduled termination
date, an early termination date or any redemption date, each Trust will
either be required to make a final payment out of its assets to the
other Trust or be entitled to receive a final payment from the other
Trust out of the assets of the other Trust, based, in each case, on the
change in the level of the Applicable Reference Price of Crude Oil from
its starting level on the closing date to its ending level on the
relevant price determination day preceding the final scheduled
termination date, early termination date, or redemption date, as the
case may be. Each Trust will also hold U.S. Treasuries and repurchase
agreements on U.S. Treasuries (collectively, ``treasuries'') to secure
its obligations under the income distribution agreement and the
settlement contracts. Each Trust will make quarterly distributions of
income on the treasuries and a final distribution of all assets it
holds on deposit on the final scheduled termination date, an early
termination date or a redemption date.\9\ Each quarterly and final
distribution will be based on the value of the Applicable Reference
Price of Crude Oil.
---------------------------------------------------------------------------
\8\ The Applicable Reference Price of Crude Oil is defined as
the settlement price of the New York Mercantile Exchange (``NYMEX'')
division light sweet crude oil futures contract of the designated
maturity, as established and reported by the NYMEX on a per barrel
basis in U.S. dollars at the end of each price determination day.
\9\ Each Trust's quarterly distribution to holders of that
Trust's Shares will be made out of the income that it holds on
deposit after it has deducted an appropriate amount for fees, either
made or received a payment under the income distribution agreement,
and acquired treasuries with an aggregate purchase price equal to
the aggregate par amount of the outstanding Shares of that Trust on
that distribution date. On any distribution date, if a Trust's
actual fees and expenses exceeds its income from the treasuries,
there will be a corresponding reduction in the underlying value of
the Trust that will be permanent unless it can be made up out of
treasury income on future distribution dates, net of fees and
expenses on those distribution dates.
Each Trust's final distribution to holders of that Trust's
Shares will depend on the payments that it is required to make to,
or that it is entitled to receive from, the other Trust under the
settlement contracts that are settled in connection with the final
scheduled termination date, early termination date, or redemption
date, as the case may be.
---------------------------------------------------------------------------
With respect to the Up Trust, if the level of the Applicable
Reference Price of Crude Oil on any price determination day exceeds its
starting level on the closing date (the date on which the Trusts
entered into the income distribution agreement), the underlying value
of the Up Trust will increase to include all of its assets plus a
portion of the assets of the paired Down Trust. Conversely, if the
level of the Applicable Reference Price of Crude Oil on any price
determination day falls below its starting level, the Up Trust's
underlying value will decrease because a portion of its assets will be
included in the underlying value of the paired Down Trust. The
underlying value of the Up Trust on each price determination day
represents the aggregate amount of the assets in the paired Trusts to
which the Up Trust would be entitled if the settlement contracts were
settled on that day.
With respect to the Down Trust, if the level of the Applicable
Reference Price of Crude Oil on any price determination day exceeds its
starting level on the closing date, the underlying value of the Down
Trust will decrease because a portion of its assets will be included in
the underlying value of the paired Up Trust. Conversely, if the level
of the Applicable Reference Price of Crude Oil on any price
determination day falls below its starting level, the Down Trust's
underlying value will increase to
[[Page 38476]]
include all of its assets plus a portion of the assets of the Up Trust.
The underlying value of the Down Trust on each price determination day
represents the aggregate amount of the assets in the paired Trusts to
which the Down Trust would be entitled if the settlement contracts were
settled on that day.
The Notice and the Registration Statements contain more information
regarding the Shares, the Trusts, the Applicable Reference Price of
Crude Oil, quarterly distributions, final distributions, price
determination days, underlying values, risks, fees and expenses,
termination triggers, and creation and redemption procedures.
1. Availability of Information Regarding the Shares
a. Intraday Indicative Values
Throughout each price determination day, Amex, acting as the
calculation agent for each Trust, will calculate and disseminate, at
least every 15 seconds during regular Amex trading hours, through the
facilities of the Consolidated Tape Association (``CTA''), an estimated
value (referred to as an ``Intraday Indicative Value'' or ``IIV'') of
the values per-Share of both the Up MacroShares and the Down
MacroShares. To enable this calculation, Amex will receive real time
price data from the NYMEX through major market data vendors for the
light sweet crude oil futures contract of the designated maturity that
trades on the NYMEX.
Because the NYMEX market for the light sweet crude oil futures
contract will be closed for portions of Amex trading day, the IIV
calculated values will become fixed and will not be updated at such
times that the NYMEX contract is not trading.\10\ Conversely, at times
when the light sweet crude oil futures contract of the designated
maturity is trading on NYMEX, those trades will be used to update the
IIV values.
---------------------------------------------------------------------------
\10\ The IIV calculated during the period following the daily
opening of trading of the Shares on Amex but prior to any trades
taking place on the NYMEX in the relevant light sweet crude oil
futures contract will be based on the final price of the futures
contract on the prior trading day.
---------------------------------------------------------------------------
Amex will make available through its in-house systems, for use by
the specialist and market makers, the IIV values distributed through
the facilities of the CTA. This data will also be available to Amex
surveillance systems and personnel for their purposes.
b. Availability of Other Information and Data
At the end of each price determination day, Amex will calculate the
premium or discount of the midpoint of the bid/offer for the Up
MacroShares at the close on Amex relative to the value per share for
that price determination day, after the latter is calculated and
provided to Amex by the trustee. Amex will also perform the same
calculation with respect to the Down MacroShares. Amex will then post
these premiums/discounts, together with the end-of-day price
information for the Shares, on its Web site (https://www.amex.com/
amextrader). Further, Amex will post on its Web site any corrections
made by NYMEX to the Applicable Reference Price of Crude Oil that was
reported by NYMEX for any price determination day. Amex also intends to
disseminate a variety of data with respect to the Shares on a daily
basis by means of CTA and CQ High Speed Lines, including quotation and
last-sale data information.
On each price determination day, State Street Bank and Trust
Company, the trustee for the Up Trust and the Down Trust, will
calculate the value of the Up Trust and the Down Trust and the per-
Share values of the Up MacroShares and Down MacroShares, based on the
Applicable Reference Price of Crude Oil established and reported by
NYMEX. The trustee will then provide such values to the administrative
agent, which will post them on its Web site (https://
www.macromarkets.com). All investors and market participants will have
access to the administrative agent's Web site at no charge.
Information regarding secondary market prices and volume of the
Shares will be broadly available on a real-time basis throughout the
trading day on brokers' computer screens and other electronic services.
The previous day's closing price and trading volume information will be
published daily in the financial section of newspapers.
Delayed information on futures contracts is often publicly
available from futures exchanges. Daily settlement prices for the oil
futures contract designated as the Applicable Reference Price of Crude
Oil for the Shares is publicly available on NYMEX's Web site.
2. Initial and Continued Listing Criteria
Amex Rule 1402 sets forth initial and continued listing criteria
applicable to Paired Trust Shares. Currently, these criteria are
applicable to Holding Shares and Tradeable Shares. The proposed rule
change would make them applicable to Trading Shares as well.
A minimum of 150,000 Up MacroShares and 150,000 Down MacroShares
will be required to be outstanding at the commencement of trading. The
Exchange believes that this minimum number of outstanding Shares at the
start of trading is sufficient to provide adequate market liquidity,
and it is the same initial minimum requirement that was applicable to
the Claymore MACROshares Oil Up Tradeable Shares and the Claymore
MACROshares Oil Down Tradeable Shares (the first series of Paired Trust
Shares to be listed and traded on the Exchange). The starting level for
the Applicable Reference Price of Crude Oil will be $100 and is based
on recent prices for a barrel of light sweet crude oil. The Exchange
will obtain a representation on behalf of the Up Trust and the Down
Trust that the values per-Share of the Up MacroShares and Down
MacroShares, respectively, will be calculated daily and will be made
available to all market participants at the same time. The Exchange
will remove from listing the Up MacroShares or the Down MacroShares
under the following circumstances, pursuant to proposed Amex Rule 1402:
If following the initial twelve month period following the
commencement of trading of the Shares: (1) The Up Trust or the Down
Trust has more than 60 days remaining until termination and there are
fewer than 50 record and/or beneficial holders of Up MacroShares or
Down MacroShares, respectively, for 30 or more consecutive trading
days; (2) if the Up Trust or the Down Trust has fewer than 50,000 Up
MacroShares or Down MacroShares, respectively, issued and outstanding;
or (3) if the combined market value of all Shares issued and
outstanding for the Up Trust and the Down Trust combined is less than
$1,000,000;
If the intraday level of the Applicable Reference Price of
Crude Oil is no longer calculated or available on at least a 15-second
delayed basis during the time the Shares trade on Amex from a source
unaffiliated with the sponsor, custodian, depositor, Up Trading Trust,
Down Trading Trust or the Exchange that is a major market data vendor;
If the IIV of each Up Trading Share or Down Trading Share,
as the case may be, is no longer made available on at least a 15-second
delayed basis by a major market data vendor during the time the Shares
trade on the Exchange;
If a replacement benchmark is selected for the
determination of the Applicable Reference Price of Crude Oil, unless
the Exchange files with the Commission a related proposed rule change
pursuant to Commission Rule 19b-4 under the Act seeking approval to
continue trading the Up MacroShares or Down MacroShares and such rule
[[Page 38477]]
change is approved by the Commission; or
If such other event shall occur or condition exists which
in the opinion of the Exchange makes further dealings on the Exchange
inadvisable.
3. Trading Halts
Prior to the commencement of trading, the Exchange will issue an
Information Circular (described below) to members informing them of,
among other things, Exchange policies regarding halts in trading of the
Shares. First, the Information Circular will advise that trading will
be halted in the event the market volatility trading halt parameters
set forth in Amex Rule 117 have been reached. In exercising its
discretion to halt or suspend trading in the Shares, the Exchange may
also consider other relevant factors and the existence of unusual
conditions or circumstances that may be detrimental to the maintenance
of a fair and orderly market. During any trading halt in the Shares,
the underlying light sweet crude oil futures contracts are expected to
continue to trade on the NYMEX because the NYMEX does not provide for
trading halts in these contracts.
In the event that (a) The underlying value of each Trust or the
per-Share values of each of the Up Trading Shares or the Down Trading
Shares are not disseminated daily to all market participants at the
same time, (b) the IIV, updated at least every 15 seconds, for the
underlying value per Share of the Up Trading Shares or the Down Trading
Shares is no longer being calculated or disseminated by a major market
data vendor during the time the Shares trade on Amex, or (c) the price
of the NYMEX light sweet crude oil futures contract is no longer
available at least every 15 seconds from a major market data vendor
during the time the Shares trade on Amex \11\ (e.g., due to a temporary
disruption in connection with either the pricing of the light sweet
crude oil futures contract on the NYMEX or the transmission of real
time price data from the NYMEX), then the Exchange will halt
trading.\12\ However, in the case of (b) or (c) involving interruption
to the required dissemination of IIVs or futures contract prices, the
Exchange may consider relevant factors and exercise its discretion
regarding the halt or suspension of trading during the day in which the
interruption to the dissemination of the IIVs or the futures contract
prices occurs. If the interruption to the dissemination of the IIVs or
the futures contract prices persists past the trading day in which it
occurred, the Exchange will halt trading no later than the beginning of
the trading day following the interruption.
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\11\ Trading in the MACRO Tradeable Shares will not be halted on
Amex, however, simply because price data from the NYMEX based on
current trading is not available outside the normal open outcry
trading hours of light sweet crude oil futures contracts on the
NYMEX from 10 a.m. to 2:30 p.m., Eastern Time.
\12\ In each of these circumstances, the Exchange may contact
the Commission staff to discuss the matter.
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4. Trading Rules
The Shares are equity securities subject to Amex Rules governing
the trading of equity securities, including, among others, rules
governing priority, parity and precedence of orders, specialist
responsibilities and account opening and customer suitability (Amex
Rule 411). The Shares will trade on Amex from 9:30 a.m. until either 4
p.m. or 4:15 p.m. Eastern Time each business day for each series, as
specified by the Exchange, and will trade in a minimum price variation
of $0.01 pursuant to Amex Rule 127-AEMI. Trading rules pertaining to
odd-lot trading in Amex equities (Amex Rule 205-AEMI) will also apply.
Amex Rule 154-AEMI(c)(ii) provides that stop and stop limit orders
to buy or sell a security the price of which is derivatively priced
based upon another security or index of securities, may be elected by a
quotation, as set forth in subparagraphs (c)(ii)(1)-(4) of Amex Rule
154-AEMI . By this rule filing, the Exchange is designating the Shares
as eligible for this treatment.\13\ In addition, Amex Rule 126A-AEMI
complies with Rule 611 of Regulation NMS, which requires, among other
things, that the Exchange adopt and enforce written policies and
procedures that are reasonably designed to prevent trade-throughs of
protected quotations. Members and member organizations will be subject
to Commentary .03 to Amex Rule 1400 prohibiting such member or member
organizations from entering into the Exchange's order routing system
multiple limit orders as agent (i.e., customer agency orders).
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\13\ See Securities Exchange Act Release No. 29063 (April 10,
1991), 56 FR 15652 (April 17, 1991) (SR-Amex-90-31) at note 9,
regarding the Exchange's designation of equity derivative securities
as eligible for such treatment by means of a new rule filing with
the Commission. In the instant case, the price of the Up MacroShares
and the Down MacroShares are derivatively based upon, and should
fluctuate with, the value of the underlying settlement contracts
held by the Up Trust or the Down Trust, as the case may be, which
settlement contracts: (1) Determine the amount of the aggregate
assets in the paired Trusts to which each respective Trust would be
entitled if settlement occurred on that day; and (2) have a value
that is determined by the level of the Applicable Reference Price of
Crude Oil. Consequently, as with other equity derivative securities
designated by the Exchange as eligible under the terms of Securities
Exchange Act Release No. 29063 to allow stop and stop limit orders
to be elected by a quotation, the Exchange believes that the
derivative pricing relationship to which the Shares are subject does
not present the type of opportunity for manipulation and trading
abuses in connection with elections of stop orders by specialists
that the Commission seeks to prohibit.
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5. Information Circular
Prior to the commencement of trading, the Exchange will inform its
members and member organizations in an Information Circular of the
special characteristics and risks associated with trading the Shares.
Specifically, the Information Circular will discuss the following: (1)
What the Shares are; (2) the procedures for purchases and paired
optional redemptions of Shares, which may only be effected in
MacroShares Units \14\ or multiples thereof by Authorized Participants
(noting in particular that Shares are not individually redeemable); (3)
prospectus delivery requirements that are applicable in connection with
the purchase of newly issued Shares by investors; (4) applicable Amex
rules; (5) dissemination of information regarding the underlying value
of each Trust and the share of that underlying value allocable to one
Up MacroShare and one Down MacroShare; (6) trading information; and (7)
suitability obligations of members with respect to recommended
transactions to customers in the Shares (discussed below).
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\14\ See supra note 7.
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In addition, the Information Circular will reference that the
Shares are subject to various fees and expenses described in the
Registration Statements on Form S-1 for the Up MacroShares or the Down
MacroShares, as applicable.\15\ The Information Circular will discuss
any exemptive, no-action, and interpretive relief granted by the
Commission from any rules under the Exchange Act. It will also
reference the fact that the Commission has no jurisdiction over the
trading of the NYMEX light sweet crude oil futures contract. Finally,
the Information Circular will also advise members that the upside gains
to investors are capped once the price level percentage change of the
Applicable Reference Price of Crude Oil equals or exceeds 100%.
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\15\ On April 17, 2008, the depositor filed with the Commission
a Registration Statement on Form S-1 for both the Up MacroShares
(File No. 333-150282-01) (``Up Trust Registration Statement'') and
the Down MacroShares (File No. 333-150282-02) (``Down Trust
Registration Statement'' and together with the Up Trust Registration
Statement, the ``Registration Statements'').
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6. Suitability
The Exchange, in the Information Circular referenced above, will
inform
[[Page 38478]]
members and member organizations of the characteristics of the Trusts
and the Shares and of applicable Exchange rules, as well as of the
requirements of Amex Rule 411 (Duty to Know and Approve Customers).
The Exchange notes that pursuant to Amex Rule 411, members and
member organizations are required in connection with recommending
transactions in the Shares to have a reasonable basis to believe that a
customer is suitable for the particular investment given reasonable
inquiry concerning the customer's investment objectives, financial
situation, needs, and any other information known by such member.
7. Surveillance
The Exchange represents that its surveillance procedures are
adequate to properly monitor the trading of the Shares and to deter and
detect violations of Exchange rules and applicable federal securities
laws. Specifically, Amex will rely on its existing surveillance
procedures applicable to derivative securities products, including
Paired Trust Shares, to monitor trading in the Shares. In addition, the
Exchange also has a general policy prohibiting the distribution of
material, non-public information by its employees.
The Exchange currently has in place a comprehensive surveillance
sharing agreement with the NYMEX for the purpose of providing
information in connection with trading in, or related to, futures
contracts traded on the NYMEX that will serve as the Applicable
Reference Price of Crude Oil. This agreement supports the surveillance
responsibilities of the two exchanges, including monitoring for
fraudulent and manipulative practices in the trading of the Shares. The
Exchange also notes that NYMEX is a member of the Intermarket
Surveillance Group (``ISG'') and a signatory to the existing ISG
Agreement, as is Amex. Pursuant to the ISG Agreement, NYMEX has the
obligation to provide relevant surveillance information in response to
a request from Amex.
III. Discussion and Commission's Findings
The Commission has carefully reviewed the proposed rule change and
finds that it is consistent with the requirements of Section 6 of the
Act \16\ and the rules and regulations thereunder applicable to a
national securities exchange.\17\ In particular, the Commission finds
that the proposal is consistent with Section 6(b)(5) of the Act,\18\
which requires, among other things, that the Exchange's rules be
designed to promote just and equitable principles of trade, to remove
impediments to and perfect the mechanism of a free and open market and
a national market system, and, in general, to protect investors and the
public interest.
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\16\ 15 U.S.C. 78f.
\17\ In approving this proposed rule change the Commission has
considered the proposed rule's impact on efficiency, competition,
and capital formation. See 15 U.S.C. 78c(f).
\18\ 15 U.S.C. 78f(b)(5).
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A. Amendments to Amex Rules 1400, 1401, 1402 and 1405
Amex Rule 1400 governs the listing and trading of Paired Trust
Shares. The definition of Paired Trust Shares is currently limited to
Holding Shares and Tradeable Shares.\19\ Amex proposes to broaden the
definition of Paired Trust Shares to include Trading Shares. The
structure of Trading Shares differs from the structures described under
the current Amex Rules governing Paired Trust Shares in that, for
Trading Shares, there are no Holding Trusts and there is only one set
of trusts (i.e., the ``Up Trust'' and the ``Down Trust'') instead of
two. The Exchange has represented that there are no substantive
differences in the new structure, which has been proposed because of a
recent interpretation by the staff of the Internal Revenue Service that
the two-tier Holding Shares and Tradeable Shares structure is no longer
necessary.
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\19\ See current Amex Rule 1400(b)(1).
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The Commission finds that Amex's proposal contains adequate rules
and procedures to govern the listing and trading of Trading Shares on
the Exchange. Previously, the Commission found that the current rules
governing the listing and trading of Paired Trust Shares are consistent
with Section 6(b)(5) of the Act.\20\ Given the substantial similarities
between the current and proposed types of Paired Trust Shares, the
Commission believes that including Trading Shares within Amex's
existing regime for listing and trading Paired Trust Shares is
appropriate and does not raise any regulatory issues.
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\20\ See Securities Exchange Act Release No. 54839 (November 29,
2006), 71 FR 70804, 70809 (December 6, 2006) (SR-AMEX-2006-82).
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The Commission believes that the proposal should help to facilitate
the listing and trading of additional types of exchange-traded products
that should enhance competition among market participants, to the
benefit of investors and the marketplace. In addition, the Commission
believes that the listing and trading criteria for Trading Shares set
forth in proposed Amex Rule 1400 are reasonably designed to protect
investors and the public interest, as discussed herein.
B. Listing and Trading the Shares
The Commission finds that the proposal to list and trade the Shares
on the Exchange is consistent with Section 11A(a)(1)(C)(iii) of the
Act,\21\ which sets forth Congress' finding that it is in the public
interest and appropriate for the protection of investors and the
maintenance of fair and orderly markets to assure the availability to
brokers, dealers, and investors of information with respect to
quotations for and transactions in securities. Amex will disseminate a
variety of data with respect to the Shares on a daily basis by means of
CTA and CQ High Speed Lines, including quotation and last-sale data
information. The Exchange states that information regarding secondary
market prices and volume of the Shares will be broadly available on a
real-time basis throughout the trading day on brokers' computer screens
and other electronic services, and that the previous day's closing
price and trading volume information will be published daily in the
financial section of newspapers. Amex will also post the premium or
discount of the midpoint of the bid/offer for the Up MacroShares and
Down MacroShares at the close on Amex relative to the values per Share
for that price determination day, together with the end-of-day price
information for the Shares, on its Web site (https://www.amex.com/
amextrader).\22\
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\21\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
\22\ Amex will also post on its Web site any corrections made by
NYMEX to the Applicable Reference Price of Crude Oil that was
reported by NYMEX for any price determination day.
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On each price determination day, the per-Share values of the Up
MacroShares and Down MacroShares, based on the Applicable Reference
Price of Crude Oil established and reported by NYMEX, will be
calculated and posted on the administrative agent's Web site (https://
www.macromarkets.com). All investors and market participants will have
access to the administrative agent's Web site at no charge.
The Exchange states that delayed information on futures contracts
often is publicly available from futures exchanges. Daily settlement
prices for the oil futures contract designated as the Applicable
Reference Price of Crude Oil for the Shares is publicly available on
NYMEX's Web site.
The Commission believes that the proposal to list and trade the
Shares is reasonably designed to promote fair
[[Page 38479]]
disclosure of information that may be necessary to price the Shares
appropriately and to prevent trading when a reasonable degree of
transparency cannot be assured. The Commission notes that the Exchange
will obtain a representation on behalf of the Trusts that the per-Share
net asset values for the Trusts will be calculated daily and made
available to all market participants at the same time. Additionally,
the Exchange will halt trading in the Shares if the value of each Trust
or the per-share values of each of the Up Trading Shares or the Down
Trading Shares are not disseminated daily to all market participants at
the same time. The Commission also notes that, pursuant to proposed
Amex Rule 1402, the Exchange will remove from listing the Up
MacroShares or the Down MacroShares under certain circumstances,
including if: (1) The intraday level of the Applicable Reference Price
of Crude Oil is no longer calculated or available on at least a 15-
second delayed basis during the time the Shares trade on Amex from a
source unaffiliated with the sponsor, custodian, depositor, Up Trading
Trust, Down Trading Trust or the Exchange that is a major market data
vendor; or (2) the IIV of the Share is no longer made available on at
least a 15-second delayed basis by a major market data vendor during
the time the shares trade on the Exchange.
The Exchange has represented that the Shares are equity securities
subject to the Exchange's rules governing the trading of equity
securities. In support of this proposal, the Exchange has made the
following representations:
(1) The Exchange's surveillance procedures are adequate to properly
monitor Exchange trading of the Shares and to deter and detect
violations of Exchange rules and applicable federal securities laws.
(2) Prior to the commencement of trading, the Exchange will inform
its members and Member Organizations an Information Circular of the
special characteristics and risks associated with trading the Shares.
Specifically, the Information Circular will discuss the following: (1)
What the Shares are; (2) the procedures for purchases and paired
optional redemptions of Shares; (3) prospectus delivery requirements
that are applicable in connection with the purchase of newly issued
Shares by investors; (4) applicable Amex rules; (5) dissemination of
information regarding the underlying value of each Trust and the share
of that underlying value allocable to one Up MacroShare and one Down
MacroShare; (6) trading information; (7) suitability obligations of
members with respect to recommended transactions to customers in the
Shares; (8) that the Shares are subject to various fees and expenses
described in the Registration Statement on Form S-1 for the Up
MacroShares or the Down MacroShares, as applicable; \23\ and (9) any
exemptive, no-action, and interpretive relief granted by the Commission
from any rules under the Act.
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\23\ See supra note 15.
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This approval order is based on the Exchange's representations.
For the foregoing reasons, the Commission finds that the proposed
rule change is consistent with the Act and the rules and regulations
thereunder applicable to a national securities exchange, and, in
particular, with Section 6(b)(5) of the Act.\24\
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\24\ 15 U.S.C. 78f(b)(5).
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C. Acceleration
The Commission finds good cause for approving the proposed rule
change before the 30th day after the date of publication of notice of
filing thereof in the Federal Register. The Commission notes that the
Shares are substantially similar to another product previously approved
for listing and trading on the Exchange.\25\
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\25\ See supra note 20.
---------------------------------------------------------------------------
Therefore, the Commission finds good cause, consistent with Section
19(b)(2) of the Act, to approve the proposed rule change on an
accelerated basis.
IV. Conclusion
It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\26\ that the proposed rule change (SR-Amex-2008-36) be, and it
hereby is, approved on an accelerated basis.
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\26\ 15 U.S.C. 78s(b)(2).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\27\
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\27\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Acting Secretary.
[FR Doc. E8-15206 Filed 7-3-08; 8:45 am]
BILLING CODE 8010-01-P
