

[Federal Register: November 2, 2006 (Volume 71, Number 212)]
[Notices]               
[Page 64573-64590]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr02no06-83]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-54658; File No. SR-Amex-2006-82]

 
Self-Regulatory Organizations; American Stock Exchange LLC; 
Notice of Filing of Proposed Rule Change and Amendment No. 1 Thereto 
Relating to MACRO Tradeable Shares

October 26, 2006.
    Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 \2\ thereunder, notice is hereby given 
that on August 23, 2006, the American Stock Exchange LLC (``Amex'' or 
``Exchange'') filed with the Securities and Exchange Commission 
(``SEC'' or ``Commission'') the proposed rule change as described in 
Items I, II, and III below, which Items have been prepared by the 
Exchange. On October 20, 2006, Amex filed Amendment No. 1 to the 
proposed rule change.\3\ 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.
    \3\ Amendment No. 1 supersedes and replaces the original filing 
in its entirety.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Amex proposes to list and trade under new Amex Rules 1400 et 
seq. (1) Claymore MACROshares Oil Up Tradeable Shares (the ``Up-MACRO 
\4\ Tradeable Shares'') and (2) Claymore MACROshares Oil Down Tradeable 
Shares (the ``Down-MACRO Tradeable Shares'' and together with the Up-
MACRO Tradeable Shares, the ``MACRO Tradeable Shares'').
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    \4\ MACRO[reg] is a federally-registered servicemark of 
MacroMarkets LLC (``MacroMarkets'').
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    The text of the proposed rule change, as amended, is available on 
the Amex's Web site (http://www.Amex.com), at the Amex's Office of the 

Secretary, and at the Commission's public reference room. The text of 
Exhibit 5 to the proposed rule change, as amended, is also available on 
the Commission's Web site (http://www.sec.gov/rules/sro/shtml).


II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Amex included statements 
concerning the purpose of and basis for the proposed rule change, as 
amended. The text of these statements may be examined at the places 
specified in Item IV below. The Amex 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 add new section 1400 et seq. for the 
purpose of permitting the listing and trading of securities issued by a 
pair of related trusts and based on an index or other numerical 
variable (``Reference Price'') whose value reflects the value of 
assets, prices, or other economic interests. In particular, the Amex 
initially proposes to list securities issued by (1) the Claymore 
MACROshares Oil Up Tradeable Trust (the ``Up-MACRO Tradeable Trust'') 
and (2) the Claymore MACROshares Oil Down Tradeable Trust (the ``Down-
MACRO Tradeable Trust'' and together with the Up-MACRO Tradeable Trust, 
the ``MACRO Tradeable Trusts''). Each of these securities represents an 
undivided beneficial interest in the respective MACRO Tradeable Trust.
    The assets of the Up-MACRO Tradeable Trust will consist exclusively 
of a majority of the Claymore MACROshares Oil Up Holding Shares (``Up-
MACRO Holding Shares'') issued by the Claymore MACROshares Oil Up 
Holding Trust (``Up-MACRO Holding

[[Page 64574]]

Trust''). ``Quarterly Income Distributions,'' ``Redemption 
Distributions,'' and ``Final Distributions,'' as described below, on 
the Up-MACRO Holding Shares held by the Up-MACRO Tradeable Trust will 
be based on the ``underlying value'' of the Up-MACRO Holding Trust on 
specified dates (which underlying value will increase or decrease in 
proportion to fluctuations in the ``Applicable Reference Price of Crude 
Oil,'' as defined herein, above or below its starting level) and will 
be passed through to the holders of the Up-MACRO Tradeable Shares. If 
the Applicable Reference Price of Crude Oil rises above its starting 
level, the Up-MACRO Holding Trust's underlying value will increase 
proportionately to include all of its assets plus an obligation of the 
Down-MACRO Holding Trust (as defined below) to transfer a portion of 
its assets. Conversely, if the level of the Applicable Reference Price 
of Crude Oil falls below its starting level, the Up-MACRO Holding 
Trust's underlying value will decrease proportionately because an 
obligation to transfer a portion of the Up-MACRO Holding Trust's assets 
will be included in the calculation of the underlying value of the 
Down-MACRO Holding Trust. The Applicable Reference Price of Crude Oil 
is the settlement price of the NYMEX Division of the New York 
Mercantile Exchange, Inc. (``NYMEX'') light sweet crude oil futures 
contract of the ``designated maturity'' (as defined below), as 
established and reported by NYMEX on a per barrel basis in U.S. dollars 
at the end of each ``Price Determination Day'' (as defined below).
    Similarly, the assets of the Down-MACRO Tradeable Trust will 
consist exclusively of a majority of the Claymore MACROshares Oil Down 
Holding Shares (``Down-MACRO Holding Shares'' and together with the Up-
MACRO Holding Shares, the ``MACRO Holding Shares'') issued by the 
Claymore MACROshares Oil Down Holding Trust (``Down-MACRO Holding 
Trust'' and together with the Up-MACRO Holding Trust, the ``MACRO 
Holding Trusts''). Quarterly Income Distributions, Redemption 
Distributions and Final Distributions, as described below, on the Down-
MACRO Holding Shares held by the Down-MACRO Tradeable Trust will be 
based on the ``underlying value'' of the Down-MACRO Holding Trust on 
specified dates (which underlying value will increase or decrease in 
proportion to fluctuations in the Applicable Reference Price of Crude 
Oil above or below its starting level) and will be passed through to 
the holders of the Down-MACRO Tradeable Shares. If the Applicable 
Reference Price of Crude Oil rises above its starting level, the Down-
MACRO Holding Trust's underlying value will decrease proportionately 
because an obligation to transfer a portion of the Down-MACRO Holding 
Trust's assets will be included in the calculation of the underlying 
value of the Up-MACRO Holding Trust. Conversely, if the level of the 
Applicable Reference Price of Crude Oil falls below its starting level, 
the Down-MACRO Holding Trust's underlying value will increase to 
include all of its assets plus an obligation of the Up-MACRO Holding 
Trust to transfer a portion of its assets. The underlying value of 
either MACRO Holding Trust on each Price Determination Day (as defined 
below) represents the aggregate amount of the assets in both of the 
MACRO Holding Trusts to which that trust would be entitled if the 
settlement contracts and the income distribution agreement between the 
paired MACRO Holding Trusts described below were settled on that day.
    Under proposed Amex Rule 1401, the Exchange may approve for listing 
and trading ``Paired Trust Shares'' based on the value of a Reference 
Price, which may measure assets, prices, or other economic interests. 
Consistent with this proposed rule, the Amex proposes to list for 
trading Up-MACRO and Down-MACRO Tradeable Shares based on the 
Applicable Reference Price of Crude Oil as the Reference Price under 
proposed Amex Rule 1400 et seq. The MACRO Tradeable Shares will be the 
first Paired Trust Shares to be listed and traded on the Amex. The 
MACRO Holding Shares will not be listed or traded on the Amex.

Introduction

    The Exchange is proposing to adopt rules for the listing and 
trading of Paired Trust Shares. Paired Trust Shares are comprised of 
two distinct types of securities--``Holding Shares'' and ``Tradeable 
Shares''--that are related through a two-tiered structure. The purpose 
of the following paragraphs in this ``Introduction'' is to describe 
Paired Trust Shares generically, not to describe a specific product.\5\ 
The Exchange also proposes to amend its original listing and annual 
listing fees in Sections 140 and 141 of the Amex Company Guide to 
include the Paired Trust Shares.
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    \5\ See, infra ``Description of the Reference Price--the 
Applicable Reference Price of Crude Oil'' for the beginning of the 
detailed description of the specific product that is being proposed 
for approval in this filing under the proposed rules for Paired 
Trust Shares.
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    The top tier of Paired Trust Shares consists of Holding Shares, 
which are securities: (a) That are issued by a trust (``Holding 
Trust'') that is paired with another Holding Trust and whose respective 
``underlying values'' move in opposite directions as the value of the 
specified Reference Price varies from its starting level; (b) that are 
issued in exchange for cash; (c) a majority (but not necessarily all) 
of which will be acquired and deposited in a related Tradeable Trust 
(as defined herein); (d) the issuance proceeds of which are invested 
and reinvested in highly rated short-term financial instruments that 
mature prior to the next scheduled income distribution date and that 
serve the functions of (i) securing the contractual obligations between 
the two paired Holding Trusts, (ii) covering the trust's expenses, and 
(iii) if any amount remains, providing periodic Income Distributions to 
investors; \6\ (e) which represent a beneficial interest in the Holding 
Trust that issued them; (f) the value of which is determined by the 
underlying value of the related Holding Trust, which underlying value 
will either (i) increase as a result of an increase in the Reference 
Price and decrease as a result of a decrease in the Reference Price (in 
the case of ``Up Holding Shares'' issued by an ``Up Holding Trust'') or 
(ii) increase as a result of a decrease in the Reference Price and 
decrease as a result of an increase in the Reference Price (in the case 
of ``Down Holding Shares'' issued by the paired ``Down Holding 
Trust''); (g) whose issuing Holding Trust enters into one or more 
settlement contracts \7\ and an income distribution agreement \8\

[[Page 64575]]

with the other paired Holding Trust; (h) that, when timely aggregated 
in a specified minimum number or amount of securities, along with a 
specified multiple of that number or amount of securities issued by the 
other paired Holding Trust (together, a ``Creation Unit'') may be 
redeemed in a Redemption Distribution of cash and/or securities on 
specified dates by authorized parties; and (i) that may be subject to 
early mandatory redemption of all Holding Shares in connection with a 
Final Distribution prior to the final scheduled termination date under 
specified circumstances.
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    \6\ Such periodic distributions to investors (``Income 
Distributions'') are based on the income (after expenses) received 
from the financial instruments held by each Holding Trust (e.g., 
interest income from maturing U.S. Treasury securities and 
repurchase agreements fully collateralized by U.S. Treasury 
securities), and are made immediately following the periodic 
transfer of such income between the paired Holding Trusts under the 
terms of the income distribution agreement as described in clause 
(g) of this paragraph.
    \7\ As described below, when Holding Shares are redeemed in a 
paired optional redemption (``Redemption Distribution'') or upon 
early or final termination (``Final Distribution''), the settlement 
contracts between the two Holding Trusts provide for the appropriate 
transfer of assets between the paired Holding Trusts so that the 
Holding Shares of each Holding Trust may be redeemed in proportion 
to the per share underlying value of that Holding Trust.
    \8\ As described below, the income distribution agreement 
between the two Holding Trusts provides for the periodic transfer 
between the paired Holding Trusts of income (after payment of 
expenses) received by each Holding Trust from the financial 
instruments (as described above) held by that Holding Trust, with 
the amount of each periodic transfer based on the proportionate 
change in the Reference Price from its starting level at one or more 
points during the period following the previous periodic transfer of 
such income between the paired Holding Trusts.
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    The second tier of Paired Trust Shares consists of Tradeable 
Shares, which are securities: (a) That are issued by a trust 
(``Tradeable Trust'') in exchange for the deposit of Holding Shares (or 
cash, which cash is then used to purchase Holding Shares) into the 
Tradeable Trust, with the Holding Shares that are held by the Tradeable 
Trust being either Up Holding Shares (in the case of ``Up Tradeable 
Shares'' issued by an ``Up Tradeable Trust'') or Down Holding Shares 
(in the case of ``Down Tradeable Shares'' issued by a ``Down Tradeable 
Trust''); (b) which represent an undivided beneficial interest in the 
Tradeable Trust that issued them; (c) the Quarterly Income 
Distributions, Redemption Distributions, and Final Distributions on 
which (which are solely pass-through distributions received on the 
Holding Shares that are held by the issuing Tradeable Trust) will 
thereby either (i) in the case of the Up Tradeable Shares, increase as 
a result of an increase in the Reference Price and decrease as a result 
of a decrease in the Reference Price or (ii) in the case of the Down 
Tradeable Shares, increase as a result of a decrease in the Reference 
Price and decrease as a result of an increase in the Reference Price, 
in each case as a result of the corresponding change in the underlying 
value of the Holding Trust (as discussed in the prior paragraph); (d) 
that may have an exchange feature that will allow authorized parties to 
exchange such Tradeable Shares for the underlying Holding Shares that 
can be redeemed for cash and/or securities (any such redemption to be 
done in specified aggregations called Creation Units); and (e) that may 
be subject to early mandatory redemption of all Tradeable Shares in 
connection with a Final Distribution prior to the final scheduled 
termination date under specified circumstances.
    For each separate and discrete Reference Price that may underlie 
Paired Trust Shares, the Exchange will submit a filing pursuant to 
Section 19(b) of the Act \9\ subject to Commission review and approval. 
The Exchange may eventually seek to revise the proposed listing 
criteria and trading rules to permit the listing and trading of Paired 
Trust Shares pursuant to Rule 19b-4(e) under the Act.
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    \9\ 15 U.S.C. 78s(b).
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    Pursuant to proposed Amex Rule 1402, the Exchange seeks to list and 
trade the MACRO Tradeable Shares. The MACRO Tradeable Shares will 
conform to the initial and continued listing criteria under proposed 
Amex Rule 1402. The MACRO Tradeable Trusts and the MACRO Holding Trusts 
will be formed under four trust agreements between Investors Bank & 
Trust Company, as trustee; Claymore Securities, Inc., as administrative 
agent and marketing agent; and MACRO Securities Depositor, LLC, as 
depositor.\10\ MacroMarkets LLC and Claymore Securities, Inc. are each 
the owner of 50% of the membership interests in MACRO Securities 
Depositor, LLC.
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    \10\ The issuer states that neither the MACRO Tradeable Trusts 
nor the MACRO Holding Trusts will be investment companies as defined 
in Section 3(a) of the Investment Company Act of 1940, as amended 
(the ``1940 Act'').
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Description of the Reference Price--The Applicable Reference Price of 
Crude Oil

    The economic variable whose value will serve as the Reference Price 
for the first Paired Trust Shares to be listed on the Exchange is the 
Applicable Reference Price of Crude Oil, which is the settlement price 
of the NYMEX Division light sweet crude oil futures contract of the 
``Designated Maturity'' (as defined below), as established and reported 
by NYMEX on a per barrel basis in U.S. dollars at the end of each Price 
Determination Day. A ``Price Determination Day'' for this purpose is 
each day on which trading of the light sweet crude oil futures contract 
of the Designated Maturity occurs by open outcry on the trading floor 
of the NYMEX (located in New York City, New York) through the use of 
verbal or hand signals, rather than through electronic or other means. 
Price Determination Days are generally the same as business days--that 
is, any day other than a Saturday, a Sunday, or a day on which banking 
institutions and stock exchanges in New York, New York are authorized 
or required by law, regulation or executive order to close. If a 
substitute reference oil price is being used, the ``Price Determination 
Day'' will be each day on which this price is determined by, or in 
accordance with the rules of, the substitute oil price provider.
    A light sweet futures contract of the designated maturity 
(``Designated Maturity'') means the contract that matures (i) during 
the next succeeding calendar month if the date of determination is the 
first day of the current calendar month through and including the tenth 
business day of the current calendar month, and (ii) during the second 
succeeding calendar month if the date of determination is the eleventh 
business day through the last day of the current calendar month. For 
example, from September 1 through the tenth business day in September, 
the Applicable Reference Price of Crude Oil will reflect the price of 
the NYMEX Division light sweet crude oil futures contract that is 
scheduled to settle in October. From the eleventh business day in 
September through and including September 30, the NYMEX contract of the 
designated maturity will be the contract that settles in November. From 
October 1 through and including the tenth business day in October, the 
NYMEX contract designated month will continue to be November. The 
reason for this is that around the middle of each calendar month, the 
highest volume of trading in NYMEX Division light sweet crude oil 
futures contracts generally moves from the contract that settles in the 
following month to the contract that settles in the second following 
month. Switching into the next month's contract around the eleventh 
business day of each month is intended to minimize the reflection in 
the Applicable Reference Price of Crude Oil of factors related to the 
physical delivery of crude oil, such as physical storage and delivery 
costs. If the eleventh business day of any month occurs later than the 
seventeenth calendar day of that month, then the switch to the second 
month's contract will be made on the preceding business day that occurs 
on or prior to the seventeenth day of that calendar month.
    The underlying value of each MACRO Holding Trust on each Price 
Determination Day will be determined by reference to the settlement 
price on that day of the light sweet crude oil contract of the 
designated maturity.\11\ At

[[Page 64576]]

the close of each day's regular trading session (``Regular Trading 
Session''), the NYMEX ``Settlement Price Committee'' establishes the 
settlement price of the light sweet crude oil futures contract for each 
delivery month that trades on NYMEX. The NYMEX Settlement Price 
Committee was formed and operates under NYMEX's by-laws and its rules 
governing floor trading. It is generally composed of NYMEX members and 
representatives of such members. Under NYMEX rules, the Exchange states 
that members of the Settlement Price Committee are restricted from 
using or disclosing, for any purpose other than the performance of such 
member's official duties, any material non-public information obtained 
as a result of such member's participation on the Settlement Price 
Committee. Moreover, federal securities law prohibits the use of 
material non-public information in connection with the purchase and 
sale of any MACRO securities. However, the Exchange states that members 
of the Settlement Price Committee are not prohibited from purchasing or 
selling NYMEX light sweet crude oil futures contracts or MACRO Holding 
Shares or MACRO Tradeable Shares. The Exchange states that the 
settlement prices determined by the NYMEX Settlement Price Committee 
for each contract month are the official prices used by the NYMEX 
clearinghouse in determining net gains or losses and margin 
requirements on the light sweet oil futures contracts. The 
clearinghouse is a body associated with NYMEX that acts as the buyer to 
all sellers and the seller to all buyers.
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    \11\ In the event that no settlement price is determined for the 
light sweet crude oil contract on the NYMEX on a given Price 
Determination Day and no substitute oil price provider can be 
utilized, then the settlement price on the prior Price Determination 
Day will be utilized as that day's settlement price on which to base 
the Applicable Reference Price of Crude Oil.
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    If two specified criteria are satisfied with respect to a 
particular contract month for the light sweet crude oil futures 
contract, then the settlement price of that contract month will be 
equal to the weighted average price (rounded to the minimum price 
fluctuation of $0.01) of all outright transactions that occurred in the 
closing range. The Exchange states that ``outright transactions'' means 
contracts in which one of the parties has taken a position which is not 
offset by the opposite position taken by that party under another 
contract, thereby exposing that party to actual risk with respect to 
the settlement price of the futures contract. The ``closing range'' is 
defined under NYMEX rules as the last two minutes of the Regular 
Trading Session or, for the final day of trading of the expiring light 
sweet crude oil futures contract, the last thirty (30) minutes of the 
Regular Trading Session.
    The Exchange states that the two specified criteria for each 
contract month and each Price Determination Day are (1) the contract 
month must have, as of the opening of business for that day, more than 
10% of the total open interest for all contract months, and (2) the 
contract month must represent at least 10% of the closing range volume 
of all contract months traded on NYMEX on that day. For purposes of 
calculating total volume, volume from limit orders placed prior to the 
close in which a buyer indicates that he or she is willing to take the 
settlement price will be included, but trading volume done during the 
closing range on the last day of trading in an expiring contract will 
be excluded. ``Open interest'' means the number of open or outstanding 
contracts for which an individual or entity is obligated to NYMEX 
because that individual or entity has not yet made an offsetting sale 
or purchase or for which an actual contract delivery has not yet 
occurred. ``Closing range volume'' is the volume of executed trades in 
the light sweet crude oil futures contract for a particular contract 
month that occurred on any given day of trading during the last two 
minutes of the Regular Trading Session or, with respect to the last day 
of trading for that contract month, during the last thirty (30) minutes 
of the Regular Trading Session.
    The Exchange states that NYMEX determines the settlement prices for 
delivery months of the light sweet crude oil futures contract that 
represented 10% or less of the total open interest or in which less 
than 10% of trading volume occurred during the closing range based upon 
spread relationships determined in the judgment of the Settlement Price 
Committee. ``Spread relationship'' refers to the simultaneous purchase 
and sale of futures contracts with different expirations. The Exchange 
states that the Settlement Price Committee determines spread 
relationships by giving the greatest weight to spreads executed late in 
the trading day in large volumes and lesser weight to spreads traded in 
smaller volumes executed earlier in the trading day. In any 
circumstance where the Settlement Price Committee is considering bids 
and offers for spreads, it must consider the mid-point of the best bid 
and best offer, not the actual best bid or best offer.
    On occasion, a price spike may occur in the closing range. The 
Exchange states that a ``price spike'' in the closing range will be 
deemed to have occurred if, in the sole discretion of the Settlement 
Price Committee, a significant change in the spread relationships 
between a given month, known as the ``spiked month,'' and the contract 
months immediately preceding and following such month occurred during 
the closing range. If a price spike in the closing range occurs in a 
light sweet crude oil futures contract for a contract month with 
respect to which the open interest and volume criteria are met and the 
settlement price is therefore determined by weighted average price, the 
Settlement Price Committee may disregard the settlement price for the 
spiked month in considering spread relationships for the other months 
where the open interest and volume criteria were not met.
    The Exchange states that the Settlement Price Committee may not 
establish a settlement price that would be lower than the best bid or 
higher than the best offer that had been posted with NYMEX and remained 
available for execution and unfilled for the final fifteen minutes of 
trading and was for at least 100 outright contracts in the relevant 
delivery month or at least 200 spread contracts involving that delivery 
month and a different delivery month.
    Finally, if any settlement price determined with respect to the 
relevant delivery month, either by calculation of the weighted average 
price or by reference to spread relationships, is inconsistent with 
transactions that occurred during the closing range in other delivery 
months of the light sweet crude oil futures contract or with market 
information known to the Settlement Price Committee, the Settlement 
Price Committee may, in its discretion, set the settlement price at a 
level consistent with such other transactions or market information.
    The Exchange states that crude oil prices are subject to temporary 
distortions due to various factors, including, but not limited to, lack 
of liquidity in the markets, the participation of speculators, war, 
geopolitical instability, supply decisions and policies instituted by 
OPEC and other non-OPEC oil-producing countries such as Russia, 
increased demand in developing countries, weather conditions, new 
environmental policies, government regulation, and government 
intervention. These factors may cause dramatic fluctuations, or 
volatility, in the Applicable Reference Price of Crude Oil. Other 
factors that impact the supply and demand for oil and, therefore, its 
price, may also add to volatility in the Applicable Reference Price of 
Crude Oil. The Exchange states that the demand for crude oil is driven 
by the consumption of energy for transportation, industrial consumption 
of power, and the demand for sources of energy to be used for

[[Page 64577]]

heating and cooling. Other factors that may impact demand include 
taxes, environmental laws, international trade agreements, changes in 
exchange rates associated with the U.S. dollar, interest rate changes 
(which affect exchange rates), and technology (e.g., by enabling the 
exploitation of alternative fuel sources and by providing methods to 
use oil more efficiently). The Exchange states that the supply of crude 
oil is driven by worldwide oil inventories, which are a function of 
successful exploration, feasibility of drilling, production levels, 
transportation costs, and the ability of producers to refine the crude 
oil into consumable products. Other factors that may impact supply 
include technological advances (e.g., by making exploration and 
drilling more economically feasible), production interruptions (e.g., 
due to political instability, natural disasters, acts of war or 
sabotage, labor problems, machinery failure, or human error), and 
production decisions by oil-producing countries or regions, and 
government programs and policies (e.g., permitting or restricting oil 
drilling in given areas). The Exchange states that all of these factors 
may adversely affect the Applicable Reference Price of Crude Oil and 
therefore adversely affect the distributions on the MACRO Holding 
Shares and the MACRO Tradeable Shares.
    Trading in the light sweet crude oil futures contract occurs by 
open outcry on the trading floor at NYMEX from 10 a.m. until 2:30 p.m. 
(New York City time) on each business day (the ``Regular Trading 
Session''). All prices are quoted in U.S. dollars. Trading also occurs 
after hours via an internet-based trading platform, but the daily 
settlement price established by NYMEX for each light sweet crude oil 
futures contract is based only on trading that occurs during the 
Regular Trading Session.
    The Exchange states that MacroMarkets will enter into a licensing 
agreement with NYMEX for the use of the settlement prices for certain 
of the commodity-based futures contracts that trade on the facilities 
of NYMEX, including the light sweet crude oil futures contracts. The 
MACRO Holding Trusts and the MACRO Tradeable Trusts will collectively 
enter into a licensing agreement with MacroMarkets that grants a 
sublicense to each trust giving the trust certain rights to use NYMEX's 
proprietary settlement prices for the near months of the light sweet 
crude oil futures contracts. The Exchange states that the term of the 
license granted by NYMEX to MacroMarkets is five years, and upon the 
termination of that license agreement the aforementioned sublicense 
will also expire. NYMEX has the right to terminate the license earlier 
if it believes that MacroMarkets or any of its sublicensees have 
misused the license. Upon termination of the NYMEX license, the 
Exchange states that MacroMarkets and the depositor \12\ will seek to 
negotiate a renewal of the license on terms comparable to those of the 
existing license. The Exchange states that if NYMEX refuses to renew 
the license on acceptable terms, an effort will be made to negotiate a 
license with the Dow Jones Energy Service for use of its West Texas 
intermediate crude oil spot price on terms comparable to the NYMEX 
license. If such a license is obtained, this spot price will become the 
new Applicable Reference Price of Crude Oil. If no license is obtained 
from the Dow Jones Energy Service, the holders of the paired MACRO 
Holding Shares (including the holders of the MACRO Tradeable Shares who 
will be entitled to vote the underlying MACRO Holding Shares on deposit 
in the MACRO Tradeable Trusts for this purpose) may vote to select a 
different crude oil price provider.\13\ If the shareholders are not 
able to agree unanimously on a new price provider or a license cannot 
be negotiated with the provider selected by the shareholders, a 
termination trigger (``Termination Trigger'') will occur, which will 
result in an early redemption of the MACRO Holding Shares and the MACRO 
Tradeable Shares (see Termination Triggers).
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    \12\ In addition to participating in such negotiations, the 
depositor performs certain other tasks that are not performed by the 
trustee or the administrative agent, such as the preparation of 
filings under the Act.
    \13\ If a benchmark other than the light sweet crude oil futures 
contract traded on NYMEX is selected for the determination of the 
Applicable Reference Price of Crude Oil, the Amex will file with the 
Commission a proposed rule change pursuant to Rule 19b-4 under the 
Act seeking approval to continue trading the MACRO Trading Shares 
and, unless approved, the Exchange will commence delisting the MACRO 
Tradeable Shares. In the event the Exchange believes that a change 
in the benchmark or pricing source for the Applicable Reference 
Price of Crude Oil is only temporary, the Exchange may contact the 
Commission staff to discuss the matter.
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Light Sweet Crude Oil Futures Contracts

    The NYMEX Division light sweet crude oil futures contract is traded 
on the physical facilities of NYMEX. It is quoted on a per barrel basis 
and traded in units of 1,000 barrels (42,000 gallons) under the trading 
symbol ``CL'' followed by a reference to the month and year in which 
such contract settles. Prices are quoted for delivery at Cushing, 
Oklahoma, which is a major crude oil transshipment point with extensive 
pipeline connections to oil producing areas and refining centers in the 
southwestern United States and along the U.S. Gulf Coast. According to 
NYMEX, its light sweet crude oil futures contract is used as an 
international pricing benchmark for oil because of its excellent 
liquidity and price transparency.
    Each light sweet crude oil futures contract traded on NYMEX has a 
specific delivery month and year in which such contract is scheduled to 
terminate. This month is referred to as that contract's ``delivery 
month'' or ``contract month.'' For example, the Exchange states that if 
one purchases the September 2006 light sweet crude oil futures 
contract, the delivery month and year would be September 2006, and such 
contract would obligate the seller to deliver 1,000 barrels of light 
sweet crude oil to the buyer at Cushing, Oklahoma during September 
2006. In order to determine the price that the buyer has to pay on 
delivery, the NYMEX terminates trading in a specific contract month for 
the light sweet crude futures contract on the third business day prior 
to the 25th day of the preceding month or, if the 25th day is not a 
business day, on the third business day prior to the business day that 
precedes the 25th day of the preceding month. For example, the 
September 2006 futures contract will stop trading on August 22, 2006, 
which is three business days prior to August 25, 2006.
    Regardless of any prior action concerning price limits during the 
Regular Trading Session, commencing fifteen (15) minutes before the 
close of that session, the Exchange states that there will be no price 
fluctuation limits on any contract month in the light sweet crude oil 
futures contract and, accordingly, no further trading halts may occur 
for the remainder of the Regular Trading Session. In addition, the 
Exchange states that there will be no limitations on price fluctuations 
for any contract month of the light sweet crude oil futures contract 
during the final trading day for that contract. The NYMEX Board of 
Directors may provide at any time that there shall be no trading during 
any one business day or trading session day in any commodity for future 
delivery in any specified month or months at prices more than a fixed 
limit above or below the settlement price for the preceding business 
day. At the discretion of the Board, any limitation so imposed by it 
may be changed or suspended or temporarily modified

[[Page 64578]]

from time to time and without prior notice.
    The Exchange states that light sweet crude oil futures contracts 
may be settled physically. Delivery must begin on or after the first 
calendar day of the delivery month and must be completed by the last 
calendar day of that month. All deliveries are made ratably over the 
course of the month. In practice, the light sweet crude oil futures 
contract is usually settled in cash by means of the futures and 
clearing procedures of the NYMEX.
    Under the NYMEX's rules governing the light sweet crude oil futures 
contract, only certain types of oil meeting specific quality criteria 
may be delivered under the contract. The NYMEX's rules also specify the 
levels of sulfur, gravity, viscosity, vapor pressure, impurity levels, 
and pour points for different grades of oil that can be delivered under 
the light sweet crude oil futures contract. The Exchange states that 
this specificity serves as the definition of ``light sweet crude oil'' 
under the contract and ensures the quality of the oil to be delivered. 
The following domestic grades of oil may be delivered by the seller 
without any discount from the final futures price of the futures 
contract: West Texas Intermediate, Low Sweet Mix, New Mexican Sweet, 
North Texas Sweet, Oklahoma Sweet, and South Texas Sweet crude oil. 
Several foreign grades of oil may also be delivered by a seller with a 
specific discount or premium from the futures price. The Exchange 
states that the primary deliverable grade of oil under the contract is 
West Texas Intermediate crude oil, which is the U.S. benchmark grade of 
oil.

Product Description

    On and after the closing date for the MACROs transaction, the Up-
MACRO Holding Trust and the Up-MACRO Tradeable Trust will issue Up-
MACRO Holding Shares and the Up-MACRO Tradeable Shares, respectively, 
on a continuous basis, upon the direction of any ``Authorized 
Participant'' (as defined herein) by delivery of an issuance order to 
the administrative agent for the paired MACRO Holding Trusts on any 
Price Determination Day. (See ``Paired Issuances'' below.) Up-MACRO 
Holding Shares will be issued at a per share price equal to the 
underlying value per share of the Up-MACRO Holding Trust on the Price 
Determination Day on which an issuance order for the creation of paired 
MACRO Holding Shares is received. The proceeds from each ``Paired 
Issuance'' (as defined below) of the Up-MACRO Holding Shares will be 
delivered to the trustee for the Up-MACRO Holding Trust. These proceeds 
will be combined with the proceeds from the related Paired Issuance of 
Down-MACRO Holding Shares, and an equal amount of such proceeds will be 
deposited into the Up-MACRO Holding Trust and the Down-MACRO Holding 
Trust.\14\ Depending upon whether the Authorized Participants who 
replaced the issuance order requested holding shares and/or tradeable 
shares,\15\ the trustee for the Up-MACRO Holding Trust will then 
deliver all or a portion of the issued Up-MACRO Holding Shares to the 
Up-MACRO Tradeable Trust and the remainder of the Up-MACRO Holding 
Shares to the creating Authorized Participants, and the trustee for the 
Up-MACRO Tradeable Trust will cause such trust to issue additional Up-
MACRO Tradeable Shares and deliver such shares to the creating 
Authorized Participants.
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    \14\ While equal amounts from the proceeds of a Paired Issuance 
are deposited in the Up-MACRO Holding Trust and the Down-MACRO 
Holding Trust, the settlement contracts between the two MACRO 
Holding Trusts provide an obligation for the proportional transfer 
of those assets between the trusts when the contracts are settled.
    \15\ A portion of the Up-MACRO Holding Shares as well as the 
Down-MACRO Holding Shares (representing less than 50% of each) 
issued on any Paired Issuance date may be acquired by other 
investors who are not affiliated with the MACRO Tradeable Trusts. 
Such other investors must either be Authorized Participants or 
``qualified institutional buyers'' (as defined in Rule 144A of the 
Securities Act of 1933 (``Securities Act'').
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    The trustee for the Up-MACRO Holding Trust will then apply the net 
proceeds received by the Up-MACRO Holding Trust to purchase bills, 
bonds and notes issued and guaranteed by the United States Treasury, 
and repurchase agreements fully collateralized by U.S. Treasury 
securities \16\ (collectively, ``Treasuries'') maturing prior to the 
first quarterly distribution date (e.g., three-month U.S. Treasury 
securities). The allocation of funds between U.S. Treasury securities 
and repurchase agreements will be based on the historical redemption 
experience of the MACRO Holding Trusts. Due to the continuous 
redemptions allowed by the MACRO Holding Trusts, it is desirable to 
allow some funds to be invested in such repurchase agreements that 
terminate overnight in order to avoid the transaction costs involved in 
allocating and delivering U.S. Treasury securities to one or more 
redeeming Authorized Participants. This also gives the MACRO Holding 
Trusts a measure of bargaining power with securities dealers and repo 
counterparties by allowing the administrative agent to choose among a 
number of different dealers and to select U.S. Treasury securities of 
varying maturities (although never greater than 90 days). In addition, 
since MACRO Holding Trusts will hold some cash to meet their future 
obligations to their shareholders as well as to each other, the MACRO 
Holding Trusts can make use of such cash by investing in such 
repurchase agreements to earn an additional return for their 
shareholders, pending the application of the cash to satisfy these 
obligations. Such returns may be used by the MACRO Holding Trusts to 
pay their trust expenses as well. On each quarterly distribution date, 
except for the final scheduled termination date or an early termination 
date, the trustee, at the direction of the administrative agent, will 
reinvest the proceeds from the maturing Treasuries that are not part of 
(i) a Quarterly Income Distribution or (ii) in the case of a quarterly 
distribution date that is a Redemption Date (as described below) for 
the MACRO Holding Shares, a Redemption Distribution directed on that 
date, in new Treasuries that will mature prior to the next distribution 
date.
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    \16\ The repurchase agreements will be entered into with 
counterparties that are (i) banks with at least one billion U.S. 
dollars in assets or (ii) registered securities dealers that are 
deemed creditworthy by the administrative agent. Such repurchase 
agreements must terminate overnight, and the obligation of a 
counterparty to repurchase U.S. Treasury securities from a MACRO 
Holding Trust will be fully collateralized, as defined in Rule 5b-3 
under the 1940 Act. None of the counterparties may be ``affiliated 
persons'' (as defined in the 1940 Act) with respect to the trustee, 
the administrative agent, the depositor, any of the MACRO Holding 
Trusts or MACRO Tradeable Trusts, any of the Authorized 
Participants, or any affiliated persons with respect to any of the 
foregoing entities.
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    The Authorized Participant will offer the Up-MACRO Holding Shares 
and the Up-MACRO Tradeable Shares at a per share offering price that 
will vary, depending, among other things, on the current level of the 
Applicable Reference Price of Crude Oil and the current market price of 
the Up-MACRO Tradeable Shares on the Amex at the time of the offer. The 
Authorized Participants who offer such shares, or their respective 
affiliates, may receive customary compensation and brokerage fees from 
investors to whom they sell Up-MACRO Holding Shares or Up-MACRO 
Tradeable Shares.
    The process described in the immediately preceding paragraphs will 
also be followed in connection with the related Paired Issuance of the 
Down-MACRO Holding Shares and the Down-MACRO Tradeable Shares. The 
proceeds from the Paired Issuance of the Down-MACRO Holding Shares will 
be delivered to the trustee for the Down-MACRO Holding Trust. These 
proceeds will be combined with the proceeds from the related Paired 
Issuance of UP-

[[Page 64579]]

MACRO Holding Shares, with an equal amount \17\ of the proceeds 
deposited into the Up-MACRO Holding Trust and the Down-MACRO Holding 
Trust. Depending upon whether the Authorized Participants who placed 
the issuance order requested holding shares and/or tradeable shares, 
the trustee for the Down-MACRO Holding Trust will then deliver all or a 
portion of the issued Down-MACRO Holding Shares to the Down-MACRO 
Tradeable Trust and the remainder to the creating Authorized 
Participants, and the trustee for the Down-MACRO Tradeable Trust will 
cause such trust to issue additional Down-MACRO Tradeable Shares and 
deliver such shares to the creating Authorized Participants. The net 
proceeds received by the Down-MACRO Holding Trust will be applied by 
the trustee for the Down-MACRO Holding Trust to purchase Treasuries on 
behalf of the Down-MACRO Holding Trust.\18\
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    \17\ See supra, note 14.
    \18\ There is a similar process for paired optional redemptions 
of MACRO Holding Shares by Authorized Participants and the receipt 
of related Redemption Distributions consisting of cash and/or U.S. 
Treasury securities. See infra, discussion under ``Redemption 
Distributions and Final Distributions.''
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    Under the trust agreements (which the administrative agent is a 
party to), the administrative agent will be required, among other 
things, to use its commercially reasonable efforts to identify and 
direct the trustee to purchase new Treasuries on each quarterly 
distribution date (except for the final scheduled termination date or 
an early termination date) and Paired Issuance date for each of the 
MACRO Holding Trusts with the same maturities or terms, stated interest 
rates (if any), and applicable discount rates in order for each trust 
to be able to realize comparable amounts of income during each quarter. 
Treasuries will be acquired and held in the minimum permissible 
denominations in order to facilitate the maintenance of parity in the 
assets held by each of the MACRO Holding Trusts. However, a portion of 
the assets of a MACRO Holding Trust may from time to time be held in 
the form of cash, due to mismatches between the maturity profiles of 
Treasuries available for purchase and the length of time between 
distribution dates. Any U.S. Treasury securities delivered in 
connection with a paired optional redemption (as described below) will 
be selected by the administrative agent on a ``last in, first out'' 
basis. The U. S. Treasury securities selected by the administrative 
agent to be delivered as the Redemption Distribution in a paired 
optional redemption will be distributed ratably, by type, to each 
redeeming Authorized Participant.
    As described in more detail below, the Up-MACRO Holding Trust will 
enter into an income distribution agreement and multiple settlement 
contracts\19\ with the Down-MACRO Holding Trust. The Down-MACRO Holding 
Trust will act as the counterparty to the Up-MACRO Holding Trust under 
the income distribution agreement and the settlement contracts between 
the two MACRO Holding Trusts, and vice-versa, and the Treasuries and 
cash on deposit in each of the MACRO Holding Trusts will serve the 
functions of securing the contractual obligations between the two 
trusts, generating income to cover the trust's expenses and, if any 
amount remains, providing Quarterly Income Distributions to investors. 
In accordance with the terms of the income distribution agreement 
between the paired MACRO Holding Trusts, the Up-MACRO Holding Trust 
will, on each Quarterly Income Distribution date, either (i) be 
entitled to receive from the Down-MACRO Holding Trust all or a portion 
of that trust's available income (as defined below), or (ii) be 
required to pay all or a portion of its own available income to the 
Down-MACRO Holding Trust, based, in each case, on the level of the 
Applicable Reference Price of Crude Oil on each day that has elapsed 
since the preceding Quarterly Income Distribution date. The Up-MACRO 
Holding Trust will then make a quarterly distribution of income to 
holders of the Up-MACRO Holding Shares (including the Up-MACRO 
Tradeable Trust) out of the available income that it holds on deposit, 
if any, on each Quarterly Income Distribution date after it has made or 
received a payment under the income distribution agreement between the 
paired MACRO Holding Trusts.
---------------------------------------------------------------------------

    \19\ The settlement contracts between the MACRO Holding Trusts 
are not futures contracts traded on any commodities or stock 
exchange. These contracts are individually negotiated and entered 
into by or on behalf of the Up-MACRO Holding Trust and the Down-
MACRO Holding Trust.
---------------------------------------------------------------------------

    Similarly, the Final Distributions and Redemption Distributions on 
the Up-MACRO Holding Shares and the Down-MACRO Holding Shares will be 
determined by the payments that each MACRO Holding Trust will be 
required to make to, or be entitled to receive from, the other MACRO 
Holding Trust under the settlement contracts between them being settled 
on the final scheduled termination date, an early termination date, or 
any Redemption Date, as the case may be. These settlement obligations 
between the MACRO Holding Trusts will be based on the underlying value 
of each MACRO Holding Trust on the appropriate date, determined by the 
change in the level of the Applicable Reference Price of Crude Oil from 
its starting level to its ending level on the Price Determination Day 
preceding the final scheduled termination date or early termination 
date or, in the case of a redemption, on the day (``Redemption Date'') 
on which a redemption order is placed by an Authorized Participant. In 
the case of the final scheduled termination date or an early 
termination date, the applicable MACRO Holding Trust must make a final 
payment to the other MACRO Holding Trust out of the proceeds of the 
Treasuries that it holds on deposit on that date to settle all of the 
settlement contracts between them. In the case of a Redemption Date 
that occurs between Quarterly Income Distribution dates, the applicable 
MACRO Holding Trust must transfer all or a portion of its cash and/or 
Treasuries to the other MACRO Holding Trust in order to settle one or 
more of the settlement contracts between them based on the amount 
redeemed.
    The Up-MACRO Tradeable Trust will pass through to the holders of 
its Up-MACRO Tradeable Shares all Quarterly Income Distributions, 
Redemption Distributions, and Final Distributions that it receives on 
the Up-MACRO Holding Shares that it holds, and the Down-MACRO Tradeable 
Trust will do likewise to holders of its Down-MACRO Tradeable Shares 
with respect to all distributions that it receives on the Down-MACRO 
Holding Shares that it holds.
    Investors Bank & Trust Company, a Massachusetts trust company, will 
act as trustee for each of the MACRO Holding Trusts and MACRO Tradeable 
Trusts under four separate trust agreements. The trustee will be 
responsible for, among other things: (i) Administering redemptions and 
Paired Issuances of MACRO Holding Shares in MACRO Units or integral 
multiples thereof (with a ``MACRO Unit'' being a Creation Unit 
comprised of 50,000 Up-MACRO Holding Shares and 50,000 Down-MACRO 
Holding Shares in combination) and administering exchanges of MACRO 
Tradeable Shares; (ii) making Quarterly Income Distributions, 
Redemption Distributions and Final Distributions to the holders of the 
MACRO Holding Shares and passing through those distributions to the 
holders of the MACRO Tradeable Shares; (iii) investing cash on deposit 
in the paired MACRO Holding Trusts in Treasuries in accordance with the

[[Page 64580]]

directions of the administrative agent; (iv) on each Price 
Determination Day, calculating the Price Level Percentage Change (as 
defined below), the respective underlying values of the paired MACRO 
Holding Trusts and the per share underlying value of the related MACRO 
Holding Shares and MACRO Tradeable Shares, and posting these 
calculations on the publicly accessible Web site maintained by the 
administrative agent; (v) calculating the Price Level Percentage Change 
and the respective underlying values of the paired MACRO Holding Trusts 
prior to each Quarterly Income Distribution date, Redemption Date, 
early termination date and the final scheduled termination date; (vi) 
calculating, for each Quarterly Income Distribution date, the amount of 
available income on deposit in each of the paired MACRO Holding Trusts, 
the payment due under the income distribution agreement between the 
MACRO Holding Trusts, and the Quarterly Income Distributions to be made 
on the respective MACRO Holding Shares and passed through to the 
related MACRO Tradeable Shares; (vii) calculating, for the final 
scheduled termination date, an early termination date and each 
Redemption Date, the final payment due under the settlement contracts 
being settled between the MACRO Holding Trusts and the Final 
Distribution or Redemption Distribution, as the case may be, to be made 
on the respective MACRO Holding Shares and passed through to the 
related MACRO Tradeable Shares; (viii) delivering any notices required 
under any of the trust agreements; and (ix) notifying the depositor and 
the administrative agent of the occurrence of certain of the 
Termination Triggers.
    Claymore Securities, Inc., a Kansas corporation that is a 
registered broker/dealer, will act as the administrative agent and a 
marketing agent \20\ for each of the MACRO Holding Trusts and MACRO 
Tradeable Trusts and will be a party to the trust agreement for each of 
the trusts. The administrative agent will perform or oversee the 
performance of a number of duties on behalf of the four trusts, 
including: (i) Directing the trustee in the acquisition of new 
Treasuries, including placing the purchase orders for such Treasuries, 
for the paired MACRO Holding Trusts on each Quarterly Income 
Distribution date and each Paired Issuance date in accordance with the 
acquisition guidelines that are specified in the trust agreements for 
the paired MACRO Holding Trusts; \21\ (ii) selecting U.S. Treasury 
securities to be delivered in connection with the settlement of the 
settlement contracts between the paired MACRO Holding Trusts and in 
connection with paired optional redemptions in accordance with the 
rules specified in the trust agreements; (iii) processing redemption 
and creation orders for MACRO Holding Shares and MACRO Tradeable Shares 
from Authorized Participants; (iv) directing the trustee in effecting 
redemptions and Paired Issuances; (v) maintaining the publicly 
accessible Web site that displays information regarding the MACRO 
Holding Shares and MACRO Tradeable Shares; and (vi) notifying the 
depositor and the trustee of the occurrence of certain Termination 
Triggers.
---------------------------------------------------------------------------

    \20\ MACRO Financial, LLC will act as an additional marketing 
agent.
    \21\ A registered broker/dealer will perform all securities 
transactions and provide all related advice with respect to buying 
or selling securities.
---------------------------------------------------------------------------

    The underlying values of the MACRO Holding Trusts and, 
consequently, the prices of the MACRO Holding Shares and MACRO 
Tradeable Shares and the distributions on the MACRO Holding Shares and 
pass-through distributions to the holders of the MACRO Tradeable Shares 
track the Applicable Reference Price of Crude Oil, which is based on 
the futures contract that is an international pricing benchmark for 
oil. The Applicable Reference Price of Crude Oil is calculated on a per 
barrel basis and established by NYMEX on each Price Determination Day, 
which is each day on which trading of the light sweet crude oil futures 
contract of the designated maturity occurs by open outcry on the 
trading floor of NYMEX. See ``Description of the Reference Price--The 
Applicable Reference Price of Crude Oil'' for more information. If the 
level of the Applicable Reference Price of Crude Oil increases, the 
underlying value of the Up-MACRO Holding Trust will increase and that 
of the Down-MACRO Holding Trust will decrease, each by an amount 
proportionate to the increase in the price. Conversely, if the level of 
the Applicable Reference Price of Crude Oil decreases, the underlying 
value of the Up-MACRO Holding Trust will decrease and that of the Down-
MACRO Holding Trust will increase, each by an amount proportionate to 
the decrease in the price.

Quarterly Income Distributions

    Each MACRO Holding Trust will make Quarterly Income Distributions 
on its MACRO Holding Shares using the income realized on the Treasuries 
in the paired MACRO Holding Trusts that remain available after: (i) 
Each MACRO Holding Trust has deposited a ``fee deduction amount'' (as 
defined below) into a fee payment account created under the trust 
agreement for that MACRO Holding Trust, which amount will be applied to 
pay the expenses and fees of that trust \22\ and the related MACRO 
Tradeable Trust and (ii) each MACRO Holding Trust has either made or 
received a payment under the income distribution agreement on that 
Quarterly Income Distribution date. With respect to the latter, on 
every day on which the ending level of the Applicable Reference Price 
of Crude Oil exceeds the starting level on the closing date, the Up-
MACRO Holding Trust will become entitled to retain all of its 
``available income accrual'' (as defined below) for that day and to 
receive all or a portion of the Down-MACRO Holding Trust's ``available 
income accrual'' for that day. On every day on which the ending level 
of the Applicable Reference Price of Crude Oil is below the starting 
level on the closing date, the Up-MACRO Holding Trust will be obligated 
to pay all or a portion of its ``available income accrual'' for that 
day to the Down-MACRO Holding Trust. On each day during the calculation 
period that precedes each Quarterly Income Distribution date, the 
result of any entitlement of the Up-MACRO Holding Trust under the 
income distribution agreement as described above to retain all or a 
portion of its available income accrual for that day, and to receive 
all or a portion of the Down-MACRO Holding Trust's available income 
accrual for that day is referred to as the Up-MACRO Holding Trust's 
``earned income accrual'' for that day. On each Quarterly Income 
Distribution date,\23\ the Up-MACRO Holding Trust will declare a 
Quarterly Income Distribution on each outstanding Up-MACRO Holding 
Share equal to the sum of all earned income accruals for that trust for 
each day of the preceding calculation period plus the interest 
component of the underlying value of each Up-MACRO Holding Share 
created during such calculation period less any portion of the 
foregoing sum already distributed in connection with paired optional 
redemptions that occurred during that calculation period, divided by 
the aggregate number of outstanding Up-

[[Page 64581]]

MACRO Holding Shares on that Quarterly Income Distribution date.\24\ 
The Quarterly Income Distributions of the Down-MACRO Holding Trust will 
be calculated similarly, except that the Down-MACRO Holding Trust's 
entitlement to earned income accruals will be inversely correlated with 
the Up-MACRO Holding Trust's entitlements described above. In each 
case, each holder of a MACRO Tradeable Share will then receive, on a 
pass-through basis, its proportionate share of the Quarterly Income 
Distribution that is paid on the MACRO Holding Shares held by the 
respective MACRO Tradeable Trust. The Quarterly Income Distribution 
date, record date, and distribution payment date for each MACRO 
Tradeable Trust are the same dates as for the related MACRO Holding 
Trust.
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    \22\ See ``Fees and Expenses'' for additional detail on the 
application of funds in the fee payment account.
    \23\ This statement is not applicable with respect to the final 
scheduled termination date or an early termination date or in 
connection with a Redemption Distribution for which a redemption 
order was placed on that Quarterly Income Distribution date.
    \24\ Each registered holder of Up-MACRO Holding Shares or Up-
MACRO Tradeable Shares on the ``record date,'' which is the last 
business day of the month in which the related Quarterly Income 
Distribution date occurred, will be entitled to receive the 
quarterly dividend on the ``distribution payment date,'' which is 
the third business day of the month immediately following the month 
in which the related Quarterly Income Distribution date occurred. 
The quarterly ``income distribution date'' is the second business 
day prior to the record date (i.e., two business days prior to the 
last business day of that month).
---------------------------------------------------------------------------

    The ``available income accrual'' for a MACRO Holding Trust for each 
day is (i) the sum of, for each Treasury on deposit in the applicable 
trust on that day, the product of the purchase price at which the trust 
acquired that Treasury and the daily yield rate applicable to that 
Treasury, minus (ii) the daily fee accrual. The ``daily fee accrual'' 
for that MACRO Holding Trust is the ``asset amount'' \25\ for the trust 
on each day multiplied by the ``daily fee accrual rate.'' \26\ The sum 
of the daily fee accruals for each of the MACRO Holding Trusts for an 
entire calculation period \27\ will be equal to the ``fee deduction 
amount'' for that calculation period and that trust, which is paid 
quarterly as described in the prior paragraph.
---------------------------------------------------------------------------

    \25\ The ``asset amount'' refers to the amount of assets on 
deposit in a MACRO Holding Trust, calculated as of any day of a 
calculation period from a formula based on the aggregate par amount 
of the MACRO Holding Shares issued by that MACRO Holding Trust plus 
the available income accrual for each elapsed day of that 
calculation period (not including the date of determination), with 
certain adjustments for any available income accruals in connection 
with paired optional redemptions and/or Paired Issuances of MACRO 
Holding Shares during such calculation period prior to the date of 
determination.
    \26\ The ``daily fee accrual rate'' will be equal to an annual 
rate of 1.60% until the second anniversary of the closing date and 
an annual rate of 1.50% for each succeeding year, divided by 365 or 
366, depending on the actual number of days in the current year. 
These rates represent the annual rate at which the funds of each 
MACRO Holding Trust are allocated to be used for the payment of each 
trust's fees and expenses.
    \27\ A ``calculation period'' is defined as the period between 
Quarterly Income Distribution dates, beginning on the preceding 
Quarterly Income Distribution date and ending on the day prior to 
the current Quarterly Income Distribution date.
---------------------------------------------------------------------------

    If available, an amount equal to the Up-MACRO aggregate par amount 
\28\ or Down-MACRO aggregate par amount must be reinvested by the 
trustee, at the direction of the administrative agent, in new 
Treasuries on each Quarterly Income Distribution date (unless that 
Quarterly Income Distribution date is the final scheduled termination 
date or an early termination date), after reducing that amount by the 
aggregate par amount of any Up-MACRO Holding Shares or Down-MACRO 
Holding Shares being redeemed if that Quarterly Income Distribution 
date is also a paired optional Redemption Date (i.e., a date on which a 
redemption order has been submitted) for a portion of the MACRO Holding 
Shares. If, after depositing the fee deduction amount into the fee 
payment account, the funds remaining on deposit in the Up-MACRO Holding 
Trust or Down-MACRO Holding Trust on any Quarterly Income Distribution 
date are equal to or less than the Up-MACRO or Down-MACRO aggregate par 
amount, as the case may be, then all of these remaining funds must be 
reinvested in Treasuries and the trust will have no available income 
with which to make a payment under the income distribution agreement to 
the paired MACRO Holding Trust. If less than the Up-MACRO aggregate par 
amount or the Down-MACRO aggregate par amount, as the case may be, is 
invested in Treasuries on any Quarterly Income Distribution date 
because the fee deduction amount of that MACRO Holding Trust exceeded 
the income on its Treasuries, the deficiency in the amount that is 
invested must be made up out of income received on subsequent Quarterly 
Income Distribution dates until the amount invested does equal the Up-
MACRO aggregate par amount or Down-MACRO aggregate par amount.
---------------------------------------------------------------------------

    \28\ The ``aggregate par amount'' is defined as the product of 
the aggregate number of outstanding shares issued by the Up-MACRO 
Holding Trust or the Down-MACRO Holding Trust, as the case may be, 
multiplied by the stated par amount per share. The stated par amount 
per share is equal to the starting level of the Applicable Reference 
Price of Crude Oil.
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    If a MACRO Holding Trust does not have any available income on a 
given Quarterly Income Distribution date and does not receive any 
available income under the income distribution agreement from the 
paired MACRO Holding Trust, it will not make any Quarterly Income 
Distribution to its shareholders on that Quarterly Income Distribution 
date. If a MACRO Holding Trust fails to make either (i) a payment under 
the income distribution agreement or (ii) a Quarterly Income 
Distribution to its shareholders on any Quarterly Income Distribution 
date because it does not have any funds available for distribution, it 
will not be required to make up that payment or Quarterly Income 
Distribution on subsequent Quarterly Income Distribution dates, even if 
it has funds available to do so.

Redemption Distributions and Final Distributions

    An Authorized Participant initiates a Redemption Distribution by 
presenting paired MACRO Holding Shares in MACRO Unit multiples to the 
MACRO Holding Trusts for redemption in exchange for cash and/or U.S. 
Treasury securities. A Final Distribution involves the distribution of 
cash in connection with the termination of the MACRO Holding Trusts. A 
Redemption Distribution or Final Distribution from a MACRO Holding 
Trust occurs when the MACRO Holding Trust settles some or all of the 
settlement contracts entered into with its paired MACRO Holding Trust. 
Each settlement contract will have a notional amount equal to the 
aggregate par amount of one MACRO Unit.
    On the final scheduled termination date or early termination date 
following the occurrence of a Termination Trigger, the trustee will 
cause the paired MACRO Holding Trusts to settle all of the settlement 
contracts between them using the funds they hold on deposit on those 
dates, which will consist of all interest, discount, principal, and any 
other amounts received by each trust upon the maturity of its 
Treasuries immediately prior to those dates. After the settlement 
contracts between the MACRO Holding Trusts have been settled, each 
MACRO Holding Trust will declare a Final Distribution in redemption of 
that trust's MACRO Holding Shares using all the funds it then holds on 
deposit, and the trustee will pay that Final Distribution, in cash, to 
shareholders on the distribution payment date that follows the final 
scheduled termination date or early termination date in redemption of 
those shares.
    On a Redemption Date, which may be any business day prior to the 
final scheduled termination date or an early termination date, an 
Authorized Participant may direct a paired optional redemption by 
placing a redemption order with the trustee and the

[[Page 64582]]

administrative agent at least 30 minutes prior to the end of trading of 
light sweet crude oil futures contracts by open outcry on the NYMEX at 
2:30 p.m. (New York City time). If the Authorized Participant delivers, 
by 10 a.m. on the business day following the Redemption Date, or such 
other day and time as may be specified in the Participants Agreement, 
MACRO Holding Shares or MACRO Tradeable Shares that in the aggregate 
constitute the requisite number of MACRO Units being redeemed, plus the 
applicable ``redemption cash component'' \29\ and applicable 
transaction fee ($500 for each trust whose MACRO Holding Shares are 
being redeemed or whose MACRO Tradeable Shares are being exchanged), 
then the trustee will effect the redemption by delivering cash and/or 
U.S. Treasury securities in accordance with the instructions of the 
administrative agent to the redeeming Authorized Participant on the 
first business day following the Redemption Date if only MACRO Holding 
Shares were tendered for redemption or within such other time period as 
may be specified in the Participants Agreement. The administrative 
agent will select cash and/or U.S. Treasury securities for delivery in 
redemptions in accordance with the following rules: (1) First, all cash 
delivered in connection with Paired Issuances directed on the same day 
as the Redemption Date will be used; (2) second, all cash on deposit in 
the MACRO Holding Trusts from maturing repurchase agreements will be 
used; and (3) if insufficient cash is available from these two sources, 
the remainder of the Redemption Distribution will be delivered in the 
form of U.S. Treasury securities.
---------------------------------------------------------------------------

    \29\ The ``redemption cash component'' is the cash that must be 
delivered to a MACRO Holding Trust in connection with a paired 
optional redemption by the redeeming Authorized Participant to 
compensate the trust for the excess value that will be delivered to 
such redeeming Authorized Participant in the form of U.S. Treasury 
securities delivered to it as a Redemption Distribution.
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    In the case of a partial paired optional redemption by Authorized 
Participants, the number of settlement contracts that will be settled 
between the paired MACRO Holding Trusts in that transaction will equal 
the number of MACRO Units of paired MACRO Holding Shares that are being 
redeemed. The holders of MACRO Holding Shares who are not participating 
in a paired optional redemption will not receive any Redemption 
Distribution on the relevant Redemption Date, unless that Redemption 
Date is also a Quarterly Income Distribution date, in which case they 
will receive only their Quarterly Income Distribution, if any, that is 
payable to them on that date. Any Final Distribution or Redemption 
Distribution on MACRO Holding Shares that were held on deposit by the 
corresponding MACRO Tradeable Trust will be passed through to the 
holders of the corresponding MACRO Tradeable Shares on any final 
scheduled termination date, early termination date or Redemption Date, 
as the case may be.
    Holders of MACRO Tradeable Shares may not participate in a paired 
optional redemption. Only Authorized Participants may place an order 
with the administrative agent to exchange their MACRO Tradeable Shares 
for the underlying MACRO Holding Shares on deposit in the related MACRO 
Tradeable Trust (even if they do not wish to then effect a paired 
optional redemption).\30\ Therefore, holders of MACRO Tradeable Shares 
who are not Authorized Participants must sell them to Authorized 
Participants \31\ or other interested investors (e.g., on the Exchange) 
in order to liquidate their investment in those shares prior to the 
final scheduled termination date or any early termination date.
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    \30\ There is a related transaction fee of $500 for each such 
exchange involving the MACRO Tradeable Shares of one of the MACRO 
Tradeable Trusts.
    \31\ In order to be an Authorized Participant, an entity must 
(1) be a registered broker-dealer and a member in good standing with 
the National Association of Securities Dealers, Inc. (``NASD''), or 
a participant in the securities markets such as a bank or other 
financial institution that is not required to register as a broker-
dealer or be a member of the NASD in order to engage in securities 
transactions; (2) be a participant in DTC or have indirect access to 
the clearing facilities of DTC by virtue of a custodial relationship 
with a DTC participant; (3) not be a benefit plan investor for 
purposes of the Employee Retirement Income Security Act of 1974; and 
(4) have entered into a ``participation agreement'' with the 
depositor, the administrative agent and the trustee which specifies 
procedures for the Paired Issuance and redemption of paired MACRO 
Holding Shares.
---------------------------------------------------------------------------

    Alternatively, an Authorized Participant may direct a paired 
optional redemption of MACRO Holding Shares by presenting to the 
trustee for exchange into MACRO Holding Shares and then redemption a 
combination of MACRO Tradeable Shares that will constitute, following 
such exchange, one or more MACRO Units (each consisting of 50,000 Up-
MACRO Holding Shares and 50,000 Down-MACRO Holding Shares) or a 
combination of MACRO Holding Shares and MACRO Tradeable Shares that 
will constitute, after the Tradeable Shares are exchanged, one or more 
MACRO Units. Consequently, the ability of an Authorized Participant to 
direct the redemption of any MACRO Holding Shares depends on that 
Authorized Participant being able to acquire and present for 
simultaneous redemption MACRO Holding Shares (or MACRO Tradeable Shares 
exchangeable for such MACRO Holding Shares) issued by both of the 
paired MACRO Holding Trusts in sufficient quantity to form one or more 
MACRO Units. The number of settlement contracts between the MACRO 
Holding Trusts that will be settled in connection with a paired 
optional redemption will be equal to the number of MACRO Units that are 
being redeemed on a net daily basis. Following a paired optional 
redemption, the trustee will record an appropriate reduction in the 
aggregate number of MACRO Holding Shares that are outstanding on a net 
daily basis.
    The amount of any Final Distribution or Redemption Distribution 
from a MACRO Holding Trust will depend on the payments between the 
paired MACRO Holding Trusts under the settlement contracts being 
settled between them, which final payments will, in turn, be based on 
the underlying value (as defined below) of each MACRO Holding Trust on 
(i) the last Price Determination Day preceding the final scheduled 
termination date or early termination date, or (ii) in the case of a 
paired optional redemption, on the relevant Redemption Date. The 
underlying value on the relevant day will be calculated by reference to 
the ending level of the Applicable Reference Price of Crude Oil on that 
date. If the level of the Applicable Reference Price of Crude Oil on 
the relevant Price Determination Day is above its starting level, the 
Up-MACRO Holding Trust will be entitled to receive a final payment from 
the Down-MACRO Holding Trust in an amount proportional to the increase 
in the level of the Applicable Reference Price of Crude Oil. If the 
level of the Applicable Reference Price of Crude Oil on the relevant 
Price Determination Day is below its starting level, the Up-MACRO 
Holding Trust will be required to make a final payment to the Down-
MACRO Holding Trust in an amount proportional to the decrease in the 
level of that price. The purpose of the final payments under the 
settlement contracts is to transfer assets between the paired MACRO 
Holding Trusts such that each trust has cash and Treasuries in an 
amount equal to its underlying value at the time of settlement.
    The Final Distribution on each outstanding MACRO Holding Share on a 
final scheduled termination date or early termination date will equal 
its share of the ``underlying value'' (as defined below) of the 
corresponding MACRO Holding Trust on that date. For purposes of 
settling the settlement

[[Page 64583]]

contracts between the paired MACRO Holding Trusts and making a Final 
Distribution on the final scheduled termination date or an early 
termination date, underlying value will include the Up-MACRO earned 
income accrual and Down-MACRO earned income accrual for the final 
scheduled termination date or early termination date. Any such Final 
Distribution by a MACRO Holding Trust will include the cumulative 
earned income accruals that would have been distributed as a Quarterly 
Income Distribution if the final scheduled termination date or early 
termination date had been an ordinary Quarterly Income Distribution 
date. Each MACRO Tradeable Trust will receive the Final Distribution on 
each of the MACRO Holding Shares that it holds on deposit and will pass 
through that Final Distribution to holders of the corresponding MACRO 
Tradeable Shares, which will be considered to be redeemed.
    The amount of cash and/or U.S. Treasury securities delivered in a 
paired optional redemption by Authorized Participants will always be 
equal to the combined underlying values of the paired MACRO Holding 
Trusts, which will consist of the sum of (i) the underlying value of 
the Up-MACRO Holding Trust on the relevant Redemption Date multiplied 
by the applicable ``redemption percentage'' for the Up-MACRO Holding 
Shares and (ii) the underlying value of the Down-MACRO Holding Trust on 
the relevant Redemption Date multiplied by the applicable ``redemption 
percentage'' for the Down-MACRO Holding Shares. The ``redemption 
percentage'' for these purposes is the aggregate number of MACRO 
Holding Shares of the relevant MACRO Holding Trust that are being 
redeemed, divided by the aggregate number of such MACRO Holding Shares 
that are outstanding prior to the redemption. If the redemption order 
was placed on a Quarterly Income Distribution date, the redeeming 
Authorized Participant will receive cash. If there was a net increase 
in the aggregate par amount of the paired MACRO Holding Trusts on any 
settlement date for a paired optional redemption, because more MACRO 
Units were created than redeemed, redeeming Authorized Participants 
will also receive their Redemption Distribution in cash out of the 
funds delivered to the trusts by the Authorized Participants who 
created shares on the same date. If any ``Paired Issuances'' (as 
described below) were effected on the settlement date for the 
redemption, even if there was a net decrease in the aggregate par 
amount of the paired MACRO Holding Trusts, redeeming Authorized 
Participants will receive a portion of their Redemption Distribution in 
cash out of the funds delivered by the creating Authorized 
Participants, then from any cash on deposit in the MACRO Holding Trusts 
from maturing repurchase agreements, and the remaining portion of that 
Redemption Distribution in U.S. Treasury securities. In all other 
cases, redeeming Authorized Participants will receive their Redemption 
Distribution in connection with a paired optional redemption in U.S. 
Treasury securities.

Paired Issuances

    At any time prior to the final scheduled termination date or an 
early termination date, on any day that is a Price Determination Day, 
an Authorized Participant may effect a Paired Issuance by directing the 
paired MACRO Holding Trusts to issue additional shares in a minimum 
number of Up-MACRO and Down-MACRO Holding Shares constituting one or 
more MACRO Units. If so directed, the MACRO Holding Trusts will issue 
on a net basis the additional paired MACRO Holding Shares to the 
Authorized Participant who may then sell those MACRO Holding Shares 
directly to qualified investors or deposit all or a portion of them 
into the Up-MACRO and Down-MACRO Tradeable Trusts and direct the MACRO 
Tradeable Trusts to issue the appropriate number of additional MACRO 
Tradeable Shares to it in exchange for the MACRO Holding Shares. For 
each additional MACRO Holding Share that is deposited into the 
corresponding MACRO Tradeable Trust, the MACRO Tradeable Trust will 
issue one additional MACRO Tradeable Share. To create one or more new 
MACRO Units, an Authorized Participant must place a creation order with 
the administrative agent at least 30 minutes before the end of trading 
of light sweet crude oil futures contracts by open outcry on NYMEX at 
2:30 p.m. (New York City time) on any Price Determination Day 
(``Issuance Date''). Concurrently with any Paired Issuance, an 
Authorized Participant may also simultaneously create MACRO Tradeable 
Shares by directing the paired MACRO Holding Trusts to issue additional 
paired MACRO Holding Shares for deposit into the applicable MACRO 
Tradeable Trusts and directing one or both of the MACRO Tradeable 
Trusts to issue MACRO Tradeable Shares.
    By 10 a.m. New York City time on the next business day after the 
Issuance Date, or by such other day and time as may be specified in the 
Participants Agreement, the Authorized Participant must deposit into 
the paired MACRO Holding Trusts immediately available funds in an 
amount equal to the combined per share underlying value of the Up-MACRO 
Holding Shares and the Down-MACRO Holding Shares being created, as 
measured on the Issuance Date.\32\ The Authorized Participant must also 
deposit a transaction fee of $500 for each of any: (i) Up-MACRO Holding 
Shares; (ii) Up-MACRO Tradeable Shares; (iii) Down-MACRO Holding 
Shares; and (iv) Down-MACRO Tradeable Shares being issued (for a 
maximum fee of $2,000 for any Paired Issuance). By 3 p.m. New York City 
time on the next business day following the Issuance Date, or by such 
other day and time as may be specified in the Participants Agreement, 
the administrative agent will instruct the trustee to deliver the new 
shares. The trustee will also cause the paired MACRO Holding Trusts to 
enter into one new settlement contract between them for each new MACRO 
Unit that is being created. If MACRO Units are being both created and 
redeemed on the same day, new settlement contracts between the paired 
MACRO Holding Trusts will be entered into only if there is a net 
increase in the Up-MACRO and Down-MACRO aggregate par amounts, and 
existing settlement contracts between the MACRO Holding Trusts will be 
settled if there is a net decrease in these aggregate par amounts in 
order to satisfy the requirement that one settlement contract must 
always be outstanding for each outstanding MACRO Unit. Quarterly Income 
Distributions on the additional MACRO Holding Shares will be governed 
by the original income distribution agreement between the paired MACRO 
Holding Trusts.
---------------------------------------------------------------------------

    \32\ The amount of funds deposited will reflect the income and 
the expenses of each of the MACRO Holding Trusts during the current 
calculation period because those amounts are included as part of the 
determination of the underlying value of each MACRO Holding Trust.
---------------------------------------------------------------------------

    The proportion of the funds in the Up-MACRO Holding Trust and the 
Down-MACRO Holding Trust will initially be 1:1 and this proportion will 
be maintained throughout the entire transaction by virtue of the 
requirement that redemptions and Paired Issuances must be done in MACRO 
Units composed of an equal number of Up-MACRO and Down-MACRO Holding 
Shares.

Underlying Value

    The ``underlying value'' of a MACRO Holding Trust on each Price 
Determination Day represents the

[[Page 64584]]

aggregate amount of the assets in the paired MACRO Holding Trusts to 
which that MACRO Holding Trust would be entitled if the settlement 
contracts between the MACRO Holding Trusts were settled on that day. 
The determination of the ``underlying value'' of a MACRO Holding Trust 
on a given Price Determination Day is calculated using the following 
formula, which is designed to ensure that a $1 change in the settlement 
price of the Applicable Reference Price of Crude Oil will result in a 
$1 change in the per share underlying value of each MACRO Holding 
Share:
    If the ``ending level'' of the Applicable Reference Price of Crude 
Oil established and reported by NYMEX or the applicable substitute oil 
price provider on a Price Determination Day is above the starting 
level, the ``underlying value'' of the Up-MACRO Holding Trust will 
equal the sum of:
     The sum of the earned income accruals for that trust for 
each day that has elapsed during the current calculation period, up to 
and including the current Price Determination Day,
     The ``investment amount'' for that MACRO Holding Trust on 
that date, and
     The product of (i) the ``investment amount'' for the other 
paired MACRO Holding Trust on that date and (ii) the Price Level 
Percentage Change of the Applicable Reference Price of Crude Oil.
    The same formula above will be used to calculate the ``underlying 
value'' of the Down-MACRO Holding Trust if the ``ending level'' of the 
Applicable Reference Price of Crude Oil on a Price Determination Day is 
below the starting level.
    If the ``ending level'' of the Applicable Reference Price of Crude 
Oil on a Price Determination Day is below the starting level, the 
``underlying value'' of the Up-MACRO Holding Trust will be calculated 
using the same formula, except that the third term in the above formula 
will be subtracted from the sum of the first two terms (instead of 
being added to them) and the ``investment amount'' used in that third 
term will be the value for that MACRO Holding Trust (instead of the 
value for the other paired MACRO Holding Trust on that date). This 
version of the formula in the previous statement is also applicable to 
the calculation of the ``underlying value'' of the Down-MACRO Holding 
Trust if the ``ending level'' of the Applicable Reference Price of 
Crude Oil on a Price Determination Day is above the starting level.
    In connection with these calculations, the ``investment amount'' 
will equal, on any Quarterly Income Distribution date, the amount of 
cash that was actually invested on behalf of a MACRO Holding Trust in 
Treasuries on that Quarterly Income Distribution date, which is 
required to equal the lesser of (x) the aggregate par amount of its 
outstanding shares and (y) all funds that the trust holds on deposit on 
that Quarterly Income Distribution date. The ``investment amount'' on 
any day during a calculation period (other than the Quarterly Income 
Distribution date) will equal the aggregate par amount of the MACRO 
Holding Shares of that MACRO Holding Trust that are outstanding on that 
day if the amount actually invested on the preceding Quarterly Income 
Distribution date was equal to the aggregate par amount on that date. 
If the amount actually invested on the last Quarterly Income 
Distribution date was less than the aggregate par amount, then the 
``investment amount'' for that MACRO Holding Trust for each day of the 
ensuing calculation period will equal the amount that was actually 
invested divided by the number of MACRO Holding Shares outstanding on 
that Quarterly Income Distribution date, multiplied by the number of 
MACRO Holding Shares that are outstanding on the day on which the 
calculation is being made. Since the trustee, under the direction of 
the administrative agent, is required to invest an amount equal to the 
aggregate par amount in Treasuries on each Quarterly Income 
Distribution date in accordance with the directions of the 
administrative agent, the ``investment amount'' for that MACRO Holding 
Trust should be equal to the aggregate par amount, as increased and 
decreased by redemptions and Paired Issuances, throughout the ensuing 
calculation period.\33\
---------------------------------------------------------------------------

    \33\ The only case in which this will not be true is if the 
MACRO Holding Trust's daily fee accrual rate exceeded the daily 
yield rate on its Treasuries during one or more preceding 
calculation periods and the resulting deficiency was not made up 
with income realized by that MACRO Holding Trust during other 
preceding calculation periods following a general rise in interest 
rates. If a deficiency does exist during a calculation period, this 
deficiency will be reflected in the per share underlying value at 
which Authorized Participants may create and redeem the MACRO 
Holding Shares.
---------------------------------------------------------------------------

    The ``Price Level Percentage Change'' will equal, on any Price 
Determination Day, the absolute value of (i) the ending level of the 
Applicable Reference Price of Crude Oil on that Price Determination Day 
minus the starting level of the Applicable Reference Price of Crude Oil 
divided by (ii) the starting level. For example, if the Applicable 
Reference Price of Crude Oil should double from its starting level, the 
Price Level Percentage Change would be equal to 100% and the Up-MACRO 
Holding Trust would be entitled to the entire ``investment amount'' in 
the Down-MACRO Holding Trust if the settlement contracts between the 
paired MACRO Holding Trusts were to be settled on that day. Reaching 
this value (100%) would effectively ``cap'' any further upside gains 
for holders of the Up-MACRO Holding Shares and Up-MACRO Tradeable 
Shares based on additional increases in the Applicable Reference Price 
of Crude Oil.

Arbitrage

    The Exchange states that market fluctuations in the price of a 
MACRO Tradeable Share are expected to mirror fluctuations in its per 
share underlying value (which will be determined by the value of the 
applicable futures price of light sweet crude oil), similar to the 
manner in which the price of an ETF share mirrors its net asset value. 
The Exchange states that this tracking should occur due to arbitrage 
opportunities that will be available to Authorized Participants if 
these values should move out of line, with the additional requirement 
that any arbitrage will require equal numbers of Up-MACRO Tradeable 
Shares and Down-MACRO Tradeable Shares. For example, if the market 
prices of the MACRO Tradeable Shares begin to trade downward away from 
their combined per share underlying values, Authorized Participants 
will take advantage of the resulting arbitrage opportunity by 
purchasing the undervalued MACRO Tradeable Shares, exchanging them for 
MACRO Holding Shares and directing a paired optional redemption at the 
combined per share underlying values. Conversely, if the market prices 
of the MACRO Tradeable Shares begin to trade upward away from their 
combined per share underlying values, Authorized Participants will take 
advantage of the resulting arbitrage opportunity by delivering cash to 
the trustee in the amount of the combined per share underlying values, 
receiving MACRO Holding Shares in a Paired Issuance, and depositing the 
latter into the respective MACRO Tradeable Trusts in exchange for an 
equal number of the overvalued MACRO Tradeable Shares, which can be 
sold in the market. To the extent that an Authorized Participant should 
choose to hold in inventory any MACRO Holding Shares or MACRO Tradeable 
Shares in connection with arbitrage opportunities, the Exchange states 
that such a position can be hedged by using the underlying light sweet 
crude oil futures.
    In contrast to the procedures with respect to certain ETF products, 
the MACRO Holding Trusts will not

[[Page 64585]]

disseminate on a daily basis the specific holdings of each trust that 
correspond to the basic unit of creation--a MACRO Unit. This will not 
be necessary because the creation of new MACRO Holding Shares and MACRO 
Tradeable Shares by Authorized Participants is accomplished through the 
deposit of cash instead of securities. Further, the Exchange states 
that such disclosure is not necessary for price transparency and 
independent verification of the underlying value calculation because, 
unlike ETFs, the MACRO Shares are wholly synthetic in nature, and the 
financial assets whose values primarily determine the underlying value 
of each MACRO Holding Share and MACRO Tradeable Share (i.e., light 
sweet crude oil futures contracts) are not actually acquired and held 
by the MACRO Holding Trusts. The daily fluctuations in market value of 
the Treasuries that are held by each MACRO Holding Trust are not part 
of the calculation of underlying value. The Exchange acknowledges that 
this value that is necessary for the end-of-day calculation of the 
underlying value of each MACRO Holding Trust (and the portion of that 
value associated with each MACRO Holding Share and MACRO Tradeable 
Share) is already fully transparent--the settlement price on NYMEX of 
the light sweet crude oil futures contract of the designated maturity.

Risk

    An investment in the MACRO Holding Shares or the MACRO Tradeable 
Shares involves a number of risks. An investor could lose his or her 
entire investment in the MACRO Holding Shares or the MACRO Tradeable 
Shares, depending on the percentage movement up or down in the 
Applicable Reference Price of Crude Oil. Further, there is no guarantee 
as to the amount of any Quarterly Income Distribution, Redemption 
Distribution, or Final Distribution, and no obligation to make up 
Quarterly Income Distributions that are not paid due to lack of 
available funds. The MACRO Tradeable Shares cannot be redeemed, and the 
right to exchange MACRO Tradeable Shares for MACRO Holding Shares that 
can be redeemed is limited to Authorized Participants. Further, MACRO 
Holding Trusts may deliver U.S. Treasury securities instead of cash in 
a paired optional redemption, which could decrease the income of 
remaining holders of MACRO Tradeable Shares if the U.S. Treasury 
securities delivered have higher yields than those remaining in the 
trust. The return on the MACRO Tradeable Shares is also uncertain 
because the related trusts may terminate early, and the return is 
capped due to the fact that neither MACRO Holding Trust is entitled to 
receive an amount greater than 100% of the assets in the other paired 
MACRO Holding Trust.

Prospectus Delivery

    The Exchange states that each MACRO Tradeable Trust will be deemed 
to be a statutory underwriter of the related MACRO Holding Shares under 
the Securities Act and will be subject to the prospectus delivery 
requirements and liability provisions of the Securities Act in 
connection with its participation in a ``distribution'' of Up-MACRO 
Holding Shares. In connection with any Paired Issuance, the Exchange 
states that any Authorized Participant that creates a MACRO Unit will 
be deemed to be a statutory underwriter of the paired MACRO Holding 
Shares and the related MACRO Tradeable Shares and will be subject to 
the prospectus delivery requirements and liability provisions of the 
Securities Act. The Exchange states that dealers that are not 
``underwriters'' but nonetheless are participating in a distribution, 
and thus are dealing with MACRO Holding Shares or MACRO Tradeable 
Shares that are part of an ``unsold allotment'' within the meaning of 
the Securities Act, would be unable to take advantage of the prospectus 
delivery exemption provided by Section 4(3) of the Securities Act. The 
Exchange states that Dealers unable to rely on the Section 4(3) 
prospectus delivery exemption will be subject to the prospectus 
delivery requirements of the Securities Act.

Fees and Expenses

    As indicated in note 26 above, the sum of the daily fee accruals 
based on a rate of 1.50% (1.60% until the second anniversary of the 
closing date) per annum will cover the payment of all fees and expenses 
of each MACRO Holding Trust that will be applied against invested 
assets.\34\ On each Quarterly Income Distribution date, each of the 
paired MACRO Holding Trusts is required to deposit the ``fee deduction 
amount'' (as defined above) into the fee payment account to be applied 
to the payment of the expenses and fees incurred by that MACRO Holding 
Trust and the related MACRO Tradeable Trust during the preceding 
calculation period. After first being used to pay the expenses of the 
trusts, which will include: (i) Registration fees; (ii) prospectus 
printing and delivery expenses; (iii) trust administration expenses; 
and (iv) treasury settlement expenses, the remaining funds in the fee 
payment account will be applied to pay the fees charged by entities 
that provide services or license intellectual property to the trusts. 
These fees include: (i) The fee payable to the trustee for 
administering the MACRO Holding Trust and the related MACRO Tradeable 
Trust; (ii) the fee payable to the administrative agent for 
administrating the Treasuries held by the MACRO Holding Trust and 
performing various calculations and other services on behalf of the 
trusts, and to the marketing agent for its marketing and distribution 
services; (iii) the fee payable to MacroMarkets for sublicensing to the 
trusts the right to reference the settlement price of the light sweet 
crude oil futures contract and the NYMEX name; (iv) the licensing fee 
payable to MacroMarkets for the use of its intellectual property 
related to the patented MACROs structure; (v) fees payable to the 
independent accountants; (vi) fees payable to the Amex for acting as 
listing exchange and calculation agent; and (vii) legal fees. These 
expenses and fees payable by each MACRO Holding Trust will accrue 
during each calculation period and will be payable in arrears on each 
Quarterly Income Distribution date out of the fee deduction amount.
---------------------------------------------------------------------------

    \34\ Such daily fee accruals, however, would not cover 
transactional costs associated with purchase, sale, redemption and 
creation of shares, and certain other potential liabilities such as, 
for example, indemnities.
---------------------------------------------------------------------------

    To the extent that the remaining fee deduction amount after payment 
of expenses is insufficient to pay in full all of the fees, 
MacroMarkets and Claymore Securities, Inc. will reduce the fees payable 
to each of them by the MACRO Holding Trust. If any deficiencies in the 
payment of the fees and expenses of the trust continue to exist after 
the waiver of these fees, these deficiencies will be paid by MACRO 
Securities Depositor, LLC, the depositor for the trusts. If any funds 
remain on deposit in the fee payment account after the fees and 
expenses of the MACRO Holding Trust and related MACRO Tradeable Trust 
have been paid in full on a Quarterly Income Distribution date, the 
trustee will deliver these excess funds to the depositor as additional 
compensation.

Periodic Dissemination of Intraday Per Share Values for MACRO Tradeable 
Shares

    During each trading day, the Amex, acting as the calculation agent, 
will publish to the Consolidated Tape System (``CTS''), at least every 
15 seconds during the entire time that the MACRO Tradeable Shares trade 
on the Amex (normally 9:30 a.m. to 4:15 p.m. each Price Determination 
Day), an indicated value, referred to as an

[[Page 64586]]

Indicative Intraday Value (``IIV''), for the underlying value per share 
of both the Up-MACRO Tradeable Shares and the Down-MACRO Tradeable 
Shares. The Amex will also disseminate at least every 15 seconds the 
related percentage change in the Applicable Reference Price of Crude 
Oil. The Amex will also publish these values on its Web site. The 
purpose of this disclosure is to promote liquidity and intraday price 
transparency with respect to the underlying value per share of the 
MACRO Tradeable Shares. To enable this calculation, the Amex will 
receive real time price data from the NYMEX for the light sweet crude 
oil futures contract that trades on the NYMEX from two major market 
data vendors, from the opening of trading of the light sweet crude oil 
futures contract on NYMEX at 10 a.m. to the close of trading of the 
MACRO Tradeable Shares on the Amex at 4:15 p.m. (New York City time).
    Because the NYMEX market for the light sweet crude oil futures 
contract will be closed for portions of the Amex trading day, the IIV 
calculated values will become fixed at such time as the NYMEX contract 
stops trading in the regular trading session.\35\ During such time 
periods, however, if trading in the NYMEX light sweet crude oil futures 
contract is occurring on the NYMEX electronic aftermarket system, then 
those trades will be used to update IIV values.
---------------------------------------------------------------------------

    \35\ The IIV calculated value between the opening of trading of 
the MACRO Tradeable Shares on the Amex at 9:30 a.m. and the opening 
of trading of the light sweet crude oil futures contract on NYMEX at 
10 a.m. (New York City time) will be based on the final price from 
the prior trading day.
---------------------------------------------------------------------------

    The Amex will make available through its in-house systems, for use 
by the specialist and market makers, the IIV values distributed over 
the CTS. This data will also be available to Amex surveillance systems 
and personnel for their purposes.

Dissemination of Other Information on Price Determination Days

    Pursuant to a separate calculation agency agreement with MACRO 
Securities Depositor, LLC, MacroMarkets and the trusts, the calculation 
agent will perform a number of duties for the Up-MACRO Tradeable Trust, 
the Up-MACRO Holding Trust, the Down-MACRO Tradeable Trust and the 
Down-MACRO Holding Trust. In addition to its periodic (at least every 
15 seconds) calculation and dissemination of (1) the value of the 
percentage change in the light sweet oil futures contract of the 
designated maturity from the starting level of the Applicable Reference 
Price of Crude Oil and (2) IIVs for the underlying value of each MACRO 
Holding Trust that is allocable to each Up-MACRO Tradeable Share and 
Down-MACRO Tradeable Share, the calculation agent will also post to its 
Web site by 7:15 p.m. New York City time on each Price Determination 
Day the following information:
     Any corrections made by NYMEX to the Applicable Reference 
Price of Crude Oil reported on previous Price Determination Days; \36\ 
and
---------------------------------------------------------------------------

    \36\ As described above, a Price Determination Day is each day 
on which trading of the light sweet crude oil futures contract of 
the designated maturity occurs by open outcry on the trading floor 
of the NYMEX. See supra, discussion of Price Determination Days 
under ``Description of the Reference Price--the Applicable Reference 
Price of Crude Oil.''
---------------------------------------------------------------------------

     The closing price of the Up-MACRO Tradeable Shares and the 
Down-MACRO Tradeable Shares on the Amex.
    The administrative agent will maintain a Web site that is publicly 
accessible at no charge and will contain the following information 
posted by the trustee on each Price Determination Day: \37\
---------------------------------------------------------------------------

    \37\ The issuer has represented that all market participants 
will have access to this data at the same time and, therefore, no 
market participant will have a time advantage in using such data.
---------------------------------------------------------------------------

     The Price Level Percentage Change of the Applicable 
Reference Price of Crude Oil;
     The underlying value \38\ of the Up-MACRO Holding Trust 
and the per share underlying value of the Up-MACRO Holding Shares and 
the Up-MACRO Tradeable Shares; and
---------------------------------------------------------------------------

    \38\ Conceptually, the ``underlying value'' per share of MACRO 
Holding Shares and MACRO Tradeable Shares is similar to the ``net 
asset value'' that is calculated for many other securities. For 
MACRO securities, however, net asset value is not meaningful because 
the respective per share values are not determined by the total 
value of the assets held by each MACRO Holding Trust at any point in 
time. This is because assets are not transferred daily between the 
MACRO Holding Trusts to settle the contractual transfer obligations 
between them. For example, transfers of ``principal'' between the 
MACRO Holding Trusts only take place in connection with paired 
optional redemptions or upon termination of the trusts. The 
underlying value, however, takes into account the value of each 
MACRO Holding Trust as if the settlement contracts between the 
trusts were settled on that date by the transfer of assets, 
reflecting the obligations of the trusts to each other based on the 
Applicable Reference Price of Crude Oil on that date.
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     The underlying value of the Down-MACRO Holding Trust and 
the per share underlying value of the Down-MACRO Holding Shares and the 
Down-MACRO Tradeable Shares.

Availability of Information Regarding MACRO Tradeable Shares

    The depositor will prepare, in accordance with the requirements of 
the Act, quarterly reports on Form 10-Q, annual reports on Form 10-K, 
and current reports on Form 8-K, containing information about the MACRO 
Holding Trusts and the MACRO Tradeable Trusts. The depositor will file 
such reports with the Commission and the trustee will send copies to 
Cede & Co., as nominee of the Depository Trust Company (``DTC''), any 
other registered holder of the MACRO Tradeable Shares or the MACRO 
Holding Shares, and such other parties as may be specified in the trust 
agreements. DTC forwards these reports to its participants, and 
shareholders may obtain copies by contacting their brokers. The annual 
reports will include financial statements prepared in accordance with 
accounting principles generally accepted in the United States of 
America.
    The Form 10-Q reports will include the following information as of 
each Quarterly Income Distribution date:
     The aggregate par amount of the outstanding MACRO 
Tradeable Shares of each of the MACRO Tradeable Trusts;
     The aggregate par amount of the outstanding MACRO Holding 
Shares of each of the MACRO Holding Trusts;
     The underlying value of each of the MACRO Holding Trusts 
and the portion of that underlying value that is allocable to each of 
the related MACRO Holding Shares, in each case, prior to any Quarterly 
Income Distributions being made on that Quarterly Income Distribution 
date;
     The amount of income realized on the Treasuries in each of 
the MACRO Holding Trusts and the amount of fees accrued for each trust;
     The amount, if any, by which the aggregate par amount 
exceeds the asset amount for either of the MACRO Holding Trusts;
     The available income, if any, in each of the MACRO Holding 
Trusts, and the available income allocable to each related MACRO 
Holding Share;
     The payments to be made by one of the MACRO Holding Trusts 
under the income distribution agreement between the MACRO Holding 
Trusts and the amount of cash and/or Treasuries delivered under any 
settlement contracts between the MACRO Holding Trusts that were settled 
since the preceding Quarterly Income Distribution date, in the 
aggregate and per share;
     The number of MACRO Holding Shares issued in Paired 
Issuances, and the number of MACRO Holding Shares redeemed in paired 
optional redemptions during the preceding calculation period, as well 
as the amount of cash and U.S. Treasury securities delivered in such 
paired optional redemptions, in the aggregate and per share;

[[Page 64587]]

     The Quarterly Income Distribution to be made by each MACRO 
Holding Trust on that Quarterly Income Distribution date, in the 
aggregate and per share, for both the related MACRO Holding Shares and 
the MACRO Tradeable Shares; and
     If the Quarterly Income Distribution date is the final 
scheduled termination date, an early termination date, or a Redemption 
Date, the Final Distribution or Redemption Distribution, as the case 
may be, to be made by each MACRO Holding Trust on that Quarterly Income 
Distribution date, in the aggregate and per share, for both the related 
MACRO Holding Shares and the MACRO Tradeable Shares.

Termination Triggers

    On the Quarterly Income Distribution date following the occurrence 
of any of the following events (``Termination Triggers''), such date 
being an ``early termination date,'' the trustee will cause the MACRO 
Holding Trusts to settle all of the settlement contracts between the 
paired MACRO Holding Trusts and then declare a Final Distribution in 
redemption of all of the outstanding MACRO Holding Shares, based on the 
underlying value of each MACRO Holding Trust on the Price Determination 
Day preceding the early termination date. This underlying value may be 
higher or lower than the underlying value at the time when the 
Termination Trigger occurred, which is one of the risks to investors of 
early termination. The portion of the Final Distribution received by 
each MACRO Tradeable Trust (based on the MACRO Holding Shares held by 
that trust) will be passed through to the holders of the corresponding 
MACRO Tradeable Shares. Following this Final Distribution, the MACRO 
Holding Shares and MACRO Tradeable Shares will be considered to be 
redeemed in full and will cease to be outstanding. The Termination 
Triggers are:
     Any of the following circumstances persisting for five (5) 
consecutive business days: (i) The Applicable Reference Price of Crude 
Oil is not established by NYMEX or the substitute oil price provider; 
(ii) NYMEX or such substitute oil price provider refuses to make that 
price available to the administrative agent for the purpose of 
calculating underlying value; or (iii) (a) NYMEX terminates the license 
it has granted to MacroMarkets to use and sublicense certain of its 
futures prices or does not agree to a renewal thereof after the 
expiration of its initial 5-year term, and the depositor and 
MacroMarkets are unable to enter into a substitute licensing agreement 
with the Dow Jones Energy Service or (b) in the event that the 
depositor and MacroMarkets have already entered into a substitute 
licensing agreement with the Dow Jones Energy Service or another 
substitute oil price provider, such substitute oil price provider 
terminates that license and, in the case of either (a) or (b), the 
beneficial owners of the MACRO Holding Shares do not select a 
substitute oil price provider or the depositor and MacroMarkets are 
unable to enter into a substitute licensing agreement with the 
substitute oil price provider that was selected by these beneficial 
owners;
     The Applicable Reference Price of Crude Oil rises to or 
above 185% of the starting level or falls to or below 15% of the 
starting level and, in either case, remains at that level for three (3) 
consecutive Price Determination Days;
     A MACRO Tradeable Trust or a MACRO Holding Trust becomes 
required to register as an investment company under the 1940 Act;
     A MACRO Tradeable Trust or a MACRO Holding Trust is 
adjudged by a court having competent jurisdiction to be bankrupt or 
insolvent; or such court grants an order for relief or approves as 
properly filed a petition seeking reorganization, arrangement, 
adjustment or composition under the Bankruptcy Code or any other 
applicable law, or appointing a receiver, liquidator, assignee or 
sequestrator of any such trust or of any substantial part of its 
property, or ordering the winding up or liquidation of its affairs; or 
any such trust commences a voluntary case or proceeding under the 
Bankruptcy Code or any other applicable law, or an involuntary case or 
proceeding is commenced against any such trust, seeking any of the 
foregoing and such case or proceeding continues undismissed or unstayed 
and in effect for 90 consecutive days (in which case any payments under 
the income distribution agreement and the settlement contracts between 
the paired MACRO Holding Trusts and any Quarterly Income Distribution, 
Redemption Distribution or Final Distribution to be made by either of 
the MACRO Holding Trusts, or passed through on the MACRO Tradeable 
Shares by the related MACRO Tradeable Trust, may be subject to delays 
pending the resolution of bankruptcy proceedings);
     A MACRO Tradeable Trust or a MACRO Holding Trust becomes a 
commodities pool that is regulated under the Commodity Exchange Act;
     DTC becomes unwilling or unable to act as the depository 
under the trust agreements and no suitable replacement is willing and 
able to assume those duties;
     The administrative agent resigns or is unable to perform 
its duties or becomes bankrupt or insolvent, and no suitable 
replacement is willing and able to assume those duties;
     The depositor elects to terminate a MACRO Holding Trust, 
and 66\2/3\% of the beneficial owners of both MACRO Holding Trusts, 
each voting as a separate class, consent to such termination; or
     The ``investment amount'' (as defined above) for either 
MACRO Holding Trust is reduced to fifty (50) million dollars or a 
lesser amount after previously reaching an amount equal to two hundred 
(200) million dollars or the failure to reach an amount equal to two 
hundred (200) million dollars within a period of six (6) months 
following the closing date and the depositor elects to terminate a 
MACRO Holding Trust.
    The administrative agent will be responsible for monitoring the 
occurrence of Termination Triggers that are related to a specified 
increase or decrease in the Applicable Reference Price of Crude Oil and 
the failure by NYMEX or the applicable oil price provider to establish 
the Applicable Reference Price of Crude Oil or its refusal to make it 
available to the administrative agent. The administrative agent must 
notify the depositor and the trustee of any of these occurrences. The 
trustee will be responsible for notifying the depositor and the 
administrative agent of the occurrence of the Termination Triggers 
described in the third through fifth bullet points above.

Criteria for Initial and Continued Listing

    The MACRO Tradeable Shares will be subject to the criteria in 
proposed Amex Rule 1402 for initial and continued listing of Paired 
Trust Shares. The proposed continued listing criteria provides for the 
delisting or removal from listing of the Up-MACRO Tradeable Shares or 
Down-MACRO Tradeable Shares, as the case may be, under any of the 
following circumstances:
     Following the initial twelve month period from the date of 
commencement of trading of the Up-MACRO Tradeable Shares or Down-MACRO 
Tradeable Shares: (i) If the corresponding MACRO Tradeable Trust has 
more than 60 days remaining until termination and there are fewer than 
50 record and/or beneficial holders of the Up-MACRO Tradeable Shares or 
Down-MACRO Tradeable Shares for 30 or more consecutive trading days; 
(ii) if the corresponding MACRO Tradeable Trust

[[Page 64588]]

has fewer than 50,000 Up-MACRO Tradeable Shares or Down-MACRO Tradeable 
Shares issued and outstanding; or (iii) if the combined market value of 
all Up-MACRO Tradeable Shares and Down-MACRO Tradeable Shares together 
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 on the Amex Web site during the time the MACRO Tradeable 
Shares trade on the Amex from a source unaffiliated with the depositor, 
the custodian, MacroMarkets, a MACRO Holding Trust, a MACRO Tradeable 
Trust or the Exchange;
     If the underlying value of the corresponding MACRO Holding 
Trust is not made available on the administrative agent's publicly 
accessible Web site on a daily basis to all market participants at the 
same time;
     If the intraday indicative value of the underlying value 
of each Up-MACRO Tradeable Share or Down-MACRO Tradeable Share, as the 
case may be, is no longer made available on at least a 15-second 
delayed basis through CTS during the time the Tradeable Shares trade on 
the Amex;
     If a benchmark other than the light sweet crude oil 
futures contract traded on the NYMEX 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 
Rule 19b-4 seeking approval to continue trading the MACRO Tradeable 
Shares and such rule change is approved by the Commission; \39\ or
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    \39\ In the event the Exchange believes that a change in the 
benchmark or pricing source for the Applicable Reference Price of 
Crude Oil is only temporary, the Exchange may contact the Commission 
staff to discuss the matter.
---------------------------------------------------------------------------

     If such other event shall occur or condition exists which 
in the opinion of the Exchange makes further dealings on the Exchange 
inadvisable.
    It is anticipated that a minimum of 150,000 Up-MACRO Tradeable 
Shares and 150,000 Down-MACRO Tradeable Shares will be required to be 
outstanding at the start of trading. It is anticipated that the initial 
price of an Up-MACRO Tradeable Share and a Down-MACRO Tradeable Share 
will each be approximately $60 per share, or the price of a barrel of 
light sweet crude oil on the last Price Determination Day prior to the 
closing date. The Exchange believes that the anticipated minimum number 
of MACRO Tradeable Shares outstanding at the start of trading is 
sufficient to provide adequate market liquidity and to further the 
objective of providing a simple and cost effective means of making an 
investment that is similar to an investment in light sweet crude oil.
    The Exchange represents that it prohibits the initial and/or 
continued listing of any security that is not in compliance with Rule 
10A-3 under the Act.\40\
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    \40\ See Rule 10A-3(c)(7).
---------------------------------------------------------------------------

Original and Annual Listing Fees

    The Amex original listing fee applicable to the listing of the 
MACRO Tradeable Shares is $5,000 for the Up-MACRO Tradeable Shares and 
$5,000 for the Down-MACRO Tradeable Shares. In addition, the annual 
listing fee applicable under Section 141 of the Amex Company Guide will 
be based upon the year-end aggregate number of shares in all series of 
MACRO Tradeable Shares (including series based on other Reference 
Prices) outstanding at the end of each calendar year.

Disclosure

    The Exchange, in an ``Information Circular'' (described below) to 
Exchange members and member organizations, will inform members and 
member organizations, prior to commencement of trading, of the 
prospectus delivery requirements applicable to the MACRO Tradeable 
Shares. The issuing MACRO Tradeable Trust will deliver a prospectus to 
investors who purchase such newly issued MACRO Tradeable Shares.

Exchanges of MACRO Tradeable Shares; Paired Issuances and Paired 
Optional Redemptions of MACRO Holding Shares in MACRO Unit Aggregations

    In the Information Circular (described below), members and member 
organizations will be informed that procedures for exchanges of MACRO 
Tradeable Shares for the underlying MACRO Holding Shares and for Paired 
Issuances and paired optional redemptions of MACRO Holding Shares are 
described in the Prospectus and that MACRO Holding Shares are issuable 
and redeemable only in MACRO Units and only by Authorized Participants.

Trading Rules

    MACRO Tradeable Shares are equity securities subject to Amex Rules 
governing the trading of equity securities, including, among others, 
rules governing priority, parity and precedence of orders, specialist 
responsibilities and account opening and customer suitability (Amex 
Rule 411). Initial equity margin requirements of 50% will apply to 
transactions in MACRO Tradeable Shares. MACRO Tradeable Shares will 
trade on the Amex from 9:30 a.m. until 4:15 p.m. New York time each 
business day and will trade in a minimum price variation of $0.01 
pursuant to Amex Rule 127. Trading rules pertaining to odd-lot trading 
in Amex equities (Amex Rule 205) will also apply.
    Amex Rule 154, Commentary .04(c) provides that stop and stop limit 
orders to buy or sell a security (other than an option, which is 
covered by Amex Rule 950(f) and Commentary thereto) the price of which 
is derivatively priced based upon another security or index of 
securities, may with the prior approval of a Floor Official, be elected 
by a quotation, as set forth in Commentary .04(c) (i-v). The Exchange 
has designated MACRO Tradeable Shares as eligible for this 
treatment.\41\
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    \41\ 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 under Amex Rule 154, Commentary 
.04(c).
---------------------------------------------------------------------------

    MACRO Tradeable Shares will be deemed ``Eligible Securities,'' as 
defined in Amex Rule 230, for purposes of the Intermarket Trading 
System Plan and therefore will be subject to the trade through 
provisions of Amex Rule 236 which require that Amex members avoid 
initiating trade-throughs for ITS securities. Specialist transactions 
in MACRO Tradeable Shares, as an Authorized Participant, made in 
connection with the creation of MACRO Tradeable Shares and the exchange 
of MACRO Tradeable Shares for MACRO Holding Shares will not be subject 
to the prohibitions of Amex Rule 190.\42\ Unless exemptive or no-action 
relief is available, MACRO Tradeable Shares will be subject to the 
short sale rules, and other rules, under the Act. If exemptive or no-
action relief is provided, the Exchange will issue a notice detailing 
the terms of the exemption or relief. The MACRO Tradeable Shares will 
generally be subject to the Exchange's stabilization rule, Amex Rule 
170.
---------------------------------------------------------------------------

    \42\ See Commentary .05 to Amex Rule 190.
---------------------------------------------------------------------------

    The adoption of proposed Amex Rule 1403 relating to certain 
specialist prohibitions will address potential conflicts of interest in 
connection with acting as a specialist in Paired Trust Shares. 
Specifically, proposed Amex Rule 1403 provides that the prohibitions in 
Amex Rule 175(c) apply to a specialist in Paired Trust Shares so that 
the specialist or affiliated person may not act or function as a market 
maker in

[[Page 64589]]

an asset, commodity or other economic interest underlying the Reference 
Price, options, related futures or options on futures, or any other 
related derivatives. An affiliated person of the specialist consistent 
with Amex Rule 193 may be afforded an exemption to act in a market 
making capacity on another market center, other than as a specialist in 
the asset, commodity or other economic interest underlying the 
Reference Price, options, related futures or options on futures, or any 
other related derivatives. In particular, proposed Amex Rule 1403 
provides that an approved person of an equity specialist that has 
established and obtained Exchange approval for procedures restricting 
the flow of material, non-public market information between itself and 
the specialist member organization, and any member, officer, or 
employee associated therewith, may act in a market making capacity, 
other than as a specialist in Paired Trust Shares on another market 
center, in the asset, commodity or other economic interest underlying 
the Reference Price, options, related futures or options on futures, or 
any other related derivatives.
    Adoption of proposed Amex Rule 1404 will also ensure that 
specialists handling the Paired Trust Shares provide the Exchange with 
all the necessary information relating to their trading in the asset, 
commodity or other economic interest underlying the Reference Price, 
options, related futures or options on futures, or any other related 
derivatives. As a general matter, the Exchange has regulatory 
jurisdiction over its members, member organizations and approved 
persons of a member organization. The Exchange also has regulatory 
jurisdiction over any person or entity controlling a member 
organization as well as a subsidiary or affiliate of a member 
organization that is in the securities business.
    The MACRO Tradeable Shares will be registered in book entry form 
through DTC in the United States or with Clearstream Banking, societe 
anonyme or Euroclear Bank S.A./NV in Europe. Trading in MACRO Tradeable 
Shares will be effected until 4:15 p.m. New York time each business 
day. The minimum trading increment for such shares will be $.01

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 trading halts in MACRO 
Tradeable Shares. First, the 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. Second, with respect to a 
halt in trading that is not specified above, 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 MACRO Tradeable 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 MACRO Holding 
Trust or the per share underlying values of each of the Up-MACRO 
Holding Shares, the Up-MACRO Tradeable Shares, the Down-MACRO Holding 
Shares or the Down-MACRO Tradeable Shares are not disseminated daily to 
all market participants at the same time, (b) the IIV, updated at least 
every fifteen (15) seconds on the CTS, for the underlying value per 
share of both the Up-MACRO Tradeable Shares and the Down-MACRO 
Tradeable Shares is no longer calculated or available during the time 
the MACRO Tradeable Shares trade on the Amex, or (c) the price of the 
NYMEX light sweet crude oil futures contract is no longer available at 
least every fifteen (15) seconds on the Amex Web site during the time 
the MACRO Tradeable Shares trade on the Amex \43\ (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.\44\ 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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    \43\ Trading in the MACRO Tradeable Shares will not be halted on 
the 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., New York City time. During those 
daily periods, from 9:30 a.m. to 10 a.m. and from 2:30 p.m. to 4:15 
p.m. (New York City time), the IIVs disseminated by the Amex will be 
based on ``stale'' data.
    \44\ In each of these circumstances, the Exchange may contact 
the Commission staff to discuss the matter.
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Suitability

    The Information Circular (described below) will inform members and 
member organizations of the characteristics of the MACRO Tradeable 
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 MACRO Tradeable Shares to have a reasonable basis 
to believe that a customer is suitable for the particular investment 
given reasonable inquiry concerning the customer's investment 
objectives, financial situation, needs, and any other information known 
by such member.

Information Circular

    The Amex will distribute an Information Circular to its members in 
connection with the trading of MACRO Tradeable Shares. The Information 
Circular will discuss the special characteristics and risks of trading 
this type of security. Specifically, the Information Circular, among 
other things, will discuss what the MACRO Tradeable Shares are, how 
they are created and exchanged for MACRO Holding Shares by Authorized 
Participants, the requirement that members and member firms deliver a 
prospectus to investors purchasing the MACRO Tradeable Shares prior to 
or concurrently with the confirmation of a transaction, applicable Amex 
rules, dissemination of information regarding the ``underlying value'' 
of each paired MACRO Holding Trust and the share of that ``underlying 
value'' allocable to one Up-MACRO Holding Share, one Up-MACRO Tradeable 
Share, one Down-MACRO Holding Share and one Down-MACRO Tradeable Share, 
trading information and applicable suitability rules. The Information 
Circular will also explain that the MACRO Holding Trusts and the MACRO 
Tradeable Trusts are subject to various fees and expenses described in 
the Registration Statement. The Information Circular will also 
reference the fact that the Securities and Exchange Commission has no 
jurisdiction over the trading of the NYMEX light sweet crude oil 
futures contract.
    The Information Circular will also notify members and member 
organizations about the procedures for

[[Page 64590]]

purchases and paired optional redemptions of the MACRO Holding Shares 
held in the MACRO Tradeable Trusts, which may only be effected in MACRO 
Units by Authorized Participants. The Information Circular will advise 
members of their suitability obligations with respect to recommended 
transactions to customers in the MACRO Tradeable Shares. The 
Information Circular will also discuss any relief, if granted, by the 
Commission or the staff from any rules under the Act.

Surveillance

    Exchange surveillance procedures applicable to trading in the 
proposed MACRO Tradeable Shares will be similar to those applicable to 
trust issued receipts, Portfolio Depository Receipts and Index Fund 
Shares currently trading on the Exchange. The AMEX surveillance systems 
use data published over CTS (e.g., the IIVs) in its normal course of 
business. In the event this group needs additional information to audit 
transactions in MACRO Tradeable Shares, the NYMEX and Amex have 
executed an information sharing agreement to support the surveillance 
responsibilities of the two exchanges.
2. Statutory Basis
    The Amex believes that the proposed rule change, as amended, is 
consistent with the requirements of Section 6(b) of the Act \45\ in 
general, and furthers the objectives of Section 6(b)(5),\46\ of the Act 
in particular, in that it is designed to prevent fraudulent and 
manipulative acts and practices, to promote just and equitable 
principles of trade, to foster cooperation and coordination with 
persons engaged in facilitating transactions in securities, and to 
remove impediments to and perfect the mechanism of a free and open 
market and a national market system.
---------------------------------------------------------------------------

    \45\ 15 U.S.C. 78f(b).
    \46\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change, as 
amended, will impose any burden on competition that is not necessary or 
appropriate in furtherance of the purposes of the Act.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants or Others

    The Exchange has neither solicited nor received written comments on 
the proposed rule change, as amended.

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, as amended, 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.\47\
---------------------------------------------------------------------------

    \47\ The Amex has 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, following the 
conclusion of a 15-day comment period. Telephone conference among 
Brian Trackman and Michou H.M. Nguyen, Special Counsels, Division of 
Market Regulation, Commission, and William Love, Associate General 
Counsel, Exchange, on October 25, 2006.
---------------------------------------------------------------------------

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change, as amended, is consistent with the Exchange Act. Comments may 
be submitted by any of the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml.
); or     Send an e-mail to rule-comments@sec.gov. Please include 

File Number SR-Amex-2006-82 on the subject line.

Paper Comments

     Send paper comments in triplicate to Nancy M. Morris, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-Amex-2006-82. 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 (http://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. Copies of the filing 
also will be available for inspection and copying at the principal 
office of the Amex. All comments received will be posted without 
change; the Commission does not edit personal identifying information 
from submissions. You should submit only information that you wish to 
make available publicly. All submissions should refer to File Number 
SR-Amex-2006-82 and should be submitted on or before November 17, 2006.

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\48\
Jill M. Peterson,
Assistant Secretary.
---------------------------------------------------------------------------

    \48\ 17 CFR 200.30-3(a)(12).
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 [FR Doc. E6-18478 Filed 11-1-06; 8:45 am]

BILLING CODE 8011-01-P
