

[Federal Register: December 6, 2006 (Volume 71, Number 234)]
[Notices]               
[Page 70804-70810]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr06de06-107]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-54839; File No. SR-Amex-2006-82]

 
Self-Regulatory Organizations; American Stock Exchange LLC; Order 
Granting Accelerated Approval to a Proposed Rule Change and Amendment 
No. 1 Thereto and Notice of Filing and Order Granting Accelerated 
Approval to Amendment No. 2 Thereto Relating to MACRO Tradeable Shares

November 29, 2006.

I. Introduction

    On August 23, 2006, the American Stock Exchange LLC (``Amex'' or 
``Exchange'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change pursuant to Section 19(b)(1) 
of the Securities Exchange Act of 1934 (``Act'') \1\ and Rule 19b-4 
thereunder.\2\ On October 20, 2006, Amex filed Amendment No. 1 to the 
proposed rule change.\3\ The proposed rule change, as amended by 
Amendment No. 1, was published for comment in the Federal Register on 
November 2, 2006 for a 15-day comment period.\4\ The Commission 
received no comments on the proposal, as amended. On November 22, 2006, 
the Exchange filed Amendment No. 2 to the proposed rule change.\5\ This 
order approves the proposed rule change on an accelerated basis, grants 
accelerated approval to Amendment No. 2 to the proposed rule change, 
and solicits comments from interested persons on Amendment No. 2.
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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.
    \4\ See Securities Exchange Act Release No. 54658 (October 26, 
2006), 71 FR 64573 (November 2, 2006) (``MACRO Notice'').
    \5\ In Amendment No. 2, the Exchange revised details included in 
the description of its proposal to reflect changes made to the 
issuer's Form S-1 Registration Statement since the publication of 
notice of the proposed rule change. The Exchange also makes 
clarifying changes to the rule text and description of the proposed 
rule change.
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II. Description of the Proposal

    The Exchange proposes to adopt rules that would provide for the 
listing and trading of Paired Trust Shares. As defined in proposed Amex 
Rule 1400, Paired Trust Shares consist of ``Holding Shares'' issued by 
a ``Holding Trust,'' and ``Tradeable Shares'' issued by a ``Tradeable 
Trust,'' whose values track changes in a designated ``Reference 
Price.'' \6\ Under proposed Amex Rule

[[Page 70805]]

1401, a Reference Price is an index or other numerical variable that 
may measure assets, prices or other economic interests. Proposed Amex 
Rule 1402 establishes listing and trading criteria for Paired Trust 
Shares. Pursuant to Commentary .01 to proposed Amex Rule 1402, the 
Exchange will submit a filing pursuant to Section 19(b) of the Act \7\ 
subject to Commission review and approval for each new series of Paired 
Trust Shares.
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    \6\ Paired Trust Shares track changes in the Reference Price 
through a structure whereby the paired Holding Trusts enter into one 
or more reciprocal settlement contracts and earnings distribution 
agreements.
    \7\ 15 U.S.C. 78s(b).
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    Pursuant to these new rules, the Exchange proposes to list and 
trade: (1) Claymore MACROshares Oil Up Tradeable Shares (the ``Up-MACRO 
Tradeable Shares''), and (2) Claymore MACROshares Oil Down Tradeable 
Shares (the ``Down-MACRO Tradeable Shares''). The Up-MACRO Tradeable 
Shares and the Down-MACRO Tradeable Shares (collectively, the ``MACRO 
Tradeable Shares'') are issued by and represent an undivided beneficial 
interest in (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''), respectively. The 
assets of these trusts (collectively, the ``MACRO Tradeable Trusts'') 
each 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 Trust'') 
and the Claymore MACROshares Oil Down Holding Shares (``Down-MACRO 
Holding Shares'') issued by the Claymore MACROshares Oil Down Holding 
Trust (``Down-MACRO Holding Trust'').\8\
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    \8\ The Up-MACRO Holding Shares and Down-MACRO Holding Shares 
(collectively, MACRO Holding Shares'') will not be listed or traded 
on the Exchange.
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    In its proposal, the Exchange provided detailed description 
regarding the structure and operation of the MACRO Holding Trusts and 
MACRO Tradeable Trusts, as well as the listing and trading of MACRO 
Tradeable Shares. In particular, the Exchange addressed (i) the 
designation and calculation of the applicable Reference Price, (ii) the 
calculation of underlying value, (iii) the application of initial and 
continued listing criteria in proposed Amex Rule 1402, (iv) the 
creation and redemption process, (v) the dissemination of pricing 
information, including intraday indicative value, share price, changes 
in the applicable Reference Price, (vi) events triggering trading halts 
and/or delisting, (vii) applicable Exchange trading rules, (viii) the 
distribution of an information circular to Exchange members, and (ix) 
surveillance procedures. Key features of the proposal are noted below.

Product Description

    Pursuant to proposed Amex Rules 1400 and 1401, the value of the 
MACRO Paired Trust Shares is based on a Reference Price, which is the 
settlement price as established by the NYMEX ``Settlement Price 
Committee'' \9\ of the light sweet crude oil futures contract of 
``Designated Maturity'',\10\ traded on the NYMEX Division of the New 
York Mercantile Exchange, Inc. (``NYMEX'') as established and reported 
by NYMEX on a per barrel basis in U.S. dollars at the end of each 
``Price Determination Day'' \11\ (the ``Applicable Reference Price''). 
Both MACRO Holding Trusts will be holding bills, bonds and notes issued 
and guaranteed by the United States Treasury, and repurchase agreements 
fully collateralized by U.S. Treasury securities.\12\
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    \9\ 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.
    \10\ A light sweet futures contract of 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.
    \11\ 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), rather than 
through electronic or other means. 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. If a benchmark other 
than the light sweet crude oil futures contract traded on the NYMEX 
is used to determine the Applicable Reference Price of Crude Oil, 
the Exchange will file with the Commission a proposed rule change 
pursuant to Rule 19b-4, seeking approval to continue trading the 
MACRO Tradeable Shares, which must be approved by the Commission for 
continued trading of the shares.
    \12\ 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 or any affiliated persons with 
respect to any of the foregoing entities.
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    The Up-MACRO Holding Trust will enter into an income distribution 
agreement and multiple settlement contracts with the Down-MACRO Holding 
Trust.\13\ If the Applicable Reference Price 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 to transfer a portion of its assets. 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 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 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.
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    \13\ The assets in each of the MACRO Holding Trusts will serve 
the function, among others, of securing the contractual obligations 
between the two trusts.
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Creation and Redemption of MACRO Tradeable Shares

    Similar to other exchange-traded fund products, the MACRO Paired 
Trust Shares will be issued and redeemed on a continuous basis on any 
Price Determination Day at a price equal to their respective underlying 
values. Only certain qualified entities (``Authorized Participants'') 
may create or redeem MACRO Paired Trust Shares. The process by which 
Authorized Participants create and redeem MACRO Paired Trust Shares is 
detailed in Amex's proposal. Notably, MACRO Tradeable Shares may only 
be created and redeemed in paired aggregations of 50,000 Up-MACRO 
Tradeable Shares and 50,000 Down-MACRO Tradeable Shares.
    To create MACRO Paired Trust Shares, the Authorized Participant 
deposits cash in an amount equal to the combined per share value of the 
shares to be created. The proceeds will be used to purchase the 
holdings of the MACRO Holding Trusts, which will be Treasuries maturing 
prior to the next

[[Page 70806]]

quarterly distribution date (e.g., three-month U.S. Treasury 
securities).
    Depending upon whether the Authorized Participant(s) who placed the 
creation order requested holding shares,\14\ the trustee for the MACRO 
Holding Trusts will then deliver all or a portion of the issued MACRO 
Holding Shares to the MACRO Tradeable Trusts any remainder of MACRO 
Holding Shares to the creating Authorized Participant(s). 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 Participant(s).
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    \14\ Concurrently with any Paired Issuance, an Authorized 
Participant will be deemed to have directed the deposit of the MACRO 
Holding Shares into the respective MACRO Tradeable Trusts and the 
issuance by each MACRO Tradeable Trust of MACRO Tradeable Shares in 
exchange for the deposited MACRO Holding Shares. If an Authorized 
Participant wishes instead to receive MACRO Holding Shares, it must 
specify this preference in its creation order.
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    A similar process governs redemption of MACRO Paired Trust Shares. 
In summary, the Authorized Participant must properly place a redemption 
order and deliver 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'' \15\ and 
applicable transaction fee. The trustee will effect the redemption by 
delivering cash and/or U.S. Treasury securities to the redeeming 
Authorized Participant.\16\
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    \15\ 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.
    \16\ The amount of cash and/or U.S. Treasury securities 
delivered on the redemption date in a paired optional redemption by 
Authorized Participants will always be equal to the aggregate per 
share underlying values of the MACRO Holding Shares being redeemed, 
calculated as of the redemption order date.
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Distributions

    As described more fully in the publication of notice of the 
proposed rule change,\17\ the MACRO Holding Trusts will make periodic 
income distributions. Generally, each MACRO Holding Trust will make 
Quarterly Income Distributions on its MACRO Holding Shares using the 
income realized on the Treasuries held by the paired MACRO Holding 
Trusts that remains available after payment of applicable fees and 
expenses, and payment or receipt of income pursuant to the applicable 
income distribution agreement.\18\ The MACRO Holding Trusts would also 
make Redemption Distributions in response to Authorized Participant 
orders (as described above), and a Final Distribution upon termination.
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    \17\ See MACRO Notice, 71 FR at 64580.
    \18\ 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.
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    The Up-MACRO Tradeable Trust will then pass through to the holders 
of its Up-MACRO Tradeable Shares all Quarterly Income Distributions 
(and 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.

Underlying Value

    The underlying value of each MACRO Holding Trust is the 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.\19\ 
Information about the calculation of the underlying value of the MACRO 
Paired Trust Shares was included in the Exchange's proposal.\20\ 
Importantly, if the Applicable Reference Price doubles from its 
starting level, any further upside gains for holders of Up-MACRO 
Tradeable Shares and Up-MACRO Holding Shares would be capped, and Down-
MACRO Tradeable Shares and Down-MACRO Holding Shares would be 
valueless. Similarly, if the Applicable Reference Price decreases 100 
percent from its starting level, further downside gains for holders of 
Down-MACRO Tradeable Shares and Down-MACRO Holding Shares would be 
capped, and the Up-MACRO Tradeable Shares and Up-MACRO Holding Shares 
would be valueless.\21\
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    \19\ 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.
    \20\ See MACRO Notice, 71 FR at 64583.
    \21\ Among other termination triggers, if the Applicable 
Reference Price rises or falls to a level at which the underlying 
value of either MACRO Holding Trust is equal to 15% or less of the 
assets it holds on deposit for three consecutive Price Determination 
Days, the Trust shall be terminated at the end of the quarter during 
which this occurs. See Amendment No. 2 supra at footnote 5.
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Arbitrage

    In its proposal, the Exchange stated that market fluctuations in 
the price of a MACRO Tradeable Share are expected to mirror 
fluctuations in its per share underlying value (i.e., changes in the 
Applicable Reference Price), similar to the manner in which an exchange 
traded fund (``ETF'') share mirrors its net asset value,\22\ because, 
as is the case with ETF shares, arbitrage opportunities would arise if 
these values were to move out of line.
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    \22\ See id.
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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 indicative value, referred to as an Indicative Intraday Value 
(``IIV''), representing the estimated underlying value per share of 
both the Up-MACRO Tradeable Shares and the Down-MACRO Tradeable Shares. 
The Amex will also publish these values on its Web site. 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.\23\ 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.
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    \23\ 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.

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[[Page 70807]]

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 (Amex) 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. On each Price Determination Day, the 
calculation agent will periodically (at least every 15 seconds \24\) 
calculate and disseminate an IIV for the Up-MACRO Tradeable Shares and 
Down-MACRO Tradeable Shares and will also post this information on its 
Web site at http://www.amex.com. As with all other Amex-listed 

securities, the closing price of the Up-MACRO Tradeable Shares and the 
Down-MACRO Tradeable Shares on the Amex will be available on the Amex 
Web site.
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    \24\ Telephone conference among Bill Love, Associate General 
Counsel, Amex, Brian Trackman, Special Counsel, Division of Market 
Regulation (``Division''), Commission, and Michou Nguyen, Special 
Counsel, Division, Commission on November 27, 2006 (clarifying 
timing of dissemination).
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    The administrative agent, Claymore Securities, will maintain a Web 
site (http://www.ClaymoreMacroShares.com) that is publicly accessible 

at no charge and will contain the following information posted by the 
trustee on each Price Determination Day:\25\
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    \25\ The Exchange states that 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.
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     The daily Price Level Percentage Change of the Applicable 
Reference Price of Crude Oil;
     The daily underlying value \26\ 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
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    \26\ See supra note 19.
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     The daily 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.
    Pricing and other information for NYMEX light sweet crude oil 
futures contracts, including those designated to be the Applicable 
Reference Price, is available through major market data vendors such as 
Reuters and Bloomberg.

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. Notably, the Exchange states that it will receive a 
representation on behalf of the MACRO Holding Trusts and MACRO 
Tradeable Trusts that the underlying value per share of each MACRO 
Holding Share and each MACRO Tradeable Share will be calculated daily 
and will be made available to all market participants at the same time. 
Such value will be available daily on the administrative agent's 
publicly accessible Web site. The proposed continued listing criteria 
provides for the delisting of the Up-MACRO Tradeable Shares or Down-
MACRO Tradeable Shares 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 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 is 
no longer calculated or available on at least a 15-second delayed basis 
from a major market data vendor such as Reuters or Bloomberg 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 that is a major 
market data vendor (e.g., Reuters or Bloomberg);
     If the IIV 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 by a major market vendor during the 
time the MACRO 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, 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; or
     If such other event shall occur or condition exists which 
in the opinion of the Exchange makes further dealings on the Exchange 
inadvisable.
    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. 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.\27\
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    \27\ See Rule 10A-3(c)(7).
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Trading Rules

    The Exchange represents that MACRO Tradeable Shares will be deemed 
to be equity securities and will be subject to various Amex Rules 
governing the trading of equity securities. MACRO Tradeable Shares will 
trade on the Amex from 9:30 a.m. until 4:15 p.m. (New York City time) 
each business day and will trade in a minimum price variation of $0.01 
pursuant to Amex Rule 127.\28\ Importantly, specialist trading of MACRO 
Paired Trust Shares will be subject to proposed Amex Rules 1403 and 
1404 regarding conflicts of interest, and the maintenance and 
production of books and records, respectively. 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.
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    \28\ See MACRO Notice, 71 FR at 64588.
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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 Information

[[Page 70808]]

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.
    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 from a major 
market data vendor (e.g., Reuters or Bloomberg) 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 from a major market data vendor on the Amex 
Web site during the time the MACRO Tradeable Shares trade on the 
Amex,\29\ then the Exchange will halt trading. 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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    \29\ 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).
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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 newly issued MACRO Holding Shares 
and 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 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 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 that the 
upside gains to investors are capped if the Applicable Reference Price 
increases or decreases greater than 100 percent. Members should take 
this feature of MACRO Paired Trust Shares into consideration in 
discharging their suitability obligations. Additionally, the 
Information Circular will discuss any relief, if granted, by the 
Commission or the staff from any rules under the Act.

Surveillance

    The Exchange represents that its surveillance procedures are 
adequate to properly monitor the trading of the MACRO Tradeable Shares 
listed pursuant to the proposed new listing standards. 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 the Exchange needs additional information to audit 
transactions in MACRO Tradeable Shares, the NYMEX and Amex have 
executed a comprehensive information sharing agreement (``CSSA'') to 
support the surveillance responsibilities of the two exchanges.

III. Discussion and Commission's Findings

    After careful consideration, the Commission finds that the proposed 
rule change, as amended, is consistent with the requirements of the Act 
and the rules and regulations thereunder applicable to a national 
securities exchange.\30\ In particular, the Commission finds that the 
proposed rule change, as amended, is consistent with the requirements 
of Section 6(b)(5) of the Act,\31\ which requires, among other things, 
that the Exchange's rules be designed to promote just and equitable 
principles of trade, to remove impediments to and perfect the mechanism 
of a free and open market and a national market system and, in general, 
to protect investors and the public interest.
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    \30\ In approving this proposed rule change, the Commission 
notes that it has considered the proposed rule's impact on 
efficiency, competition, and capital formation. See 15 U.S.C. 
78c(f).
    \31\ 15 U.S.C. 78f(b)(5).
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A. Surveillance

    The Commission notes that the Exchange has represented that its 
surveillance procedures are adequate to monitor the trading of MACRO 
Paired Trust Shares. The Exchange's CSSA with the NYMEX for the purpose 
of providing information in connection with trading in or related to 
futures contracts traded on the NYMEX that will serve as the Reference 
Price creates the basis for the Amex to monitor for fraudulent and 
manipulative practices in the trading of the Paired Trust Shares.
    Moreover, adoption of proposed Amex Rule 1404 should facilitate 
surveillance because it will require Exchange specialists, upon Amex's 
request, to provide the Exchange with information that the specialist 
uses in connection with pricing and trading the Paired Trust Shares, 
including proprietary or other information relating to trading in the 
asset, commodity or other economic interest underlying the Reference 
Price, related options, related futures or options on futures, or any 
other related derivatives by the specialist or an affiliated 
entity.\32\
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    \32\ Proposed Amex Rule 1404 requires that the specialist 
handling the Paired Trust Shares provide the Exchange with 
information relating to its trading in the shares and the accounts 
of the member organization acting as specialist, member 
organization, or approved person of such member organization in the 
futures underlying the Applicable Reference Price, related futures 
or related options on futures, or any other related derivatives.

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[[Page 70809]]

B. Dissemination of Information

    The Commission believes that sufficient venues exist for obtaining 
reliable information so that investors in the MACRO Paired Trust Shares 
can monitor the Applicable Reference Price relative to the IIV of their 
MACRO Tradeable Shares.
    Real-time information about the trading of futures contracts on 
NYMEX, including futures on light sweet crude oil, is available through 
major market data vendors by subscription. Delayed information is often 
publicly available from futures exchanges. The Exchange stated that 
daily settlement prices for the oil futures contract designated as the 
Applicable Reference Price for the MACRO Paired Trust Shares is 
publicly available on NYMEX's Internet Web site.
    Additionally, the Exchange has represented that it will calculate 
and publish to the CTS and its Web site the IIV for both the Up-MACRO 
Tradeable Shares and Down-MACRO Tradeable Shares, at least every 15 
seconds during the time that the MACRO Tradeable Shares trade on the 
Amex, representing their estimated underlying value on a per share 
basis. The Commission believes that publication of such information 
should promote price transparency with regard to the MACRO Tradeable 
Shares.
    The Commission notes that the Exchange will receive a 
representation on behalf of the MACRO Holding Trusts and MACRO 
Tradeable Trusts that the underlying value per share of each MACRO 
Holding Share and each MACRO Tradeable Share will be calculated daily 
and will be made available to all market participants at the same time. 
Furthermore, if the IIV or Applicable Reference Price is not 
disseminated as described in its proposal, the Exchange may halt 
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. The Commission believes that these trading halt 
rules, together with the NAV dissemination requirements and Exchange's 
proposed delisting criteria, will help ensure that an appropriate level 
of transparency exists with respect to the MACRO Tradeable Shares to 
allow for the maintenance of fair and orderly markets.

C. Listing and Trading

    The Commission finds that the Exchange's proposed rules and 
procedures for the listing and trading of the Paired Trust Shares are 
consistent with the Act. The Paired Trust Shares will trade as equity 
securities subject to Amex rules including, among others, rules 
governing priority, parity and precedence of orders, specialist 
responsibilities, account opening and customer suitability 
requirements. The Commission finds that proposed Amex Rule 1403 
relating to certain specialist prohibitions is reasonably designed to 
address potential conflicts of interest in connection with acting as a 
specialist in Paired Trust Shares.\33\
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    \33\ 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 an asset, commodity or other economic interest 
underlying the Reference Price, related options, related futures or 
options on futures, or any other related derivatives.
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    The Commission believes that the listing and delisting criteria for 
the Paired Trust Shares should help to maintain a minimum level of 
liquidity and therefore minimize the potential for manipulation of the 
Paired Trust Shares. Additionally, the Commission finds that proposed 
Amex Rule 1404 is reasonably designed to help 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, related 
options, related futures or options on futures, or any other related 
derivatives.
    Finally, the Commission notes that the Information Circular the 
Exchange will distribute will inform members and member organizations 
about the terms, characteristics and risks in trading the Paired Trust 
Shares, including their prospectus delivery obligations.

D. Accelerated Approval

    The Commission finds good cause to approve the proposed rule change 
and Amendment No. 1 thereto prior to the thirtieth day after 
publication for comment in the Federal Register pursuant to Section 
19(b)(2) of the Act.\34\ Accelerating approval of this proposed rule 
change should benefit investors who desire to participate, through the 
MACRO Paired Trust Shares, in an investment based on the value light 
sweet crude oil as reflected in designated NYMEX futures contracts.
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    \34\ 15 U.S.C. 78s(b)(2).
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    The Commission also finds good cause to approve Amendment No. 2 to 
the proposed rule change prior to the 30th day after the amendment is 
published for comment in the Federal Register. Amendment No. 2 makes 
certain changes to the filing to reflect minor changes made to the 
issuer's Form S-1 Registration Statement since the filing of this 
proposed rule change. Amendment No. 2 also makes certain clarifying 
changes to the rule text and description of the proposed rule change. 
The Commission believes that, as a whole, these proposed changes 
strengthen the proposed rule change and do not raise any new regulatory 
issues.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning Amendment No. 2, including whether Amendment No. 2 
is consistent with the 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 No. SR-Amex-2006-82 on the subject line.

Paper Comments

     Send paper comments in triplicate to Nancy M. Morris, 
Secretary, Securities and Exchange Commission, Station Place, 100 F 
Street, NE., Washington, DC 20549-1090.
    All submissions should refer to File 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 such 
filing also will be available for inspection and copying at the 
principal office of the Amex. All

[[Page 70810]]

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 December 27, 2006.

V. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) of the Act, 
that the proposed rule change (SR-Amex-2006-82), as amended by 
Amendments No. 1 and 2, be, and it hereby is, approved on an 
accelerated basis.

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\35\
Nancy M. Morris,
Secretary.
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    \35\ 17 CFR 200.30-3(a)(12).
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[FR Doc. E6-20657 Filed 12-5-06; 8:45 am]

BILLING CODE 8011-01-P
