

[Federal Register: January 24, 2007 (Volume 72, Number 15)]
[Notices]               
[Page 3171-3178]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr24ja07-91]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-55110; File No. SR-Amex-2006-86]

 
Self-Regulatory Organizations; American Stock Exchange LLC; 
Notice of Filing of a Proposed Rule Change and Amendment Nos. 1, 2, and 
3 Thereto Relating to the Listing and Trading of Shares of the 
PowerShares DB U.S. Dollar Index Bullish Fund and the PowerShares DB 
U.S. Dollar Index Bearish Fund

January 16, 2007.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'' or ``Exchange Act'')\1\ and Rule 19b-4 thereunder,\2\ notice 
is hereby given that on September 13, 2006, the American Stock Exchange 
LLC (``Amex'' or ``Exchange'') filed with the Securities and Exchange 
Commission (``Commission'') the proposed rule change as described in 
Items I, II, and III below, which Items have been prepared 
substantially by Amex. On November 17, 2006, Amex filed Amendment No. 1 
to the proposed rule change. On December 19, 2006, Amex filed Amendment 
No. 2 to the proposed rule change. On January 12, 2007, Amex filed 
Amendment No. 3 to the proposed rule change. The Commission is 
publishing this notice to solicit comments on the proposed rule change, 
as amended, from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Pursuant to Commentary .07 to Amex Rule 1202, which permits the 
listing and trading of shares of trust-issued receipts (``TIRs'') that 
invest in shares or securities (the ``Investment Shares'') issued by a 
trust, partnership, commodity pool, or other similar entity that holds 
investments comprising, or otherwise based on, any combination of 
securities, futures contracts, swaps, forward contracts, options on 
futures contracts, commodities, or portfolios of investments, the 
Exchange seeks to list and trade shares of the PowerShares DB U.S. 
Dollar Index Bullish Fund (the ``Bullish Fund'') and the PowerShares DB 
U.S. Dollar Index Bearish Fund (the ``Bearish Fund,'' and together with 
the Bullish Fund, collectively, the ``Funds'').
    The text of the proposal is available at Amex, at the Commission's 
Public Reference Room, and on Amex's Web site at http://www.amex.com.


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

    In its filing with the Commission, Amex included statements 
concerning the purpose of, and basis for, the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below, and the most significant aspects of such statements are 
set forth in Sections A, B, and C below.

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

1. Purpose
    Pursuant to Commentary .07 to Amex Rule 1202, the Exchange may 
approve for listing and trading TIRs investing in Investment Shares 
that hold investments in any combination of securities, futures 
contracts, options on futures contracts, swaps, forward contracts, 
commodities, or portfolios of investments. Amex proposes to list for 
trading the shares of the Bullish Fund and the Bearish Fund (the 
``Shares''), which represent beneficial ownership interests in the 
corresponding common units of beneficial interests of the DB U.S. 
Dollar Index Master Bullish Fund (the ``Master Bullish Fund'') and the 
DB U.S. Dollar Index Master Bearish Fund (the ``Master Bearish Fund,'' 
and together with the Master Bullish Fund, collectively, the ``Master 
Funds''), respectively.
    The PowerShares DB U.S. Dollar Index Trust (the ``Trust'') is 
organized as a Delaware statutory trust with each of the Funds 
representing a series of the Trust. The DB U.S. Dollar Index Master 
Trust (the ``Master Trust'') is also organized as a Delaware statutory 
trust with each of the Master Funds representing a series of the Master 
Trust.
    The overall investment objective of each of the Funds and the 
Master Funds is to reflect the performance of their respective 
benchmark index, less expenses, plus the excess, if any, of the 
corresponding Master Fund's interest income from its holdings of U.S. 
Treasury and other high-credit-quality, short-term fixed income 
securities over its expenses. The Bullish Fund will seek to track the 
``Long Index'' by investing in long positions in futures contracts 
(``DX Contracts'') on the U.S. Dollar Index[supreg] (USDX[supreg]). The 
Bearish Fund will seek to track the ``Short Index'' by investing in 
short positions in DX Contracts on the USDX[supreg].

[[Page 3172]]

    Both the Long and Short Indexes (collectively, the ``Indexes'') are 
designed to reflect the performance of the nearest expiration month DX 
Contract on the USDX[supreg]. The Long Index is created by taking a 
long position in a DX Contract. As a result, the Long Index will 
reflect the performance of the DX Contract, i.e., the percentage gain 
or loss sustained by the DX Contract. Conversely, the Short Index is 
created by taking a short position in a DX Contract. The Short Index 
will reflect the inverse of the performance of the DX Contract, i.e., 
the inverse of the percentage gain or loss sustained by the DX 
Contract. The Master Bullish Fund will invest in long positions in DX 
Contracts, while the Master Bearish Fund will invest in short positions 
in DX Contracts. Each of the Funds and each of the Master Funds are 
commodity pools operated by DB Commodity Services LLC (the ``Managing 
Owner''). The Managing Owner is registered as a commodity pool operator 
(``CPO'') and commodity trading advisor (``CTA'') with the Commodity 
Futures Trading Commission (``CFTC'') and a member of the National 
Futures Association (``NFA'').
    The Master Funds will include U.S. Treasury securities for margin 
purposes and other high-credit-quality, short-term fixed income 
securities. The Exchange states that the Master Funds are not 
``actively managed,'' which typically means effecting changes in the 
composition of a portfolio on the basis of judgment relating to 
economic, financial, and market considerations with a view to obtaining 
positive results under all market conditions. Rather, the Master Funds 
seek to track the performance of their respective Indexes. The Exchange 
submits that Commentary .07 to Amex Rule 1202 accommodates the listing 
and trading of the Shares.

Introduction

    In January 2006, the Commission approved Commentary .07 to Amex 
Rule 1202, which expanded the ability of the Exchange to list and trade 
TIRs based on a portfolio of underlying investments.\3\ The Exchange 
recently commenced the trading of shares of both the PowerShares DB 
Commodity Index Tracking Fund \4\ and the PowerShares DB G10 Currency 
Harvest Fund (formerly known as the DB Currency Index Value Fund) \5\ 
pursuant to this Commentary .07 to Amex Rule 1202. The Exchange notes 
that the Commission has permitted Amex to list and trade other products 
linked to the performance of underlying currencies and commodities.\6\ 
In the instant proposal, the Exchange proposes to list and trade the 
Shares pursuant to such rule.
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    \3\ See Securities Exchange Act Release No. 53105 (January 11, 
2006), 71 FR 3129 (January 19, 2006).
    \4\ See id. (approving the listing and trading of the DB 
Commodity Index Tracking Fund).
    \5\ See Securities Exchange Act Release No. 54450 (September 14, 
2006), 71 FR 55230 (September 21, 2006) (approving the listing and 
trading of shares of the PowerShares DB G10 Currency Harvest Fund, 
formerly known as the DB Currency Index Value Fund).
    \6\ See, e.g., Securities Exchange Act Release Nos. 53582 (March 
31, 2006), 71 FR 17510 (April 6, 2006) (approving the listing and 
trading of shares of the United States Oil Fund, LP); 53521 (March 
20, 2006), 71 FR 14967 (March 24, 2006) (approving the listing and 
trading of shares of the iShares Silver Trust); 53059 (January 5, 
2006), 71 FR 2072 (January 12, 2006) (approving the listing and 
trading of shares of the Euro Currency Trust); 51058 (January 19, 
2005), 70 FR 3749 (January 26, 2005) (approving the listing and 
trading of shares of the iShares COMEX Gold Trust); and 50603 
(October 28, 2004), 69 FR 64614 (November 5, 2004) (approving the 
listing and trading of shares of the streetTRACKS Gold Shares).
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    Under Commentary .07(c) to Amex Rule 1202, the Exchange may list 
and trade TIRs investing in Investment Shares such as the Shares. The 
Shares will conform to the initial and continued listing criteria under 
Commentary .07(d) to Amex Rule 1202. Each of the Funds will be formed 
as a separate series of a Delaware statutory trust pursuant to a 
Certificate of Trust and a Declaration of Trust and Trust Agreement 
among Wilmington Trust Company, as trustee, the Managing Owner, and the 
holders of the Shares.\7\
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    \7\ The Trust and the Funds will not be subject to registration 
and regulation under the Investment Company Act of 1940 (the ``1940 
Act'').
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Description of the Indexes

    Both the Long Index and Short Index are designed to reflect the 
return from investing in the first-to-expire (i.e., nearest-expiration-
month) DX Contract, whose performance is tied to the USDX[supreg]. The 
first-to-expire DX Contract is the futures contract that expires in 
March, June, September, or December. DX Contracts are traded through 
the FINEX currency markets of the New York Board of Trade 
(``NYBOT'').\8\
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    \8\ The DX Contract is a futures contract tied to the 
USDX[supreg] that is traded on NYBOT. The DX Contracts have been 
trading on NYBOT since 1985. The contract calls for the receipt/
delivery of the underlying six component currencies, or ``Index 
Currencies'' (as defined herein), of the USDX[supreg]. The trading 
session for the DX Contract on NYBOT is from 8:05 a.m. to 3 p.m. 
Eastern time (``ET''). Futures contracts on the USDX[supreg] are 
also traded in Dublin, Ireland, through the FINEX Europe market from 
7 p.m to 10 p.m. ET and from 2 a.m. to 8:05 a.m. ET. Liquidity of 
the DX Contract is derived from the underlying foreign exchange 
market with respect to each Index Currency. The daily average volume 
of the foreign currency exchange market as calculated by the Bank 
for International Settlements (BIS) is approximately $1.2 trillion 
(for the three-year period from 1999-2001). The Index Currencies 
account for approximately 94.5% of that daily volume. The minimum 
price movement of a DX Contract is .01 of an USDX[supreg] point, or 
$10.00 per DX Contract. The settlement value of the underlying 
USDX[supreg] is computed using a trade-weighted geometric average of 
the six component currencies (as described in more detail herein). 
The Exchange states that NYBOT's Web site contains additional 
information regarding the DX Contracts at http://www.nybot.com.

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    The Long Index is created by taking a long position in a DX 
Contract. As a result, the Long Index will reflect the performance of 
the DX Contract, i.e., the percentage gain or loss sustained by the DX 
Contract. The use of long positions in DX Contracts in the construction 
of the Long Index will cause the Long Index level to rise as a result 
of any upward price movement in the DX Contracts. This would reflect 
any rise of the U.S Dollar (``USD'') versus the underlying basket of 
Index Currencies (as defined herein). An example of the Long Index 
methodology is as follows: Assume that the USDX[supreg] index level is 
100, and the price of the DX Contract is currently $2. The notional DX 
Contract amount (or number of DX contracts bought for the Long Index) 
would be 50. The DX Contract value would be 50 multiplied by $2 and 
equal to the USDX[supreg] level. In the case of the Long Index, 50 DX 
Contracts would be purchased in order to be fully invested. The Long 
Index would accordingly be adjusted to account for the long position in 
the additional DX Contracts. The calculation of the Long Index level 
each trading day would be as follows: Long Index level = Number of DX 
Contractst-1 x (DX Contract Pricet-DX Contract 
Pricet-1) + Long Index levelt-1. For purposes of 
the example, the Long Index level would be calculated to be 125, where 
the number of DX Contractst-1 is 50 (Long Index 
levelt-1/DX Contract Pricet-1), the DX Contract 
Pricet is 2.5, the DX Contract Pricet-1 is 2, and 
the Long Index levelt-1 is 100.\9\
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    \9\ The Exchange notes that the example applies if 
t-1 is an Index Roll Day (as defined herein). For all 
other days the number of DX Contracts held is equal to the number of 
contracts held on the previous business day.
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    Conversely, the Short Index is created by taking a short position 
in a DX Contract. The Short Index will reflect the inverse of the 
performance of the DX Contract, i.e., the inverse of the percentage 
gain or loss sustained by the DX Contract. The use of short positions 
in DX Contracts in the construction of the Short Index causes the Short 
Index level to rise as a result of any downward price movement in the 
DX Contracts. This would reflect any fall of the USD versus the 
underlying basket of Index Currencies. Using the example above, 50 DX 
Contracts would be sold to maintain

[[Page 3173]]

the appropriate short position in the DX Contract. The calculation of 
the Short Index level each trading day would similarly be as follows: 
Short Index level = Number of DX Contractst-1 x (DX Contract 
Pricet-DX Contract Pricet-1) +/-Short Index 
levelt-1. The only difference in the case of the Short Index 
is that the DX Contract value would be negative due to the short 
position in the DX Contract. For purposes of the example, the Short 
Index level would be calculated to be 75, where the number of DX 
Contractst-1 is -50 (Short Index levelt-1/DX 
Contract Pricet-1), the DX Contract Pricet is 2.5, the DX 
Contract Pricet-1 is 2, and the Short Index 
levelt-1 is 100.\10\ Due to the ``rolling'' characteristic 
of the Long and Short Indexes (as described in more detail herein), the 
potential returns will be compounded, unlike a traditional futures 
contract, which would expire at the end of its term.
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    \10\ Id.
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    The performance of the DX Contracts is related to the six 
underlying currencies (the ``Index Currencies'') of the USDX[supreg]. 
The Index Currencies are the Euro, Japanese Yen, British Pound, 
Canadian Dollar, Swedish Krona, and Swiss Franc. These currencies 
represent the currencies of the major trading partners of the United 
States. The USDX[supreg] is composed of notional amounts of each Index 
Currency reflecting a geometric average of the change in the Index 
Currencies' exchange rates against the USD relative to those as of 
March 1973.\11\ The USDX[supreg] provides a general indication of the 
international value of the USD by averaging the exchange rates between 
the USD and the Index Currencies. The USDX[supreg] is calculated 24 
hours a day based on exchange rates supplied to Reuters by 500 banks 
worldwide.
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    \11\ The Exchange states that March 1973 was chosen as the base 
period of the USDX[supreg] because it represents a significant 
milestone in foreign exchange history when the world's major trading 
nations allowed their currencies to float freely against each other.
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    The sponsor of the Indexes is Deutsche Bank AG London (the ``Index 
Sponsor''). The Indexes are calculated by the Index Sponsor during the 
trading day on the basis of the most recently reported trade price for 
the DX Contract.\12\ The market value of the Indexes during the trading 
day will be equal to the number of DX Contracts represented in the 
Indexes, multiplied by the real-time DX Contract price. As described 
below, the Index levels will be calculated and disseminated at least 
every 15 seconds.\13\ The closing level of the Indexes is calculated by 
the Index Sponsor on the basis of the closing price for the DX Contract 
and applying such price to the relevant notional amount. The Indexes 
include provisions for the replacement of expiring DX Contracts. The DX 
Contracts will be rolled quarterly on the Index Roll Day, which is 
defined as the Wednesday prior to the applicable IMM Date.\14\ The 
procedure for replacing expiring DX Contracts occurs as follows: (1) 
The DX Contract that expires on the next IMM Date is sold, and (2) a 
position in the DX Contract that expires on the IMM Date following the 
next IMM Date is purchased.
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    \12\ The Index Sponsor has in place procedures to prevent the 
improper sharing of information between different affiliates and 
departments. Specifically, an information barrier exists between the 
personnel of the Index Sponsor that calculate and reconstitute the 
Indexes and other personnel of the Index Sponsor, including, without 
limitation, the Managing Owner, employees involved in sales and 
trading activities, external or internal fund managers, and bank 
personnel who are involved in hedging the bank's exposure to 
instruments linked to the Indexes, in order to prevent the improper 
sharing of information relating to the composition and calculation 
of the Indexes.
    \13\ While the Indexes are calculated and disseminated by the 
Index Sponsor, an affiliate of a registered broker-dealer, a number 
of independent sources verify both the intraday and closing Index 
values, and the Index Sponsor uses independent feeds from Reuters to 
verify all NYBOT pricing information used to calculate the Indexes.
    \14\ The third Wednesday of each month of March, June, 
September, and December are the traditional settlement dates in the 
International Money Market (``IMM Dates''). Due to the ``rolling'' 
characteristic of the Long and Short Indexes, the potential returns 
will be compounded, unlike a traditional futures contract, which 
would expire at the end of its term.
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    The following table reflects the base weights for each Index 
Currency as of March 1973 with respect to the USDX[supreg]:

------------------------------------------------------------------------
                                                            Base weight
                     Index currency                             (%)
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Euro....................................................           57.60
Japanese Yen............................................           13.60
British Pound...........................................           11.90
Canadian Dollar.........................................            9.10
Swedish Krona...........................................            4.20
Swiss Franc.............................................            3.60
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    If prices for the DX Contract are not available, the Index Sponsor 
will typically use the prior day's DX Contract price. In exceptional 
cases (such as when a daily price limit is reached), the Index Sponsor 
may employ a ``fair value'' price (i.e., the price for unwinding the 
futures position by over-the-counter or ``OTC'' dealers). This is 
similar to the case of index options whose prices are unavailable or 
unreliable.\15\
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    \15\ The Exchange represents that The Options Clearing 
Corporation (``OCC''), pursuant to Article XVII, Section 4 of its 
By-Laws, is permitted to use the prior day's closing price to fix an 
index options exercise settlement value. In addition, the Exchange 
submits that OCC may also use the next day's opening price, a price 
or value at such other time as determined by OCC, or an average of 
prices or values as determined by OCC.
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    The Managing Owner represents that it will seek to arrange to have 
each Index calculated and disseminated at least every 15 seconds on a 
daily basis through a third party if the Index Sponsor ceases to 
calculate and disseminate an Index. If, however, the Managing Owner is 
unable to arrange the calculation and dissemination of any Index value, 
the Exchange will undertake to delist the Shares related to such Index.

Structure of the Funds

    Funds. The Bullish and Bearish Funds are separate series of a 
statutory trust formed pursuant to the Delaware Statutory Trust Act and 
will issue units of beneficial interests or shares that represent units 
of fractional undivided beneficial interests in and ownership of the 
respective Fund. Unless terminated earlier, each of the Funds is of a 
perpetual duration. The investment objective of each of the Bullish and 
Bearish Funds is to reflect the performance of the corresponding Long 
Index and Short Index, respectively, less the expenses of the 
operations of such Fund and the related Master Fund. Each of the Funds 
will pursue its investment objective by investing substantially all of 
its assets in the respective Master Funds. Each of the Shares will 
correlate with a corresponding Master Fund unit issued by the relevant 
Master Fund and held by the respective Funds.
    Master Funds. Each of the Master Funds is a separate series of a 
statutory trust formed pursuant to the Delaware Statutory Trust Act and 
will issue units of beneficial interests or shares that represent units 
of fractional undivided beneficial interests in and ownership of the 
respective Master Fund. Unless terminated earlier, each of the Master 
Funds is of a perpetual duration. The investment objective of each of 
the Bullish and Bearish Master Funds is to reflect the performance of 
the corresponding Long Index and Short Index, respectively, less the 
expenses of the operations of the relevant Fund and Master Fund. Each 
of the Master Funds will pursue its investment objective by investing 
primarily in DX Contracts. In addition, the Master Funds will also hold 
cash and U.S. Treasury securities for deposit with futures commission 
merchants (``FCM'') as margin and other high-credit-quality, short-term 
fixed income securities.
    Trustee. Wilmington Trust Company is the trustee (the ``Trustee'') 
of the Trust and the Master Trust. The Trustee

[[Page 3174]]

has delegated to the Managing Owner the power and authority to manage 
and operate the day-to-day affairs of each of the Funds and the Master 
Funds.
    Managing Owner. The Managing Owner is a Delaware limited liability 
company which is registered with the CFTC as a CPO and CTA and is 
wholly-owned by the Index Sponsor. The Managing Owner will serve as the 
CPO and CTA of each Fund and each Master Fund and will manage and 
control all aspects of the business of the Funds. The Exchange states 
that the Managing Owner, as a registered CPO and CTA, is required to 
comply with various regulatory requirements under the Commodity 
Exchange Act and the rules and regulations of the CFTC and the NFA, 
including investor protection requirements, anti-fraud prohibitions, 
disclosure requirements, and reporting and recordkeeping requirements, 
and is subject to periodic inspections and audits by the CFTC and NFA.
    Commodity Broker or Clearing Broker. Deutsche Bank Securities Inc. 
(the ``Commodity Broker'' or the ``Clearing Broker'') is an affiliate 
of the Managing Owner and is registered with the CFTC as a FCM. The 
Clearing Broker will execute and clear each Master Fund's futures 
contract transactions and will perform certain administrative services 
for each Master Fund.
    Administrator. The Bank of New York is the administrator for all of 
the Funds and the Master Funds (the ``Administrator''). The 
Administrator will perform or supervise the performance of services 
necessary for the operation and administration of each Fund and each 
Master Fund. These services include, but are not limited to, receiving 
and processing orders from Authorized Participants (as defined herein) 
to create and redeem Baskets (as defined herein), accounting, net asset 
value (``NAV'') \16\ calculations, and other fund administrative 
services.
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    \16\ NAV is the total assets of each Master Fund, less total 
liabilities of such Master Fund, determined on the basis of 
generally accepted accounting principles. NAV per Master Fund share 
is the NAV of the relevant Master Fund, divided by the number of 
outstanding Master Fund units. This will be the same for the Shares 
because of the one-to-one correlation between the Shares and the 
units of the corresponding Master Fund.
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    Distributor. ALPS Distributors, Inc. is the distributor for both 
the Funds and the Master Funds (the ``Distributor''). The Distributor 
will assist the Managing Owner and the Administrator with certain 
functions and duties relating to distribution of the funds, including 
reviewing and filing marketing materials with NASD, fielding investor 
calls, and distributing prospectuses.

Product Description

A. Creation and Redemption of Shares

    Issuances of the Shares will be made only in one or more blocks of 
200,000 Shares (each such block, a ``Basket''). Each of the Funds will 
issue and redeem Shares on a continuous basis, by or through 
participants that have entered into participant agreements (each, an 
``Authorized Participant'') \17\ with the Managing Owner at the NAV per 
Share next determined after an order to purchase the Shares in a Basket 
is received in proper form. Following issuance, the Shares will be 
traded on the Exchange similar to other equity securities. The Shares 
will be registered in book entry form through DTC.
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    \17\ An ``Authorized Participant'' is a person, who at the time 
of submitting to the trustee an order to create or redeem one or 
more Baskets, (1) is a registered broker-dealer, (2) is a Depository 
Trust Company (``DTC'') participant or an indirect participant, and 
(3) has in effect a valid participant agreement.
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    Baskets will be issued in exchange for a cash amount equal to the 
NAV per Share times 200,000 Shares (the ``Basket Amount''). The Basket 
Amount will be determined on each business day by the Administrator. 
Authorized Participants that wish to purchase a Basket must transfer 
the Basket Amount to the Administrator (the ``Cash Deposit Amount''). 
Authorized Participants that wish to redeem a Basket will receive cash 
in exchange for each Basket surrendered in an amount equal to the NAV 
per Basket (the ``Cash Redemption Amount''). The Commodity Broker will 
be the custodian for the Master Funds and responsible for safekeeping 
the Master Funds' assets.
    All purchase orders received by the Administrator prior to 1 p.m. 
ET will be settled by depositing with the Commodity Broker the Cash 
Deposit Amount disseminated by the Administrator shortly after 10 a.m. 
ET on the next business day. The Basket will be issued at noon on such 
business day (T+1) at the NAV as of the later of the closing time on 
the Exchange or the last to close futures exchange on which a Master 
Fund's assets are traded.\18\ The Basket Amount necessary for the 
creation of a Basket will change from day to day. On each day that the 
Exchange is open for regular trading, the Administrator will adjust the 
Cash Deposit Amount as appropriate to reflect the prior day's NAV and 
accrued expenses. The Administrator will determine the Cash Deposit 
Amount for a given business day by multiplying the NAV for each Share 
by the number of Shares in each Basket (200,000).
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    \18\ Each Master Fund is permitted to invest its assets in those 
futures contracts (DX Contracts) traded on futures exchanges that 
either have a comprehensive surveillance sharing agreement with the 
Exchange or are members of the Intermarket Surveillance Group 
(``ISG'').
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    Likewise, all redemption orders received by the Administrator prior 
to 1 p.m. ET will be settled by the Commodity Broker's payment of the 
Cash Redemption Amount shortly after 10 a.m. ET on the next business 
day. The Shares will not be individually redeemable, but will be 
redeemable only in Baskets. To redeem, an Authorized Participant will 
be required to accumulate enough Shares to constitute a Basket (i.e., 
200,000 shares). Upon the surrender of the Shares and payment of 
applicable redemption transaction fees, taxes, or charges, the 
Administrator will deliver to the redeeming Authorized Participant the 
Cash Redemption Amount.
    On each business day, the Administrator will make available 
immediately prior to the opening of trading on Amex via the facilities 
of the Consolidated Tape (``CT''), the most recent Basket Amount for 
the creation of a Basket. The Exchange will disseminate at least every 
15 seconds throughout the trading day, via the CT, an amount 
representing on a per-Share basis, the current value of the Basket 
Amount. It is anticipated that the deposit of the Cash Deposit Amount 
in exchange for a Basket will be made primarily by institutional 
investors, arbitrageurs, and the Exchange specialist. Baskets are then 
separable upon issuance into identical Shares that will be listed and 
traded on the Exchange.\19\ The Exchange states that the Shares are 
expected to be traded on the Exchange by professionals, as well as 
institutional and retail investors. Thus, the Shares may be acquired in 
two ways: (1) Through a deposit of the Cash Deposit Amount with the 
Administrator during normal business hours by Authorized Participants, 
or (2) through a purchase on the Exchange by investors. Trading in the 
Shares on the Exchange will be effected until 4:15 p.m. ET each 
business day. The minimum trading increment for such shares will be 
$0.01.
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    \19\ The Shares are separate and distinct from the shares of the 
Master Funds consisting primarily of DX Contracts. The Exchange 
expects that the number of outstanding Shares will increase and 
decrease as a result of creations and redemptions of Baskets.
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    Deutsche Bank Securities Inc., as the initial purchaser (the 
``Initial Purchaser''), will initially purchase and take delivery of 
200,000 Shares of each Fund, which comprises the initial Basket of each 
Fund, at a purchase price of $25 per share ($5 million per Basket) 
pursuant to an Initial Purchaser

[[Page 3175]]

Agreement. The Exchange states that the Initial Purchaser proposes to 
offer to the public these Shares at a per-share offering price that 
will vary depending on, among other factors, the respective trading 
price of the Shares on Amex, the NAV per Share, and the supply of and 
demand for the Shares at the time of the offer. Shares offered by the 
Initial Purchaser at different times may have different offering 
prices. The Initial Purchaser will not receive from any Fund, the 
Managing Owner, or any of their affiliates, any fee or other 
compensation in connection with the sale of these Shares to the public. 
The Initial Purchaser may charge a customary brokerage commission.
    The Managing Owner has agreed to indemnify certain parties against 
certain liabilities, including liabilities under the Securities Act of 
1933, and to contribute to payments that such parties may be required 
to make in respect thereof. The Exchange believes that the anticipated 
minimum number of Shares of each of the Funds outstanding at the start 
of trading is sufficient to provide adequate market liquidity and to 
further the objectives of the respective Funds.

B. Net Asset Value (NAV)

    Shortly after 4 p.m. ET each business day, the Administrator will 
determine the NAV for each of the Funds, utilizing the current 
settlement value of the long positions in the DX Contracts, in the case 
of the Bullish Funds, and short positions in the DX Contracts, in the 
case of the Bearish Funds. At or about 4 p.m. ET each business day, the 
Administrator will determine the Basket Amounts for orders placed by 
Authorized Participants received before 1 p.m. ET that day. Thus, 
although Authorized Participants may place valid orders to purchase 
Shares throughout the trading day until 1 p.m. ET, the actual Basket 
Amounts are determined at 4 p.m. ET or shortly thereafter.
    Shortly after 4 p.m. ET each business day, the Administrator, Amex, 
and the Managing Owner will disseminate the NAV per Share and the 
Basket Amounts (for orders placed during the day). The Basket Amounts 
and the NAV are communicated by the Administrator to all Authorized 
Participants via facsimile or electronic mail message and will be 
available on the Index Sponsor's Web site at http://www.index.db.com.
\20\ Amex will also disclose the NAV and Basket 

Amounts on its own Web site at http://www.amex.com.

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    \20\ If the NAV is not disseminated to all market participants 
at the same time, the Exchange will halt trading in the Shares of a 
Fund.
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    In calculating the NAV, the Administrator will value all futures 
contracts (e.g., the DX Contracts) based on that day's settlement 
price. However, if a futures contract on a trading day cannot be 
liquidated due to the operation of daily limits or other rules of an 
exchange upon which such futures contract is traded,\21\ the settlement 
price on the most recent trading day on which such futures contract 
could have been liquidated will be used in determining each Master 
Fund's NAV. Accordingly, the Administrator will typically use that 
day's futures settlement price for determining NAV. When calculating 
NAV for each of the Funds and each of the Master Funds, the 
Administrator will value the DX Contracts held by each Master Fund on 
the basis of their then current market value.
---------------------------------------------------------------------------

    \21\ See supra note 18.
---------------------------------------------------------------------------

    The NAV for the Funds is total assets of the corresponding Master 
Fund, less total liabilities of such Master Fund. The NAV is calculated 
by including any unrealized profit or loss on futures contracts and any 
other credit or debit accruing to such Master Fund but unpaid or not 
received by the Master Fund. The NAV is then used to compute all fees 
(including the management and administrative fees) that are calculated 
from the value of such Master Fund's assets. The Administrator will 
calculate the NAV per share by dividing the NAV by the corresponding 
number of Shares outstanding.
    The Exchange believes that none of the Shares will trade at a 
material discount or premium to the Shares of the corresponding Master 
Fund held by the corresponding Fund based on potential arbitrage 
opportunities. Because Shares can be created and redeemed only in 
Basket Amounts at the relevant NAV, the Exchange submits that arbitrage 
opportunities should provide a mechanism to mitigate the effect of any 
premiums or discounts that may exist from time to time. The value of a 
Share may be influenced by non-concurrent trading hours between Amex 
and the various futures exchanges on which the Index Currencies are 
traded. As a result, during periods when Amex is open and the futures 
exchanges on which the Index Currencies are traded are closed, trading 
spreads and the resulting premium or discount on the Shares may widen, 
and, therefore, increase the difference between the price of the Shares 
and the corresponding NAV.

Dissemination of the Indexes and Underlying DX Contract Information

    The values of the Long Index and Short Index will be disseminated 
at least every 15 seconds through CT/CQ High Speed Lines, Reuters, and/
or Bloomberg, and on the Managing Owner's Web site at http://www.dbfunds.db.com.
 The Index Sponsor will similarly provide intra-day 

levels and the related closing levels for the Indexes at its Web site 
at http://www.index.db.com. The disseminated value of the Indexes will 

not reflect changes to the prices of the Index Currencies between the 
close of trading of the DX Contract on NYBOT at 3 p.m. ET and close of 
trading at Amex at 4:15 p.m. ET. In addition, the Index Sponsor \22\ 
and the Exchange on their respective Web sites will also provide any 
adjustments or changes to any of the Indexes.
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    \22\ See supra note 12.
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    The daily settlement prices of the DX Contracts held by each of the 
Master Funds are publicly available on NYBOT's Web site (http://www.nybot.com
). In addition, various data vendors and news publications 

publish futures prices and data. The Exchange represents that futures 
quotes and last sale information for the DX Contracts are widely 
disseminated through a variety of major market data vendors worldwide, 
including Bloomberg and Reuters. In addition, the Exchange further 
represents that complete real-time data for such futures is available 
by subscription from Reuters and Bloomberg. NYBOT also provides delayed 
futures information on current and past trading sessions and market 
news free of charge on its Web site. The specific contract 
specifications for the DX Contracts are also available from NYBOT on 
its Web site, as well as other financial informational sources.

Availability of Information Regarding the Shares

    The Web site for each of the Funds (http://www.dbfunds.db.com) and/

or the Exchange, which are publicly accessible at no charge, will 
contain the following information: (1) the current NAV per Share daily, 
the prior business day's NAV, and the reported closing price; (2) the 
mid-point of the bid-ask price \23\ in relation to the NAV as of the 
time the NAV is calculated (the ``Bid-Ask Price''); (3) the calculation 
of the premium or discount of such price against such NAV; (4) data in 
chart form displaying the frequency distribution of

[[Page 3176]]

discounts and premiums of the Bid-Ask Price against the NAV, within 
appropriate ranges for each of the four previous calendar quarters; (5) 
the prospectus; and (6) other applicable quantitative information.
---------------------------------------------------------------------------

    \23\ The bid-ask price of the Shares is determined by using the 
highest bid and lowest offer as of the time of calculation of the 
NAV.
---------------------------------------------------------------------------

    The respective NAV per Share for the Funds will be calculated and 
disseminated daily by the Administrator. Amex also intends to 
disseminate for each of the Funds on a daily basis by means of CT/CQ 
High Speed Lines information with respect to the corresponding 
Indicative Fund Value (as discussed below), recent NAV, and Shares 
outstanding. The Exchange will also make available on its Web site 
daily trading volume of each of the Shares, closing prices of such 
Shares, and the corresponding NAV. The closing price and settlement 
prices of the DX Contracts held by the Master Funds are also readily 
available from NYBOT, automated quotation systems, published or other 
public sources, or on-line information services such as Bloomberg or 
Reuters. In addition, the Exchange will provide a hyperlink on its Web 
site at http://www.amex.com to the Index Sponsor's Web site at http://www
.index.db.com.

Dissemination of Indicative Fund Value

    As noted above, the Administrator calculates the NAV of each of the 
Funds once each trading day and disseminates such NAV to market 
participants. The Exchange represents that it will obtain a 
representation prior to the listing of the Funds from the Trust that 
the NAV per Share for each of the Funds will be made available to all 
market participants at the same time. In addition, the Administrator 
causes to be made available on a daily basis the corresponding Cash 
Deposit Amounts to be deposited in connection with the issuance of the 
respective Shares in Baskets. Moreover, other investors can request 
such information directly from the Administrator.
    In order to provide updated information relating to each of the 
Funds for use by investors, professionals, and persons wishing to 
create or redeem the Shares, the Exchange will disseminate through the 
facilities of CT, an updated Indicative Fund Value (the ``Indicative 
Fund Value'') for each of the Funds. The respective Indicative Fund 
Values will be disseminated on a per-Share basis at least every 15 
seconds during regular Amex trading hours of 9:30 a.m. to 4:15 p.m. ET. 
The Indicative Fund Value will be calculated based on the cash required 
for creations and redemptions (i.e., NAV per Share x 200,000 Shares) 
for each Fund, adjusted to reflect the price changes of the DX 
Contracts and the holdings of U.S. Treasury securities and other high-
credit-quality, short-term fixed income securities.
    The Indicative Fund Value will not reflect price changes to the DX 
Contracts between the close of trading on NYBOT at 3 p.m. ET and the 
close of trading on Amex at 4:15 p.m. ET. The value of a Share may 
accordingly be influenced by non-concurrent trading hours between Amex 
and NYBOT.
    While NYBOT is open for trading of DX Contracts, the respective 
Indicative Fund Values can be expected to closely approximate the value 
per Share of the corresponding Basket Amount. However, during Amex 
trading hours, when the DX Contracts have ceased trading, spreads and 
resulting premiums or discounts may widen, and therefore, increase the 
difference between the price of the Shares and the NAV of such Shares. 
Any Indicative Fund Value on a per Share basis disseminated during Amex 
trading hours should not be viewed as a real-time update of its 
corresponding NAV, which is calculated only once a day.
    The Exchange believes that dissemination of the Indicative Fund 
Value based on the cash amount required for its corresponding Baskets 
provides additional information that is not otherwise available to the 
public and is useful to professionals and investors in connection with 
the related Shares trading on the Exchange or the creation or 
redemption of such Shares.

Termination Events

    A Fund would be terminated if any of the following circumstances 
occur: (1) The filing of a certificate of dissolution or revocation of 
the Managing Owner's charter (subject to a 90-day notice period) or 
upon the withdrawal, removal, adjudication, or admission of bankruptcy 
or insolvency of the Managing Owner, or an event of withdrawal, subject 
to exceptions; (2) the occurrence of any event which would make 
unlawful the continued existence of the Trust or any Fund, as the case 
may be; (3) the event of the suspension, revocation, or termination of 
the Managing Owner's registration as a CPO, or membership as a CPO with 
the NFA, subject to certain conditions; (4) the Trust or any Fund, as 
the case may be, becomes insolvent or bankrupt; (5) shareholders 
holding Shares representing at least 50% of the NAV (excluding the 
Shares of the Managing Owner) notify the Managing Owner that they wish 
to dissolve the Trust; (6) the determination of the Managing Owner that 
the aggregate net assets of a Fund in relation to the operating 
expenses of such Fund make it unreasonable or imprudent to continue the 
business of such Fund, or, in the exercise of its reasonable 
discretion, the determination by the Managing Owner to dissolve the 
Trust because the aggregate NAV of the Trust as of the close of 
business on any business day declines below $10 million; (7) the Trust 
or any Fund becomes required to register as an investment company under 
the 1940 Act; or (8) DTC is unable or unwilling to continue to perform 
its functions, and a compatible replacement is unavailable.
    If not terminated earlier, each Fund will endure perpetually. Upon 
termination of any Fund, holders of the relevant Shares will surrender 
their Shares and receive from the Administrator, in cash, their portion 
of the value of such Fund.

Listing and Trading Rules

    Each of the Funds will be subject to the criteria in Commentary 
.07(d) of Amex Rule 1202 for initial and continued listing of their 
respective Shares. The Exchange represents that, for purposes of the 
initial and continued listing of the Shares, the Shares must be in 
compliance with Section 803 of the Amex Company Guide and Rule 10A-3 
under the Act.\24\ The Amex original listing fee applicable to the 
listing of the Shares of the Funds is $5,000 per Fund. 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 
the Funds outstanding at the end of each calendar year.
---------------------------------------------------------------------------

    \24\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    The Shares are equity securities subject to Amex rules governing 
the trading of equity securities, including, among others, rules 
governing priority, parity, and precedence of orders, specialist 
responsibilities and account opening, and customer suitability (Amex 
Rule 411). Initial equity margin requirements of 50% will apply to 
transactions in the Shares. Shares will trade on Amex until 4:15 p.m. 
ET 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

[[Page 3177]]

of a floor official, be elected by a quotation, as set forth in 
Commentary .04(c)(i-v). The Exchange has designated the Shares as 
eligible for this treatment.\25\
---------------------------------------------------------------------------

    \25\ See Securities Exchange Act Release No. 29063 (April 10, 
1991), 56 FR 15652 (April 17, 1991) (SR-Amex-90-31) at note 9 
(noting the Exchange's designation of equity derivative securities 
as eligible for such treatment under Amex Rule 154, Commentary 
.04(c)).
---------------------------------------------------------------------------

    The Shares will be deemed to be ``Eligible Securities,'' as defined 
in Amex Rule 230,\26\ for purposes of the Intermarket Trading System 
(``ITS'') Plan and therefore will be subject to the trade-through 
provisions of Amex Rule 236, which requires that Amex members avoid 
initiating traded through for ITS securities.
---------------------------------------------------------------------------

    \26\ The term ``Eligible Security'' means any security admitted 
to dealings on a participating market center which has been 
designated as eligible to be traded through the intermarket 
communications system. See Amex Rule 230.
---------------------------------------------------------------------------

    Specialist transactions of the Shares made in connection with the 
creation and redemption of Shares will not be subject to the 
prohibitions of Amex Rule 190.\27\ The Shares will not be subject to 
the short sale rule pursuant to no-action relief granted in petition to 
Rule 10a-1 under the Act.\28\ The Shares will generally be subject to 
the Exchange's stabilization rule, Amex Rule 170, except that 
specialists may buy on ``plus ticks'' and sell on ``minus ticks,'' in 
order to bring the Shares into parity with the underlying commodity or 
commodities and/or futures contract price. Commentary .07(f) to Amex 
Rule 1202 sets forth this limited exception to Amex Rule 170. In 
addition, the trading of the Shares will be subject to certain 
conflict-of-interest provisions set forth in Commentary .07(e) to Amex 
Rule 1202.
---------------------------------------------------------------------------

    \27\ See Commentary .05 to Amex Rule 190.
    \28\ See Letter in Response to Request for No-Action from 
Racquel Russell, Branch Chief, Office of Trading Practices and 
Processing, Division, Commission, to George T. Simon, Esq., Foley & 
Lardner LLP, dated June 21, 2006 (``Simon Letter'') (indicating that 
the staff of the Division will no longer respond to requests for 
relief from Rule 10a-1 under the Act relating to other similar 
commodity-based investment vehicles, unless they present novel or 
unusual issues). The Exchange submits that the Shares qualify for 
the relief set forth in the Simon Letter.
---------------------------------------------------------------------------

Suitability

    The Information Circular (as described below) will inform members 
and member organizations of the characteristics of the Funds and of 
applicable Exchange rules, as well as of the requirements of Amex Rule 
411 (Duty to Know and Approve Customers). The Exchange notes that, 
pursuant to Amex Rule 411, members and member organizations are 
required in connection with recommending transactions in the Shares to 
have a reasonable basis to believe that a customer is suitable for the 
particular investment given reasonable inquiry concerning the 
customer's investment objectives, financial situation, needs, and any 
other information known by such member.

Information Circular

    Amex will distribute an Information Circular to its members in 
connection with the trading of the Shares. The Circular will discuss 
the special characteristics and risks of trading this type of security, 
such as currency fluctuation risks. Specifically, the Circular, among 
other things, will discuss what the Shares are, how a Basket is created 
and redeemed, applicable Amex rules, dissemination information, and 
trading information. The Circular will also explain that the Funds are 
subject to various fees and expenses described in the registration 
statement. The Circular will also reference the fact that the CFTC has 
regulatory jurisdiction over the trading of futures contracts.
    Moreover, the Information Circular will inform members and member 
organizations, prior to commencement of trading, of the prospectus 
delivery requirements applicable to the Funds. The Exchange notes that 
investors purchasing Shares directly from the respective Funds (by 
delivery of the corresponding Cash Deposit Amounts) will receive a 
prospectus. Amex members purchasing Shares from the corresponding Funds 
for resale to investors will deliver a prospectus to such investors.
    In addition, the Information Circular will inform Exchange members 
and member organizations that the procedures for purchases and 
redemptions of Shares in Basket aggregations are described in the 
prospectus and that Shares are not individually redeemable, but are 
redeemable only in Basket aggregations or multiples thereof. The 
Circular also will advise members of their suitability obligations with 
respect to recommended transactions to customers in the Shares. The 
Circular will discuss any relief, if granted, by the Commission or its 
staff from any rules under the Act.
    Finally, the Circular will disclose that the trading hours of the 
Shares of the Funds will be from 9:30 a.m. to 4:15 p.m. ET, and that 
the NAV for the Shares of the Funds will be calculated shortly after 4 
p.m. ET each trading day. Information about the Shares of each Fund and 
the corresponding Indexes will be publicly available on Amex's Web site 
and each Fund's Web site (http://www.dbfunds.db.com).


Surveillance

    The Exchange represents that its surveillance procedures are 
adequate to properly monitor the trading of the Shares and to deter and 
detect violations of applicable rules. Specifically, the Exchange will 
rely on its existing surveillance procedures applicable to TIRs, 
Portfolio Depository Receipts, and Index Fund Shares and will 
incorporate and rely upon existing Amex surveillance procedures 
governing options and equities. The Exchange currently has in place an 
information sharing agreement with NYBOT for the purpose of providing 
information in connection with trading in or related to futures 
contracts traded on their respective exchanges comprising the Indexes. 
The Exchange also notes that NYBOT is a member of ISG. As a result, the 
Exchange asserts that market surveillance information is available from 
NYBOT, if necessary, due to regulatory concerns that may arise in 
connection with the DX Contracts.
2. Statutory Basis
    The proposed rule change is consistent with Section 6 of the 
Act,\29\ in general, and furthers the objectives of Section 
6(b)(5),\30\ 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.
---------------------------------------------------------------------------

    \29\ 15 U.S.C. 78f.
    \30\ 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 would 
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 did not receive any written comments on the proposed 
rule change.

[[Page 3178]]

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 Amex consents, the Commission will:
    (A) By order approve such proposed rule change, or
    (B) Institute proceedings to determine whether the proposed rule 
change should be disapproved.
    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. The Commission has determined that a 15-
day comment period is appropriate in this case.

IV. Solicitation of Comments

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

Electronic Comments

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

File Number SR-Amex-2006-86 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-2006-86. 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 Exchange. All comments received will be posted 
without change; the Commission does not edit personal identifying 
information from submissions. You should submit only information that 
you wish to make available publicly. All submissions should refer to 
File Number SR-Amex-2006-86 and should be submitted on or before 
February 8, 2007.

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\31\
---------------------------------------------------------------------------

    \31\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Nancy M. Morris,
Secretary.
 [FR Doc. E7-954 Filed 1-23-07; 8:45 am]

BILLING CODE 8011-01-P
