

[Federal Register: August 15, 2007 (Volume 72, Number 157)]
[Notices]               
[Page 45837-45845]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr15au07-124]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-56223; File No. SR-Amex-2007-60]

 
Self-Regulatory Organizations; American Stock Exchange LLC; 
Notice of Filing of a Proposed Rule Change and Amendment No. 1 Thereto 
Relating to the Listing and Trading of Shares of Eight Funds of the 
ProShares Trust Based on International Equity Indexes

August 8, 2007.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on June 15, 2007, 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 substantially prepared by the 
Exchange (``Exchange Notice''). On July 27, 2007, Amex submitted 
Amendment No. 1 to the proposed rule change. The Commission is 
publishing this notice to solicit comments on the proposed rule change, 
as amended, from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade the shares (``Shares'') of 
eight funds of the ProShares Trust (``Trust'') \3\ based on four 
international equity indexes. The text of the proposed rule change is 
available at the Exchange, the Commission's Public Reference Room, and 
http://www.amex.com.

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    \3\ The Trust is registered as a business trust under the 
Delaware Corporate Code.

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[[Page 45838]]

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

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

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

1. Purpose
    Amex Rules 1000A-AEMI and 1001A--1005A provide standards for the 
listing of Index Fund Shares, which are securities issued by an open-
end management investment company for exchange trading. These 
securities are registered under the Investment Company Act of 1940 
(``1940 Act''), as well as under the Act. Index Fund Shares are defined 
in Amex Rule 1000A-AEMI(b)(1) generally as securities based on a 
portfolio of stocks or fixed income securities that seek to provide 
investment results that correspond generally to the price and yield of 
a specified foreign or domestic stock index or fixed income securities 
index. Amex Rule 1000A-AEMI(b)(2) permits the Exchange to list and 
trade Index Fund Shares that seek to provide investment results that 
exceed the performance of an underlying securities index by a specified 
multiple or that seek to provide investment results that correspond to 
a specified multiple of the inverse or opposite of the index's 
performance.\4\
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    \4\ See Amex Rule 1000A--AEMI(b)(2)(iii) and Commentary .02 
thereto (providing that the listing and trading of Index Fund Shares 
under paragraph (b)(2) thereof cannot be approved by the Exchange 
pursuant to Rule 19b-4(e) under the Act (17 CFR 240.19b-4(e)).
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    The Exchange proposes to list under Amex Rule 1000A-AEMI the Shares 
of eight new funds of the Trust that are designated as Short Funds (the 
``Short Funds'') and UltraShort Funds (the ``UltraShort Funds,'' and 
together with the Short Funds, collectively referred to as the 
``Funds'').\5\ Each of the Funds will have a distinct investment 
objective by attempting, on a daily basis, to correspond to a specified 
multiple of the inverse performance of a particular equity securities 
index as described below. The Funds will be based on the following 
benchmark indexes: (1) MSCI Emerging Markets Index; (2) MSCI Japan 
Index; (3) MSCI EAFE Index; and (4) FTSE/Xinhua 25 Index (each 
individually an ``Underlying Index,'' and all indexes collectively the 
``Underlying Indexes'').\6\
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    \5\ A list of the proposed Funds is set forth in Exhibit A to 
the Exchange Notice. The Commission has approved the listing and 
trading of certain Short Funds and UltraShort Funds based on a 
variety of underlying indexes. See Securities Exchange Act Release 
Nos. 55117 (January 17, 2007), 72 FR 3442 (January 25, 2007) (SR-
Amex-2006-101) (approving the listing and trading of shares of funds 
of the Trust based on certain underlying indexes); 54040 (June 23, 
2006), 71 FR 37629 (June 30, 2006) (SR-Amex-2006-41) (approving the 
listing and trading of shares of funds of the Trust based on certain 
underlying indexes); and 52553 (October 3, 2005), 70 FR 59100 
(October 11, 2005) (SR-Amex-2004-62) (approving the listing and 
trading of shares of funds of the xtraShares Trust based on certain 
underlying indexes).
    \6\ The Statement of Additional Information (``SAI'') for the 
Funds discloses that each Fund reserves the right to substitute a 
different Underlying Index. Substitutions can occur if an Underlying 
Index becomes unavailable, no longer serves the investment needs of 
shareholders, the Fund experiences difficulty in achieving 
investment results that correspond to the applicable Underlying 
Index, or for any other reason determined in good faith by the Board 
(as defined herein). In such instance, the substitute index would 
attempt to measure the same general market as the then current 
Underlying Index. Consistent with applicable law, shareholders would 
be notified (either directly or through their respective 
intermediary) if a Fund's Underlying Index is replaced. In such 
case, the continued listing standards under Amex Rule 1002A would 
apply. See Amex Rule 1002A(b)(i)(B) (providing that the Exchange 
will consider the suspension of trading in, or removal from listing 
of, a series of Index Fund Shares if, among other circumstances, the 
Underlying Index or portfolio is replaced with a new index or 
portfolio, subject to certain exceptions).
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    Specifically, the Exchange proposes to list and trade Shares of the 
Short Funds that seek daily investment results, before fees and 
expenses, that correspond to the inverse or opposite of the daily 
performance (-100%) of the Underlying Indexes. If each of these Short 
Funds is successful in meeting its objective, the net asset value 
(``NAV'') of the Shares of each Short Fund should increase 
approximately as much, on a percentage basis, as the respective 
Underlying Index loses when the prices of the securities in the 
Underlying Index decline on a given day, or should decrease 
approximately as much as the respective Underlying Index gains when the 
prices of the securities in the Underlying Index rise on a given day, 
before fees and expenses.
    The Exchange also proposes to list and trade Shares of the 
UltraShort Funds that seek daily investment results, before fees and 
expenses, that correspond to twice the inverse or opposite (-200%) of 
the daily performance of the Underlying Indexes. If each of these 
UltraShort Funds is successful in meeting its objective, the NAV of the 
Shares of each UltraShort Fund should increase approximately twice as 
much, on a percentage basis, as the respective Underlying Index loses 
when the prices of the securities in the Underlying Index decline on a 
given day, or should decrease approximately twice as much as the 
respective Underlying Index gains when the prices of the securities in 
the Underlying Index rise on a given day, before fees and expenses.
    ProShare Advisors LLC is the investment advisor (the ``Advisor'') 
to each Fund. The Advisor is registered under the Investment Advisers 
Act of 1940.\7\ While the Advisor will manage each Fund, the Trust's 
Board of Trustees (the ``Board'') will have overall responsibility for 
the Funds' operations. The composition of the Board is, and will be, in 
compliance with the requirements of Section 10 of the 1940 Act.\8\ SEI 
Investments Distribution Company (the ``Distributor''), a broker-dealer 
registered under the Act, will act as the distributor and principal 
underwriter of the Shares. JPMorgan Chase Bank, N.A. will act as the 
index receipt agent (the ``Index Receipt Agent'') for which it will 
receive fees. The Index Receipt Agent will be responsible for the 
processing, clearance, and settlement of purchase and redemption orders 
through the facilities of the Depository Trust Company (``DTC'') and 
the National Securities Clearing Corporation (``NSCC'') on behalf of 
the Trust.\9\ The Index Receipt Agent will also be responsible for the 
coordination and transmission of files and purchase and redemption 
orders between the Distributor and the NSCC.
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    \7\ The Trust, Advisor, and Distributor (``Applicants'') have 
filed with the Commission an application to amend the order under 
the 1940 Act (the ``Application'') for the purpose of exempting the 
Funds of the Trust from various provisions of the 1940 Act. See 
Investment Company Act Release No. 27609 (December 22, 2006), 72 FR 
162 (January 3, 2007) (File No. 812-13329) (providing notification 
of an application for an order under Section 6(c) of the 1940 Act 
for an exemption from Sections 2(a)(32), 5(a)(1), 22(d), and 24(d) 
of the 1940 Act and Rule 22c-1 under the 1940 Act, and under 
Sections 6(c) and 17(b) of the Act for an exemption from Sections 
17(a)(1) and (a)(2) of the 1940 Act).
    \8\ See 15 U.S.C. 80a-10 (setting forth certain restrictions and 
requirements with respect to affiliations or interest of directors, 
officers, and employees of registered investment companies).
    \9\ E-mail from Nyieri Nazarian, Assistant General Counsel, 
Amex, to Edward Cho, Special Counsel, Division of Market Regulation, 
Commission, dated July 30, 2007 (clarifying the responsibilities of 
the Index Receipt Agent) (``Amex Confirmation'').

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[[Page 45839]]

    Shares of the Funds issued by the Trust will be a class of 
exchange-traded securities that represent an interest in the portfolio 
of a particular Fund. The Shares will be registered in book-entry form 
only, and the Trust will not issue individual share certificates. DTC 
or its nominee will be the record or registered owner of all 
outstanding Shares. Beneficial ownership of Shares will be shown on the 
records of DTC or DTC participants.
Underlying Indexes
    While the Exchange proposes to list and trade the Shares of the 
Funds pursuant to Section 19(b)(1) of the Act, the Exchange represents 
that the Underlying Index components comply with the generic listing 
standards set forth in Commentary .02 to Amex Rule 1000A-AEMI.
    MSCI Emerging Markets Index. The MSCI Emerging Markets Index is a 
free float-adjusted, market capitalization index that is designed to 
measure equity market performance in the global emerging markets. MSCI 
(http://www.msci.com) administers this Underlying Index exclusively, 

the component securities of which must meet objective criteria for 
inclusion. The MSCI Emerging Markets Index aims to capture 85% of the 
publicly available total market capitalization in each emerging market 
included in such Underlying Index. The MSCI Emerging Markets Index is 
rebalanced quarterly, and its value is calculated in U.S. dollars on a 
real-time basis and disseminated every 60 seconds from 8 p.m. to 5 p.m. 
Eastern Time (``ET'') the following day. As of June 2007, this 
Underlying Index consisted of 698 components, and the three largest 
stocks by weight were Samsung Electronics Co. Ltd., Anglo American Plc, 
and Taiwan Semiconductor Manufacturing Company Ltd.\10\ The MSCI 
Emerging Markets Index consists of the following 25 emerging market 
country indices: Argentina, Brazil, Chile, China, Colombia, Czech 
Republic, Egypt, Hungary, India, Indonesia, Israel, Jordan, Korea, 
Malaysia, Mexico, Morocco, Pakistan, Peru, Philippines, Poland, Russia, 
South Africa, Taiwan, Thailand, and Turkey. The Commission has 
previously approved the listing and trading of an exchange-traded fund 
based on the MSCI Emerging Markets Index.\11\
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    \10\ Amex Confirmation (confirming the name of Taiwan 
Semiconductor Manufacturing Company Ltd.).
    \11\ See Securities Exchange Act Release No. 44900 (October 25, 
2001), 66 FR 55712 (November 2, 2001) (SR-Amex-2001-45) (approving 
the listing and trading of shares of funds of iShares, Inc. based on 
certain foreign stock indexes, including the MSCI Emerging Markets 
(Free) Index), as corrected by Securities Exchange Act Release No. 
44990 (October 25, 2001), 66 FR 56869 (November 13, 2001) (SR-Amex-
2001-45) (correcting the Release Number from 44900 to 44990).
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    MSCI Japan Index. The MSCI Japan Index seeks to measure the 
performance of the Japanese equity market. The MCSI Japan Index is a 
capitalization-weighted index whose component securities are adjusted 
for available float and must meet objective criteria for inclusion in 
the Underlying Index. The MSCI Japan Index aims to capture 85% of the 
publicly available total market capitalization in Japan. The MSCI Japan 
Index is rebalanced quarterly, and its value is calculated in U.S. 
dollars on a real-time basis and disseminated every 60 seconds from 8 
p.m. to 2 a.m. ET.\12\ As of May 31, 2007, this Underlying Index, which 
is comprised of stocks traded primarily on the Tokyo Stock Exchange, 
consisted of 321 components, and the three largest stocks by weight 
were Toyota Motor Corp., Sony Corp., and NTT DoCoMo Inc. The 
calculation method weights stocks in the Underlying Index by their 
beginning-of-period market capitalization. Share prices are ``swept 
clean'' daily and adjusted for any rights issues, stock dividends, or 
splits. This Underlying Index is calculated in local currency and in 
U.S. dollars, without dividends and with gross dividends reinvested. 
Prices used to calculate the MSCI Japan Index are the official closing 
prices on the Tokyo Stock Exchange and other Japanese exchanges on 
which the equity securities comprising this Underlying Index are listed 
and primarily traded.\13\ To calculate the applicable foreign currency 
exchange rate, MSCI uses WM/Reuters Closing Spot Rates. Under 
exceptional circumstances, MSCI may elect to use an alternative 
exchange rate for any country if the WM/Reuters Closing Spot Rate is 
believed not to be representative for the given currency on a 
particular day.
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    \12\ Commentary .02(b)(ii) to Amex Rule 1000A-AEMI provides that 
if an Underlying Index value does not change during some or all of 
the period when trading is occurring on the Exchange (for example, 
for indexes of non-U.S. component stocks because of time zone 
differences or holidays in the countries where such indexes' 
component stocks trade), then the last official calculated 
Underlying Index value must remain available throughout Exchange 
trading hours. As a result, the Exchange states that, for such an 
Underlying Index, the value that will be disseminated during Amex 
trading hours would be static.
    \13\ Amex Confirmation (noting that the official closing prices 
used to calculate the MSCI Japan Index value would be taken from the 
Tokyo Stock Exchange and other Japanese exchanges on which certain 
equity securities comprising the MSCI Japan Index primarily trade).
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    The MSCI Japan Index is calculated by MSCI for each trading day in 
the Japanese foreign exchange market based on official closing prices 
in such exchange market. For each trading day, MSCI publicly 
disseminates this Underlying Index value for the previous day's close. 
The MSCI Japan Index is reported periodically in major financial 
publications and also is available through vendors of financial 
information. The Commission has previously approved the listing and 
trading of an exchange-traded fund based on the MSCI Japan Index.\14\
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    \14\ See Securities Exchange Act Release No. 36947 (March 8, 
1996), 61 FR 10606 (March 14, 1996) (SR-Amex-95-43) (approving the 
listing and trading of Index Fund Shares based on the MSCI Japan 
Index, among other indexes). The Exchange represents that shares of 
the iShares MSCI Japan Index Fund (EWJ) are currently traded on the 
Exchange.
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    MSCI EAFE Index. The MSCI EAFE Index is a free float-adjusted, 
market capitalization index that is designed to measure equity market 
performance in the developed markets of Europe, Australasia, and the 
Far East. The MSCI EAFE Index is a capitalization-weighted index whose 
component securities are adjusted for available float and must meet 
objective criteria for inclusion in the Underlying Index. The MSCI EAFE 
Index aims to capture 85% of the publicly available total market 
capitalization in each developed market included in the MSCI EAFE 
Index. The MSCI EAFE Index is rebalanced quarterly, and its value is 
calculated in U.S. dollars on a real-time basis and disseminated every 
60 seconds from 10 p.m. to 12:30 p.m. ET.\15\ As of June 2007, this 
Underlying Index consisted of 1021 components, and the three largest 
stocks by weight were BP Plc, Glaxosmithkline Plc, and Novartis Ag. The 
MSCI EAFE Index consists of the following 21 developed market country 
indices: Australia, Austria, Belgium, Denmark, Finland, France, 
Germany, Greece, Hong Kong, Ireland, Italy, Japan, the Netherlands, New 
Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and 
the United Kingdom. The Commission has previously approved the listing 
and trading on the Amex of an exchange-traded fund based on the MSCI 
EAFE Index.\16\
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    \15\ See supra note 12. The Exchange states that between the 
start of trading on Amex to 12:30 p.m. ET, the MSCI EAFE Index value 
will be updated and disseminated every 60 seconds; however, from 
12:30 p.m. ET to the close of Amex trading at 4:15 p.m. ET, the 
Exchange represents that only the last official calculated value 
will be available.
    \16\ See Securities Exchange Act Release No. 44700 (August 14, 
2001), 66 FR 43927 (August 21, 2001) (SR-Amex-2001-34) (approving 
the listing and trading of shares of a fund based on the MSCI EAFE 
Index, among other indexes). The Exchange states that the shares of 
the iShares MSCI EAFE Index Fund (EFA) are currently traded on the 
Exchange.

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[[Page 45840]]

    FTSE/Xinhua China 25 Index. The FTSE/Xinhua China 25 Index consists 
of 25 of the largest and most liquid Chinese stocks (Red Chip and H 
shares) \17\ listed and trading on HKSE. The component securities of 
the FTSE/Xinhua China 25 Index are weighted based on the free-float 
adjusted total market value of the shares so that securities with 
higher total market values generally have a higher representation in 
this Underlying Index. The component securities are screened for 
liquidity, and weightings are capped to avoid over-concentration in any 
one stock. The inception date of this Underlying Index was March 2001. 
The FTSE/Xinhua China 25 Index is rule-based and is monitored by a 
governing committee that is responsible for conducting a quarterly 
review of the constituent securities of the Underlying Index and for 
making changes to the Underlying Index in accordance with this 
Underlying Index's procedures.\18\ The FTSE/Xinhua China 25 Index is 
rebalanced quarterly, and its value is calculated in U.S. dollars on a 
real-time basis and disseminated every 60 seconds from 9:15 p.m. to 4 
a.m. ET.\19\ The Commission has previously approved the listing and 
trading of an exchange-traded fund based on the FTSE/Xinhua China 25 
Index.\20\
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    \17\ The Exchange states that ``H shares'' are securities of 
companies incorporated in mainland China and nominated by the 
Chinese government for listing and trading on the Hong Kong Stock 
Exchange (``HKSE''). They are quoted and traded in Hong Kong dollars 
(``HKD''). The only Chinese investors permitted to trade H shares 
are those who are approved by the Chinese government; however there 
are no such restrictions on international investors. ``Red Chips'' 
are securities of companies incorporated in Hong Kong that trade on 
HKSE and are quoted in HKD. The constituents are substantially 
owned, directly or indirectly, by Chinese state-owned enterprises. 
The only Chinese investors permitted to trade Red Chips are those 
who are approved by the Chinese government; however, there are no 
such restrictions on international investors.
    \18\ Amex Confirmation (confirming that the governing committee 
is responsible for such duties).
    \19\ See supra note 12.
    \20\ See Securities Exchange Act Release No. 50505 (October 8, 
2004), 69 FR 61280 (October 15, 2004) (SR-NYSE-2004-55) (approving 
the listing and trading of shares of the iShares FTSE/Xinhua China 
25 Index Fund). The Exchange states that the shares of the iShares 
FTSE/Xinhua China 25 Index Fund (FXI) are currently traded on the 
Exchange. See Securities Exchange Act Release No. 50800 (December 6, 
2004), 69 FR 72228 (December 13, 2004) (SR-Amex-2004-85) (approving 
the trading of shares of the iShares FTSE/Xinhua China 25 Index Fund 
pursuant to unlisted trading privileges).
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Investment Objective of the Funds
    The Short Funds will seek daily investment results, before fees and 
expenses, of the inverse or opposite (-100%) of the applicable 
Underlying Index, and the UltraShort Funds will seek daily investment 
results, before fees and expenses, of twice the inverse or opposite (-
200%) of the daily performance of the applicable Underlying Index. Each 
of these Funds will not invest directly in the component securities of 
the relevant Underlying Index, but instead will create short exposure 
to such Underlying Index. Each Fund will rely on establishing positions 
in certain financial instruments \21\ that provide, on a daily basis, 
the inverse or opposite of, or twice the inverse or opposite of, as the 
case may be, the performance of the relevant Underlying Index. 
Normally, 100% of the value of the portfolios of each Fund will be 
devoted to Financial Instruments and certain money market 
instruments.\22\
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    \21\ The financial instruments to be held by any of the Funds 
may include stock index futures contracts, options on futures 
contracts, options on securities and indices, equity caps, collars 
and floors, as well as swap agreements, forward contracts, 
repurchase agreements, and reverse repurchase agreements (the 
``Financial Instruments'').
    \22\ Money market instruments include (1) U.S. government 
securities and (2) repurchase agreements that (a) Are held by the 
Funds and (b) will be eligible investments in accordance with Rule 
2a-7 under the 1940 Act (17 CFR 270.2a-7) (the ``Money Market 
Instruments'').
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    While the Advisor will attempt to minimize any ``tracking error'' 
between the investment results of a particular Fund and the performance 
(and specified multiple thereof) or the inverse performance (and 
specified multiple thereof) of its Underlying Index, certain factors 
may tend to cause the investment results of a Fund to vary from such 
relevant Underlying Index or specified multiple thereof.\23\ The Funds 
are expected to be highly inversely correlated to each applicable 
Underlying Index and investment objective (-0.85 or greater).\24\ In 
each case, the Funds are expected to have a daily tracking error of 
less than 5% (500 basis points) relative to the specified multiple or 
inverse multiple of the performance of the relevant Underlying Index.
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    \23\ The Exchange states that several factors may cause a Fund 
to vary from the relevant Underlying Index and investment objective 
including: (1) A Fund's expenses, including brokerage fees (which 
may be increased by high portfolio turnover) and the cost of the 
investment techniques employed by that Fund; (2) less than all of 
the securities in the benchmark Underlying Index being held by a 
Fund and securities not included in the benchmark Underlying Index 
being held by a Fund; (3) an imperfect correlation between the 
performance of instruments held by a Fund, such as futures 
contracts, and the performance of the underlying securities in the 
cash market; (4) bid-ask spreads (the effect of which may be 
increased by portfolio turnover); (5) holding instruments traded in 
a market that has become illiquid or disrupted; (6) a Fund's Share 
prices being rounded to the nearest cent; (7) changes to the 
benchmark Underlying Index that are not disseminated in advance; (8) 
the need to conform a Fund's portfolio holdings to comply with 
investment restrictions or policies or regulatory or tax law 
requirements; and (9) early and unanticipated closings of the 
markets on which the holdings of a Fund trade, resulting in the 
inability of the Fund to execute intended portfolio transactions.
    \24\ Correlation is the strength of the relationship between (1) 
The change in a Fund's NAV and (2) the change in the benchmark 
Underlying Index (investment objective). The statistical measure of 
correlation is known as the ``correlation coefficient.'' A 
correlation coefficient of +1 indicates a perfect positive 
correlation, while a value of -1 indicates a perfect negative 
(inverse) correlation. A value of zero would mean that there is no 
correlation between the two variables.
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The Portfolio Investment Methodology
    The Advisor will seek to establish an investment exposure in each 
portfolio corresponding to each Fund's investment objective based on 
its ``Portfolio Investment Methodology,'' as described below. The 
Exchange states that the Portfolio Investment Methodology is a 
mathematical model based on well-established principles of finance that 
are widely used by investment practitioners, including conventional 
index fund managers.
    As set forth in the Application, the Portfolio Investment 
Methodology was designed to determine for each Fund the portfolio 
investments needed to achieve its stated investment objectives. The 
Portfolio Investment Methodology takes into account a variety of 
specified criteria and data, the most important of which are: (1) Net 
assets (taking into account creations and redemptions) in each Fund's 
portfolio at the end of each trading day; (2) the amount of required 
exposure to the Underlying Index; and (3) the positions in Financial 
Instruments and/or Money Market Instruments at the beginning of each 
trading day. The Advisor will then mathematically determine the end-of-
day positions to establish the required amount of exposure to the 
Underlying Index (the ``Solution''), which will consist of equity 
securities, Financial Instruments, and/or Money Market Instruments. The 
difference between the start-of-day positions and the required end-of-
day positions is the actual amount of Financial Instruments and/or 
Money Market Instruments that must be bought or sold for the day. The 
Solution represents the required exposure and, when necessary, is 
converted into an order or orders to be filled that same day.
    Generally, portfolio trades effected pursuant to the Solution are 
reflected in the NAV on the first business day (T+1) after the date the 
relevant trade is made. Therefore, the NAV calculated for a

[[Page 45841]]

Fund on a given day should reflect the trades executed pursuant to the 
prior day's Solution. For example, trades pursuant to the Solution 
calculated on a Monday afternoon are executed on behalf of the Fund in 
question on that day. These trades will then be reflected in the NAV 
for that Fund that is calculated as of 4 p.m. ET on Tuesday.
    The timeline for the Portfolio Investment Methodology is as 
follows. Authorized Participants (``APs'' or ``Authorized 
Participants'') \25\ have a 3 p.m. ET cut-off for orders submitted by 
telephone, facsimile, and other electronic means of communication and a 
4 p.m. ET cut-off for orders received via mail.\26\ Orders are received 
by the Distributor and relayed to the Advisor within ten minutes. The 
Advisor will know by 3:10 p.m. ET the number of creation/redemption 
orders by APs for that day. Orders are then placed at approximately 
3:40 p.m. ET as market-on-close orders. At 4 p.m. ET, the Advisor will 
again look at the exposure to make sure that the orders placed are 
consistent with the Solution, and, as described above, the Advisor will 
execute any other transactions in Financial Instruments to assure that 
the Fund's exposure is consistent with the Solution.
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    \25\ An Authorized Participant is: (1) Either (a) a broker-
dealer or other participant in the continuous net settlement system 
of the NSCC, or (b) a DTC participant; and (2) a party to a 
participant agreement with the Distributor.
    \26\ The Exchange states that AP orders by mail are exceedingly 
rare.
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Description of Investment Techniques
    In attempting to achieve its individual investment objectives, a 
Fund may invest its assets in Financial Instruments and Money Market 
Instruments. The Funds generally will not invest in equity securities, 
but rather will hold only Financial Instruments and Money Market 
Instruments. To the extent applicable, each Fund will comply with the 
requirements of the 1940 Act with respect to ``cover'' for Financial 
Instruments and, thus, may hold a significant portion of its assets in 
liquid instruments in segregated accounts.
    Each Fund may engage in transactions in futures contracts on 
designated contract markets where such contracts trade and will only 
purchase and sell futures contracts traded on a U.S. futures exchange 
or board of trade. Each Fund will comply with the requirements of Rule 
4.5 of the regulations promulgated by the Commodity Futures Trading 
Commission (``CFTC'').\27\
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    \27\ The Exchange states that CFTC Rule 4.5 provides an 
exclusion for investment companies registered under the 1940 Act 
from the definition of the term ``commodity pool operator'' upon the 
filing of a notice of eligibility with the National Futures 
Association.
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    Each Fund may enter into swap agreements and/or forward contracts 
for the purposes of attempting to gain exposure to its corresponding 
Underlying Index without actually transacting such securities. The 
Exchange states that the counterparties to the swap agreements and/or 
forward contracts will be major broker-dealers and banks. The 
creditworthiness of each potential counterparty is assessed by the 
Advisor's credit committee pursuant to guidelines approved by the 
Board. Existing counterparties are reviewed periodically by the Board. 
Each Fund may also enter into repurchase and reverse repurchase 
agreements with terms of less than one year and will only enter into 
such agreements with (1) Members of the Federal Reserve System, (2) 
primary dealers in U.S. government securities, or (3) major broker-
dealers. Each Fund may also invest in Money Market Instruments, in 
pursuit of its investment objectives, as ``cover'' for Financial 
Instruments, as described above, or to earn interest.
    The Trust will adopt certain fundamental policies consistent with 
the 1940 Act, and each Fund will be classified as ``non-diversified'' 
under the 1940 Act. Each Fund, however, intends to maintain the 
required level of diversification and otherwise conduct its operations 
so as to qualify as a ``regulated investment company'' or ``RIC'' for 
purposes of the Internal Revenue Code to relieve the Trust and the 
Funds of any liability for Federal income tax to the extent that its 
earnings are distributed to shareholders.\28\
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    \28\ See Exchange Notice n.15 (providing a description of the 
Internal Revenue Code requirements pertaining to RICs). The Exchange 
Notice is available at Amex's Web site (http://www.amex.com).

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Availability of Information About the Shares and Underlying Indexes
    The Trust's Internet Web site (http://www.proshares.com), which is 

and will be publicly accessible at no charge, will contain the 
following information for each Fund's Shares: (a) The prior business 
day's closing NAV, the reported closing price, and a calculation of the 
premium or discount of such price in relation to the closing NAV; (b) 
data for a period covering at least the four previous calendar quarters 
(or the life of a Fund, if shorter) indicating how frequently each 
Fund's Shares traded at a premium or discount to NAV based on the daily 
closing price and the closing NAV, and the magnitude of such premiums 
and discounts; (c) its prospectus and/or product description; and (d) 
other quantitative information, such as daily trading volume. The 
prospectus and/or product description for each Fund will inform 
investors that the Trust's Web site has information about the premiums 
and discounts at which the Fund's Shares have traded.\29\
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    \29\ The Exchange states that the Application requests relief 
from Section 24(d) of the 1940 Act (15 U.S.C. 80a-24(d)), which 
would permit dealers to sell Shares in the secondary market 
unaccompanied by a statutory prospectus when prospectus delivery is 
not required by the Securities Act of 1933. Additionally, if a 
product description is being provided in lieu of a prospectus, 
Commentary .06 of Amex Rule 1000A-AEMI requires that Amex members 
and member organizations provide to all purchasers of a series of 
Index Fund Shares a written description of the terms and 
characteristics of such securities, in a form prepared by the open-
end management investment company issuing such securities, not later 
than the time of confirmation of the first transaction in such 
series is delivered to such purchaser. Furthermore, any sales 
material will reference the availability of such circular and the 
prospectus.
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    Amex will disseminate for each Fund on a daily basis by means of 
the Consolidated Tape Association (``CT'') and CQ High Speed Lines 
information with respect to an Indicative Intra-Day Value ( ``IIV'') 
(as defined and discussed herein), recent NAV, number of Shares 
outstanding, and the estimated cash amount and total cash amount per 
Creation Unit (as defined herein). The Exchange will make available on 
its Web site at http://www.amex.com daily trading volume, the closing 

prices, the NAV, and the final dividend amounts to be paid for each 
Fund.
    Each Fund's total portfolio composition will be disclosed on the 
Web site of the Trust or another relevant Web site as determined by the 
Trust and/or the Exchange. Web site disclosure of portfolio holdings 
will be made daily and will include, as applicable, the specific types 
of Financial Instruments and characteristics of such Financial 
Instruments and the cash equivalents and amount of cash held in the 
portfolio of each Fund.\30\ This Web site disclosure of the portfolio 
composition of each Fund and the disclosure by the Advisor of the ``IIV 
File'' (as described herein) and the portfolio composition file or 
``PCF'' (as described herein) will occur at the same time.\31\ 
Therefore, the same

[[Page 45842]]

portfolio information (including accrued expenses and dividends) will 
be provided on the public Web site, as well as in the IIV File and PCF 
provided to Authorized Participants. The format of the public Web site 
disclosure and the IIV File and PCF will differ because the public Web 
site will list all portfolio holdings, while the IIV File and PCF will 
similarly provide the portfolio holdings, but in a format appropriate 
for Authorized Participants, i.e., the exact components of a Creation 
Unit.\32\ Accordingly, each investor will have access to the current 
portfolio composition of each Fund through the Trust's Internet Web 
site and/or at the Exchange's Web site.
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    \30\ Amex Confirmation (confirming the information that will be 
disclosed on the Trust's Web site).
    \31\ Id. (confirming that the portfolio information contained in 
the Trust's public Web site will be available at the same time the 
IIV File and PCF are disclosed by the Advisor).
    \32\ The composition will be used to calculate the NAV later 
that day.
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    Beneficial owners of Shares (the ``Beneficial Owners'') will 
receive all of the statements, notices, and reports required under the 
1940 Act and other applicable laws. They will receive, for example, 
annual and semi-annual Fund reports, written statements accompanying 
dividend payments, proxy statements, annual notifications detailing the 
tax status of Fund distributions, and Form 1099-DIVs. Some of these 
documents will be provided to Beneficial Owners by their brokers, while 
others will be provided by the Fund through the brokers.
    The daily closing value and the percentage change in the daily 
closing value for each Underlying Index will be publicly available on 
various Internet Web sites, and data regarding each Underlying Index 
will be available from the respective Underlying Index provider. 
Several independent data vendors also package and disseminate 
Underlying Index data in various value-added formats (including vendors 
displaying both securities and Underlying Index levels and vendors 
displaying Underlying Index levels only). The value of each Underlying 
Index will be updated intra-day on a real-time basis as its individual 
component securities change in price. These intra-day values of each 
Underlying Index will be disseminated at least every 60 seconds 
throughout the trading day \33\ by Amex or another organization 
authorized by the relevant Underlying Index provider.
---------------------------------------------------------------------------

    \33\ See supra notes 12 and 15 and accompanying text.
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Creation and Redemption of Shares
    Each Fund will issue and redeem Shares only in aggregations of at 
least 75,000 (each aggregation a ``Creation Unit''). Purchasers of 
Creation Units will be able to separate the Creation Units into 
individual Shares. Once the number of Shares in a Creation Unit is 
determined, it will not change thereafter (except in the event of a 
stock split or similar revaluation). The initial value of a Share for 
each Fund is expected to be in the range of $50-$250.
    Creation Unit aggregations of the Funds will be purchased at NAV, 
plus a transaction fee. A purchaser will make a cash payment by 12 p.m. 
ET on the third business day following the date on which the request 
was made (T+3) or earlier. Purchasers of the Shares in Creation Unit 
aggregations must satisfy certain creditworthiness criteria established 
by the Advisor and approved by the Board, as provided in the 
participation agreement between the Trust and Authorized Participants. 
Creation Unit aggregations of the Shares will be redeemable for an all-
cash payment equal to the NAV, less a transaction fee.
    The Trust will create a PCF for each Fund, which will be 
transmitted to NSCC before the open of business the next business day. 
The information in the PCF will be available to all participants in the 
NSCC system. Because the NSCC's system for the receipt and 
dissemination to its participants of the PCF is not currently capable 
of processing information with respect to Financial Instruments, the 
Advisor has developed an ``IIV File'' to disclose the Funds' holdings 
of Financial Instruments.\34\ The IIV File will contain for each Fund 
information sufficient by itself or in connection with the PCF and 
other available information for market participants to calculate a 
Fund's IIV and effectively arbitrage such Fund.
---------------------------------------------------------------------------

    \34\ The Trust or the Advisor will post the IIV File to a 
password-protected Internet Web site before the opening of business 
on each business day, and all Authorized Participants and the 
Exchange will have access to a password and the Web site containing 
the IIV File. The Funds, however, will disclose each business day to 
the public identical information, but in a format appropriate to 
public investors, at the same time the Funds disclose the IIV File 
and PCF, as applicable, to industry participants.
---------------------------------------------------------------------------

    For example, the following information would be provided in the IIV 
File for a Fund holding Financial Instruments, such as swaps and 
futures contracts: (A) The notional value of the swaps held by such 
Fund (together with an indication of the Underlying Index on which such 
swap is based and whether the Fund's position is long or short); (B) 
the most recent valuation of the swaps held by the Fund; (C) the 
notional value of any futures contracts (together with an indication of 
the Underlying Index on which such contract is based, whether the 
Fund's position is long or short, and the contract's expiration date) 
held by the Fund; (D) the number of futures contracts held by the Fund 
(together with an indication of the Underlying Index on which such 
contract is based, whether the Fund's position is long or short, and 
the contract's expiration date); (E) the most recent valuation of the 
futures contracts held by the Fund; (F) the total assets and total 
shares outstanding of each Fund; and (G) a ``net other assets'' figure 
reflecting expenses and income of the Fund to be accrued during and 
through the following business day and accumulated gains or losses on 
the Fund's Financial Instruments through the end of the business day 
immediately preceding the publication of the IIV File. To the extent 
that any Fund holds cash or cash equivalents about which information is 
not available in a PCF, information regarding such Fund's cash and cash 
equivalent positions will be disclosed in the IIV File for such Fund. 
The information in the IIV File will be sufficient for participants in 
the NSCC system to calculate the IIV for the Funds during the following 
business day.
    The Shares of the Funds will be purchased and redeemed entirely for 
cash. The use of an all-cash payment for the purchase and redemption of 
Creation Unit aggregations of the Shares is due to the limited 
transferability of Financial Instruments. The IIV File published before 
the open of business on a business day will permit NSCC participants to 
calculate (by means of calculating the IIV) the amount of cash required 
to create a Creation Unit and the amount of cash that will be paid upon 
redemption of a Creation Unit, for each Fund for that business day. All 
Authorized Participants who are NSCC participants and the Exchange will 
have access to the Web site containing the IIV File. The IIV File will 
reflect trades made on behalf of a Fund and the creation/redemption 
orders for that business day. Accordingly, by approximately 7 p.m. ET, 
Authorized Participants will know the composition of a Fund's portfolio 
for the next trading day.
    The Exchange believes that Shares will not trade at a material 
discount or premium to the underlying securities held by a Fund based 
on potential arbitrage opportunities. The arbitrage process, which 
provides the opportunity to profit from differences in prices of the 
same or similar securities, increases the efficiency of the markets and 
serves to prevent potentially manipulative efforts. If the price of a 
Share deviates enough from the Creation Unit, on a per share basis, to 
create a material discount or

[[Page 45843]]

premium, an arbitrage opportunity is created allowing the arbitrageur 
to either buy Shares at a discount, immediately cancel them in exchange 
for the Creation Unit, and sell the underlying securities in the cash 
market at a profit, or sell Shares short at a premium and buy the 
Creation Unit in exchange for the Shares to deliver against the short 
position. In both instances, the arbitrageur locks in a profit, and the 
markets move back into line.\35\
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    \35\ In their Application, the Applicants stated that they do 
not believe that all-cash payments for creations/redemptions will 
affect arbitrage efficiency. This is because the Applicants believe 
it makes little difference to an arbitrageur whether Creation Unit 
aggregations are purchased in exchange for a basket of securities or 
cash. The important function of the arbitrageur is to bid the Share 
price of any Fund up or down until it converges with the NAV. 
Applicants note that this can occur regardless of whether the 
arbitrageur is allowed to create in cash or with a basket of 
securities. In either case, the arbitrageur can effectively hedge a 
position in a Fund in a variety of ways, including the use of 
market-on-close contracts to buy or sell the Financial Instruments.
---------------------------------------------------------------------------

Dividends and Distributions
    Dividends, if any, from net investment income will be declared and 
paid at least annually by each Fund in the same manner as by other 
open-end investment companies. Each Fund may pay dividends on a semi-
annual or more frequent basis. Distributions of realized securities 
gains, if any, generally will be declared and paid once a year.
    Dividends and other distributions on the Shares of each Fund will 
be distributed, on a pro rata basis to Beneficial Owners of such 
Shares. Dividend payments will be made through DTC and DTC participants 
to Beneficial Owners then of record with proceeds received from each 
Fund.
    The Trust will not make the DTC book-entry Dividend Reinvestment 
Service (the ``Dividend Reinvestment Service'') available for use by 
Beneficial Owners for reinvestment of their cash proceeds, but certain 
individual brokers may make a Dividend Reinvestment Service available 
to Beneficial Owners. The SAI will inform investors of this fact and 
direct interested investors to contact such investor's broker to 
ascertain the availability and a description of such a service through 
such broker. The SAI will also caution interested Beneficial Owners 
that they should note that each broker may require investors to adhere 
to specific procedures and timetables in order to participate in the 
service, and such investors should ascertain from their broker such 
necessary details. Shares acquired pursuant to such service will be 
held by the Beneficial Owners in the same manner and subject to the 
same terms and conditions as those for original ownership of Shares. 
Brokerage commissions, charges, and other costs, if any, incurred in 
purchasing Shares in the secondary market with the cash from the 
distributions generally will be an expense borne by the individual 
Beneficial Owners participating in reinvestment through such service.
Dissemination of Indicative Intra-Day Value (IIV)
    In order to provide updated information relating to each Fund for 
use by investors, professionals, and persons wishing to create or 
redeem Shares, the Exchange will disseminate through the facilities of 
the CT (1) Continuously throughout the trading day, the market value of 
a Share, and (2) at least every 15 seconds throughout Amex's trading 
day, a calculation of the IIV,\36\ as calculated by the Exchange (the 
``IIV Calculator''). The Exchange states that comparing these two 
figures helps an investor to determine whether, and to what extent, the 
Shares may be selling at a premium or a discount to NAV.
---------------------------------------------------------------------------

    \36\ The IIV is also referred to by other issuers as an 
``Estimated NAV,'' ``Underlying Trading Value,'' ``Indicative 
Optimized Portfolio Value (IOPV),'' and ``Intraday Indicative 
Value'' in various places such as the prospectus and marketing 
materials for different exchange-traded funds.
---------------------------------------------------------------------------

    The IIV is designed to provide investors with a reference value 
that can be used in connection with other related market information. 
The IIV does not necessarily reflect the precise composition of the 
current portfolio held by each Fund at a particular point in time. 
Therefore, the IIV on a per-Share basis disseminated during Amex 
trading hours should not be viewed as a real-time update of the NAV of 
a particular Fund, which is calculated only once a day. While the IIV 
that will be disseminated by Amex is expected to be close to the most 
recently calculated Fund NAV on a per-Share basis, it is possible that 
the value of the portfolio held by a Fund may diverge from the IIV 
during any trading day. In such case, the IIV will not precisely 
reflect the value of the Fund portfolio.
    The IIV Calculator will disseminate the IIV throughout the trading 
day for each Fund by: (1) Calculating the mark-to-market gains or 
losses from the Fund's total return equity swap exposure based on the 
percentage change to the Underlying Index and the previous day's 
notional values of the swap contracts, if any, held by such Fund (which 
previous day's notional value will be provided by the Trust); (2) 
calculating the mark-to-market gains or losses from futures, options, 
and other Financial Instrument positions by taking the difference 
between the current value of those positions held by the Fund, if any 
(as provided by the Trust), and the previous day's value of such 
positions; (3) adding the values from (1) and (2) above to an estimated 
cash amount provided by the Trust (which cash amount will include the 
swap costs) to arrive at a value; and (4) dividing that value 
calculated in (3) above by the total number of Shares outstanding (as 
provided by the Trust) to obtain current IIV.
Criteria for Initial and Continued Listing
    The Shares are subject to the criteria for initial and continued 
listing of Index Fund Shares under Amex Rule 1002A. A minimum of two 
Creation Units (at least 150,000 Shares) will be required to be 
outstanding at the start of trading. This minimum number of Shares 
required to be outstanding at the start of trading will be comparable 
to requirements that have been applied to previously listed series of 
Index Fund Shares. The Exchange believes that the proposed minimum 
number of Shares outstanding at the start of trading is sufficient to 
provide market liquidity. The Exchange, pursuant to Amex Rule 
1002A(a)(ii), will obtain a representation from the Trust (for each 
Fund), prior to listing, that the NAV per share for each Fund will be 
calculated daily and made available to all market participants at the 
same time. The Exchange represents that the Trust is required to comply 
with Rule 10A-3 under the Act \37\ for the initial and continued 
listing of the Shares.
---------------------------------------------------------------------------

    \37\ 17 CFR 240.10A-3 (setting forth listing standards relating 
to audit committees).
---------------------------------------------------------------------------

Amex Trading Rules and Trading Halts
    The Shares are equity securities subject to Amex rules governing 
the trading of equity securities.\38\ In addition, Amex Rule 154-
AEMI(c)(ii) \39\ and Commentary .04 to Amex Rule 190 \40\ apply to 
Index Fund Shares listed on the Exchange, including the Shares.
---------------------------------------------------------------------------

    \38\ Amex Confirmation (clarifying Amex trading rules applicable 
to the Shares).
    \39\ Amex Rule 154-AEMI(c)(ii) 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 Amex Rule 950-ANTE(f) and Commentary 
thereto), the price of which is derivatively priced based upon 
another security or index of securities, may be elected by a 
quotation. The Exchange has designated Index Fund Shares, including 
the Shares, as eligible for this treatment.
    \40\ Commentary .04 states that nothing in Amex Rule 190(a) 
should be construed to restrict a specialist registered in a 
security issued by an investment company from purchasing and 
redeeming the listed security or securities that can be subdivided 
or converted into the listed security from the issuer as appropriate 
to facilitate the maintenance of a fair and orderly market.

---------------------------------------------------------------------------

[[Page 45844]]

    In addition to other factors that may be relevant, the Exchange may 
consider factors such as those set forth in Amex Rule 918C(b) in 
exercising its discretion to halt or suspend trading in Index Fund 
Shares. These factors include, but are not limited to, (1) The extent 
to which trading is not occurring in securities comprising an 
Underlying Index and/or the Financial Instruments of a Fund, or (2) 
whether other unusual conditions or circumstances detrimental to the 
maintenance of a fair and orderly market are present. In the case of 
Financial Instruments held by a Fund, the Exchange represents that a 
notification procedure will be implemented so that timely notice from 
the Advisor is received by the Exchange when a particular Financial 
Instrument is in default or shortly to be in default. Notification from 
the Advisor will be made by phone, facsimile, or e-mail. The Exchange 
would then determine on a case-by-case basis whether a default of a 
particular Financial Instrument justifies a trading halt of the Shares. 
Trading in Shares of the Funds will also be halted if the circuit 
breaker parameters under Amex Rule 117 have been reached.
    Amex Rule 1002A(b)(ii) sets forth the trading halt parameters with 
respect to Index Fund Shares. If the IIV or the Underlying Index value 
applicable to that series of Index Fund Shares is not being 
disseminated as required, the Exchange may halt trading during the day 
in which the interruption to the dissemination of the IIV or the 
Underlying Index value occurs. If the interruption to the dissemination 
of the IIV or the Underlying Index value persists past the trading day 
in which it occurred, the Exchange will halt trading no later than the 
beginning of the trading day following the interruption.
Information Circular
    The Exchange, in an Information Circular to Exchange members and 
member organizations, prior to the commencement of trading, will inform 
members and member organizations regarding the application of 
Commentary .06 of Amex Rule 1000A-AEMI to the Funds. The Information 
Circular will further inform members and member organizations of the 
prospectus and/or product description delivery requirements that apply 
to the Funds.\41\
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    \41\ The Exchange states that the any product description used 
in reliance on Section 24(d) of the 1940 Act (15 U.S.C. 80a-24(d)) 
will comply with all representations and conditions set forth in the 
Application. See supra note 29.
---------------------------------------------------------------------------

    The Information Circular will also provide guidance with regard to 
member firm compliance responsibilities when effecting transactions in 
the Shares and highlighting the special risks and characteristics of 
the Funds and Shares as well as applicable Exchange rules. In 
particular, the Information Circular will set forth the requirements 
relating to Commentary .05 to Amex Rule 411 (Duty to Know and Approve 
Customers). Specifically, the Information Circular will remind members 
of their obligations in recommending transactions in the Shares so that 
members have a reasonable basis to believe that (1) The recommendation 
is suitable for a customer given reasonable inquiry concerning the 
customer's investment objectives, financial situation, needs, and any 
other information known by such member, and (2) that the customer can 
evaluate the special characteristics, and is able to bear the financial 
risks, of such investment. In connection with the suitability 
obligation, the Information Circular will also provide that members 
make reasonable efforts to obtain the following information: (a) The 
customer's financial status; (b) the customer's tax status; (c) the 
customer's investment objectives; and (d) such other information used 
or considered to be reasonable by such member or registered 
representative in making recommendations to the customer. In addition, 
the Information Circular will disclose that the procedures for 
purchases and redemptions of Shares in Creation Units are described in 
each Fund's prospectus and SAI, and that Shares are not individually 
redeemable, but are redeemable only in Creation Unit aggregations or 
multiples thereof.
Surveillance
    The Exchange represents that its surveillance procedures are 
adequate to properly monitor the trading of the Shares. Specifically, 
Amex will rely on its existing surveillance procedures governing Index 
Fund Shares. In addition, the Exchange also has a general policy 
prohibiting the distribution of material, non-public information by its 
employees.
2. Statutory Basis
    The proposed rule change is consistent with Section 6(b) of the 
Act,\42\ in general, and furthers the objectives of Section 
6(b)(5),\43\ 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 regulating, clearing, settling, processing 
information with respect to, and facilitating transactions in 
securities, and, in general, to protect investors and the public 
interest.
---------------------------------------------------------------------------

    \42\ 15 U.S.C. 78f(b).
    \43\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

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

    The Exchange believes the proposed rule change will impose no 
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 states that no written comments were solicited or 
received with respect to the proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 35 days of the date of publication of this notice in the 
Federal Register or within such longer period (i) As the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding or (ii) as to 
which 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.
    The Commission is considering granting accelerated approval of the 
proposed rule change at the end of a 15-day comment period.\44\
---------------------------------------------------------------------------

    \44\ In the Exchange Notice, Amex 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.
---------------------------------------------------------------------------

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-2007-60 on the subject line.

Paper Comments

     Send paper comments in triplicate to Nancy M. Morris, 
Secretary,

[[Page 45845]]

Securities and Exchange Commission, 100 F Street, NE., Washington, DC 
20549-1090.

All submissions should refer to File Number SR-Amex-2007-60. 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, 100 F Street, NE., Washington, DC 
20549, on official business days between the hours of 10 a.m. and 3 
p.m. 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-2007-60 and should be submitted on 
or before August 30, 2007.

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\45\
---------------------------------------------------------------------------

    \45\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
 [FR Doc. E7-15936 Filed 8-14-07; 8:45 am]

BILLING CODE 8010-01-P
