

[Federal Register: November 26, 2007 (Volume 72, Number 226)]
[Notices]               
[Page 65994-66002]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr26no07-76]                         

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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-56802; File No. SR-Amex-2007-53]

 
Self-Regulatory Organizations; American Stock Exchange LLC; 
Notice of Filing of a Proposed Rule Change, and Amendment Nos. 1 and 2 
Thereto, Relating to the Listing and Trading of the GreenHaven 
Continuous Commodity Index Fund

November 16, 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 May 29, 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

[[Page 65995]]

substantially prepared by the Exchange. On July 31, 2007, Amex filed 
Amendment No. 1 to the proposed rule change, and on November 16, 2007, 
Amex filed Amendment No. 2 to the proposed rule change. The Commission 
is publishing this notice to solicit comments on the proposed rule 
change, as amended, from interested persons.
---------------------------------------------------------------------------

    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes, pursuant to Commentary .07 to Amex Rule 
1202, to list and trade shares of the GreenHaven Continuous Commodity 
Index Fund (the ``Fund''). The text of the proposed rule change is 
available at the Commission's Public Reference Room, at the Exchange, 
and 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, 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
    Pursuant to Commentary .07 to Amex Rule 1202, the Exchange may 
approve for listing and trading trust issued receipts (``TIRs'') 
investing in shares or securities (the ``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 Fund (the ``Shares''), which represent beneficial ownership 
interests in the Master Fund's net assets, consisting solely of the 
common units of beneficial interest (``Master Fund Units'') of the 
GreenHaven Continuous Commodity Index Tracking Master Fund (the 
``Master Fund'').
    The investment objective of the Fund and the Master Fund is to 
reflect the performance of the Continuous Commodity Total Return Index 
(the ``Index'' or ``CCI-TR''), \3\ over time, less the expenses of the 
operations of the Fund and the Master Fund. The Fund will pursue its 
investment objective by investing substantially all of its assets in 
the Master Fund. The Master Fund will pursue its investment objective 
by investing in a portfolio of exchange-traded futures, each a 
``Commodity Futures Contract,'' on the commodities comprising the Index 
(``the Index Commodities''). The Master Fund will also hold cash and 
United States Treasury securities for deposit with the Master Fund's 
Commodity Broker as margin and other high credit quality short-term 
fixed income securities. The Master Fund's portfolio is managed to 
reflect the performance of the Index over time.
---------------------------------------------------------------------------

    \3\ Reuters America LLC (``Reuters'') is the owner, publisher, 
and custodian of CCI-TR which represents a total return version of 
the original Commodity Research Bureau (CRB) Index. The Index is 
widely viewed as a broad measure of overall commodity price trends 
because of the diverse nature of the Index's constituent 
commodities. The Index is calculated to produce an unweighted 
geometric mean of the individual commodity price relatives, i.e., a 
ratio of the current price to the base year average price. The base 
year for the CCI-TR is 1982, with a starting value of 100.
---------------------------------------------------------------------------

    The Master Fund will not be ``actively managed,'' but instead seeks 
to track the performance of the CCI-TR. To maintain the correspondence 
between the composition and weightings of the Index Commodities 
comprising the Index, the Managing Owner may adjust the portfolio on a 
daily basis to conform to periodic changes in the identity and/or 
relative weighting of the Index Commodities. The Managing Owner will 
also make adjustments and changes to the portfolio in the case of 
significant changes to the Index. The Managing Owner is registered as a 
commodity pool operator (``CPO'') and commodity trading advisor 
(``CTA'') with the Commodity Futures Trading Commission (``CFTC'') and 
is a member of the National Futures Association (``NFA'').
    The Exchange submits that Commentary .07 to Amex Rule 1202 
accommodates the listing and trading of the Shares.

a. Introduction

    In January of 2006, the Commission approved Commentary .07 to Rule 
1202, which expanded the ability of the Exchange to list and trade TIRs 
based on a portfolio of underlying investments that may not be 
``securities.'' \4\ In the instant proposal, the Exchange proposes to 
list and trade the Shares pursuant to such Rule.
---------------------------------------------------------------------------

    \4\ See Securities Exchange Act Release No. 53105 (January 11, 
2006), 71 FR 3129 (January 19, 2006) (SR-Amex-2005-59).
---------------------------------------------------------------------------

    Under Commentary .07(c) to Amex Rule 1202, the Exchange may list 
and trade TIRs investing in Investment Shares \5\ such as the Shares. 
The Shares will conform to the initial and continued listing criteria 
under Commentary .07(d) to Amex Rule 1202. The Fund was 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, CSC 
Trust Company of Delaware, as trustee, and the Managing Owner and the 
Limited Owner, as the holders of the Shares.\6\
---------------------------------------------------------------------------

    \5\ Commentary .07(b)(1) to Amex Rule 1202 defines ``Investment 
Shares'' as a security (a) that is issued by a trust, partnership, 
commodity pool or other similar entity that invests in any 
combination of futures contracts, options on futures contracts, 
forward contracts, commodities, swaps or high credit quality short-
term fixed income securities or other securities; and (b) issued and 
redeemed daily at net asset value in amounts correlating to the 
number of receipts created and redeemed in a specified aggregate 
minimum number.
    \6\ The Trust and the Funds will not be subject to registration 
and regulation under the Investment Company Act of 1940 (the ``1940 
Act'').
---------------------------------------------------------------------------

    The Exchange notes that the Commission has permitted the listing 
and trading on Amex of products linked to the performance of underlying 
currencies and commodities.\7\
---------------------------------------------------------------------------

    \7\ See, e.g., Securities Exchange Act Release Nos. 55632 (April 
13, 2007), 72 FR 19987 (April 20, 2007) (SR-Amex-2006-112) 
(approving the listing and trading of the United States Natural Gas 
Fund, LP); 53582 (March 31, 2006), 71 FR 17510 (April 6, 2006) (SR-
Amex 2005-127) (approving the listing and trading of the United 
States Oil Fund, LP); 53521 (March 20, 2006), 71 FR 14967 (March 24, 
2006) (SR-Amex 2005-72) (approving the listing and trading of the 
iShares Silver Trust); and 53105 (January 11, 2006), 71 FR 3129 
(January 19, 2006) (SR-Amex 2006-53) (approving the listing and 
trading of the DB Commodity Index Tracking Fund); 53059 (January 5, 
2006), 71 FR 2072 (January 12, 2006) (SR-Amex 2005-128) (approving 
the listing and trading of the Euro Currency Trust); 51058 (January 
19, 2005), 70 FR 3749 (January 26, 2005) (SR-Amex 2004-38) 
(approving the listing and trading of the iShares COMEX Gold Trust); 
and 51446 (March 29, 2005), 70 FR 17272 (April 5, 2005) (SR-2005-32) 
(approving the listing and trading of streetTRACKS Gold Shares). See 
also Securities Exchange Act Release Nos. 55029 (December 29, 2006), 
72 FR 806 (January 8, 2007) (SR-Amex 2006-76) (approving the listing 
and trading of the DB Multi-Sector Commodity Trust); 54450 
(September 14, 2006), 71 FR 55230 (September 21, 2006) (SR-Amex 
2006-44) (approving the listing and trading of shares of the DB 
Currency Index Value Fund); and 55292 (February 14, 2007), 72 FR 
8406 (February 26, 2007) (SR-Amex 2006-86) (approving the listing 
and trading of shares on DB U.S. Dollar Index Bullish Fund and the 
PowerShares DB U.S. Dollar Index Bearish Fund).
---------------------------------------------------------------------------

b. Description of the Index

    The CCI-TR, consisting of 17 commodity futures prices, offers 
investors a broad benchmark for the

[[Page 65996]]

performance of the commodity sector. The 17 commodities are currently: 
Corn, wheat, soybeans, live cattle, lean hogs, gold, silver, copper, 
cocoa, coffee, sugar 11, cotton, orange juice, platinum, crude 
oil, heating oil, and natural gas. The Index is intended to provide a 
representation of broad trends in overall commodity prices, and was 
originally calculated to produce a ratio of the current price to the 
base year average price. The Index takes into account the economics of 
rolling listed Commodity Futures Contracts forward to avoid delivery 
and maintain exposure to Commodity Futures Contracts with the liquidity 
characteristics of being exchange traded. The Index is generally viewed 
as a broad measure of overall commodity price trends.
    As the Commodity Futures Contracts near expiration, they are 
replaced by contracts that have a later expiration. For example, a 
contract purchased and held in November 2006 may specify January 2007 
expiration. As that contract nears expiration, it may be replaced by 
selling the January 2007 contract and purchasing the contract expiring 
in March 2007. This process is referred to as ``rolling.'' 
Historically, the prices of crude oil and heating oil have frequently 
been higher for contracts with shorter-term expirations than for 
contracts with longer-term expirations, which is referred to as 
``backwardation.'' In these circumstances, absent other factors, the 
sale of the January 2007 contract would take place at a price that is 
higher than the price at which the March 2007 contract is purchased, 
thereby creating a gain in connection with rolling. While crude oil and 
heating oil have historically exhibited consistent periods of 
backwardation, backwardation will likely not exist in these markets at 
all times.
    Conversely, gold, corn, soybeans and wheat historically exhibit 
``contango'' markets rather than backwardation, where the prices of 
contracts are higher in the distant delivery months than in the nearer 
delivery months due to the costs of long-term storage of a physical 
commodity prior to delivery or other factors. Although gold, corn, 
soybeans and wheat have historically exhibited consistent periods of 
contango, it is not likely this will exist in these markets at all 
times.
    The Index generally averages all futures prices six months forward, 
up to a maximum of five delivery months per commodity. A minimum of two 
delivery months, however, must be used to calculate the current price 
if the second contract is outside the six-month window. Commodity 
Futures Contracts in the delivery period are excluded from the 
calculation. Although each of the 17 commodities is equally weighted, 
the Index uses an average of the prices of the 17 commodities and an 
average of those commodities across time within each commodity. Each 
commodity is averaged across time (six-month period) and then these 17 
component figures are averaged together. The continuous rebalancing 
provided by this methodology means the Index constantly decreases 
exposure to commodity markets gaining in value and increases exposure 
to those markets declining in value to the diverse nature of its 
constituent commodities.
    The following table reflects the index weights, of each Index 
commodity:

------------------------------------------------------------------------
                                                           Index weight
                     Index commodity                         (percent)
------------------------------------------------------------------------
WTI Crude Oil...........................................            5.88
Heating Oil.............................................            5.88
Natural Gas.............................................            5.88
Corn....................................................            5.88
Wheat...................................................            5.88
Soybeans................................................            5.88
Live Cattle.............................................            5.88
Lean Hogs...............................................            5.88
Sugar...................................................            5.88
Cotton..................................................            5.88
Coffee..................................................            5.88
Cocoa...................................................            5.88
Orange Juice............................................            5.88
Gold....................................................            5.88
Silver..................................................            5.88
Platinum................................................            5.88
Copper..................................................            5.88
------------------------------------------------------------------------

    Calculating Total Return. The calculation of this index is 
comprised of the daily changes in the CCI spot index, the roll yield 
that is implied by rolling selected commodity futures contracts forward 
to the next defined commodity contract on specific dates (Roll Dates), 
and the 90 day T-Bill yield for a single day. The CCI-TR is calculated 
using the following three variables:
     The CCI cash index and its daily return; The CCI is a 
geometric average of the 17 commodities multiplied by a constant 
factor.
    CCI = [Geometric Average (PRICES)/30.7766] x 0.8486 x 100.
     The second Friday in January, February, April, June, 
August, and November are the roll dates for the CCI-TR. On these dates, 
two sets of prices are considered; one from the expiring month contract 
and another from the next contract month window. The ratio of the two 
index values is the roll ratio. Each index value in the subsequent 
contract month, is multiplied by the value of the ratio. The roll ratio 
is determined on the roll date and then is multiplied to each of the 
index values for that contract month. The index treated by multiplying 
the CCI with the roll ratio is called the CCI--Roll Return Index or CCI 
Continuous Contract Index. Roll Ratio = Index Value (nearby month)/
Index value (deferred Month), on the date.
     The CCI-TR had a starting value of 100 on January 1st 
1982. This index is compounded daily by multiplying the previous day 
value with change in CCI Index on that day and 90 days T-Bill yield for 
a single day. On Mondays, the T-Bill yield for 3 days is used because 
of the interest earned by the collateral over the weekend.
    CCI-TR = 100 x (1+ Continuous Daily Return + T-Bill return for one 
day), beginning January 1, 1982.
    Continuous Daily return = [CCI Continuous Contract Index/CCI 
Continuous Contract Index t-1].
    T-Bill return for one day = {[1/(1-(91/360) x T-Bill Rate t-1)]-(l/
91){time} -1.

c. Commodity Futures Contracts

    The prices of the Commodity Futures Contracts are volatile with 
fluctuations expected to affect the value of the Shares. Commodity 
Futures Contracts to be held by the Master Fund will be traded solely 
on U.S. futures exchanges. The Commodity Futures Contracts to be 
entered into by the Master Fund are listed and traded on organized and 
regulated exchanges based on the various commodities comprising the 
Index described above.

----------------------------------------------------------------------------------------------------------------
            Index commodity                        Exchange                           Time traded
----------------------------------------------------------------------------------------------------------------
WTI Crude Oil..........................  New York Mercantile          9 a.m.-2:30 p.m. In addition, NYMEX ACCESS
Heating Oil............................   Exchange (``NYMEX'').        [reg], an electronic trading system, is
                                                                       open for price discovery on the Benchmark
                                                                       Futures Contract each Monday through
                                                                       Thursday at 3:15 p.m. ET through the
                                                                       following morning at 9:50 a.m. E.T., and
                                                                       on Friday from 3:15 p.m. to 5:15 p.m. and
                                                                       from 7 p.m. Sunday night until Monday
                                                                       morning 9:50 a.m. ET.
Natural Gas............................

[[Page 65997]]


Corn...................................  Chicago Board of Trade       9:30 a.m.-1:15 p.m. Electronic trading is
                                          (``CBOT'').                  from 6:30 p.m.-6 a.m. and 9:30 a.m.-1:15
                                                                       p.m.
Wheat..................................  CBOT.......................  9:30 a.m.-1:15 p.m. Electronic trading is
                                                                       from 6:32 p.m.-6 a.m. and 9:30 a.m.-1:15
                                                                       p.m.
Soybeans...............................  CBOT.......................  9:30 a.m.-1:15 p.m. Electronic trading is
                                                                       from 6:31 p.m.-6 a.m. and 9:30 a.m.-1:15
                                                                       p.m.
Live Cattle............................  Chicago Mercantile Exchange  9:05-1 p.m.
                                          (``CME'').
Lean Hogs..............................  CME........................  9:10-1 p.m.
Sugar No. 11...........................  New York Board of Trade      8:10 a.m. to 12:30 p.m.; pre-open
                                          (``NYBOT'').                 commences at 8 a.m.; closing period
                                                                       commences at 11:58 a.m. Electronic
                                                                       trading has a pre-opening trading session
                                                                       from 8 p.m. of prior day until 1:30 a.m.
                                                                       and then 1:30 a.m. through 3:15 p.m.
Cotton.................................  NYBOT......................  10:30 a.m. to 2:15 p.m.; pre-open
                                                                       commences at 10:20 a.m.; closing period
                                                                       commences at 2:14 p.m. Electronic trading
                                                                       has a pre-opening trading session from 8
                                                                       p.m. of prior day until 1:30 a.m. and
                                                                       then 1:30 a.m. through 3:15 p.m.
Coffee.................................  NYBOT......................  8:30 a.m. to 12:30 p.m.; pre-open
                                                                       commences at 8:20 a.m.; closing period
                                                                       commences at 12:28 p.m. Electronic
                                                                       trading has a pre-opening trading session
                                                                       from 8 p.m. of prior day until 1:30 a.m.
                                                                       and then 1:30 a.m. through 3:15 p.m.
Cocoa..................................  NYBOT......................  8 a.m.--11:50 a.m. Pre-Open commences at
                                                                       7:50 a.m.; closing period commences at
                                                                       11:45 a.m. Electronic trading has a pre-
                                                                       opening trading session from 8 p.m. of
                                                                       prior day until 1:30 a.m. and then 1:30
                                                                       a.m. through 3:15 p.m.
Orange Juice...........................  NYBOT......................  10 a.m. to 1:30 p.m.; pre-open commences
                                                                       at 9:50 a.m.; pre-close commences at 1:15
                                                                       p.m.; closing period commences at 1:29
                                                                       p.m. Electronic trading has a pre-opening
                                                                       trading session from 6:45 a.m. until 7
                                                                       a.m. and then 7 a.m. through 3:15 p.m.
Gold...................................  NYMEX......................  8:20 p.m.-1:30 p.m.
Silver.................................  NYMEX......................  8:25 a.m.-1:25 p.m.
Platinum...............................  NYMEX......................  8:20 a.m.-1:05 p.m.
Copper.................................  NYMEX......................  8:10 a.m.-1 p.m.
----------------------------------------------------------------------------------------------------------------

d. Structure of the Funds

    Fund and Master Fund. The Fund and Master Fund are statutory trusts 
formed pursuant to the Delaware Statutory Trust Act and will issue 
units of beneficial interest or shares that represent units of 
fractional undivided beneficial interest in and ownership of the 
respective Fund, or Master Fund. Unless terminated earlier, the Fund 
and Master Fund are of a perpetual duration. The investment objective 
of the Fund, through its investment in the Master Fund, is to reflect 
the performance of the Index, over time, less the expenses of the Fund 
and the Master Fund's overall operations. The Fund will pursue its 
investment objective by investing substantially all of its assets in 
the Master Fund in a master-feeder structure. The Fund will hold no 
investment assets other than Master Fund Units. The Master Fund will be 
wholly-owned by the Fund and the Managing Owner. Each Share issued by 
the Fund will correlate with a Master Fund Unit issued by the Master 
Fund and held by the Fund.\8\
---------------------------------------------------------------------------

    \8\ See infra at note 9.
---------------------------------------------------------------------------

    The Master Fund will invest in a portfolio of Commodity Futures 
Contracts on the Index Commodities. 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. CSC Trust Company of Delaware (the ``Trustee'') is the 
sole trustee of the Fund and the Master Fund. The Trustee delegated to 
the Managing Owner certain of the power and authority to manage the 
business and affairs of the Fund and the Master Fund and has duties and 
liabilities to the Fund and the Master Fund.
    Managing Owner. GreenHaven Commodity Services LLC, a Delaware 
limited liability company, will serve as Managing Owner of the Fund and 
the Master Fund. The Managing Owner will serve as the commodity pool 
operator and commodity trading advisor of the Fund and the Master Fund. 
The Managing Owner is registered as a commodity pool operator and 
commodity trading advisor with the Commodity Futures Trading 
Commission, or the CFTC, and with the National Futures Association, or 
the NFA. As a registered commodity pool operator and commodity trading 
advisor, with respect to both the Fund and the Master Fund, the 
Managing Owner 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, antifraud prohibitions, disclosure requirements, and 
reporting and recordkeeping requirements.
    Commodity Broker or Clearing Broker. Fimat (the ``Commodity 
Broker'' or the ``Clearing Broker'') will execute and clear the Master 
Fund's Commodity Futures Contract transactions and will perform certain 
administrative services for the Master Fund. The Commodity Broker is 
registered with the CFTC as a FCM and is a member of the NFA in such 
capacity.
    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 the Fund and the 
Master Fund. These services include, but are not limited to, receiving 
and processing orders from Authorized Participants (as defined below) 
to create and redeem Baskets, accounting, net asset value (``NAV'') \9\

[[Page 65998]]

calculations and other fund administrative services.
---------------------------------------------------------------------------

    \9\ For the Master Fund, the NAV is the total assets of the 
Master Fund less total liabilities of the Master Fund, determined on 
the basis of generally accepted accounting principles. NAV per 
Master Fund Unit is calculated by dividing by the number of 
outstanding units of the Master Fund. The NAV per Share will be the 
same because of the one-to-one correlation between the Shares and 
the Master Fund Units.
---------------------------------------------------------------------------

    Distributor. ALPS Distributor, Inc., is the distributor for both 
the Fund and the Master Fund (the ``Distributor''). The Distributor 
will assist the Managing Owner and the Administrator with certain 
functions and duties relating to the creation and redemption of 
Baskets, including receiving and processing orders from Authorized 
Participants to create and redeem Baskets, coordinating the processing 
of such orders and related functions and duties. The Distributor shall 
also review and file marketing materials with the Financial Industry 
Regulatory Authority, field investor calls, distribute prospectuses and 
consult with the Managing Owner and its affiliates in connection with 
marketing and sales strategies.

e. Product Description

    Creation and Redemption of Shares. Issuances of the Shares will be 
made only in one or more blocks of 50,000 Shares, each a Basket (the 
``Basket'' or ``Basket Aggregation''). The Fund will issue and redeem 
the Shares on a continuous basis, by or through participants that have 
entered into participant agreements (each, an ``Authorized 
Participant'') \10\ with the Managing Owner at the NAV per Share next 
determined after an order to purchase the Shares 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.
---------------------------------------------------------------------------

    \10\ 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, (i) is a registered broker-dealer, (ii) is a 
Depository Trust Company (``DTC'') participant (such as a bank, 
broker, dealer and trust company) or is an Indirect Participant 
(i.e., someone who maintains either directly or indirectly, a 
custodial relationship with a DTC participant) and (iii) has in 
effect a valid participant agreement, which sets forth the 
procedures for the creation and redemption of Baskets of Shares and 
for the delivery of cash required for such creations or redemptions.
---------------------------------------------------------------------------

    Baskets will be issued in exchange for a cash amount equal to the 
NAV per Share times 50,000 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 Fund and responsible for safekeeping 
the Master Fund's assets.
    All purchase orders must be placed by 10 a.m., New York time. The 
Basket will be issued at noon on the business day (T+1) immediately 
following the purchase order date at the Basket Amount as of the later 
of the closing time on the Exchange or the last to close futures 
exchange on which the Master Fund's assets are traded.\11\ 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 per Share (as described below) and accrued 
expenses. The Administrator will determine the Cash Deposit Amount for 
a given business day by multiplying the NAV per Share by the number of 
Shares in each Basket (50,000).
---------------------------------------------------------------------------

    \11\ The Master Fund is permitted to invest its assets in those 
futures contracts traded on futures exchanges that either have a 
comprehensive surveillance sharing agreement with the Exchange or 
are either SRO members or affiliate members of the Intermarket 
Surveillance Group (``ISG'').
---------------------------------------------------------------------------

    Likewise, all redemption orders must be placed by 10 a.m., New York 
time. The Shares will not be individually redeemable but will only be 
redeemable in Baskets. To redeem, an Authorized Participant will be 
required to accumulate enough Shares to constitute a Basket (i.e., 
50,000 shares). Upon the surrender of the Shares, the Administrator 
will deliver to the redeeming Authorized Participant the Cash 
Redemption Amount. The Authorized Participant is required to pay a 
transaction fee to the Fund of $500 per order to create or redeem 
Baskets.
    On each business day, the Administrator will make available 
immediately prior to the opening of trading on Amex via the facilities 
of the CTA, 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 CTA, 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.\12\ 
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.
---------------------------------------------------------------------------

    \12\ The Shares are separate and distinct from the shares of the 
Master Funds consisting primarily of Commodity Futures Contracts on 
the Index Commodities. The Exchange expects that the number of 
outstanding Shares will increase and decrease as a result of 
creations and redemptions of Baskets.
---------------------------------------------------------------------------

    Net Asset Value. Shortly after 4:00 p.m. ET each business day, the 
Administrator will determine the NAV for the Fund, utilizing the 
current settlement value of each Commodity Futures Contract held by the 
Master Fund. At or about 4 p.m. ET each business day, the Administrator 
will determine the Basket Amounts for orders placed by Authorized 
Participants that day. Thus, although Authorized Participants may place 
valid orders to purchase Shares throughout the trading day until 10 
a.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 Managing Owner will disseminate the NAV per Share and the Basket 
Amount (for orders placed during the day). The Basket Amount and the 
NAV per Share are communicated by the Administrator to all Authorized 
Participants via facsimile or electronic mail message and the NAV per 
Share will be available on the Managing Owner's Web site at http://www.Greenhavenllc.com.
\13\ Amex will also disclose the NAV per Share 

and Basket Amount on its Web site.
---------------------------------------------------------------------------

    \13\ If the NAV per Share is not disseminated to all market 
participants at the same time, the Exchange will halt trading in the 
Shares of a Fund.
---------------------------------------------------------------------------

    In calculating the NAV per Share the Administrator will value all 
Commodity Futures 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, the settlement price on the most 
recent trading day on which such Commodity Futures contract could have 
been liquidated will be used in determining the Fund's NAV per Share. 
Accordingly, the Administrator will typically use that day's futures 
settlement price for determining NAV per Share. When calculating NAV 
per Share, the Administrator will value the Commodity Futures Contracts 
held by the Master Fund on the basis of their then current market 
value.
    The Exchange believes that the Shares will not trade at a material 
discount or

[[Page 65999]]

premium to the Commodities Futures Contracts held by the Fund based on 
potential arbitrage opportunities. The arbitrage process, in this case, 
provides an opportunity to profit from the differences in prices of the 
same or similar securities or futures contracts, increases the 
efficiency of the markets, and serves to prevent potentially 
manipulative efforts. If the price of a Share deviates enough from the 
Indicative Fund Value (discussed below) on a per Share basis to create 
a material discount or premium, an arbitrage opportunity is created, 
allowing the arbitrageur to either buy Shares at a discount and 
immediately short the component future contracts of the CCI-TR Index or 
sell Shares short at a premium and buy the component futures contracts 
of the CCI-TR Index. Due to the fact that the Shares can be created and 
redeemed only in Basket Aggregations at 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.

f. Dissemination of the Index and Underlying Contract Information

    Reuters America LLC is the owner, publisher and custodian of CCI-
TR, which represents a total return version of the ninth revision (as 
of 1995) of the original Commodity Research Bureau (CRB) Index. Values 
of the underlying Index are computed by Reuters America LLC and widely 
disseminated every 15 seconds during the day.
    CCI-TR is calculated to offer investors a representation of the 
investable returns that an investor should expect to receive by 
attempting to replicate the CCI index by buying the respective 
commodity futures and collateralizing their investment with United 
States Government securities (i.e., 90-day T-Bills). The CCI-TR takes 
into account the economics of rolling listed commodity futures forward 
to avoid delivery and maintain exposure in liquid contracts. To achieve 
the objectives of the index, Reuters has established rules for 
calculation of the index. Specifically, only settlement and last-sale 
prices are used in the Index's calculation, bids and offers are not 
recognized--including limit-bid and limit-offer price quotes. Where no 
last-sale price exists, typically in the more deferred contract months, 
the previous days' settlement price is used.
    The Managing Owner represents that it will seek to arrange to have 
the Index calculated and disseminated on a daily basis through a third 
party if the Index Sponsor ceases to calculate and disseminate the 
Index. If, however, the Managing Owner is unable to arrange the 
calculation and dissemination of the Index, the Exchange will undertake 
to delist the Shares.
    The disseminated value of the Index will not reflect changes to the 
prices of the Index Commodities between the close of trading of the 
various Commodity Futures Contracts and the close of trading at Amex at 
4:15 p.m. ET. In addition, Reuters and the Exchange on their respective 
Web sites will also provide any adjustments or changes to the Index.
    The daily settlement prices for each of the Commodity Futures 
Contracts held by the Master Fund are publicly available on the NYBOT, 
NYMEX, CME and CBOT Web sites.\14\ In addition, various data vendors 
and news publications publish futures prices and data. The Exchange 
represents that futures contract quotes and last sale information for 
the Commodity Futures Contracts on the Index Commodities is widely 
disseminated through a variety of market data vendors worldwide, 
including Bloomberg and Reuters. In addition, the Exchange further 
represents that complete real-time data for such Commodity Futures 
Contracts is available by subscription from Reuters and Bloomberg. The 
various futures exchanges also provide delayed futures information on 
current and past trading sessions and market news free of charge on 
their respective Web sites. The specific contract specifications for 
each Commodity Futures Contract are also available from the various 
futures exchanges on their Web sites as well as other financial 
informational sources.

g. Availability of Information Regarding the Shares

    The Web sites for the Fund and/or the Exchange, which are publicly 
accessible at no charge, will contain the following information: (a) 
The current NAV per Share daily and the prior business day's NAV per 
Share and the reported closing price; (b) the mid-point of the bid-ask 
price\15\ in relation to the NAV per Share as of the time it is 
calculated (the ``Bid-Ask Price''); (c) calculation of the premium or 
discount of such price against the NAV per Share; (d) data in chart 
form displaying the frequency distribution of discounts and premiums of 
the Bid-Ask Price against the NAV per Share, within appropriate ranges 
for each of the four previous calendar quarters; (e) the Prospectus; 
and (f) other applicable quantitative information.
---------------------------------------------------------------------------

    \14\ See http://www.nybot.com, http://www.nymex.com, http://www.cme.com, and http://www.cbot.com.

    \15\ The bid-ask price of Shares is determined using the highest 
bid and lowest offer as of the time of calculation of the NAV.
---------------------------------------------------------------------------

    As described above, the NAV per Share will be calculated and 
disseminated daily. Amex will disseminate for the Fund on a daily basis 
by means of CTA/CQ High Speed Lines information with respect to the 
corresponding Indicative Fund Value (as discussed below), recent NAVs 
per Share and Shares outstanding. The Exchange will also make available 
on its Web site daily trading volume of the Shares, closing prices of 
the Shares, and the NAV per Share. The closing price and settlement 
prices of the Commodity Futures Contracts held by the Master Fund are 
also readily available from the NYMEX, CBOT, CME and 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 CCI's Web site at http://www.crbtrader.com.


h. Dissemination of Indicative Fund Value

    As noted above, the Administrator calculates and disseminates, once 
each trading day, the NAV per Share to market participants. The 
Exchange represents that it will obtain a representation (prior to 
listing of the Funds) from the Trust that the NAV per Share will be 
calculated daily and 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 addition, 
other investors can request such information directly from the 
Administrator, and such information will be provided upon request.
    In order to provide updated information relating to the Fund for 
use by investors, professionals and persons wishing to create or redeem 
the Shares, the Exchange will disseminate through the facilities of 
CTA, an updated Indicative Fund Value (the ``Indicative Fund Value'') 
for the Fund. The respective Indicative Fund Value 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 x 50,000) for the Fund adjusted to reflect the 
price changes of the Commodity Futures Contracts and the holdings of 
U.S. Treasury securities and other high credit quality short-term fixed 
income securities.

[[Page 66000]]

    The Indicative Fund Value will not reflect price changes to the 
price of an underlying commodity between the close of trading of the 
futures contract at the relevant futures exchange and the close of 
trading on Amex at 4 p.m. ET. The value of a Share may accordingly be 
influenced by non-concurrent trading hours between Amex and the various 
futures exchanges on which the futures contracts based on the Index 
commodities are traded. While the Shares will trade on Amex from 9 a.m. 
to 4 p.m. ET, the trading hours for each of the Index commodities 
underlying the futures contracts will vary as previously noted.
    While the market for futures trading for each of the Index 
commodities is open, the Indicative Fund Value can be expected to 
closely approximate the value per Share of the Basket Amount. However, 
during Amex trading hours when the futures 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 the Shares. Indicative Fund Value on a per Share basis 
disseminated during Amex trading hours should not be viewed as a real 
time update of the 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 a Basket Aggregation 
provides additional information that is not otherwise available to the 
public and is useful to professionals and investors in connection with 
the Shares trading on the Exchange or the creation or redemption of the 
Shares.

i. Termination Events

    The Fund will 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 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 75% of the Fund 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 the Fund in relation to the operating 
expenses of the Fund make it unreasonable or imprudent to continue the 
business of the Fund, or, in the exercise of its reasonable discretion, 
the determination by the Managing Owner to dissolve the Trust because 
the aggregate net asset value of the Trust as of the close of business 
on any business day declines below $10 million; (7) the Trust or any 
Fund becoming 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, the Fund will endure perpetually. Upon 
termination of the Fund, holders of the Shares will surrender their 
Shares and receive from the Administrator, in cash, their portion of 
the value of the Fund.

j. Criteria for Initial and Continued Listing

    The Fund will be subject to the criteria in Commentary .07(d) of 
Amex Rule 1202 for initial and continued listing of the Shares.
    The Fund will accept subscriptions for Shares in Baskets from 
Authorized Participants at $30.00 per Share ($1.5 million per Basket) 
during an initial offering period commencing with the initial effective 
date of the prospectus, and terminating no later than the 90th day 
following such date, unless (i) the subscription minimum is reached 
before that date and the Managing Owner determines to end the initial 
offering period early, or (ii) that date is extended by the Managing 
Owner for up to an additional 90 days.
    The Exchange believes that the anticipated minimum number of Shares 
outstanding at the start of trading is sufficient to provide adequate 
market liquidity and to further the objectives of the Fund.
    The Exchange represents that, for the initial and continued 
listing, the Shares must be in compliance with Section 803 of the Amex 
Company Guide and Rule 10A-3 under the Act.

k. Original and Annual Listing Fees

    The Amex original listing fee applicable to the listing of the Fund 
is $5,000. 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 the Fund outstanding at the end of each calendar 
year.

l. Disclosure

    The Exchange, in an Information Circular (described below) 
distributed to Exchange members and member organizations, will inform 
members and member organizations, prior to commencement of trading, of 
the prospectus delivery requirements applicable to the Fund. The 
Exchange notes that investors purchasing Shares directly from the Fund 
(by delivery of the corresponding Cash Deposit Amounts) will receive a 
prospectus. Amex members purchasing Shares from the Administrator for 
resale to investors will deliver a prospectus to such investors.

m. Purchase and Redemptions in the Basket Amount

    In the Information Circular (described below), members and member 
organizations will be informed that procedures for purchases and 
redemptions of Shares in the Basket Amount are described in the 
Prospectus and that Shares are not individually redeemable but are 
redeemable only in Baskets or multiples thereof.

n. Trading Rules

    The Shares are equity securities subject to Amex Rules governing 
the trading of equity securities, including, among others, rules 
governing priority, parity and precedence of orders, specialist 
responsibilities and account opening and customer suitability (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-AEMI. Trading rules pertaining to odd-
lot trading in Amex equities (Rule 205-AEMI) will also apply.
    Amex Rule 154-AEMI (c)(ii) provides that stop and stop limit orders 
to buy or sell a security the price of which is derivatively priced 
based upon another security or index of securities, may be elected by a 
quotation, as set forth in subparagraphs(c)(ii)(1)-(4) of Rule 154-
AEMI.
    Amex Rule 126A-AEMI complies with Rule 611 of Regulation NMS which 
requires, among other things, that the Exchange adopt and enforce 
written policies and procedures that are reasonably designed to prevent 
trade through of protected quotations.\16\
---------------------------------------------------------------------------

    \16\ See Securities Exchange Act Release No. 54552 (September 
29, 2006), 71 FR 59546 (October 10, 2006) (SR-Amex-2005-104).
---------------------------------------------------------------------------

    Specialist transactions of the Shares made in connection with the 
creation and redemption of Shares will not be

[[Page 66001]]

subject to the prohibitions of Amex Rule 190(a).\17\ 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.
---------------------------------------------------------------------------

    \17\ See Commentary .05 to Amex Rule 190.
---------------------------------------------------------------------------

    The Exchange's surveillance procedures for the Shares will be 
similar to those used for other TIRs and exchange-traded funds and will 
incorporate and rely upon existing Amex surveillance procedures 
governing options and equities.
    The trading of the Shares will be subject to certain conflict of 
interest provisions set forth in Commentary .07(e) to Amex Rule 1202.

o. Suitability

    The Information Circular (described below) will inform members and 
member organizations of the characteristics of the Fund 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.

p. Information Circular

    Amex will distribute an information circular to its members in 
connection with the trading of the Shares (``Information Circular''). 
The Information Circular will discuss the special characteristics and 
risks of trading this type of security, such as currency fluctuation 
risk. Specifically, the Information Circular, among other things, will 
discuss what the Shares are, how a Basket is created and redeemed, the 
requirement that members and member firms deliver a prospectus to 
investors purchasing the Shares prior to or concurrently with the 
confirmation of a transaction, applicable Amex rules, dissemination 
information, trading information and applicable suitability rules. The 
Information Circular will also explain that the Fund is subject to 
various fees and expenses described in the Registration Statement. The 
Information Circular will also reference the fact that the CFTC has 
regulatory jurisdiction over the trading of Commodity Futures 
Contracts.
    The Information Circular will also notify members and member 
organizations about the procedures for purchases and redemptions of 
Shares in Baskets, and that Shares are not individually redeemable but 
are redeemable only in one or more Baskets. The Information Circular 
will advise members of their suitability obligations with respect to 
recommended transactions to customers in the Shares. The Information 
Circular will also discuss any relief, if granted, by the Commission or 
the staff from any rules under the Act.
    The Information Circular will disclose that the trading hours of 
the Shares will be from 9:30 a.m. to 4:15 p.m. ET and that the NAV for 
the Shares will be calculated shortly after 4 p.m. ET each trading day. 
Information about the Shares and the Index will be publicly available 
on Amex's Web site and the Fund's Web site.

q. 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, which the Exchange 
states have been deemed adequate under the Act. The Exchange currently 
has in place comprehensive surveillance sharing agreements with ICE 
Futures, LME and NYMEX 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 CBOE, CME and NYBOT are members of the Intermarket 
Surveillance Group (``ISG''). As a result, the Exchange asserts that 
market surveillance information is available from relevant futures 
exchanges, if necessary, due to regulatory concerns that may arise in 
connection with the Commodity Futures Contracts.
2. Statutory Basis
    The Exchange believes that the proposed rule change is consistent 
with section 6 of the Act \18\ in general, and furthers the objectives 
of section 6(b)(5) \19\ in particular in that it is designed to prevent 
fraudulent and manipulative acts and practices, to promote just and 
equitable principles of trade, to remove impediments to and perfect the 
mechanism for a free and open market and a national market system, and, 
in general, to protect investors and the public interest.
---------------------------------------------------------------------------

    \18\ 15 U.S.C. 78f(b).
    \19\ 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 will 
impose any burden on competition.

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.

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

    Within 35 days of the date of publication of this notice in the 
Federal Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    A. By order approve such proposed rule change, 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.\20\
---------------------------------------------------------------------------

    \20\ 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-2007-53 on the subject line.

[[Page 66002]]

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-2007-53. 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 such 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-2007-53 and should be 
submitted on or before December 11, 2007.
---------------------------------------------------------------------------

    \21\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\21\
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7-22909 Filed 11-23-07; 8:45 am]

BILLING CODE 8011-01-P
