
[Federal Register: June 12, 2008 (Volume 73, Number 114)]
[Notices]               
[Page 33467-33476]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr12jn08-112]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-57932; File No. SR-Amex-2008-39]

 
Self-Regulatory Organizations; American Stock Exchange LLC; 
Notice of Filing of Proposed Rule Change and Amendment No. 1 Thereto 
Relating to the Listing and Trading of Trust Issued Receipts That 
Directly Hold Investments in Certain Financial Instruments and To 
Permit the Listing and Trading of Shares of Fourteen Funds of the 
Commodities and Currency Trust

June 5, 2008.
    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 9, 2008, 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. On June 4, 2008, the Exchange filed 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: (1) Amend Commentary .07 to Amex Rule 
1202 to permit the listing and trading of certain trust issued receipts 
(``TIRs'') that hold any combination of investments including cash, 
securities, options on securities and indices, commodities, futures 
contracts, options on futures contracts, forward contracts, equity 
caps, collars, and floors, and swap agreements (collectively, 
``Financial Instruments''); and (2) list and trade the shares 
(``Shares'') of fourteen funds (``Funds'') of the Commodities and 
Currency Trust (``Trust'') based on certain commodity indexes, 
commodities, and currencies pursuant to Commentary .07 to Amex Rule 
1202, as proposed to be amended. The text of the proposed rule change 
is available at Amex, the Commission's Public Reference Room, and 
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
    The Exchange proposes to amend Commentary .07 to Amex Rule 1202 to 
permit the listing and trading of certain TIRs that directly hold any 
combination of investments in Financial Instruments.\3\ In addition, 
the Exchange proposes to list and trade the Shares of the Funds 
pursuant to Commentary .07 to Amex Rule 1202, as proposed to be 
amended.
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    \3\ The Exchange represents that permissible securities in 
connection with Financial Instruments would not include foreign 
equity securities.
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Proposed Revision to Commentary .07 to Amex Rule 1202
    Commentary .07 to Amex Rule 1202 currently permits the Exchange to 
list and trade TIRs where the underlying trust holds ``Investment 
Shares.'' \4\ Investment Shares are defined in Commentary .07(b)(1) to 
Amex Rule 1202 as securities that are (a) 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 (``NAV'') in amounts correlating to 
the number of receipts created and redeemed in a specified aggregate 
minimum number. As a result, TIRs that are listed pursuant to current 
Commentary .07 to Amex Rule 1202 are required to be in the form of a 
``master-feeder'' structure, whereby the listed security holds or 
invests in the security of the fund that is investing in the prescribed 
financial instruments.
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    \4\ See Commentary .07(a) to Amex Rule 1202. See also Securities 
Exchange Act Release No. 53105 (January 11, 2006), 71 FR 3129 
(January 19, 2006) (SR-Amex 2005-059) (approving, among other 
things, the adoption of Commentary .07 to Amex Rule 1202).
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    As a result of a recent interpretation by the staff of the Internal 
Revenue Service relating to the inability to interpose a grantor trust 
in order to utilize a certain tax reporting form, the Exchange has been 
notified that the need for the current master-feeder structure set 
forth in Commentary .07 to Amex Rule 1202 is no longer necessary. The 
Exchange represents that there are no substantive differences between 
the proposed structure (TIRs directly holding Financial Instruments) 
and the current master-feeder structure (TIRs holding Investment Shares 
that invest in certain financial instruments). Amex states that its 
proposal would provide an alternative for issuers so that TIRs may be 
listed and traded on the Exchange that directly invests in or holds 
Financial Instruments, rather than through an additional security of a 
fund.
    Specifically, the proposal seeks to expand the application of 
Commentary .07 to Amex Rule 1202 to both Investment Shares and 
Financial Instruments. Accordingly, new Commentary .07(b)(4) to Amex 
Rule 1202 would be added to define ``Financial Instrument'' as any 
combination of cash, securities, options on securities and indices, 
commodities, futures contracts, options on futures contracts, forward 
contracts, equity caps, collars, and floors, and swap agreements. Amex 
seeks to add the term ``Financial Instrument'' to where the term 
``Investment Shares'' appears throughout Commentary .07 to Amex Rule 
1202 to indicate that TIRs directly holding Financial Instruments may 
be listed and traded on the Exchange.
Description of the Funds and the Shares
    The Shares of each Fund will generally be subject to the Amex rules 
applicable to TIRs. The Shares represent common units of fractional 
undivided beneficial interests in, and ownership of, each Fund. Each 
Fund will invest the proceeds of its offering of Shares in various 
Financial Instruments that will provide exposure to the Funds' 
underlying currency, commodity, or commodity index, as applicable. In 
addition, the Funds will also maintain cash positions in cash or money 
market instruments for the purpose of collateralizing such positions 
taken in the Financial Instruments.
    Shares of seven of the Funds of the Trust will be designated as 
Ultra ProShares while the Shares of the other seven Funds of the Trust 
will be

[[Page 33468]]

designated as UltraShort ProShares.\5\ Each of the Funds will have a 
distinct investment objective. The Funds will attempt, on a daily 
basis, to achieve their investment objective by corresponding to a 
specified multiple or an inverse multiple of the performance of a 
particular benchmark commodities index, commodity, or currency (each an 
``Underlying Benchmark'' and collectively, the ``Underlying 
Benchmarks'').
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    \5\ The Funds are the: (1) Ultra DJ-AIG Commodity ProShares; (2) 
UltraShort DJ-AIG Commodity ProShares; (3) Ultra DJ-AIG Agriculture 
ProShares; (4) UltraShort DJ-AIG Agriculture ProShares; (5) Ultra 
DJ-AIG Crude Oil ProShares; (6) UltraShort DJ-AIG Crude Oil 
ProShares; (7) Ultra Gold ProShares; (8) UltraShort Gold ProShares; 
(9) Ultra Silver ProShares; (10) UltraShort Silver ProShares; (11) 
Ultra Euro ProShares; (12) UltraShort Euro ProShares; (13) Ultra Yen 
ProShares; and (14) UltraShort Yen ProShares. See Exhibit A to 
Amex's proposed rule change.
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    Six Funds will be based on the following Underlying Benchmark 
indexes: (1) The Dow Jones-AIG Commodity IndexSM; (2) the 
Dow Jones-AIG Crude Oil Sub-IndexSM; and (3) the Dow Jones-
AIG Agriculture Sub-IndexSM (each, an ``Underlying Index'' 
and collectively, the ``Underlying Indexes''). Four Funds will be based 
on the following Underlying Benchmark commodities: (1) Gold; and (2) 
silver (each, an ``Underlying Commodity'' and collectively, the 
``Underlying Commodities''). Lastly, four Funds will be based on the 
following Underlying Benchmark currencies versus the U.S. dollar: (1) 
The Euro; and (2) the Japanese Yen (each, an ``Underlying Currency'' 
and collectively, the ``Underlying Currencies'').
    The Exchange proposes to list and trade the Shares of the Funds, 
that seek daily investment results, before fees and expenses, that 
correspond to twice (200%) the daily performance of the Underlying 
Benchmark (the ``Ultra Funds''). If each such Fund is successful in 
meeting its investment objective, the NAV \6\ of the Shares of each 
such Fund is expected to gain on a percentage basis, approximately 
twice as much as each such Fund's respective Underlying Benchmark when 
the price of the Underlying Benchmark increases on a given day, and 
should lose approximately twice as much when such price declines on a 
given day, before fees and expenses.
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    \6\ NAV means the total assets of a Fund including, but not 
limited to, all cash and cash equivalents or other debt securities, 
less total liabilities of such Fund, each determined on the basis of 
generally accepted accounting principles in the United States, 
consistently applied under the accrual method of accounting. In 
particular, NAV includes any unrealized profit or loss on open swaps 
and futures contracts and any other credit or debit accruing to a 
Fund but unpaid or not received by a Fund.
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    The Exchange also proposes to list and trade Shares of the Funds, 
that seek daily investment results, before fees and expenses that 
correspond to twice the inverse (-200%) of the daily performance of the 
Underlying Benchmark (the ``UltraShort Funds''). If each such Fund is 
successful in meeting its objective, the NAV of the Shares of each such 
Fund is expected to increase approximately twice as much, on a 
percentage basis, as the respective Underlying Benchmark loses on a 
given day, or should decrease approximately twice as much as the 
respective Underlying Benchmark gains when the Underlying Benchmark 
rises on a given day, before fees and expenses.
    The Exchange notes that the Commission has permitted the listing 
and trading on Amex of exchange-traded fund-like products linked to the 
performance of underlying currencies and commodities.\7\ In addition, 
the Exchange further notes that the shares of other UltraFunds and 
UltraShort Funds based on various securities indexes have previously 
been approved by the Commission.\8\
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    \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 2005-072) (approving the listing and trading of the 
iShares Silver Trust); 53105 (January 11, 2006), 71 FR 3129 (January 
19, 2006) (SR-Amex 2005-059) (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 trading 
of the Euro Currency Trust pursuant to unlisted trading privileges 
(``UTP'')); 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-Amex-2005-032) (approving the trading of streetTRACKS Gold 
Shares pursuant to UTP). 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); 55292 (February 14, 
2007), 72 FR 8406 (February 26, 2007) (SR-Amex 2006-86) (approving 
the listing and trading of shares of the PowerShares DB U.S. Dollar 
Index Bullish Fund and the PowerShares DB U.S. Dollar Index Bearish 
Fund); 56969 (December 14, 2007), 72 FR 72424 (December 20, 2007) 
(approving the listing and trading of shares on the GreenHaven 
Continuous Commodity Index Fund).
    \8\ See Securities Exchange Act Release Nos. 52553 (October 3, 
2005), 70 FR 59100 (October 11, 2005) (SR-Amex-2004-62) (approving 
the listing and trading of shares of the xtraShares Trust); 54040 
(June 23, 2006), 71 FR 37629 (June 30, 2006) (SR-Amex-2006-41) 
(approving the listing and trading of shares of the ProShares 
Trust); 55117 (January 17, 2007), 72 FR 3442 (January 25, 2007) (SR-
Amex 2006-101) (approving the listing and trading of shares of the 
ProShares Trust); 56592 (October 1, 2007), 72 FR 57364 (October 9, 
2007) (SR-Amex-2007-60) (approving the listing and trading of shares 
of the ProShares Trust based on international equity indexes); and 
56998 (December 19, 2007), 72 FR 73404 (December 27, 2007) (SR-Amex-
2007-104) (approving the listing and trading of shares of the 
ProShares Trust).
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    The Underyling Indexes. As noted above, six of the Funds will be 
based on the Underlying Indexes.\9\ The Underlying Indexes are all sub-
indexes within the Dow Jones-AIG Commodity Index.\10\ The Commission 
has previously approved for trading certain derivative securities 
products based on the Dow Jones-AIG Commodity Index and certain of its 
sub-indexes.\11\
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    \9\ ProShares, Dow Jones & Co. (``Dow Jones''), and AIG-FP (as 
defined below) have entered into a non-exclusive license agreement 
providing for the use of the Underlying Indexes in connection with 
the Funds. The Exchange states that AIG-FP, its subsidiaries, and 
affiliates are not responsible for and will not participate in the 
issuance and creation of the Fund Shares.
    \10\ The Exchange states that it lists and trades exchange-
traded notes linked to the performance of the Dow Jones-AIG 
Commodity Index Total Return. See Securities Exchange Act Release 
No. 55776 (May 17, 2007), 72 FR 29015 (May 23, 2007) (SR-Amex-2007-
29) (approving the listing and trading of floating rate notes linked 
to the performance of the Dow Jones-AIG Commodity Index Total 
Return). The Exchange states that it also lists and trades exchange-
traded notes linked to the performance of the Dow Jones-AIG ExEnergy 
Sub-Index. See Securities Exchange Act Release No. 54790 (November 
20, 2006), 71 FR 68645 (November 27, 2006) (SR-Amex-2006-01) 
(approving the listing and trading of principal protected notes 
linked to the performance of the Dow Jones-AIG ExEnergy Sub-Index).
    \11\ See Securities Exchange Act Release No. 55548 (March 28, 
2007), 72 FR 16392 (April 4, 2007) (SR-NYSE-2006-71) (approving the 
listing and trading of nine series of exchange-traded notes of 
Barclays Bank PLC linked to the sub-indexes of the Dow Jones-AIG 
Commodity Index).
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    (1) Dow Jones-AIG Commodity Index Excess Return. This Underlying 
Index is a proprietary index that AIG Financial Products Corp. 
(successor to AIG International, Inc. or ``AIG-FP'') developed and that 
Dow Jones, in conjunction with AIG-FP, calculates.\12\

[[Page 33469]]

 The methodology for determining the composition and weighting of the 
Underlying Index and for calculating its level is subject to 
modification by the sponsors at any time. Dow Jones disseminates the 
Underlying Index level at least every 15 seconds from 8 a.m. to 3 p.m. 
Eastern time (``ET'') \13\ and publishes a daily Underlying Index level 
at approximately 5 p.m. ET each business day on its Web site at http://
www.djindexes.com and through other major market data vendors.
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    \12\ AIG-FP, a co-sponsor of the Index, represented to the 
Exchange that it will: (1) Implement and maintain firewall 
procedures reasonably designed to prevent the use and dissemination 
by relevant personnel of AIG-FP, in violation of applicable laws, 
rules, and regulations, of material non-public information relating 
to changes in the composition or method of computation or 
calculation of the Underlying Indexes; and (2) periodically check 
the application of such firewall procedures as they relate to such 
personnel of AIG-FP directly responsible for such changes. The 
Exchange states that AIG-FP is not a broker-dealer, but does have 
affiliated companies that are broker-dealers. Dow Jones has informed 
the Exchange that, except as noted below, it does not have any 
affiliates engaged in the securities or commodities trading business 
and, as such, does not believe that such firewall procedures are 
necessary. Dow Jones B.D. Services, Inc. (``DJBD'') is a wholly 
owned subsidiary of Dow Jones and is a registered broker-dealer 
under the Act. The Exchange represents that DJBD's business is 
limited to collecting license fees from financial institutions and 
exchanges and does not engage in the typical activities of a broker-
dealer.
    \13\ The Exchange states that any disseminated value after 3 
p.m. ET is static due to the close of auction trading of various 
commodities futures contracts.
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    The Underlying Index is re-weighted and rebalanced each year in 
January on a price-percentage basis. The annual weightings for the 
Underlying Index are determined each year in June or July by AIG-FP and 
Dow Jones under the supervision of the Dow Jones-AIG Commodity Index 
Oversight Committee (``Oversight Committee''),\14\ announced after 
approval by the Oversight Committee and implemented the following 
January.
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    \14\ The Oversight Committee was established by Dow Jones and 
AIG-FP to assist with the methodology of the Dow Jones-AIG Commodity 
Index. The Oversight Committee includes prominent members of the 
financial, academic, and legal communities selected by AIG-FP and 
meets annually to consider any changes to be made to the Dow Jones-
AIG Commodity Index for the coming year. The Oversight Committee may 
also meet at such other times as may be necessary. The Oversight 
Committee is subject to written policies that acknowledge their 
obligations with respect to material, non-public information.
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    The Underlying Index is designed to track rolling futures positions 
in a diversified basket of 19 exchange-traded futures contracts on 
physical commodities. The 19 physical commodities selected for 2008 are 
natural gas, crude oil, gasoline, heating oil, live cattle, lean hogs, 
wheat, corn, soybeans, soybean oil, aluminum, copper, zinc, nickel, 
gold, silver, sugar, cotton, and coffee.
    The Underlying Index tracks what is known as a rolling futures 
position, which is a position where, on a periodic basis, futures 
contracts on physical commodities specifying delivery on a nearby date 
must be sold and futures contracts on physical commodities that have 
not yet reached the delivery period must be purchased. An investor with 
a rolling futures position is able to avoid delivering underlying 
physical commodities while maintaining exposure to those commodities. 
The rollover for each Underlying Index component occurs over a period 
of five business days each month according to a pre-determined 
schedule.
    The Dow Jones-AIG Commodity Index Excess Return is intended to 
reflect the overall commodity sector. The Underlying Index tracks the 
19 commodities from seven broad sectors such as energy, livestock, 
grains, industrial metals, precious metals, softs, and vegetable oil. 
The Underlying Index is composed of notional amounts of the futures 
contracts for each of the Underlying Index commodities with the 
weighting of each commodity broadly based in proportion to historical 
levels of the world's production and supplies of such Underlying Index 
commodity. The Underlying Index reflects the return of the underlying 
commodity prices movement only, whether positive or negative. The 
Exchange states that the Dow Jones-AIG Commodity Index Excess Return is 
the basis for a listed and traded futures contract on the Board of 
Trade of the City of Chicago, Inc. (``CBOT''). Futures contracts on the 
Underlying Index commodities currently trade on U.S. futures exchanges, 
with the exception of aluminum, nickel, and zinc, which trade on the 
London Metal Exchange Ltd. (``LME'').
    (2) Dow Jones-AIG Crude Oil Sub-Index Excess Return. The Dow Jones-
AIG Crude Oil Sub-Index Excess Return is intended to reflect the 
performance of crude oil as measured by the price of nearby futures 
contracts of sweet, light crude oil traded on the New York Mercantile 
Exchange, Inc. (``NYMEX''), including roll costs, without regard to 
income earned on cash positions. Dow Jones disseminates this Underlying 
Index level at least every 15 seconds from 8 a.m. to 3 p.m. ET and 
publishes a daily Underlying Index level at approximately 5 p.m. ET 
each business day on its Web site and through other major market data 
vendors.
    The Exchange states that crude oil is the world's most actively 
traded commodity and may experience significant volatility. The price 
of crude oil is established by the supply and demand conditions in the 
global market overall, and more particularly, in the main refining 
centers of Singapore, Northwest Europe, and the U.S. Gulf Coast. Demand 
for petroleum products by consumers, as well as agricultural, 
manufacturing and transportation industries, determines demand for 
crude oil by refiners. Since the precursors of product demand are 
linked to economic activity, crude oil demand will tend to reflect 
economic conditions. However, other factors such as weather also 
influence product and crude oil demand.
    (3) Dow Jones-AIG Agriculture Sub-Index Excess Return. The Dow 
Jones-AIG Agriculture Sub-Index Excess Return is intended to reflect 
the agricultural market. This Underlying Index consists of the 
following seven commodity futures contracts: coffee, corn, cotton, 
soybeans, soybean oil, sugar, and wheat. The Underlying Index will 
reflect the performance of its underlying commodities, including roll 
costs and without regard to income earned on cash positions. Dow Jones 
disseminates the Underlying Index level at least every 15 seconds from 
8 a.m. to 3 p.m. ET and publishes a daily Underlying Index level at 
approximately 5 p.m. ET each business day on its Web site and through 
other major market data vendors.
    The Commodity Underlying Benchmarks. As noted above, four Funds 
will be based on gold and silver Underlying Benchmark commodities.
    (1) Gold. The Ultra Gold Fund and the UltraShort Gold Fund are 
designed to track a multiple or multiple inverse of the daily 
performance of gold bullion as measured by the U.S. dollar fixing price 
for delivery in London. These Funds will not directly or physically 
hold the underlying gold, but instead will seek exposure to gold 
through the use of Financial Instruments based on the price of gold to 
pursue their respective investment objective.\15\ The benchmark price 
of gold will be the U.S. dollar price of gold bullion as measured by 
the London afternoon fixing price per troy ounce of unallocated gold 
bullion for delivery in London through a member of the London Bullion 
Market Association (``LBMA'') authorized to effect such delivery.
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    \15\ See Securities Exchange Act Release No. 51058 (January 19, 
2005), 70 FR 3749 (January 26, 2005) (SR-Amex-2004-38) (approving, 
among other things, the listing and trading of shares of the iShares 
COMEX Gold Trust, which are TIRs representing an interest in the net 
assets of a trust holding gold bullion). See also Securities 
Exchange Act Release No. 51446 (March 29, 2005), 70 FR 17272 (April 
5, 2005) (SR-Amex-2005-032) (approving the trading of shares of the 
streetTRACKS Gold Trust pursuant to UTP).
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    The Exchange states that the price of gold is volatile with 
fluctuations expected to affect the value of the Shares of these Funds. 
The price movement of gold may be influenced by a variety of factors, 
including announcements from central banks regarding reserve gold 
holdings, agreements among central banks, political uncertainties, and 
economic concerns. The gold market is a global marketplace consisting 
of both over-the-counter (``OTC'') transactions and exchange-traded 
products. The OTC market generally consists of transactions

[[Page 33470]]

in spot, forwards, options, and other derivatives, while exchange-
traded transactions consist of futures and options.
    A London gold ``fix'' is conducted each trading day at 3 p.m. 
London time (``LT'') providing reference gold prices for that day's 
trading. The Exchange notes that many long-term contracts are priced on 
the basis of the London gold fix, and market participants will usually 
refer to the London gold fix when looking for a basis for valuation. 
The Exchange believes that the London fix is the most widely used 
benchmark for daily gold prices and is quoted by various major market 
data vendors.
    (2) Silver. The Ultra Silver Fund and the UltraShort Silver Fund 
are designed to track a multiple or multiple inverse of the daily 
performance of silver bullion as measured by the U.S. dollar fixing 
price for delivery in London. The Funds may purchase Financial 
Instruments based on the price of silver to pursue their respective 
investment objective.\16\ The benchmark price of silver will be the 
U.S. dollar price of silver bullion as measured by the London afternoon 
fixing price per troy ounce of unallocated silver bullion for delivery 
in London through a member of the LBMA authorized to effect such 
delivery.
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    \16\ See Securities Exchange Act Release No. 53521 (March 20, 
2006), 71 FR 14967 (March 24, 2006) (SR-Amex-2005-072) (approving 
the listing and trading of shares which represent beneficial 
ownership interests in the net assets of the iShares Silver Trust 
consisting primarily of silver bullion).
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    The Exchange states that the price of silver is volatile with 
fluctuations expected to affect the value of the Shares. The largest 
industrial users of silver are the photographic, jewelry, and 
electronic industries, and developments in these industries, among 
other factors, may influence the price of silver. Like gold, the silver 
market is a global marketplace consisting of both OTC transactions and 
exchange-traded products. The OTC market generally consists of 
transactions in spot, forwards, options, and other derivatives, while 
exchange-traded transactions consist of futures and options.
    A London silver ``fix'' is conducted each trading day at 12 pm LT 
providing reference silver prices for that day's trading. The Exchange 
notes that many long-term contracts are priced on the basis of the 
London silver fix, and market participants will usually refer to the 
London silver fix when looking for a basis for valuation. The Exchange 
believes that the London fix is the most widely used benchmark for 
daily silver prices and is quoted by various major market data vendors.
    The Currency Underlying Benchmarks. As noted above, four Funds will 
be based on the following Underlying Benchmark currencies versus the 
U.S. dollar: (1) The Euro; and (2) the Japanese Yen. These Funds will 
use the 4 p.m. ET euro and Japanese yen exchange rates, expressed in 
terms of U.S. dollars per unit of foreign currency, as the basis for 
these Underlying Benchmarks, respectively. The Exchange states that the 
euro and Japanese yen exchange rates will be provided by Reuters.
    (1) Euro. The Ultra Euro Fund and the UltraShort Euro Fund are 
designed to track a multiple or multiple inverse of the daily change in 
the spot price of the euro versus the U.S. dollar.\17\ The euro is the 
official currency of the Eurozone, which consists of 13 European states 
including: Austria, Belgium, Cyprus, Finland, France, Germany, Greece, 
Ireland, Italy, Luxembourg, Malta, the Netherlands, Portugal, Slovenia, 
and Spain. The euro is managed and administered by the European Central 
Bank and the European System of Central Banks. These Funds may purchase 
Financial Instruments based on the euro to pursue their respective 
investment objective.
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    \17\ See Securities Exchange Act Release No. 53059 (January 5, 
2006), 71 FR 2072 (January 12, 2006) (SR-Amex-2005-128) (approving 
the trading of shares of the Euro Currency Trust pursuant to UTP).
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    (2) Japanese Yen. The Ultra Japanese Yen Fund and the UltraShort 
Japanese Yen Fund are designed to track a multiple or inverse of the 
daily change in the spot price of the Japanese yen versus the U.S. 
dollar. These Funds may purchase Financial Instruments based on the 
Japanese yen to pursue their respective investment objective.
    Structure of the Funds. Each Fund is a separate series of the 
Trust, a Delaware statutory trust.\18\ Each Fund will issue common 
units of beneficial interest, or Shares, which represent units of 
fractional undivided beneficial interest in and ownership of only that 
Fund. Each Fund's Shares will be offered separately.
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    \18\ The Exchange states that the Trust and the Funds will not 
be subject to registration and regulation under the Investment 
Company Act of 1940.
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    Wilmington Trust Company (``Trustee'') is the sole trustee of the 
Funds. The Trustee has delegated to the Managing Owner (as defined 
below) all of the power and authority to manage the business and 
affairs of the Funds. ProShare Capital Management LLC (``Managing 
Owner'') will serve as the commodity pool operator and commodity 
trading advisor of each Fund. The Managing Owner is registered as a 
commodity pool operator and commodity trading advisor with the 
Commodity Futures Trading Commission (``CFTC''), and with the National 
Futures Association (``NFA''). Prudential Bache Commodities LLC 
(``Commodity Broker'') will execute and clear the Funds' futures 
contract transactions and will perform certain administrative services 
for the Funds. The Commodity Broker is registered with the CFTC as a 
Futures Commission Merchant and is a member of the NFA in such 
capacity. The Administrator that will be selected prior to the Shares 
of the Trust being offered to the public (``Administrator'') will 
perform or supervise the performance of services necessary for the 
operation and administration of the Fund. These services include, but 
are not limited to, receiving and processing orders from Authorized 
Participants (as defined below) to create and redeem baskets of Shares, 
accounting, NAV, calculations, and other fund administrative services. 
A marketing agent that will be a registered broker-dealer and that will 
be selected prior to the Shares of the Trust being offered to the 
public (``Marketing Agent'') will assist the Managing Owner and the 
Administrator with certain functions and duties relating to the 
creation and redemption of baskets of Shares. The Marketing Agent may 
also distribute prospectuses and consult with the Managing Owner and 
its affiliates in connection with marketing and sales strategies. A 
custodian that will be selected prior to the Shares of the Trust being 
offered to the public (``Custodian'') will serve as custodian of all 
securities and cash at any time delivered to the Custodian by each 
respective Fund and hold its securities in its name or the name of its 
nominees. The Custodian is also expected to serve as each Fund's 
transfer agent.
    Investment Objective of the Funds. Each Ultra Fund will seek 
investment results that correspond, before fees and expenses, to twice 
(200%) the daily performance of the Underlying Benchmark. Each 
UltraShort Fund will seek daily investment results, before fees and 
expenses, of twice the inverse or opposite (-200%) of the daily 
performance of the Underlying Benchmark.
    In seeking to achieve each Fund's investment objective, the 
Managing Owner determines the type, quantity, and mix of investment 
positions that it believes in combination should produce daily returns 
consistent with a Fund's investment objective. Each Fund will invest 
principally in any one of, or combinations of, Financial Instruments 
with respect to the applicable Fund's

[[Page 33471]]

Underlying Benchmark to the extent determined appropriate by the 
Managing Owner. In addition, each Fund may establish long or short 
positions in Financial Instruments as the Managing Owner believes will 
further the investment objective of each Fund.
    While the Managing Owner 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 Benchmark, certain 
factors may tend to cause the investment results of a Fund to vary from 
such relevant Underlying Benchmark or specified multiple thereof.\19\ 
The Ultra Funds are expected to be highly correlated to the Underlying 
Benchmark and investment objective (0.95 or greater). The UltraShort 
Funds are expected to be highly inversely correlated to each Underlying 
Benchmark and investment objective (-.95 or greater).\20\ 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 Benchmark.
---------------------------------------------------------------------------

    \19\ Several factors may cause a Fund to vary from the relevant 
Underlying Benchmark and applicable investment objective including: 
(1) A Fund's expenses, including brokerage and the cost of the 
investment techniques employed by that Fund; (2) less than all of 
the components in the Underlying Benchmark being held by a Fund and 
components not included in the Underlying Benchmark being held by a 
Fund; (3) an imperfect correlation between the performance of 
Financial Instruments held by a Fund and the performance of the 
Underlying Benchmark; (4) bid-ask spreads; (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 Underlying Benchmark 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.
    \20\ Correlation is the strength of the relationship between (1) 
the change in a Fund's NAV and (2) the change in the Underlying 
Benchmark (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.
---------------------------------------------------------------------------

    The Exchange states that the Registration Statement for each Fund 
will provide a detailed description, including, but not limited to, the 
structure, creation/redemption process, investment objective and 
strategies, characteristics, tax status, and distributions. Investors 
are directed to each Fund's Registration Statement for a complete 
explanation.
    The Portfolio Investment Methodology. The Managing Owner will seek 
to establish an investment exposure in each portfolio corresponding to 
each Fund's investment objective based upon its ``Portfolio Investment 
Methodology.'' 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.
    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 Benchmark; and 
(3) the positions in Financial Instruments at the beginning of each 
trading day. The Managing Owner pursuant to the methodology will then 
mathematically determine the end-of-day positions to establish the 
required amount of exposure to the Underlying Benchmark (``Solution''), 
which will consist of Financial Instruments. The difference between the 
start-of-day positions and the required end-of-day positions is the 
actual amount of Financial 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 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 the time shown in the chart below.
    The timeline for the Portfolio Investment Methodology is as follows 
and is reflected more specifically in the chart below. Authorized 
Participants (``APs'' or ``Authorized Participants'') \21\ have a cut-
off of one-hour before the earliest underlying close for orders 
submitted by telephone, facsimile, and other electronic means of 
communication. Orders received via mail will be priced at the next NAV. 
The Exchange states that AP orders by mail are exceedingly rare. Orders 
are received by the Marketing Agent and relayed to the Managing Owner 
within ten minutes. As such, the Managing Owner will know by 
approximately 50 minutes before the earliest underlying close the 
number of creation/redemption orders by APs for that day. Primary 
orders are then placed at approximately 30 minutes prior to the 
earliest underlying close using methods and order types that the 
Managing Owner believes will most accurately replicate the close of the 
Underlying Benchmark. Approximately five minutes before the earliest 
underlying close, the Managing Owner will again look at the exposure to 
make sure that the orders placed are consistent with the Solution, and 
as described above, the Managing Owner will execute any other 
transactions in Financial Instruments (secondary orders) to assure that 
the Fund's exposure is consistent with the Solution.
---------------------------------------------------------------------------

    \21\ An Authorized Participant must (1) Be a registered broker-
dealer or other securities market participant, such as a bank or 
other financial institution that is not required to register as a 
broker dealer to engage in securities transactions, (2) be a 
Depository Trust Corporation participant, and (3) have entered into 
an agreement with each Fund and the Managing Owner.

--------------------------------------------------------------------------------------------------------------------------------------------------------
                                                             Create or    Managing owner   Primary order       First         Close of           NAV
                                                           redeem cutoff     notified         placed         secondary       earliest       calculation
                                                         ------------------------------------------------      order     ----------------      time
                   Benchmark or index                                                                    ----------------                ---------------
                                                             (Earliest       (Earliest       (Earliest                                    (Close of last
                                                           close-60 min)   close-50 min)   close-30 min)     (Earliest      underlying      underlying)
                                                                                                           close-5 min)                        \22\
--------------------------------------------------------------------------------------------------------------------------------------------------------
Silver..................................................          6 a.m.       6:10 a.m.       6:30 a.m.       6:55 a.m.          7 a.m.          7 a.m.
Gold....................................................          9 a.m.       9:10 a.m.       9:30 a.m.       9:55 a.m.         10 a.m.         10 a.m.
DJ-AIG..................................................      12:30 p.m.      12:40 p.m.          1 p.m.       1:25 p.m.       1:30 p.m.       2:15 p.m.

[[Page 33472]]


Agriculture:
    DJ-AIG..............................................      10:45 a.m.      10:55 a.m.      11:15 a.m.      11:40 a.m.      11:45 a.m.       2:30 a.m.
Commodity:
    DJ-AIG..............................................       1:30 p.m.       1:40 p.m.          2 p.m.       2:25 p.m.       2:30 p.m.       2:30 p.m.
Crude Oil:
    Euro................................................          3 p.m.       3:10 p.m.       3:30 p.m.       3:55 p.m.          4 p.m.          4 p.m.
    Yen.................................................          3 p.m.       3:10 p.m.       3:30 p.m.       3:55 p.m.          4 p.m.          4 p.m.
--------------------------------------------------------------------------------------------------------------------------------------------------------

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

    \22\ For Silver and Gold, the NAV calculation time may vary due 
to differences in when daylight savings time is effective between 
London and New York. The actual times will equate to noon LT for 
Silver and 3 p.m. LT for Gold.
---------------------------------------------------------------------------

    Description of Investment Techniques. In attempting to achieve its 
individual investment objectives, a Fund will invest its assets in, and 
will hold only, Financial Instruments. Each Fund may hold Financial 
Instruments for the purposes of attempting to gain exposure to the 
components of its Underlying Benchmark, without actually transacting in 
such underlying components.
    The counterparties to the Financial Instruments, such as swap 
agreements, forward contracts, equity caps, collars, and floors that a 
Fund may use will be Futures Commission Merchants, major broker-
dealers, and banks. To protect itself from the credit risk that arises 
in connection with swap agreements, forward contracts, equity caps, 
collars, and floors, each Fund will enter into agreements with each 
counterparty that provide for the netting of its overall exposure to 
its counterparty and/or provide collateral or other credit support to 
address the Fund's exposure. The counterparties to such an agreement 
will generally be major broker-dealers and banks or their affiliates, 
although certain institutions, such as large energy companies or other 
institutions active in the commodities markets, may also be 
counterparties. The Managing Owner will assess or review, as 
appropriate, the creditworthiness of each potential or existing 
counterparty to such an agreement. Furthermore, the Managing Owner for 
each Fund will only enter into agreements with: (1) Members of the 
Federal Reserve System, foreign banks with branches regulated by the 
Federal Reserve Board, or foreign banks with representative offices 
regulated by the Federal Reserve Board; (2) primary dealers in U.S. 
government securities; (3) broker-dealers; (4) Commodities Futures 
Merchants; or (5) affiliates of the foregoing.
    Creation and Redemption of Shares. The Funds will create and redeem 
Shares in one or more blocks of at least 50,000 Shares of a Fund 
(``Creation Units''). The Funds will be purchased and redeemed entirely 
for cash (``Cash Deposit Amount''). The use of the Cash Deposit Amount 
for the purchase and redemption of Creation Units is due to the limited 
transferability of Financial Instruments. The Funds will issue and 
redeem the Shares on a continuous basis, by or through Authorized 
Participants at the NAV per Share next determined after an order to 
purchase the Shares is received in proper form. Creation Units may be 
created or redeemed only by Authorized Participants. Except when 
aggregated in Creation Units, the Shares are not redeemable securities. 
Authorized Participants may pay a fixed transaction fee of $500 in 
connection with each order to create or redeem a Creation Unit, 
regardless of the number of Creation Units. A variable transaction fee 
of up to 0.10% of the value of each Creation Unit may also be 
applicable to each creation/redemption transaction. Authorized 
Participants may sell the Shares included in the Creation Units they 
purchase from the Funds to other investors.
    On any business day,\23\ an Authorized Participant may place an 
order with the Marketing Agent or Administrator to create one or more 
Creation Units. For Funds that track an Underlying Benchmark commodity, 
purchase orders must be placed one hour before the London ``fix'' for 
such commodity, i.e., 2 p.m. LT (9 a.m. ET) for gold and 11 a.m. LT (6 
a.m. ET) for silver. For Funds that are benchmarked against an 
Underlying Index, purchase orders must be placed one hour prior to the 
closing of the underlying commodity futures contract on the primary 
exchange upon which the benchmarked commodity futures contract trades. 
Where an Underlying Index contains multiple commodities, purchase 
orders must be placed one hour before the earliest futures contract 
close contained in the Underlying Index. For Funds that track an 
Underlying Benchmark currency, purchase orders must be placed one hour 
before the close of NYSE, normally 4 p.m. ET. The day on which the 
Administrator or Marketing Agent receives a valid purchase order is the 
purchase order date. Purchase orders are irrevocable by an Authorized 
Participant. By placing a purchase order, and prior to delivery of such 
Creation Units, an Authorized Participant's DTC account will be charged 
the non-refundable transaction fee due for the purchase order.
---------------------------------------------------------------------------

    \23\ For purposes of processing both purchase and redemption 
orders, a ``business day'' means any day other than a day when any 
of Amex, the New York Stock Exchange LLC (``NYSE''), the Chicago 
Mercantile Exchange (``CME''), CBOT, IntercontinentalExchange 
(``ICE'')/New York Board of Trade (``NYBOT''), LME, or NYMEX is 
closed for regular trading.
---------------------------------------------------------------------------

    The procedures by which an Authorized Participant can redeem one or 
more Creation Units are the same as those for the creation of Creation 
Units. An Authorized Participant may place an order with the Marketing 
Agent or Administrator to redeem one or more Creation Units. Redemption 
orders, which are irrevocable, must be placed one hour prior to the 
closing of the relevant closing times. The day on which the Marketing 
Agent or Administrator receives a valid redemption order is the 
redemption order date. By placing a redemption order, an Authorized 
Participant agrees to deliver the Creation Units to be redeemed through 
DTC's book-entry system to the applicable Fund not later than noon ET, 
on the third business day immediately following the redemption order 
date. By placing a redemption order, and prior to receipt of the 
redemption proceeds, an Authorized Participant's DTC account will be 
charged the non-refundable transaction fee due for the redemption 
order.
    Retail investors seeking to purchase or sell Shares on any day are 
expected to effect such transactions in the secondary market at the 
market price per Share,

[[Page 33473]]

rather than in connection with the creation or redemption of Creation 
Units. The Exchange believes that the Shares will not trade at a 
material discount or premium to the value of the assets held by the 
Funds based on potential arbitrage opportunities. Due to the fact that 
the Shares can be created and redeemed only in Creation Units 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. The Exchange believes that market 
professionals will have the ability to arbitrage Shares of the Funds in 
a manner similar to conventional index-based exchange-traded funds. The 
disclosure of portfolio holdings and the availability of the Indicative 
Fund Value (as defined below) and other pricing information about 
portfolio holdings will permit arbitrageurs to identify when the market 
price of the Shares is higher or lower than the value of the portfolio. 
As a result, these market professionals will buy Shares when they are 
priced lower than the portfolio and sell Shares when they are priced 
higher than the portfolio, thereby moving prices back in line with the 
value of the portfolio. Actual and potential arbitrage of this nature 
should help the secondary market prices of the Shares to remain close 
to NAV.
    Net Asset Value (NAV). The NAV of a Fund is total assets including, 
but not limited to, all cash and cash equivalents or other debt 
securities, less total liabilities, each determined on the basis of 
generally accepted accounting principles. In particular, the NAV 
includes any unrealized profit or loss on open Financial Instruments 
and any other credit or debit accruing to a Fund, but unpaid or not 
received.
    The NAV per Share of each Fund is computed by dividing the value of 
the net assets of such Fund (i.e., the value of its total assets, less 
total liabilities) by its total number of Shares outstanding. Expenses 
and fees are accrued daily and taken into account for purposes of 
determining NAV. The NAV of each Fund is calculated by the 
Administrator and is determined each business day as set forth in the 
chart above.
    The Exchange represents that it will obtain a representation (prior 
to listing the Shares 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.
    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: (1) The daily current 
NAV per Share, the prior business day's NAV per Share, and the reported 
closing price; (2) the mid-point of the bid-ask price in relation to 
the NAV per Share as of the time it is calculated (the ``Bid-Ask 
Price''); \24\ (3) calculation of the premium or discount of such price 
against the NAV per Share; (4) 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; (5) the applicable prospectus; and (6) 
other applicable quantitative information.
---------------------------------------------------------------------------

    \24\ 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 Funds on a daily 
basis by means of the Consolidated Tape Association/Consolidated 
Quotation High Speed Lines information with respect to the 
corresponding Indicative Fund Value (as discussed below), recent NAVs 
per Share, and the number of 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 and 
settlement prices of the futures contracts held by the Funds are also 
readily available from CME, NYMEX, CBOT, ICE/NYBOT, LME, automated 
quotation systems, published or other public sources, or on-line 
information services such as Bloomberg or Reuters. Real-time 
dissemination of spot pricing for gold, silver, euro, and Japanese yen 
is available on a 24-hour basis worldwide from various major market 
data vendors.
    Each Fund's total portfolio composition will be disclosed on the 
Web site of the Trust (http://www.proshares.com) or another relevant 
Web site as determined by the Trust and/or the Exchange. The Trust will 
provide Web site disclosure of portfolio holdings daily and will 
include, as applicable, the names and number of Financial Instruments 
and characteristics of such instruments and cash equivalents, and 
amount of cash held in the portfolio of each Fund. This Web site 
disclosure of the portfolio composition of each Fund will occur at the 
same time as the disclosure by the Managing Owner of the portfolio 
composition to Authorized Participants so that all market participants 
are provided portfolio composition information at the same time. 
Therefore, the same portfolio information will be provided on the 
public Web site as well as in electronic files provided to Authorized 
Participants. Accordingly, each investor will have access to the 
current portfolio composition of each Fund through the Trust's Web site 
and/or at the Exchange's Web site at http://www.amex.com.
    The value of each Underlying Benchmark will be updated intra-day on 
a real time basis as its components change in price. The daily closing 
index value and the percentage change in the daily closing index value 
for each Underlying Index will be publicly available on various Web 
sites, such as http://www.ino.com and http://www.finance.yahoo.com. 
Data regarding each Underlying Index is also available from the 
respective index provider to subscribers. In addition, data is also 
available regarding the underlying component commodities of each 
Underlying Index from those futures exchanges that list and trade 
futures contracts on those commodities. Several independent data 
vendors also package and disseminate index data in various value-added 
formats (including vendors displaying both index constituents and index 
levels and vendors displaying index levels only).
    Data regarding spot pricing of the Underlying Benchmark commodities 
(gold and silver) is publicly available on a 24-hour basis from various 
financial information service providers, such as Reuters and Bloomberg. 
In addition, the daily London fix for gold and silver is also 
disseminated by various market data vendors and is available from the 
LBMA Web site at http://www.lbma.org.uk. Data regarding futures 
contracts and options on futures contracts in connection with the 
Underlying Benchmark commodities is also available from NYMEX at http:/
/www.nymex.com.
    There is considerable public price and data information regarding 
the Underlying Benchmark currencies (euro and Japanese yen). Spot 
pricing related to the foreign currency exchange is available to 
investors and market professionals on a 24-hour basis. A variety of 
public Web sites and professional and subscription services provide 
market and price information regarding the euro and the yen. Current 
spot prices are also generally available from foreign exchange dealers.
    Dissemination of Indicative Fund Value. 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

[[Page 33474]]

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.
    To provide updated information relating to the Funds for use by 
investors, professionals, and persons wishing to create or redeem the 
Shares, the Exchange will disseminate an updated ``Indicative Fund 
Value.'' The 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 p.m. ET. The Indicative Fund Value will be calculated 
based on the cash required for creations and redemptions for a Fund, 
adjusted to reflect the price changes of the Financial Instruments.
    The Exchange submits that the 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 creation/redemption 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.
    Criteria for Initial and Continued Listing. The Funds will be 
subject to the criteria in Commentary .07(d) of Amex Rule 1202 for 
initial and continued listing of the Shares. The Funds will accept 
subscriptions for Shares in Creation Units from Authorized Participants 
expected to be in a range from $20 to $70 per Share during an initial 
offering period, commencing with the initial effective date of the 
prospectus and terminating no later than the ninetieth (90) 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 anticipated minimum number of Shares for each Fund to be 
outstanding at the start of trading will be 50,000 Shares.\25\ The 
Exchange believes that this anticipated minimum number of Shares for 
each Fund to be outstanding at the start of trading is sufficient to 
provide adequate market liquidity and to further the objectives of the 
Funds. The Exchange represents that, for the initial and continued 
listing of the Shares, the Shares must be in compliance with Section 
803 of the Amex Company Guide and Rule 10A-3 under the Act.\26\
---------------------------------------------------------------------------

    \25\ E-mail from Jeffrey P. Burns, Vice President and Associate 
General Counsel, Amex, to Edward Cho, Special Counsel, Division of 
Trading and Markets, Commission, dated June 5, 2008 (confirming the 
minimum number of Shares for each Fund anticipated to be outstanding 
at the start of trading on the Exchange).
    \26\ See 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    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 (Amex Rule 411). Initial equity margin requirements of 50% 
will apply to transactions in the Shares. The Shares will trade on Amex 
until 4 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 (Amex Rule 205-AEMI), 
stop and stop limit orders for securities that are derivatively priced 
(Amex Rule 154-AEMI), and the prevention of trade-through transactions 
of protected quotations (Amex Rule 126A-AEMI) will also apply to the 
Shares.
    Specialist transactions in the Shares made in connection with the 
creation and redemption of Shares will not be subject to the 
prohibitions of Amex Rule 190(a).\27\ 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 (i) The underlying asset 
or commodity on which the Shares are based, (ii) the NAV of the Shares, 
or (iii) the futures contract(s) on the underlying asset or commodity 
on which the Shares are based. The Exchange notes that Commentary 
.07(f) to Amex Rule 1202 sets forth this limited exception to Amex Rule 
170.
---------------------------------------------------------------------------

    \27\ Amex Rule 190(a) states that no specialist or his member 
organization, or any member, officer, employee, or approved person 
therein, may, directly or indirectly, effect any business 
transaction with a company or any officer, director or 10% 
stockholder of a company in which stock the specialist is 
registered. See Commentary .05 to Amex Rule 190 (exempting 
specialists registered in a security issued by a trust, listed 
pursuant to, among other rules, Amex Rule 1202, from the 
requirements of Amex Rule 190(a)).
---------------------------------------------------------------------------

    The trading of the Shares will also be subject to certain conflict 
of interest provisions set forth in Commentary .07(e) to Amex Rule 
1202. Lastly, Commentary .07(g)(3) to Amex Rule 1202 prohibits the 
specialist in the Shares from using any material, non-public 
information received from any person associated with a member, member 
organization, or employee of such person regarding trading by such 
person or employee in the Underlying Index commodities, related 
futures, or options on futures, or any other related derivatives.
    Surveillance. The Exchange submits that its surveillance procedures 
are adequate to detect and deter violations of Exchange rules relating 
to the trading of the Shares. The surveillance procedures will be 
similar to those used for other commodity-based TIRs, Commodity-Based 
Trust Shares, Currency Trust Shares, and exchange-traded funds and will 
incorporate and rely upon existing Amex surveillance procedures 
governing options and equities.
    The Exchange states that it currently has in place comprehensive 
surveillance sharing agreements with ICE, LME, and NYMEX for the 
purpose of providing information in connection with the trading in 
futures contracts traded on their respective exchanges comprising the 
Underlying Benchmarks. The Exchange also notes that CBOT, CME, and 
NYBOT are members of the Intermarket Surveillance Group. 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 futures contracts
    Information Circular. Amex will distribute an Information Circular 
to its members in connection with the trading of the Shares. The 
Information Circular, will discuss the special characteristics and 
risks of trading this type of security, such as commodity or currency 
fluctuation risk. Specifically, the Information Circular, among other 
things, will discuss: (1) What the Shares are and how Shares are 
created and redeemed; (2) 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; (3) dissemination information and trading information; (4) 
applicable suitability rules; \28\ (5) that

[[Page 33475]]

the Fund is subject to various fees and expenses described in the 
Registration Statement; (6) that there is no regulated source of last-
sale information regarding physical commodities and currencies, that 
the SEC has no jurisdiction over the trading of physical commodities or 
currencies, and that the CFTC has regulatory jurisdiction over the 
trading of futures contracts and options on futures contracts; (7) the 
procedures for purchases and redemptions of Shares and that Shares are 
not individually redeemable but are redeemable only in one or more 
Creation Units; (8) any relief, if granted, by the Commission from any 
rules under the Act; (9) that the trading hours of the Shares will be 
from 9:30 a.m. to 4 p.m. ET and that the NAV for the Shares will be 
calculated shortly after 4 p.m. ET each trading day; and (10) 
information about the Shares will be publicly available on the Amex Web 
site and the Funds' Web sites.
---------------------------------------------------------------------------

    \28\ 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. See Commentary .05 to Amex Rule 411 (providing 
heightened suitability requirements for derivative securities 
seeking to provide investment results that either exceed the 
performance of an underlying reference asset by a specified multiple 
or that correspond to the inverse (opposite) of the performance of 
an underlying reference asset by a specified multiple). E-mail from 
Jeffrey P. Burns, Vice President and Associate General Counsel, 
Amex, to Edward Cho, Special Counsel, Division of Trading and 
Markets, Commission, dated June 5, 2008.
---------------------------------------------------------------------------

    Trading Halts. The Exchange states that the Information Circular 
will also inform members of Exchange policies regarding trading halts 
in the Shares. Specifically, trading in the Shares will be halted in 
the event the market volatility trading halt parameters set forth in 
Amex Rule 117 have been reached. Second, in addition to the parameters 
set forth in Amex Rule 117, the Exchange will halt trading in the 
Shares if trading in a significant number of underlying related futures 
contract(s) is halted or suspended. Third, the Exchange will halt 
trading if it becomes aware that a Fund's NAV or disclosure of the 
portfolio composition is not being disseminated or has not been 
disseminated to all market participants at the same time. Fourth, the 
Exchange will halt trading in the Shares if the value of an Underlying 
Benchmark is no longer calculated or available on at least a 15-second 
basis through one or more major market data vendors during the time the 
Shares trade on Amex or if an Indicative Fund Value per Share updated 
every 15 seconds is no longer calculated or available.\29\ Fifth, with 
respect to a halt in trading that is not specified above, the Exchange 
may also consider other relevant factors and the existence of unusual 
conditions or circumstances that may be detrimental to the maintenance 
of a fair and orderly market.
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    \29\ If the value of the Underlying Benchmark or the Indicative 
Fund Value is not being disseminated on at least a 15-second basis 
during the hours the Shares trade on the Exchange, the Exchange may 
halt trading during the day in which the interruption to the 
dissemination of the value of the Underlying Benchmark or the 
Indicative Fund Value occurs. If the interruption to the 
dissemination the value of the Underlying Benchmark or the 
Indicative Fund 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.
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2. Statutory Basis
    The Exchange believes that the proposed rule change is consistent 
with Section 6(b) of the Act,\30\ in general, and furthers the 
objectives of Section 6(b)(5) of the Act,\31\ 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. The Exchange believes that the 
proposal will facilitate the listing and trading of additional types of 
commodity- and currency-based investments that will enhance competition 
among market participants, to the benefit of investors and the 
marketplace.
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    \30\ 15 U.S.C. 78f(b).
    \31\ 15 U.S.C. 78f(b)(5).
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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.

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-2008-39 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-Amex-2008-39. 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-2008-39 and should be 
submitted on or before July 3, 2008.


[[Page 33476]]


    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\32\
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    \32\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Acting Secretary.
[FR Doc. E8-13159 Filed 6-11-08; 8:45 am]

BILLING CODE 8010-01-P
