
[Federal Register: September 15, 2008 (Volume 73, Number 179)]
[Notices]               
[Page 53306-53312]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr15se08-126]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-58469; File No. SR-NYSEArca-2008-92]

 
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
of Proposed Rule Change Relating to Listing of MacroShares Major Metro 
Housing Trusts

September 5, 2008.
    Pursuant to section 19(b)(1) \1\ of the Securities Exchange Act of 
1934 (the ``Act'') \2\ and Rule 19b-4 thereunder,\3\ notice is hereby 
given that on August 25, 2008, NYSE Arca, Inc. (``NYSE Arca'' or the 
``Exchange'') filed with the Securities and Exchange Commission (the 
``Commission'') the proposed rule change as described in Items I and II 
below, which Items have been prepared by the self-regulatory 
organization. The Commission is publishing this notice to solicit 
comments on the proposed rule change from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 15 U.S.C. 78a.
    \3\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Pursuant to the provisions of section 19(b)(1) of the Act,\4\ the 
Exchange, through its wholly-owned subsidiary NYSE Arca Equities, Inc. 
(``NYSE Arca Equities'' or the ``Corporation'') proposes to list and 
trade under NYSE Arca Equities Rule 8.400 (``Paired Trust Shares'') the 
shares of the MacroShares Major Metro Housing Up Trust (``Up Trust'') 
and the MacroShares Major Metro Housing Down Trust (``Down Trust'') 
(collectively, the ``Trusts''). The shares of the Up Trust are referred 
to as the Up MacroShares, and the shares of the Down Trust are referred 
to as the Down MacroShares (collectively, the ``Shares''). The text of 
the proposed rule change is available on the Exchange's Web site at 
http://www.nyse.com, at the Exchange's principal office and at the

[[Page 53307]]

Public Reference Room of the Commission.
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    \4\ 15 U.S.C. 78s(b)(1).
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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 self-regulatory organization 
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 those 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 parts 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 list and trade the Up MacroShares and the 
Down MacroShares under Rule 8.400.\5\ The Up MacroShares and the Down 
MacroShares will be offered by the Up Trust and the Down Trust, 
respectively, established by MACRO Inflation Depositor, LLC, as 
depositor, under the laws of the State of New York. The Trusts are not 
registered with the Commission as investment companies.\6\
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    \5\ The Commission approved trading a similar product on the 
Exchange pursuant to unlisted trading privileges (``UTP'') when it 
approved NYSE Arca Equities Rule 8.400. See Securities Exchange Act 
Release No. 55033 (December 29, 2006), 72 FR 1253 (January 10, 2007) 
(SR-NYSEArca-2006-75) (approving UTP trading of Claymore MACROshares 
Oil Up Tradeable Shares and Claymore MACROshares Oil Down Tradeable 
Shares). The Commission also approved for listing and trading the 
same product on the American Stock Exchange. See Securities Exchange 
Act Release No. 54839 (November 29, 2006), 71 FR 70804 (December 6, 
2006) (SR-Amex-2006-82) (approving listing and trading Claymore 
MACROshares Oil Up Tradeable Shares and Claymore MACROshares Oil 
Down Tradeable Shares). In addition, the Commission has approved a 
proposed rule change to amend NYSE Arca Equities Rule 8.400 to 
permit listing and trading of MacroShares Medical Inflation Up Trust 
and the MacroShares Medical Inflation Down Trust, which are similar 
in structure to the Trusts. See Securities Exchange Act Release No. 
58312 (August 5, 2008), 73 FR 46689 (August 11, 2008) (SR-NYSEArca-
2008-63). The Trusts will be listed and traded pursuant to NYSE Arca 
Equities Rule 8.400 as amended in SR-NYSEArca-2008-63.
    \6\ The Shares are being offered by the Trusts under the 
Securities Act of 1933, as amended, 15 U.S.C. 77a. On August 6, 
2008, the depositor filed with the Commission Registration 
Statements on Form S-1 (Amendment No. 1) for the Up MacroShares 
(File No. 333-151522) (``Up Trust Registration Statement'') and for 
the Down MacroShares (File No. 333-151523)(``Down Trust Registration 
Statement'', and, together with the Up Trust Registration Statement, 
``Registration Statements''). Descriptions herein relating to the 
operation of the Trusts and the S&P/Case-Shiller Home Price Indices 
are based on the Registration Statements.
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Description of the Shares and the Trusts
    The Up Trust and the Down Trust intend to issue Up MacroShares and 
Down MacroShares, respectively, on a continuous basis at the direction 
of authorized participants, as described in more detail below. The Up 
MacroShares and the Down MacroShares represent undivided beneficial 
interests in the Up Trust and the Down Trust, respectively. The Shares 
are ``Trading Shares'' as defined in NYSE Arca Equities Rule 
8.400(b)(1)(B).
    The assets of the Down Trust will consist of an income distribution 
agreement and settlement contracts entered into with the Up Trust. 
Similarly, the assets of the Up Trust will consist of an income 
distribution agreement and settlement contracts entered into with the 
Down Trust.\7\ Each Trust will also hold U.S. Treasuries and repurchase 
agreements on U.S. Treasuries to secure its obligations under the 
income distribution agreement and the settlement contracts. The trustee 
for the Trusts is State Street Bank and Trust Company (``Trustee'').
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    \7\ The income distribution agreement and applicable settlement 
contracts are attached as exhibits to the Registration Statements.
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    The Trusts will make quarterly distributions of net income, if any, 
on the treasuries and a final distribution of all assets it holds on 
deposit on the final scheduled termination date, an early termination 
date or a redemption date. Quarterly distributions of net income, if 
any, will be made on distribution dates that are scheduled to occur in 
April, July, October and January of each year. Each quarterly and final 
distribution will be based on the value of the S&P/Case-Shiller 
Composite-10 Home Price Index (``Index''), as well as on prevailing 
interest rates on U.S. Treasury obligations. The last published value 
of the S&P/Case-Shiller Composite-10 Home Price Index is referred to as 
the ``Reference Value of the Index'' or ``Reference Value'', as 
discussed below.\8\
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    \8\ The Reference Value of the Index is the Reference Price for 
purposes of NYSE Arca Equities Rule 8.400.
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    The starting level for the Reference Value of the Index for 
purposes of the transactions described in the Registration Statements 
is 181.48.\9\ If the Reference Value rises above its starting level, 
the Up Trust's Underlying Value (as described below) will increase to 
include all of its assets plus a portion of the assets of the paired 
Down Trust. This portion of assets due from the Down Trust will be 
multiplied by a ``leverage factor'' of 2. Conversely, if the level of 
the Reference Value of the Index falls below its starting level on and 
after the closing date, the Up Trust's Underlying Value will decrease, 
because a portion of its assets will be included in the Underlying 
Value of its paired Down Trust, such portion being multiplied by the 
leverage factor.
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    \9\ This figure is as of July 29, 2008 and is subject to 
updating to be included in the Registration Statements upon 
effectiveness.
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    Under the income distribution agreement, as of any distribution 
date, each Trust will either (a) be required to pay a portion of its 
available income to the other Trust or (b) be entitled to receive all 
or a portion of the other Trust's available income, based, in each 
case, on the Reference Value for each day during the preceding 
calculation period. Under each settlement contract, in connection with 
the final scheduled termination date, an early termination date or any 
redemption date, each Trust will either (a) be required to make a final 
payment out of its assets to the other Trust, or (b) be entitled to 
receive a final payment from the other Trust out of the assets of the 
other Trust, based, in each case, on the Reference Value of the Index 
on the last calendar day preceding the final scheduled termination day, 
an early termination day or the relevant redemption date.\10\
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    \10\ The final distribution made on the Up MacroShares or Down 
MacroShares on the final scheduled termination date, an early 
termination date or a redemption date will be based upon the 
Underlying Value of the Up Trust or Down Trust, respectively, on the 
last calendar day, whether or not such day is a business day, that 
precedes such final scheduled termination date, early termination 
date, or redemption date. Underlying Value will be calculated for 
each day based upon the Reference Value of the Index for that day. 
The Underlying Value of the Up Trust or Down Trust on each day of 
measurement represents the aggregate amount of the assets in the 
paired trusts to which the Up Trust or Down Trust would be entitled 
if the settlement contracts were settled on that day. The Underlying 
Value of the Up Trust or Down Trust on each day of measurement also 
represents the aggregate final distribution to which holders of the 
Up MacroShares would be entitled if those shares were redeemed on 
that day.
    The Underlying Value of a Trust will be equal, on any calendar 
day occurring during any Calculation Period, for so long as the 
proportion of assets on deposit in the Up and Down Trust is one-to-
one. The methodology for calculating the Underlying Value for the 
Trusts is described in the Registration Statements.
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The Reference Value of the Index
    The amount of each payment required to be made by the paired trusts 
under the income distribution agreement will be based on the daily 
level of the Reference Value of the Index during the preceding 
calculation period and the amount of the settlement payment to be made 
under the settlement contracts will be based on the Reference Value of 
the Index on the day preceding the business day on which those payments 
are made on a redemption date, an early

[[Page 53308]]

termination date or the final scheduled termination date. The term 
``Reference Value of the Index'' refers to the value of the Index, as 
calculated and published by Standard & Poor's (``S&P'') on the most 
recent Index Publication Day.\11\ If the relevant date of measurement 
is an Index Publication Day, then the Reference Value of the Index will 
be the value calculated and published on that day. The Index is 
maintained and governed by the S&P/Case-Shiller Index Committee, whose 
members are drawn from S&P, Fiserv Fulfillment Services, Inc. and 
leading industry experts; S&P designates the Index Committee Chairman 
and its representatives retain the controlling majority of such 
committee.
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    \11\ ``Index Publication Day'' means the business day in each 
month on which S&P publishes the value for the S&P/Case-Schiller 
Composite-10 Home Price Index for the second preceding month.
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    The S&P/Case-Shiller Home Price Indices (``Indices'') measure the 
change in home prices in one or several geographic regions of the 
United States. They are calculated monthly and are publicly available 
for 20 major metropolitan areas (Metropolitan Statistical Areas or 
MSAs), which are also aggregated to form two composites--one comprised 
of 10 of the metro areas, the other comprised of all 20. The S&P/Case-
Shiller Composite-10 Home Price Index is a weighted average of the 
following 10 S&P/Case-Shiller Metro Area Home Price Indices: the S&P/
Case-Shiller Boston Home Price Index, the S&P/Case-Shiller Chicago Home 
Price Index, the S&P/Case-Shiller Denver Home Price Index, the S&P/
Case-Shiller Las Vegas Home Price Index, the S&P/Case-Shiller Los 
Angeles Home Price Index, the S&P/Case-Shiller Miami Home Price Index, 
the S&P/Case-Shiller New York City Area Home Price Index, the S&P/Case-
Shiller San Diego Home Price Index, the S&P/Case-Shiller San Francisco 
Home Price Index, and the S&P/Case-Shiller Washington, DC Home Price 
Index. The value of the Index on any Index Publication Day reflects 
home prices for the second calendar month preceding the month in which 
such Index Publication Day occurs.
    The Index is the result of a combination, based on a market 
weighted average, of ten of the Indices for separate MSAs. The current 
Index component weights and the factors considered in calculating the 
separate Indices on which the Index is based are described below.\12\
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    \12\ The current normalized composite weights for the Index are 
as follows: Year 2000 on--Boston: 0.07412188, Chicago: 0.08886762, 
Denver: 0.03682453, Las Vegas: 0.01480245, Los Angeles: 0.21161961, 
Miami: 0.04986164, New York: 0.27239040, San Diego: 0.05513356, San 
Francisco: 0.11787881, Washington, DC: 0.07849949. Source: Standard 
& Poor's (S&P/Case-Shiller Home Price Indices Methodology) and 
Fiserv.
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Overview of the S&P/Case-Shiller Home Price Indices and the Index
    The Indices measure changes in housing market prices given a 
constant level of quality. Changes in the types and sizes of houses or 
changes in the physical characteristics of houses are specifically 
excluded from the calculations to avoid incorrectly affecting the 
applicable index value.
    The Indices use the ``repeat sales method'' of index calculation--
an approach that is widely recognized as the premier methodology for 
indexing housing prices--which uses data on properties that have sold 
at least twice, in order to capture the true appreciated value of each 
specific sales unit.
    The Indices originated in the 1980s by Case Shiller Weiss's 
research principals, Karl E. Case and Robert J. Shiller. At the time, 
Case and Shiller developed the repeat sales pricing technique. 
According to the Registration Statements, this methodology is 
recognized as the most reliable means to measure housing price 
movements and is used by other home price index publishers, including 
the Office of Federal Housing Enterprise Oversight (OFHEO).
Eligibility Criteria
    The Indices are designed to measure, as accurately as possible, 
changes in the total value of all existing single-family housing stock. 
The methodology samples all available and relevant transaction data to 
create matched sale pairs for pre-existing homes.
    The Indices do not sample sale prices associated with new 
construction, condominiums, co-ops/apartments, multi-family dwellings, 
or other properties that cannot be identified as single-family.
    The factors that determine the demand, supply, and value of housing 
are not the same across different property types. Consequently, the 
price dynamics of different property types within the same market often 
vary, especially during periods of increased market volatility. In 
addition, the relative sales volumes of different property types 
fluctuate, so Indices that are segmented by property type will more 
accurately track housing values.
MSA Index Construction
    The Indices are based on observed changes in home prices. They are 
designed to measure increases or decreases in the market value of 
residential real estate in 20 defined MSAs and three price tiers--low, 
middle and high. In contrast, the Indices are, specifically, not 
intended to measure recovery costs after disasters, construction or 
repair costs, or other such related items.
    The Indices are calculated monthly by FISERV, using a three-month 
moving average algorithm. Home sales pairs are accumulated in rolling 
three-month periods, on which the repeat sales methodology is applied. 
The index point for each reporting month is based on sales pairs found 
for that month and the preceding two months. For example, the December 
2005 index point is based on repeat sales data for October, November 
and December of 2005. This averaging methodology is used to offset 
delays that can occur in the flow of sales price data from county deed 
recorders and to keep sample sizes large enough to create meaningful 
price change averages.
    To calculate the Indices, data are collected on transactions of all 
residential properties during the months in question. The main variable 
used for index calculation is the price change between two arms-length 
sales of the same single-family home. Home price data are gathered 
after that information becomes publicly available at local recording 
offices across the country. Available data usually consist of the 
address for a particular property, the sale date, the sale price, the 
type of property, and in some cases, the name of the seller, the name 
of the purchaser, and the mortgage amount.
    For each home sale transaction, a search is conducted to find 
information regarding any previous sale for the same home. If an 
earlier transaction is found, the two transactions are paired and are 
considered a ``repeat sale.'' Sales pairs are designed to yield the 
price change for the same house, while holding the quality and size of 
each house constant.
    All available arms-length transactions for single-family homes are 
candidates for sale pairs. When they can be identified, transactions 
with prices that do not reflect market value are excluded from sale 
pairs. This includes: (1) Non-arms-length transactions (e.g., property 
transfers between family members); (2) transactions where the property 
type designation is changed (e.g., properties originally recorded as 
single-family homes are subsequently recorded as condominiums); and (3) 
suspected data errors where the order of magnitude in values appears 
unrealistic.
    Each sales pair is aggregated with all other sales pairs found in a 
particular MSA to create the MSA-level index. 10

[[Page 53309]]

of the 20 Indices are then combined by S&P, using a market-weighted 
average, to create the Index (as noted above).\13\
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    \13\ See note 11, supra.
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The Weighting of Sales Pairs
    The Indices are designed to reflect the average change in all home 
prices in a particular geographic market. However, individual home 
prices are used in these calculations and can fluctuate for a number of 
reasons. In many of these cases, the change in value of the individual 
home does not reflect a change in the housing market of that area; it 
only reflects a change in that individual home. The index methodology 
addresses these concerns by weighting sales pairs.
    Different weights are assigned to different changes in home prices 
based on their statistical distribution in that geographic region. The 
goal of this weighting process is to measure changes in the value of 
the residential real estate market, as opposed to atypical changes in 
the value of individual homes. These weighting schemes include:
    If there is a large change in the prices of a sales pair relative 
to the statistical distribution of all price changes in the area, then 
it is possible that the home was remodeled, rebuilt or neglected in 
some manner during the period from the first sale to the second sale. 
Or, if there were no physical changes to the property, there may have 
been a recording error in one of the sale prices, or an excessive price 
change caused by idiosyncratic, non-market factors. Since the Indices 
seek to measure homes of constant quality, the methodology will apply 
smaller weights to homes that appear to have changed in quality or 
sales that are otherwise not representative of market price trends.
    Data related to homes that sell more than once within six months 
are excluded from the calculation of any Indices. Historical and 
statistical data indicate that sales made within a short interval often 
indicate that one of the transactions: (1) Is not arms-length, (2) 
precedes or follows the redevelopment of a property, or (3) is a 
fraudulent transaction.
    Sales pairs are also weighted based on the time interval between 
the first and second sales. If a sales pair interval is longer, then it 
is more likely that a house may have experienced physical changes. 
Sales pairs with longer intervals are, therefore, given less weight 
than sales pairs with shorter intervals.
    Each sales pair is assigned a weight equal to the first sale price 
to ensure that the Indices track the aggregate/average value of all 
homes in a market.
Index Governance
    The S&P/Case-Shiller Home Price Indices and the Index are 
maintained and governed by the S&P/Case-Shiller Index Committee. The 
Index Committee members are drawn from S&P, Fiserv Fulfillment 
Services, Inc. and leading industry experts; S&P designates the Index 
Committee Chairman. The Index Committee has complete discretion to 
determine how the Indices and the Index are calculated. In addition, 
the Index Committee may revise index policy covering rules for 
selecting houses to be considered for the index and extraordinary 
events, such as natural disasters, that may result in special 
consideration in the index in any given month. S&P considers 
information about changes to the Indices and related matters to be 
potentially market moving and material. Therefore, all Index Committee 
discussions are confidential. The Index Committee has no broker-dealer 
members.\14\
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    \14\ S&P employee Index Committee members and any other S&P 
employees with access to S&P/Case-Shiller index data are subject to 
The McGraw-Hill Companies, Inc. Code of Business Ethics and to 
additional policies that prohibit insider trading and that cover 
securities trading, information security and information 
dissemination.
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    For more information on the index construction process, pairing 
sales, controlling data quality, index maintenance, and the repeat 
sales methodology, see the ``S&P/Case-Shiller Home Price Indices: Index 
Methodology'' document, available at http://www.macromarkets.com.
Termination Triggers
    Following the occurrence of specified events, referred to in the 
Registration Statements as ``Termination Triggers,'' the income 
distribution agreement and the settlement contracts will automatically 
terminate and the Trustee will redeem all of the Paired Shares on the 
next scheduled Distribution Date. Among the events that will constitute 
Termination Triggers are the following:

--S&P fails to publish the Index or S&P fails to make the Reference 
Value of the Index available to the Paired Trusts for purposes of 
calculating Underlying Value, in either case, for 3 consecutive Index 
Publication Days;
--On any Index Publication Day, the Index rises to or above 258.61,\15\ 
at which point the Down Trust would be entitled to approximately 85% of 
the Up Trust's assets under the settlement contracts, or the Index 
falls to or below 104.35,\16\ at which point the Up Trust would be 
entitled to approximately 85% of the Down Trust's assets under the 
settlement contracts, and remains at or above this value or at or below 
this value, as applicable, for the next two (2) consecutive Index 
Publication Days;
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    \15\ See note 9, supra.
    \16\ See note 9, supra.
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--The Down MacroShares and/or the Up MacroShares are delisted by NYSE 
Arca. Additional Termination Triggers are described in the Registration 
Statements.
Calculation of Underlying Value
    The Final Distribution made on the Down MacroShares on the Final 
Scheduled Termination Date, an Early Termination Date or a Redemption 
Date will be based upon the Underlying Value of the Down Trust on the 
last calendar day that precedes the Final Scheduled Termination Date, 
an Early Termination Date or the relevant Redemption Date. Underlying 
Value will be calculated for each calendar day based upon the Reference 
Value of the Index. The Underlying Value of the Down Trust on any date 
of measurement represents the aggregate amount of the assets in the 
Paired Trusts to which the Down Trust would be entitled if the 
settlement contracts were settled on that day. The Underlying Value of 
the Down Trust on each day also represents the aggregate Final 
Distribution to which holders of the Down MacroShares would be entitled 
if those Shares were redeemed on that day. The Underlying Value of the 
Up Trust on any day represents the aggregate amount of the assets in 
the Paired Trusts to which the Up Trust would be entitled if the 
settlement contracts were settled on that day. The Underlying Value of 
the Up Trust on each day also represents the aggregate Final 
Distribution to which holders of the Up MacroShares would be entitled 
if those shares were redeemed on that day.
    An increase in the Reference Value of the Index results in a 
proportionate decrease in the Underlying Value of the Down Trust, 
multiplied by the leverage factor. A decrease in the Reference Value of 
the Index results in a proportionate increase in the Underlying Value 
of the Down Trust, multiplied by the leverage factor. After the closing 
date, the Reference Value of the Index may fluctuate above or below a 
``starting level'' of 181.48.\17\ The proportion of the funds in the 
Down Trust and the Up Trust will initially be 1:1 and this proportion 
will be sought to be maintained throughout the entire

[[Page 53310]]

transaction by virtue of the requirement that redemptions and issuances 
must be done in MacroShares Units composed of 50,000 Down MacroShares 
and 50,000 Up MacroShares. The Underlying Value formula as described in 
the Registration Statements, and the requirement that Down MacroShares 
can only be issued and redeemed in paired optional redemptions and 
paired issuances and only in the form of MacroShares Units, is intended 
to ensure that a change of 3.63 \18\ in the Reference Value of the 
Index will always result in a $1 change in the per share Underlying 
Value of each Down MacroShare.
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    \17\ See note 9, supra.
    \18\ See note 9, supra.
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    The impact of changes in the Reference Value of the Index is 
multiplied by the leverage factor. The ratio of the ending level of the 
Reference Value of the Index to the starting level of the Reference 
Value of the Index on the closing date, will yield a settlement factor 
by which the assets held on deposit by the Down Trust must be 
multiplied in order to determine the trust's Underlying Value. Before 
being so applied, this settlement factor is first adjusted by a 
leverage factor, which is equal to 2. The effect of this is to double 
any increase in the Underlying Value of the Down Trust as well as to 
double any decline in that Underlying Value, making the per share 
Underlying Value and the market price of Down MacroShares potentially 
more volatile than the housing prices which those shares reference.
    The Up MacroShares may be issued only in MacroShares Units 
consisting of a minimum of 50,000 Up MacroShares issued by the Up Trust 
and 50,000 Down MacroShares issued by the Down Trust. The Up Trust and 
Down Trust will issue their Shares in the minimum amounts that 
constitute a MacroShares Unit on an ongoing basis only to persons who 
qualify as authorized participants at the per-share Underlying Value of 
those Shares on the business day on which a creation order for the 
Shares is delivered to and accepted by MacroMarkets LLC, the 
administrative agent.\19\ The Shares may then be sold by authorized 
participants to the public at the market price prevailing at the time 
of any such sale.
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    \19\ Authorized participants must also pay a transaction fee of 
$2,000 for any paired redemption or issuance.
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    The Up MacroShares must be redeemed together with Down MacroShares 
by any holder who is an authorized participant on any business day in 
MacroShares Units consisting of a minimum of 50,000 Up MacroShares and 
50,000 Down MacroShares, at the respective Underlying Value of those 
shares, as measured on the applicable redemption date. Unless earlier 
redeemed on a redemption date or an early termination date, a final 
distribution will be made on the Up MacroShares on the distribution 
date occurring in 2018.
    The Registration Statements include a number of hypothetical 
scenarios of circumstances that will impact the Underlying Value of an 
Up MacroShare and a Down MacroShare.
    For more information regarding the Shares, the Trusts, the 
Reference Value, Income Distribution, Redemption Final Distribution, 
risks, fees and expenses, Termination Triggers, and creation and 
redemption procedures, see the Registration Statements.
Availability of Information
    At the beginning of each business day, not later than one hour 
prior to the commencement of trading in the Core Trading Session on the 
Exchange, the Trustee will calculate the Underlying Value of the Up 
Trust and the Down Trust and the per share Underlying Value of one Up 
MacroShare and one Down MacroShare. The Trustee will then provide such 
values to the administrative agent, who will post them on its Web site 
located at http://www.macromarkets.com. The Trustee will base its 
calculation of the Underlying Values for any business day on the 
administrative agent's calculation of the Reference Values for the 
preceding day (regardless of whether that preceding day is a business 
day or non-business day), which it will provide to the Trustee. The 
Underlying Values will be disseminated to all market participants at 
the same time.
    An intraday indicative value will not be disseminated for the 
Trusts. The Exchange believes that an intraday indicative value for the 
Trusts would not provide an accurate approximation of the value of 
Shares of the Trusts. As noted above, the Reference Price, (in the case 
of the Up MacroShares and Down MacroShares, the Reference Value), is 
based on the monthly value of the Index. The Exchange believes that the 
Reference Price applicable to the Trusts, considered together with the 
current market price of Shares, will provide investors with sufficient 
information to approximate the amount to be received upon redemption of 
Shares.
    Information regarding market price and volume of the Shares is and 
will be continually available on a real-time basis throughout the day 
via electronic services. The previous day's closing price and trading 
volume information for the Shares will be published daily in the 
financial section of major newspapers and will be available from major 
market data vendors. Quotation and last sale information for the Shares 
will be available via the Consolidated Tape Association high speed 
line.
    Announcements regarding the levels for the Index and the Indices 
are made at 9:00 a.m. Eastern Time on the last Tuesday of each month, 
and are made available to all market participants at the same time. 
Such levels are available through major market data vendors (e.g., 
Bloomberg, and Reuters). Press releases are posted at Standard and 
Poor's Web site at http://www.indices.standardandpoors.com and are 
released to major news services. Historical data regarding the Index 
and the Indices are published at http://
www.indices.standardandpoors.com.
    The Index and the Indices are disseminated to all market 
participants at the same time.
Initial and Continued Listing Criteria
    Rule 8.400(d) sets forth initial and continued listing criteria 
applicable to Paired Trust Shares. A minimum of 100,000 Up MacroShares 
and 100,000 Down MacroShares will be required to be outstanding at the 
commencement of trading. In addition, the Corporation will obtain a 
representation on behalf of the Up Trust and the Down Trust that the 
Underlying Value per share of each Up Share and Down Share, 
respectively, will be calculated daily and will be made available to 
all market participants at the same time. The Corporation will remove 
from listing the Up MacroShares or the Down MacroShares under the 
circumstances outlined in Rule 8.400(d) for Trading Shares, which 
include:
     If, after the initial twelve-month period following the 
commencement of trading of the Shares, (A) the Up Trust or the Down 
Trust has more than 60 days remaining until termination and there are 
fewer than 50 record and/or beneficial holders of Up MacroShares or 
Down MacroShares, respectively, for 30 or more consecutive trading 
days; (B) if the Up Trust or the Down Trust has fewer than 50,000 Up 
MacroShares or Down MacroShares, respectively, issued and outstanding; 
or (C) if the combined market value of all Shares issued and 
outstanding for the Up Trust and the Down Trust combined is less than 
$1,000,000;
     If a replacement benchmark is selected for the 
determination of the Reference Value, unless the Corporation files with 
the Commission a related proposed rule change pursuant to Rule

[[Page 53311]]

19b-4 under the Exchange Act \20\ seeking approval to continue trading 
the Up MacroShares or Down MacroShares and such rule change is approved 
by the Commission; or
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    \20\ 20 17 CFR 240.19b-4.
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     If such other event shall occur or condition exists which 
in the opinion of the Corporation makes further dealings on the 
Corporation inadvisable.

Rule 8.400(d)(2) also provides that the Corporation will halt trading 
in the Up MacroShares or the Down MacroShares, as the case may be, if 
the circuit breaker parameters of NYSE Arca Equities Rule 7.12 have 
been reached. In exercising its discretion to halt or suspend trading 
in the Up MacroShares or the Down MacroShares, the Corporation may 
consider other factors that may be relevant.
Trading Halts
    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares. Trading may be halted because of market 
conditions or for reasons that, in the view of the Exchange, make 
trading in the Shares inadvisable. These may include: (1) The extent to 
which trading is not occurring in the underlying securities; or (2) 
whether other unusual conditions or circumstances detrimental to the 
maintenance of a fair and orderly market are present. Rule 8.400(d)(2) 
described above sets forth circumstances under which Shares may be 
halted.
    If the Exchange becomes aware that the Underlying Value per Share 
of each Up Share and Down Share is not disseminated to all market 
participants at the same time, it will halt trading in the Up 
MacroShares or the Down MacroShares, as the case may be, until such 
time as the Underlying Values per Share are available to all market 
participants.
Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities. Shares will trade on 
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. Eastern Time in 
accordance with NYSE Arca Equities Rule 7.34 (Opening, Core, and Late 
Trading Sessions). The Exchange has appropriate rules to facilitate 
transactions in the Shares during all trading sessions.
Surveillance
    The Exchange intends to utilize its existing surveillance 
procedures applicable to derivative securities products, including 
Paired Trust Shares, to monitor trading in the Shares. The Exchange 
represents that these procedures are adequate to properly monitor 
Exchange trading of the Shares in all trading sessions and to deter and 
detect violations of Exchange rules and applicable federal securities 
laws.
    The Exchange's current trading surveillance focuses on detecting 
securities trading outside their normal patterns. When such situations 
are detected, surveillance analysis follows and investigations are 
opened, where appropriate, to review the behavior of all relevant 
parties for all relevant trading violations.
    The Exchange may obtain information via the Intermarket 
Surveillance Group (``ISG'') from other exchanges who are members of 
the ISG.\21\
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    \21\ For a list of the current members of ISG, see http://
www.isgportal.org.
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    In addition, the Exchange also has a general policy prohibiting the 
distribution of material, non-public information by its employees.
Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders in an Information Bulletin (``Bulletin'') of the special 
characteristics and risks associated with trading the Shares. 
Specifically, the Bulletin will discuss the following: (1) what the 
Shares are; (2) the procedures for purchases and redemptions of Shares 
in MacroShares Units (and that Shares are not individually redeemable); 
(3) NYSE Arca Equities Rule 9.2(a),\22\ which imposes a duty of due 
diligence on its ETP Holders to learn the essential facts relating to 
every customer prior to trading the Shares; (4) the requirement that 
ETP Holders deliver a prospectus to investors purchasing newly issued 
Shares prior to or concurrently with the confirmation of a transaction; 
and (5) trading information.
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    \22\ NYSE Arca Equities Rule 9.2(a) provides that an ETP Holder, 
before recommending a transaction, must have reasonable grounds to 
believe that the recommendation is suitable for the customer based 
on any facts disclosed by the customer as to his other security 
holdings and as to his financial situation and needs. Further, the 
rule provides, with a limited exception, that prior to the execution 
of a transaction recommended to a non-institutional customer, the 
ETP Holder shall make reasonable efforts to obtain information 
concerning the customer's financial status, tax status, investment 
objectives, and any other information that the ETP Holder believes 
would be useful to make a recommendation. See Securities Exchange 
Act Release No. 54026 (June 21, 2006), 71 FR 36850 (June 28, 2006) 
(SR-PCX-2005-115).
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    In addition, the Bulletin will reference that the Shares are 
subject to various fees and expenses described in the Registration 
Statements. The Bulletin will discuss any exemptive, no-action, and 
interpretive relief granted by the Commission from any rules under the 
Exchange Act.
2. Statutory Basis
    The basis under the Exchange Act for this proposed rule change is 
the requirement under section 6(b)(5) \23\ that an exchange have rules 
that are 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 of a free and open market 
and, in general, to protect investors and the public interest. The 
Exchange believes that the proposed rule change will facilitate the 
listing and trading of additional types of exchange-traded products 
that will enhance competition among market participants, to the benefit 
of investors and the marketplace. In addition, the listing and trading 
criteria set forth in NYSE Arca Equities Rule 8.400 are intended to 
protect investors and the public interest.
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    \23\ 15 U.S.C. 78f(b)(5).
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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 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

    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 the self-regulatory organization consents, the Commission will:
    (A) By order approve such proposed rule change, or

[[Page 53312]]

    (B) Institute proceedings to determine whether the proposed rule 
change should be disapproved.
    The Exchange has requested accelerated approval of this proposed 
rule change prior to the 30th day after the date of publication of the 
notice of the filing thereof. The Commission is considering granting 
accelerated approval of the proposed rule change at the end of a 15-day 
comment period.

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-NYSEArca-2008-92 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-NYSEArca-2008-92. 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-NYSEArca-2008-92 and should 
be submitted on or before September 30, 2008.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\24\
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    \24\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Acting Secretary.
[FR Doc. E8-21329 Filed 9-12-08; 8:45 am]

BILLING CODE 8010-01-P
