55230 Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices 

9 DTC is a securities depository registered with 

the Commission under section 17A and 19 of the 

Act as a clearing agency. 

10Securities Exchange Act Release No. 37208 

(May 13, 1996), 61 FR 25253 (May 20, 1996) [File 

No. SR–DTC–95–27]. 

11Supra, note 5. 

12 15 U.S.C. 78f(b)(5) and 78q–1. 

13 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3See Securities Exchange Act Release No. 54351 

(August 23, 2006), 71 FR 51245, as corrected by 71 

FR 53492 (September 11, 2006). 

4The Fund will be formed as a Delaware statutory 

trust pursuant to a Certificate of Trust and a 

Declaration of Trust and Trust Agreement among 

Wilmington Trust Company, as trustee, the DB 

Commodity Services LLC as managing owner, and 

the holders of the Shares. The Exchange states that 

the Fund will not be subject to registration and 

regulation under the Investment Company Act of 

1940 (‘‘1940 Act’’). 

(‘‘DTC’’)9 allowing DTC to implement 

its Initial Public Offering (‘‘IPO’’) 

Tracking System.10 The IPO Tracking 

System enables lead managers and 

syndicate members of equity 

underwritings to monitor repurchases of 

distributed shares in an automated 

book-entry environment. 

Amex proposes deleting Rule 777(b) 

in its entirety as it is no longer relevant 

since DTC has implemented its IPO 

Tracking System, which is monitoring 

repurchases of distributed shares. The 

proposed rule change is consistent with 

clarifying changes adopted by NYSE.11

Finally, Amex proposes crossreferencing rules 776 and 777 in Part 1 

of the Amex Company Guide to clarify 

that Rules 776 and 777 are initial and 

continued listing standards applicable 

to companies listed on Amex. 

Amex believes the proposed rule 

change is consistent with the 

requirements of Sections 6(b)(5) and 

17A of the Act 12 and the rules and 

regulations thereunder requiring the 

rules of Amex be designed to remove 

impediments to and perfect the 

mechanism of a free and open market 

and to perfect a national market system 

which provides, among other things, for 

the prompt and accurate clearance and 

settlement of securities transactions. 

(B) Self-Regulatory Organization’s 

Statement on Burden on Competition 

Amex 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. 

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 thirty-five 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 ninety days of such date if it finds 

such longer period to be appropriate 

and publishes its reasons for so finding; 

or (ii) as to which the self-regulatory 

organization consents, the Commission 

will: 

(A) By order approve such proposed 

rule change or 

(B) institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

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 rulecomments@sec.gov. Please include File 

Number SR-Amex-2006–80 on the 

subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Nancy M. Morris, Secretary, 

Securities and Exchange Commission, 

100 F Street, NE., Washington, DC 

20549–1090. 

All submissions should refer to File 

Number SR–Amex–2006–80. 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 

Section, 100 F Street, NE., Washington, 

DC 20549. Copies of such filings also 

will be available for inspection and 

copying at the principal office of Amex 

and on Amex’s Web site at 

www.amex.com. All comments received 

will be posted without change; the 

Commission does not edit personal 

identifying information from 

submissions. You should submit only 

information that you wish to make 

available publicly. All submissions 

should refer to File Number SR–Amex–

2006–80 and should be submitted on or 

before October 12, 2006. 

For the Commission by the Division of 

Market Regulation, pursuant to delegated 

authority.13

Jill M. Peterson, 

Assistant Secretary. 

[FR Doc. 06–7840 Filed 9–20–06; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–54450; File No. SR–Amex–

2006–44] 

Self-Regulatory Organizations; 

American Stock Exchange LLC; Order 

Granting Accelerated Approval of a 

Proposed Rule Change and 

Amendments No. 1 and 2 Thereto 

Relating to the Listing and Trading of 

the DB Currency Index Value Fund 

September 14, 2006. 

I. Introduction 

On May 2, 2006, the American Stock 

Exchange LLC (‘‘Amex’’ or ‘‘Exchange’’) 

filed with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

to section 19(b)(1) of the Securities 

Exchange Act of 1934 (‘‘Act’’) 1 and Rule 

19b–4 thereunder,2 a proposed rule 

change to list and trade the DB Currency 

Index Value Fund under Commentary 

.07 to Amex Rule 1202. On July 31, 

2006, Amex filed Amendment No. 1 to 

the proposed rule change. On August 

18, 2006, Amex filed Amendment No. 2 

to the proposed rule change. The 

proposed rule change, as amended, was 

published for comment in the Federal 

Register on August 29, 2006 for a 15-day 

comment period, which ended on 

September 13, 2006.3 The Commission 

received no comments on the proposal. 

This order grants accelerated approval 

of the proposed rule change, as 

amended. 

II. Description of the Proposal 

The Exchange seeks to list and trade 

shares (‘‘Shares’’) of the DB Currency 

Index Value Fund (‘‘Trust’’ or ‘‘Fund’’).4


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5The Exchange stated that the Wilmington Trust 

Company is the trustee of the Fund and the Master 

Fund and has delegated to the Managing Owner the 

power and authority to manage and operate the dayto-day affairs of both. 

6Such ratio is generally intended to be 

comparable to the limits imposed on registered 

investment companies pursuant to the asset 

coverage requirements of Section 18(a) of the 1940 

Act. Even though the Master Fund is not registered 

or regulated as an investment company under the 

1940 Act, the Exchange represents that it is 

structured in a manner that is sensitive to the 

capital structure limitations imposed on registered 

investment companies by the 1940 Act. 

7See infra note 15 (defining net asset value or 

‘‘NAV’’). 

8This is known as the ‘‘Interest Rate Parity’’ or 

‘‘Covered Interest Arbitrage’’ formula. 

9The G10 currencies are the United States Dollar, 

the Euro, the Japanese Yen, the Canadian Dollar, the 

Swiss Franc, the British Pound, the Australian 

Dollar, the New Zealand Dollar, the Norwegian 

Krone, and the Swedish Krona (collectively, the 

‘‘Eligible Index Currencies’’). 

10The Index Sponsor calculates the level of the 

Index intraday and at the end of the day. The 

intraday calculation is based on feeds of real-time 

data relating to the underlying futures contracts and 

updates intermittently approximately every 15 

seconds. The Index Sponsor uses independent feeds 

from Reuters to verify all prices. A number of 

currency market participants independently verify 

the correctness of the disseminated intraday Index 

value and closing Index value. Telephone 

conversation between Sudhir C. Bhattacharyya, 

Assistant General Counsel, Amex, and Edward Cho, 

Special Counsel, Division of Market Regulation, 

Commission, on September 14, 2006. 

11The notional amounts of each Index Currency 

included in the Index are based on the Index 

closing level as of the Index Re-Weighting Period 

(as defined herein). The Index closing level reflects 

an arithmetic weighted average of the change in the 

futures positions on the Index Currencies’’

exchange rates against the U.S. Dollar (‘‘USD’’) 

since March 12, 1993. On such date, the closing 

Index level was $100. 

12The Index Sponsor reviews and reπweights the 

Index on a quarterly basis, in accordance with its 

rules. The futures contracts held by the Fund are, 

therefore, three (3) months in duration. The Index 

Re-Weighting Period takes place just prior to the 

third Wednesday in each of March, June, 

September, and December months, which are 

traditional settlement dates in the International 

Money Market (the ‘‘IMM Dates’’). Upon reweighting, the high yielding Index Currencies are 

allocated a base weight of 331⁄3%, and the low 

yielding Index Currencies are allocated a base 

weight of ¥331⁄3%. These new weights are applied 

during the Index Re-Weighting Period. The futures 

contracts on the Index Currencies are rolled during 

the Index Re-Weighting Period, which will occur 

over the fourth and third business days prior to 

each of the IMM Dates. 

Pursuant to Commentary .07 to Amex 

Rule 1202, the Exchange may approve 

the listing and trading of trust issued 

receipts (‘‘TIRs’’) that represent 

beneficial ownership of shares or 

securities (‘‘Investment Shares’’) of a 

trust, partnership, commodity pool or 

other similar entity that holds 

investments comprising, or otherwise 

based on, any combination of securities, 

futures contracts, swaps, forward 

contracts, options on futures contracts, 

commodities or portfolios of 

investments. 

The Shares represent beneficial 

ownership interests in the Fund’s net 

assets, consisting solely of the common 

units of beneficial interests of DB 

Currency Index Value Master Fund (the 

‘‘Master Fund’’). The Master Fund is a 

statutory trust created under Delaware 

law whose investment portfolio will 

consist primarily of futures contracts on 

the currencies comprising the Deutsche 

Bank G10 Currency Future Harvest 

IndexTM—Excess Return (the ‘‘DBCHI’’ 

or Index’’) and securities for margin 

purposes. Both the Fund and the Master 

Fund will be commodity pools operated 

by DB Commodity Services LLC (the 

‘‘Managing Owner’’). The Managing 

Owner is registered as a commodity 

pool operator (the ‘‘CPO’’) and 

commodity trading advisor (the ‘‘CTA’’) 

with the Commodity Futures Trading 

Commission (‘‘CFTC’’) and is a member 

of the National Futures Association 

(‘‘NFA’’). 

For the Master Fund, the Managing 

Owner will manage the futures contracts 

with the investment objective of 

tracking the performance of the Index 

over time, less the expenses of the 

operations of the Fund and the Master 

Fund.5 The Master Fund will hold a 

portfolio of both long and short futures 

contracts with a notional value to equity 

ratio of approximately two to one (2:1) 6

on the currencies that comprise the 

Index (the ‘‘Index Currencies’’) and will 

include cash and U.S. Treasury 

securities for margin purposes and other 

high credit quality short-term fixed 

income securities. The Master Fund will 

not engage in borrowing. In seeking to 

cause the NAV (as defined herein) 7 of 

the Fund to track the Index during 

periods in which the Index is flat or 

declining, as well as when the Index is 

rising, the Managing Owner believes 

that the Index and the Fund will 

provide the advantages of market 

diversification and the reduction of 

country-specific foreign exchange risk 

(i.e., volatility). The Exchange 

represented that Amex Rule 1202 

accommodates the listing and trading of 

the Shares and that the Shares will 

conform to the initial and continued 

listing criteria under Commentary .07(d) 

to Amex Rule 1202. 

In connection with the proposal, 

Amex also seeks to amend Commentary 

.02 to Amex Rule 1200 to conform to 

Amex’s current trading hours to permit 

the Shares to trade until 4:15 p.m. 

Eastern Time (‘‘ET’’). 

Index Description 

DBCHI is intended to reflect the 

return from investing assets in long 

currency futures positions for certain 

currencies associated with relatively 

high yielding interest rates and an equal 

amount in short currency futures 

positions for certain currencies 

associated with relatively low yielding 

interest rates.8 The Index is designed to 

exploit the trend of currencies 

associated with relatively high interest 

rates, on average, tending to rise in 

value relative to currencies associated 

with relatively low interest rates. 

The Index, at any time, is comprised 

of futures positions on six (6) currencies 

from The Group Ten (‘‘G10’’) countries,9

each of which is traded on the Chicago 

Mercantile Exchange (the ‘‘CME’’). The 

sponsor of the Index is Deutsche Bank 

AG London (‘‘DB London’’ or ‘‘Index 

Sponsor’’). 

As described below, the Index will be 

calculated and disseminated every 

fifteen (15) seconds on the Consolidated 

Tape (‘‘CT’’) and through major market 

data vendors during the time the Shares 

are traded on the Exchange. DB London 

calculates the closing level of the Index 

on the basis of closing prices on CME 

for the applicable futures contracts 

relating to the Index Currencies 10 and 

applies a set of rules to these values to 

calculate the closing level of the 

Index.11 The CME-traded futures 

contract of each applicable Index 

Currency that is closest to expiration is 

used in the Index calculation. The 

futures contracts on the Index 

Currencies are rolled during the period 

in which the Index is re-weighted (the 

‘‘Index Re-Weighting Period’’).12 The 

new futures contract on an Index 

Currency that has the next closest 

expiration date is selected. The 

calculation of the Index on an excessreturn basis is the weighted average 

return on the change in price of the 

futures contracts relating to the Index 

Currencies. 

Investment Objective and Strategy 

The Exchange states that the 

investment objective of the Fund is to 

reflect the performance of the DBCHI, 

over time, less the expenses of the 

operation of the Fund and the Master 

Fund. The Fund will pursue its 

investment objective by investing 

substantially all of its assets in the 

Master Fund. Each Share will correlate 

with a Master Fund share issued by the 

Master Fund and held by the Fund. 

The Master Fund’s portfolio is 

managed with a view to reflect the 

performance of the Index over time. The 

Exchange stated that the Master Fund is 

not traditionally ‘‘managed,’’ which 

typically involves effecting changes in 

the composition of a portfolio on the 


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55232 Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices 

13The use of long and short positions in the 

construction of the Index causes the Index to rise 

as a result of any upward price movement of Index 

Currencies expected to gain relative to the USD (as 

a result of the long positions), and likewise, to rise 

as a result of any downward price movement of 

Index Currencies expected to lose relative to the 

USD (as a result of the short positions). 

14See supra note 6. 

15NAV is the total assets of the Master Fund, less 

total liabilities of the Master Fund, determined on 

the basis of generally accepted accounting 

principles. NAV per Master Fund share is the NAV 

of the Master Fund divided by the number of 

outstanding Master Fund shares. This will be the 

same for the Shares of the Fund because of a oneto-one correlation between the Shares and the 

shares of the Master Fund. 16An ‘‘Authorized Participant’’ is a person, who 

at the time of submitting to the trustee an order to 

create or redeem one or more Baskets, (i) is a 

registered broker-dealer, (ii) is a Depository Trust 

Company (‘‘DTC’’) participant, and (iii) has in effect 

a valid participant agreement. 

17As described in the Notice, the Bank of New 

York is the administrator for both the Fund and the 

Master Fund. The Administrator will perform or 

supervise the performance of services necessary for 

the operation and administration of the Fund and 

the Master Fund (other than making investment 

decisions), including NAV calculations, accounting, 

and other administrative services. 

18The Commodity Broker is Deutsche Bank 

Securities, Inc., an affiliate of the Managing Owner 

and registered with the CFTC as a futures 

commission merchant. 

basis of judgments relating to economic, 

financial, and market considerations. 

Instead, the Managing Owner seeks to 

maintain the relationship between the 

composition and weightings of the CME 

futures positions in the Index 

Currencies to the Master Fund’s long 

and short currency futures positions 

from time to time. The Managing Owner 

adjusts the portfolio on a quarterly basis 

to conform to periodic changes in the 

composition and relative weightings of 

the Index Currencies and may make 

certain adjustments or changes to the 

portfolio more frequently in the case of 

significant changes in the foreign 

currency markets due to volatility. 

The Fund will pursue its investment 

objective by investing substantially all 

of its assets in the Master Fund. To track 

the Index, the Master Fund generally 

will establish long futures positions in 

the three Index Currencies associated 

with the highest interest rates and short 

futures positions in the three Index 

Currencies associated with the lowest 

interest rates 13 and will adjust its 

holdings quarterly as the Index is 

adjusted. However, if the USD is among 

the Index Currencies, the Master Fund 

will not establish a long or short futures 

position (as the case may be) in USD 

because USD is the Fund’s home 

currency and, as a consequence, the 

Exchange states that the Master Fund 

never can enjoy profit or suffer loss from 

long or short futures positions in USD. 

When the USD is not associated with 

the highest or lowest interest rates 

among the Eligible Index Currencies, the 

aggregate notional value of the Master 

Fund’s futures contracts at the time they 

are established will be double the value 

of the Master Fund’s holdings of U.S. 

Treasury Bills and other high credit 

quality short-term fixed income 

securities, (i.e., a ratio of 2:1).14 If the 

USD is associated with the highest or 

lowest interest rates among the Eligible 

Index Currencies, the aggregate notional 

value of the Master Fund’s futures 

contracts at the time they are 

established will be approximately 1.66 

times the value of the Master Fund’s 

holdings of U.S. Treasury Bills and 

other high credit quality short-term 

fixed income securities (i.e., a ratio of 

1.66:1). Holding futures positions with a 

notional amount in excess of the Master 

Fund’s NAV 15 increases the potential 

for both trading profits and losses, 

depending on the performance of the 

Index. The Master Fund’s ability to 

track the Index will not be affected by 

the presence or absence of the USD 

among the Index Currencies. Because 

the notional value of the Master Fund’s 

futures positions can rise or fall over 

time, the ratio of long and short futures 

positions could be higher or lower 

between quarterly adjustments of the 

Index Currencies. 

Product Description 

A. Creation and Redemption of Shares 

Issuances of the Shares will be made 

only in one or more blocks of 200,000 

Shares (the ‘‘Basket’’). The Fund will 

issue and redeem the Shares on a 

continuous basis, by or through 

participants that have entered into 

participant agreements (each, an 

‘‘Authorized Participant’’) 16 with the 

Managing Owner at the NAV per Share 

next determined after an order to 

purchase the Shares in a Basket is 

received in proper form. Following 

issuance, the Shares will be traded on 

the Exchange similar to other equity 

securities. The Shares will be registered 

in book entry form through DTC. 

Baskets will be issued in exchange for 

a cash amount equal to the NAV per 

Share times 200,000 Shares (the ‘‘Basket 

Amount’’). The Basket Amount will be 

determined on each business day by the 

Bank of New York, the Fund 

administrator.17 Authorized Participants 

that wish to purchase a Basket must 

transfer the Basket Amount to the 

Administrator (the ‘‘Cash Deposit 

Amount’’). Authorized Participants that 

wish to redeem a Basket will receive 

cash in exchange for each Basket 

surrendered in an amount equal to the 

NAV per Basket (the ‘‘Cash Redemption 

Amount’’). The Commodity Broker will 

be the custodian for the Master Fund 

and responsible for safekeeping the 

Master Fund’s assets.18

B. Net Asset Value (NAV) 

As stated in the proposal, shortly after 

4 p.m. ET each business day, the 

Administrator will determine the NAV 

for the Fund, utilizing the current 

settlement value of the futures contracts 

on the Index Currencies. Also shortly 

after 4 p.m. ET each business day, the 

Administrator, Amex, and the Managing 

Owner will disseminate the NAV for the 

Shares and the Basket Amount (for 

orders placed during the day). The NAV 

and Basket Amount will be 

communicated by the Administrator to 

all Authorized Participants via facsimile 

or electronic mail message and will be 

available on the Index Sponsor’s 

Internet Web site at http:// 

index.db.com. The Amex will also 

disclose the NAV and Basket Amount 

on its Internet Web site (http:// 

www.amex.com). The Exchange 

represented that the NAV would be 

made available to all market 

participants at the same time. 

The NAV for the Fund is total assets 

of the Master Fund less total liabilities 

of the Master Fund. The NAV is 

calculated by including any unrealized 

profit or loss on futures contracts and 

any other credit or debit accruing to the 

Master Fund but unpaid or not received 

by the Master Fund. The NAV is then 

used to compute all fees (including the 

management and administrative fees) 

that are calculated from the value of 

Master Fund assets. The Administrator 

will calculate the NAV per share by 

dividing the NAV by the number of 

Shares outstanding. 

The Exchange believes that generally 

the Shares will not trade at a material 

discount or premium to the NAV of the 

Shares based on potential arbitrage 

opportunities. Nevertheless, the value of 

a Share may be influenced by nonconcurrent trading hours between the 

Amex and the various futures exchanges 

on which the Index Currencies are 

traded. As a result, during periods when 

the Amex is open and the futures 

exchanges on which the Index 

Currencies are traded are closed, trading 

spreads and the resulting premium or 

discount on the Shares may widen, and, 

therefore, increase the difference 

between the price of the Shares and the 

NAV of the Shares. 


jlentini on PROD1PC65 with NOTICES
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices 55233 

19The Sponsor has in place procedures to prevent 

the improper sharing of information between 

different affiliates and departments. Specifically, an 

information barrier exists between the personnel 

within DB London that calculate and reconstitute 

the Index and other personnel associated with the 

Sponsor, including but not limited to the Managing 

Owner, sales and trading, external or internal fund 

managers, and bank personnel who are involved in 

hedging the bank’s exposure to instruments linked 

to the Index, in order to prevent the improper 

sharing of information relating to the composition 

of the Index. 

20Other futures exchanges may include, for 

example, the New York Board of Trade and other 

futures exchanges which have a Comprehensive 

Surveillance Sharing Agreement (‘‘CSSA’’) with 

Amex or is an Intermarket Surveillance Group 

(‘‘ISG’’) member. Telephone conversation between 

Jeffrey P. Burns, Associate General Counsel, Amex, 

and Florence Harmon, Senior Special Counsel, 

Division of Market Regulation, Commission, on 

September 13, 2006. 

21The Bid-Ask Price of the Shares is determined 

using the highest bid and lowest offer as of the time 

of calculation of the NAV. 

22On each business day, the Administrator will 

make available immediately prior to the opening of 

trading on the Amex via the facilities of the CT the 

most recent Basket Amount for the creation of a 

Basket. 

C. Dissemination of the Index and 

Underlying Futures Contracts 

Information 

DB London, as the Index Sponsor, 

will publish the value of the Index at 

least once every fifteen (15) seconds 

throughout each trading day on the CT, 

Bloomberg, Reuters, and on its Internet 

Web site at http://index.db.com. The 

Exchange stated that the disseminated 

value of the Index will not reflect 

changes to the prices of the Index 

Currencies between the close of trading 

of each respective futures contract on 

the relevant futures exchange, i.e., 3 

p.m. ET (close of trading on the CME 

futures market), and the close of trading 

on the Amex at 4:15 p.m. ET. The 

closing Index level will similarly be 

provided by DB London. In addition, 

any adjustments or changes to the Index 

will also be provided by DB London and 

the Exchange on their respective 

Internet Web sites.19

The daily settlement prices for the 

foreign currency futures contracts 

comprising the Index and held by the 

Master Fund are publicly available on 

the Internet Web sites of the futures 

exchanges trading the particular 

contracts, as well as automated 

quotation systems, published or other 

public sources, or on-line information 

services such as Bloomberg or Reuters. 

In addition, the Exchange will provide 

a hyperlink on its Internet Web site to 

the Index Sponsor’s Internet Web site. 

All of the foreign currency futures 

contracts in which the Master Fund 

currently expects to invest are traded on 

the CME, although currency futures 

contracts on the Eligible Index 

Currencies also trade on other futures 

exchanges in the United States and the 

Master Fund may invest in such 

contracts.20

In addition, various data vendors and 

news publications publish futures 

prices and data. The Exchange 

represented that futures quotes and last 

sale information for the Index 

Currencies are widely disseminated 

through a variety of market data vendors 

worldwide, including Bloomberg and 

Reuters. In addition, the Exchange 

further noted that complete real-time 

data for such futures is available by 

subscription from Reuters and 

Bloomberg. The specific contract 

specifications for the futures contracts 

are also available from CME on its 

Internet Web site, as well as other 

financial informational sources. 

D. Availability of Information Regarding 

the Shares 

The Internet Web sites for the Fund 

and/or the Exchange, which are publicly 

accessible at no charge, will contain the 

following information: (a) Current NAV 

per Share daily and the prior business 

day’s NAV and the reported closing 

price; (b) the mid-point of the bid-ask 

price in relation to the NAV as of the 

time the NAV is calculated (the ‘‘BidAsk Price’’); 21 (c) the calculation of the 

premium or discount of such price 

against such NAV; (d) data in chart form 

displaying the frequency of distribution 

of discounts and premiums of the BidAsk Price against the NAV, within 

appropriate ranges for each of the four 

(4) previous calendar quarters; (e) the 

prospectus; and (f) other applicable 

quantitative information. The Exchange 

will also make available on its Internet 

Web site the daily trading volume of the 

Shares. 

E. Foreign Currency Pricing 

In its proposal, the Exchange stated 

that investors may also obtain, on a 24- 

hour basis, currency pricing information 

from various financial information 

service providers. The Exchange stated 

that current currency spot prices are 

also generally available with bid/ask 

spreads from foreign exchange dealers. 

Complete real-time data for futures and 

options prices traded on CME and Phlx 

are also available by subscription from 

information service providers. CME and 

Phlx also provide delayed futures and 

options information on current and past 

trading sessions and market news free of 

charge on their respective Web sites. 

There are a variety of other public 

Internet Web sites that provide 

information on currency, such as 

Bloomberg (http://www.bloomberg.com/ 

markets/currecies/ 

eurafr_currencies.html), which regularly 

reports current foreign currency pricing 

for a fee. Other service providers 

include CBS Market Watch (http:// 

marketwatch.com/tools.stockresearch/ 

globalmarkets) and Yahoo! Finance 

(http://finance.yahoo.com/currency). 

Many of these Internet Web sites offer 

price quotations drawn from other 

published sources, and as the 

information is supplied free of charge, it 

generally is subject to time delays. 

F. Dissemination of Indicative Fund 

Value 

As noted above, the Administrator 

calculates the NAV of the Fund once 

each trading day and disseminates such 

NAV to all market participants at the 

same time. In addition, the 

Administrator causes to be made 

available on a daily basis the Cash 

Deposit Amount to be deposited in 

connection with the issuance of the 

Shares in Baskets. Other investors can 

also request such information directly 

from the Administrator. 

In order to provide updated 

information relating to the Fund for use 

by investors, professionals, and persons 

wishing to create or redeem the Shares, 

the Exchange will disseminate through 

the facilities of the CT an updated 

Indicative Fund Value (the ‘‘Indicative 

Fund Value’’). The Indicative Fund 

Value will be disseminated on a per 

Share basis every fifteen (15) seconds 

during regular Amex trading hours of 

9:30 a.m. to 4:15 p.m. ET. The Indicative 

Fund Value will be calculated based on 

the cash required for creations and 

redemptions (i.e., Basket Amount), 

adjusted to reflect the price changes of 

the Index Currencies through 

investments held by the Master Fund, 

i.e., futures contracts and options on 

futures and/or forwards.22

While the market for futures trading 

for each of the Index Currencies is open, 

the Indicative Fund Value can be 

expected to closely approximate the 

value per Share of the Basket Amount. 

The Indicative Fund Value will not 

reflect price changes to the price of an 

underlying currency between the close 

of trading of the futures contract at the 

relevant futures exchange and the close 

of trading on the Amex at 4:15 p.m. ET. 

While the Shares will trade on the 

Amex from 9:30 a.m. to 4:15 p.m. ET, 

regular trading hours for each of the 

Index Currencies on the CME are 8:20 

a.m. to 3 p.m. ET. Therefore, the value 

of a Share may be influenced by nonconcurrent trading hours between the 

Amex and the various futures exchanges 

on which the futures contracts based on 


jlentini on PROD1PC65 with NOTICES
55234 Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices 

23The Managing Owner represents that it will 

seek to arrange to have the Index calculated and 

disseminated on a daily basis through a third party 

if DB London ceases to calculate and disseminate 

the Index. If, however, the Managing Owner is 

unable to arrange for the calculation and 

dissemination of the Index (or another index which 

succeeds the Index), the Exchange will undertake 

to delist the Shares. If the Index is discontinued or 

suspended, the Managing Owner, in its sole 

discretion, may substitute the Index with an index 

substantially similar to the discontinued or 

suspended Index. Such successor Index may be 

calculated and/or published by any other third 

party. 

24The Exchange further represents that it would 

immediately contact the Commission to discuss 

measures that may be appropriate under the 

circumstances 

25 In the event the Index value is no longer 

calculated or disseminated by one or more major 

market data vendors, the Exchange would 

immediately contact the Commission to discuss 

measures that may be appropriate under the 

circumstances. 

26 In the event the Indicative Fund Value is no 

longer calculated or disseminated through the 

facilities of the CT, the Exchange would 

immediately contact the Commission to discuss 

measures that may be appropriate under the 

circumstances. 

27 In the event the NAV is no longer calculated 

or disseminated to all market participants at the 

same time, the Exchange would immediately 

contact the Commission to discuss measures that 

may be appropriate under the circumstances. 28See 17 CFR 240.10A–3. 

the Index Currencies are traded. 

Accordingly, the Exchange cautioned 

that 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. 

G. Events Requiring Notice to and/or 

Approval by the Commission 

The Exchange represented that should 

the Index Sponsor substantially change 

either the Index component selection or 

weighting methodology, the Exchange 

would file a proposed rule change 

pursuant to Rule 19b–4 under the Act, 

which must be approved by the 

Commission for continued trading of the 

Shares. 

The Exchange represented that if a 

successor or substitute index is used by 

the Managing Owner, Amex will file 

with the Commission a proposed rule 

change pursuant to Rule 19b–4 under 

the Act to address, among other things, 

the listing and trading characteristics of 

the successor index and Amex’s 

surveillance procedures applicable to 

the successor index, which must be 

approved by the Commission to 

continue trading the Shares relating to 

the successor index. 

In the case of a temporary disruption 

in connection with the trading of the 

futures contracts comprising the Index, 

the Index Sponsor may use a currency 

futures contract on the same Index 

Currency from a different futures 

exchange than CME or use the prior 

day’s price for such Index Currency 

contract. In exceptional cases, the Index 

Sponsor may employ a ‘‘fair value’’

price (i.e., the price for unwinding the 

position by dealers in the OTC market). 

However, the Exchange represented that 

if the use of such alternative pricing 

methods is more than of a temporary 

nature, the Exchange will file a 

proposed rule change with the 

Commission pursuant to Rule 19b–4 

under the Act seeking Commission 

approval to continue trading the Shares. 

Unless approved for continued trading, 

the Exchange would commence 

delisting proceedings. 

The Exchange represented that it 

would halt trading of the Shares if (a) 

the value of the Index is no longer 

calculated or available on at least a 

fifteen (15) second basis through the 

facilities of the CT or major market data 

vendors during the time the Shares 

trade on Amex,23 (b) if the Indicative 

Fund Value, updated at least every 

fifteen (15) seconds, is no longer 

calculated or available, or (c) the NAV 

is no longer disseminated to all market 

participants at the same time.24

Criteria for Initial and Continued Listing 

The Fund will be subject to the 

criteria in Commentary .07(d) of Amex 

Rule 1202 for initial and continued 

listing of the Shares. The proposed 

continued listing criteria provides for 

the delisting or removal from listing of 

the Shares under any of the following 

circumstances: 

• Following the initial twelve-month 

period from the date of commencement 

of trading of the Shares: (i) If the Fund 

has more than 60 days remaining until 

termination and there are fewer than 50 

record and/or beneficial holders of the 

Shares for 30 or more consecutive 

trading days; (ii) if the Fund has fewer 

than 50,000 Shares issued and 

outstanding; or (iii) if the market value 

of all Shares is less than $1,000,000; 

• If the value of the underlying Index 

is no longer calculated or available on 

at least a 15-second delayed basis 

through one or more major market data 

vendors; 25

• The Indicative Fund Value is no 

longer made available on at least a 15- 

second delayed basis through the 

facilities of the CT; 26

• The calculation or dissemination of 

the NAV is disrupted such that the NAV 

is no longer disseminated to all market 

participants at the same time; 27

• Unless approval is received from 

the Commission to continue to list and 

trade the Shares after a proposed rule 

change pursuant to Rule 19b–4 under 

the Act is properly filed by the 

Exchange, (i) more than a temporary 

disruption exists in connection with the 

pricing of the futures contracts 

comprising the Index, (ii) a successor or 

substitute index is used by the 

Managing Owner in connection with the 

Shares, (iii) calculation or dissemination 

of the NAV is more than temporarily 

disrupted, or (iv) the Index Sponsor 

substantially changes either the Index 

component selection methodology or 

weighting methodology; or 

• If such other event shall occur or 

condition exists which in the opinion of 

the Exchange makes further dealings on 

the Exchange inadvisable. 

The initial purchaser (the ‘‘Initial 

Purchaser’’) will initially purchase and 

take delivery of 200,000 Shares, which 

comprises the initial Basket, at a 

purchase price of $25.00 per Share 

($5,000,000 per Basket) pursuant to an 

Initial Purchaser Agreement. The Initial 

Purchaser proposes to offer to the public 

these 200,000 Shares at a per-Share 

offering price that will vary depending 

on, among other factors, the trading 

price of the Shares on the Amex, the 

NAV per Share, and the supply of and 

demand for the Shares at the time of the 

offer. The Exchange submitted that the 

anticipated minimum number of Shares 

outstanding at the start of trading would 

be sufficient to provide adequate market 

liquidity and to further the Fund’s 

objective to seek to provide a simple 

and cost effective means of accessing 

the currency futures markets. The 

Exchange also represented that, for the 

initial and continued listing, the Shares 

must be in compliance with Section 803 

of the Amex Company Guide and Rule 

10A–3 under the Act.28

The Amex original listing fee 

applicable to the listing of the Fund is 

$5,000. In addition, the annual listing 

fee applicable under Section 141 of the 

Amex Company Guide will be based 

upon the year-end aggregate number of 

Shares in all series of the Fund 

outstanding at the end of each calendar 

year. 

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. Shares will 

trade on the Amex until 4:15 p.m. ET 

each business day and will trade in a 


jlentini on PROD1PC65 with NOTICES
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices 55235 

29See Securities Exchange Act Release No. 29063 

(April 10, 1991), 56 FR 15652 (April 17, 1991) 

(noting the Exchange’s designation of equity 

derivative securities as eligible for such treatment 

under Amex Rule 154, Commentary .04(c)). 

30See Commentary .05 to Amex Rule 190. 

31All applicable provisions of Amex Rule 1202 

and Commentaries thereto will govern the trading 

of the Shares. Telephone conversation between 

Sudhir C. Bhattacharyya, Assistant General 

Counsel, Amex, and Edward Cho, Special Counsel, 

Division of Market Regulation, Commission, on 

September 14, 2006. 32See supra notes 25–27 and accompanying text. 

minimum price variation of $0.01 

pursuant to Amex Rule 127. Trading 

rules pertaining to odd-lot trading in 

Amex equities (Amex Rule 205) will 

also apply. 

Amex Rule 154, Commentary .04(c), 

provides that stop and stop limit orders 

to buy or sell a security (other than an 

option, which is covered by Amex Rule 

950(f) and Commentary thereto) the 

price of which is derivatively priced 

based upon another security or index of 

securities, may with the prior approval 

of a Floor Official, be elected by a 

quotation, as set forth in Commentary 

.04(c)(i)–(v). The Exchange has 

designated the Shares as eligible for this 

treatment.29

The Shares will be deemed ‘‘Eligible 

Securities’’, as defined in Amex Rule 

230, for purposes of the Intermarket 

Trading System (‘‘ITS’’) plan and 

therefore will be subject to the tradethrough provisions of Amex Rule 236, 

which require that Amex members 

avoid initiating trade-throughs for ITS 

securities. 

Specialist transactions of the Shares 

made in connection with the creation 

and redemption of Shares will not be 

subject to the prohibitions of Amex Rule 

190.30 Unless exemptive or no-action 

relief is available, the Shares will be 

subject to the short sale rule, Rule 10a1 and other rules under the Act. If 

exemptive or no-action relief is 

provided, the Exchange will issue a 

notice detailing the terms of the 

exemption or relief. The Shares will 

generally be subject to the Exchange’s 

stabilization rule, Amex Rule 170, 

except that specialists may buy on ‘‘plus 

ticks’’ and sell on ‘‘minus ticks,’’ in 

order to bring the Shares into parity 

with the underlying currency and/or 

futures contract price. Commentary 

.07(f) to Amex Rule 1202 sets forth this 

limited exception to Amex Rule 170. 

The trading of the Shares will be 

subject to certain conflict of interest 

provisions set forth in Commentary 

.07(e) to Amex Rule 1202. Specifically, 

Commentary .07(e) provides that the 

prohibitions in Amex Rule 175(c) apply 

to a specialist in the Shares so that the 

specialist or affiliated person may not 

act or function as a market maker in an 

underlying asset, related futures 

contract or option, or any other related 

derivative. An affiliated person of the 

specialist consistent with Amex Rule 

193 may be afforded an exemption to act 

in a market making capacity, other than 

as a specialist in the Shares on another 

market center, in the underlying asset, 

related futures, or options or any other 

related derivative. Commentary .07(e) 

further provides that an approved 

person of an equity specialist that has 

established and obtained Exchange 

approval for procedures restricting the 

flow of material, non-public market 

information between itself and the 

specialist member organization, and any 

member, officer, or employee associated 

therewith, may act in a market making 

capacity, other than as a specialist in the 

Shares on another market center, in the 

underlying asset or commodity, related 

futures or options on futures, or any 

other related derivatives. 

Commentary .07(g)(1) and (2) to Amex 

Rule 1202 also ensures that specialists 

handling the Shares provide the 

Exchange with all the necessary 

information relating to their trading in 

physical assets or commodities, related 

futures contracts and options thereon, or 

any other derivative. As a general 

matter, the Exchange has regulatory 

jurisdiction over its members, member 

organizations, and approved persons of 

a member organization. The Exchange 

also has regulatory jurisdiction over any 

person or entity controlling a member 

organization, as well as a subsidiary or 

affiliate of a member organization that is 

in the securities business. A subsidiary 

or affiliate of a member organization 

that does business only in commodities 

or futures contracts would not be 

subject to Exchange jurisdiction, but the 

Exchange could obtain information 

regarding the activities of such 

subsidiary or affiliate through 

surveillance sharing agreements with 

regulatory organizations of which such 

subsidiary or affiliate is a member.31

Trading Halts 

Prior to the commencement of 

trading, the Exchange will issue an 

Information Circular (described below) 

to members informing them of, among 

other things, Exchange policies 

regarding trading halts in the Shares. 

First, the circular will advise that 

trading will be halted in the event the 

market volatility trading halt parameters 

set forth in Amex Rule 117 have been 

reached. Second, the circular will 

advise that, in addition to the 

parameters set forth in Amex Rule 117, 

the Exchange will halt trading in the 

Shares if trading in the underlying 

related futures contract(s) is halted or 

suspended. Third, 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. The Exchange will halt trading 

in the Shares if the value of the Index 

is no longer calculated or available on 

at least a fifteen (15) second basis 

through one or more major market data 

vendors during the time the Shares 

trade on Amex, or if the Indicative Fund 

Value per Share updated at least every 

fifteen (15) seconds is no longer 

calculated or available the facilities of 

the CT, or if the NAV is no longer 

calculated or disseminated for the 

benefit of all market participants at the 

same time.32

Suitability 

The Information Circular (described 

below) will inform members and 

member organizations of the 

characteristics of the Fund and of 

applicable Exchange rules, as well as of 

the requirements of Amex Rule 411 

(Duty to Know and Approve 

Customers). 

The Exchange noted that pursuant to 

Amex Rule 411, members and member 

organizations are required in connection 

with recommending transactions in the 

Shares to have a reasonable basis to 

believe that a customer is suitable for 

the particular investment given 

reasonable inquiry concerning the 

customer’s investment objectives, 

financial situation, needs, and any other 

information known by such member. 

Information Circular 

The Amex will distribute an 

Information Circular to its members in 

connection with the trading of the 

Shares. The Circular, will discuss the 

special characteristics and risks of 

trading this type of security, such as 

currency fluctuation risk. Specifically, 

the Circular, among other things, will 

discuss what the Shares are, how a 

Basket is created and redeemed, 

applicable Amex rules, dissemination 

information, trading information, and 

applicable suitability rules. The Circular 

will also explain that the Fund is 

subject to various fees and expenses 

described in the Registration Statement. 

The Circular will also reference the fact 

that the CFTC has regulatory 

jurisdiction over the trading of futures 

contracts. 

The Circular will also notify members 

and member organizations about the 


jlentini on PROD1PC65 with NOTICES
55236 Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices 

33 In approving this proposed rule change, the 

Commission notes that it has considered the 

proposed rule’s impact on efficiency, competition, 

and capital formation. See 15 U.S.C. 78c(f). 

34 15 U.S.C. 78f(b)(5). 

35All of the futures contracts in which the Master 

Fund currently expects to invest are traded on the 

CME, although currency futures contracts on the 

Eligible Index Currencies also trade on other futures 

exchanges in the United States, such as the New 

York Board of Trade, which is a member of ISG. 

36The Exchange states that the disseminated 

value of the Index will not reflect changes to the 

prices of the Index Currencies between the close of 

trading of each respective futures contract on the 

relevant futures exchange, i.e., 3 p.m. ET (close of 

trading on the CME futures market), and the close 

of trading on the Amex at 4:15 p.m. ET. 

37Telephone conversation between Sudhir C. 

Bhattacharyya, Assistant General Counsel, Amex, 

and Edward Cho, Special Counsel, Division of 

Market Regulation, Commission, on September 14, 

2006. 

procedures for purchases and 

redemptions of Shares in Baskets that 

are described in the prospectus, and that 

Shares are not individually redeemable 

but are redeemable only in one or more 

Baskets only through an Authorized 

Participant. The Circular will advise 

members of their suitability obligations 

with respect to recommended 

transactions to customers in the Shares. 

The Circular will also discuss any relief, 

if granted, by the Commission or the 

staff from any rules under the Act. 

Additionally, the Circular will 

disclose that the NAV for Shares will be 

calculated shortly after 4 p.m. ET each 

trading day and that information about 

the Shares and the Index will be 

publicly available on the Internet Web 

site of Amex and the Fund. In the 

Information Circular, the Exchange will 

inform members and member 

organizations, prior to commencement 

of trading, of the prospectus delivery 

requirements applicable to the Fund. 

The Exchange noted that investors 

purchasing Shares directly from the 

Fund (in exchange for cash) will receive 

a prospectus. Amex members 

purchasing Shares from the Trust for 

resale to investors will deliver a 

prospectus to such investors. 

Surveillance 

The Exchange represented that its 

surveillance procedures are adequate to 

properly monitor the trading of the 

Shares and to deter and detect 

violations of Amex rules. Specifically, 

Amex will rely on its existing 

surveillance procedures governing 

Index Fund Shares. Amex represents 

that its surveillance procedures for the 

Shares will be similar to those used for 

other TIRs (such as the Currency Trust 

Shares and the DB Commodity Index 

Tracking Fund) and exchange-traded 

funds and will incorporate and rely 

upon existing Amex surveillance 

procedures governing options and 

equities. The Exchange also noted that 

the CME is a member of the ISG. As a 

result, the Exchange asserted that 

market surveillance information is 

available from the CME, if necessary, 

due to regulatory concerns that may 

arise in connection with the CME 

futures contracts that are used in 

connection with the Index calculation 

and held by the Fund. In addition, the 

Exchange represented that, to the extent 

the Master Fund invests in foreign 

currency futures contracts traded on 

futures exchanges other than CME, the 

Exchange must have a CSSA with that 

futures exchange or the futures 

exchange must be an ISG member. 

III. Discussion and Commission’s 

Findings 

After careful consideration, the 

Commission finds that the proposed 

rule change, as amended, is consistent 

with the requirements of the Act and the 

rules and regulations thereunder 

applicable to a national securities 

exchange.33 In particular, the 

Commission finds that the proposed 

rule change, as amended, is consistent 

with the requirements of section 6(b)(5) 

of the Act,34 which requires, among 

other things, that the Exchange’s rules 

be designed to promote just and 

equitable principles of trade, to remove 

impediments to and perfect the 

mechanism of a free and open market 

and a national market system and, in 

general, to protect investors and the 

public interest. 

A. Surveillance 

Information sharing agreements with 

primary markets are an important part 

of a self-regulatory organization’s ability 

to monitor for trading abuses in 

derivative products. The Exchange 

represents that the CME, where the 

futures contract for each of the current 

Index components is traded, is a 

member of the ISG, and that the 

Exchange has access to all relevant 

trading information with respect to 

those contracts without any further 

action. In addition, the Exchange 

represents that, in the event that a 

successor or substitute index is used by 

the Managing Owner, Amex will file 

with the Commission a proposed rule 

change, which addresses, among other 

things, applicable surveillance 

procedures, and unless approved by the 

Commission, the Exchange will 

commence delisting of the Shares. The 

Exchange also represents that, to the 

extent the Master Fund invests in 

foreign currency futures contracts 

traded on futures exchanges other than 

CME, the Exchange must have a CSSA 

with that futures exchange or the futures 

exchange must be an ISG member. 

Moreover, Amex Rule 1202 requires 

Exchange specialists, upon the 

Exchange’s request, to provide Amex 

with information that the specialist uses 

in connection with pricing and trading 

the Shares on the Exchange. In 

particular, Commentaries .07(g)(1) and 

(g)(2) to Amex Rule 1202 require that 

the specialist handling the Shares 

provide the Exchange with information 

relating to its trading in the Shares and 

the accounts of the member organization 

acting as specialist, member 

organization, or approved person of 

such member organization in the Index 

components, related futures or options 

on futures, or any other related 

derivatives. 

B. Dissemination of Information 

The Commission believes that 

sufficient venues exist for obtaining 

reliable information so that investors in 

the Shares should be able to monitor the 

underlying Index relative to the 

Indicative Value of their Shares. There 

is a considerable amount of information 

about the Index and its components and 

related futures contracts and the Shares 

available through public Web sites and 

professional subscription services, 

including Reuters and Bloomberg. 

Real time information about the 

trading of the component currency 

futures contracts trading on CME related 

to the Index components and their daily 

settlement prices of such futures 

contracts is available from one or more 

major market data vendors. Delayed 

information is often available from 

futures exchanges trading futures 

contracts on the underlying Index 

components. The Exchange stated that 

daily settlement prices for the futures 

contracts comprising the Index and held 

by the Master Fund are publicly 

available on the Internet Web sites of 

the futures exchanges trading the 

particular contracts.35 The Exchange has 

further represented that the Index 

Sponsor, DB London, will publish the 

value of the Index at least every 15 

seconds during Amex trading hours to 

the CT, Bloomberg, Reuters, and the 

Index Sponsor’s Internet Web site, 

http://index.db.com.36 While the Index 

is calculated and disseminated by the 

Index Sponsor, an affiliate of a 

registered broker-dealer,37 the 

Commission notes that a number of 

independent sources may verify both 

the intraday and closing Index values 

and the Index Sponsor uses 

independent feeds from Reuters to 


jlentini on PROD1PC65 with NOTICES
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices 55237 

38The Commission notes that the Indicative Fund 

Value will not reflect price changes of an 

underlying currency between the close of trading of 

the relevant futures contract at the futures exchange 

and the close of trading on the Amex at 4:15 p.m. 

ET, and should not be viewed as a real-time update 

of the Fund’s NAV. 

39For example, Commentary .07(e) to Amex Rule 

1202 prohibits the specialist in the Shares from 

being affiliated with a market maker in the Index 

commodities, related futures or options on futures, 

or any other related derivatives, unless information 

barriers are in place that satisfy the requirements of 

Amex Rule 193. Commentary .07(g)(3) to Amex 

Rule 1202 also prohibits the specialist in the Shares 

from using any material nonpublic 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 Index commodities, related futures 

or options on futures, or any other related 

derivatives. 

40 15 U.S.C. 78s(b)(2). 

41 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78s(b)(3)(A)(iii). 

4 17 CFR 240.19b–4(f)(6). 

verify all CME pricing information used 

to calculate the Index. 

Likewise, information about the 

Shares will also be widely available. 

The Indicative Fund Value will be 

disseminated every 15 seconds during 

Amex regular trading hours through the 

facilities of the CT and will be displayed 

on the Exchange’s Internet Web site 

(http://www.amex.com).38 The 

Commission believes that dissemination 

of the Indicative Fund Value based on 

the cash amount required for a Basket 

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. 

In addition, the Internet Web sites for 

the Fund and/or the Exchange will 

disseminate the NAV, Basket Amount, 

trading volume of the Shares, and other 

quantitative information related to the 

operation of the Fund and trading of the 

Shares. The Exchange has represented 

that the NAV and Basket Amount will 

be disseminated shortly after 4 p.m. ET 

each business day. The NAV will be 

made available to all market 

participants at the same time. The 

Commission notes that, if the NAV is 

not disseminated to all market 

participants at the same time, the 

Exchange has agreed to halt trading of 

the Shares. 

In sum, the Commission believes that 

the availability of information about the 

underlying futures contracts, the Index, 

and the Shares should facilitate 

transparency with respect to the 

proposed Shares. 

C. Listing and Trading 

The Commission finds that the 

Exchange’s proposed rules and 

procedures for the listing and trading of 

the proposed Shares are consistent with 

the Act. Shares will trade as equity 

securities subject to Amex rules 

including, among others, rules 

governing priority, parity and 

precedence of orders, specialist 

responsibilities,39 and account opening 

and customer suitability requirements. 

Finally, the Commission notes that the 

Information Circular the Exchange will 

distribute will inform members and 

member organizations about the terms, 

characteristics and risks in trading the 

Shares, including their prospectus 

delivery obligations. 

D. Accelerated Approval of the 

Proposed Rule Change, as Amended by 

Amendments No. 1 and 2 Thereto 

The Commission finds good cause for 

approving the proposed rule change, as 

amended by Amendments No. 1 and 2, 

prior to the 30th day after the date of 

publication of the notice of filing thereof 

in the Federal Register. The Exchange 

has requested the Commission to 

approve the proposal, as amended, on 

an accelerated basis, after a 15-day 

comment period, to enable investors to 

begin trading the Shares promptly. The 

Commission notes that the proposed 

rule change, as amended, was noticed 

for a 15-day comment period and no 

comments were received. Therefore, the 

Commission finds good cause, 

consistent with section 19(b)(2) of the 

Act,40 to approve the proposal, as 

amended, on an accelerated basis. 

IV. Conclusion 

It is therefore ordered, pursuant to 

section 19(b)(2) of the Act that the 

proposed rule change (SR–Amex–2006–

44), as amended by Amendments No. 1 

and 2, is approved on an accelerated 

basis. 

For the Commission, by the Division of 

Market Regulation, pursuant to delegated 

authority.41

J. Lynn Taylor, 

Assistant Secretary. 

[FR Doc. 06–7841 Filed 9–20–06; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–54443; File No. SR–CBOE–

2006–77] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Extending Pilot Programs 

for Remote Market-Makers and e-DPMs 

September 14, 2006. 

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 

September 11, 2006, the Chicago Board 

Options Exchange, Incorporated 

(‘‘CBOE’’ or ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’ or ‘‘SEC’’) the proposed 

rule change as described in Items I and 

II below, which Items have been 

prepared by the CBOE. The Exchange 

filed the proposal as a ‘‘noncontroversial’’ proposed rule change 

pursuant to section 19(b)(3)(A)(iii) of the 

Act 3 and Rule 19b–4(f)(6) thereunder.4

The Commission is publishing this 

notice to solicit comments on the 

proposed rule change from interested 

persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

CBOE proposes to extend the pilots 

allowing Remote Market-Makers 

(‘‘RMMs’’) and e-DPMs to have up to 

one affiliated Market-Maker trade in 

classes assigned to the RMM and eDPM, respectively. The text of the 

proposed rule change is available on the 

Exchange’s Web site (http:// 

www.cboe.com), at the Exchange’s 

Office of the Secretary and at the 

Commission’s Public Reference Room. 

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 


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