23862 Federal Register / Vol. 72, No. 83 / Tuesday, May 1, 2007 / Notices 

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

2 17 CFR 240.19b–4. 

3 Lehman Brothers Holdings Inc. (‘‘Lehman’’), 

Dow Jones & Company, Inc. (‘‘Dow Jones’’) and AIG 

International, Inc. (‘‘AIGI’’) have entered into a nonexclusive license agreement providing for the use 

of the Index by Lehman and certain affiliates and 

subsidiaries thereof in connection with certain 

securities including the Notes. 

4 See Securities Exchange Act Release No. 54790 

(November 20, 2006), 71 FR 68645 (November 27, 

2006) (SR–Amex–2006–01). 

5 The ‘‘Valuation Date’’ will generally be the third 

business day before the stated maturity date. 

6 An ‘‘Index Business Day’’ means a business day 

or, but for the occurrence of a Market Disruption 

Event (as defined herein), a day that would have 

been a business day, on which the Index is 

calculated by the Sponsors and published by Dow 

Jones, or if applicable, on which any successor 

Index is calculated. A ‘‘Market Disruption Event’’ 

means any of the following events, as determined 

in its sole discretion by Lehman Brothers Inc. (the 

‘‘Calculation Agent’’): (1) The Index value is not 

calculated by the Sponsors and published by Dow 

Jones (or any successor Index is not calculated and 

published by the sponsors thereof); (2) the 

termination or suspension of, or material limitation 

or disruption in, the trading on a relevant exchange 

of any futures contract included in the Index (or 

any successor Index); (3) the settlement price on a 

relevant exchange of any futures contract included 

in the Index (or any successor Index) has increased 

or decreased by an amount equal to the maximum 

permitted price change from the previous day’s 

settlement price; or (4) the settlement price of any 

futures contract included in the Index (or any 

successor Index) is not published by the relevant 

exchange. 

7 The ‘‘Index Return’’ is equal to the difference 

between the Closing Index Level (the closing level 

of the Index on any Index Business Day) and the 

Initial Index Level (the Closing Index Level on the 

date of the prospectus supplement), divided by the 

Initial Index Level. If the third business day before 

the stated maturity date is not an Index Business 

Day or the Calculation Agent determines that one 

or more Market Disruption Events has occurred on 

that day, the Calculation Agent will, subject to 

certain limitations, calculate the Index Return by 

determining the Closing Index Level on the next 

Index Business Day on which there is not a Market 

Disruption Event (the ‘‘Final Index Level’’). If such 

postponement causes the Valuation Date to occur 

within three business days prior to the scheduled 

stated maturity date, the stated maturity date will 

be postponed until three business days after the 

date that the Final Index Level is determined. 

8 The daily ‘‘Treasury Bill Return’’ on any 

calendar day is the one-day return calculated using 

the weekly auction high rate for the 91-day 

Treasury Bill. The Treasury Bill Return as of any 

Index Business Day means a rate determined by the 

Calculation Agent by compounding the daily 

Treasury Bill Return on each calendar day during 

the term of the Notes. 

9 The ‘‘Adjustment Rate’’ means a rate, as 

determined by the Calculation Agent, which will 

equal the quotient of (1) The product of 0.30% 

times the number of calendar days from and 

including the date of the prospectus supplement to 

and including the Index Business Day, and (2) 365. 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–55661; File No. SR–Amex– 

2007–29] 

Self-Regulatory Organizations; 

American Stock Exchange LLC; Notice 

of Filing of a Proposed Rule Change 

and Amendment No. 1 Thereto 

Relating to the Listing and Trading of 

Notes Linked to the Performance of the 

Dow Jones-AIG Commodity Index 

Total Return 

April 24, 2007. 

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

Securities Exchange Act of 1934 (‘‘Act’’) 

1 and Rule 19b–4 thereunder,2 notice is 

hereby given that on March 2, 2007, the 

American Stock Exchange LLC (‘‘Amex’’ 

or ‘‘Exchange’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

prepared substantially by Amex. On 

April 5, 2007, Amex filed Amendment 

No. 1 to the proposed rule change. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change, as amended, from interested 

persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to list and 

trade notes linked to the performance of 

the Dow Jones-AIG Commodity Index 

Total Return (the ‘‘Index’’). The text of 

the proposal is available at Amex, the 

Commission’s Public Reference Room, 

and http://www.amex.com. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, 

Amex 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, and the most 

significant aspects of such statements 

are set forth in sections A, B, and C 

below. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

Under section 107(A) of the Amex 

Company Guide (the ‘‘Company 

Guide’’), the Exchange may approve for 

listing and trading securities which 

cannot be readily categorized under the 

listing criteria for common and 

preferred stocks, bonds, debentures, or 

warrants, including index and currency 

warrants. Amex proposes to list for 

trading under section 107(A) of the 

Company Guide floating rate notes (the 

‘‘Notes’’) linked to the performance of 

the Index.3 The Exchange submits that 

it recently received approval to list and 

trade notes linked to the performance of 

the Dow Jones-AIG ExEnergy Sub-Index, 

which is a subset of the Index.4 The 

Notes will provide for participation in 

the positive performance of the Index 

during their term. 

The Exchange states that the Notes 

will conform to the initial listing 

guidelines under section 107(A) of the 

Company Guide and the continued 

listing guidelines under sections 1001– 

1003 of the Company Guide. The Notes 

are senior, non-convertible debt 

securities of Lehman and have a term of 

thirteen months. The Notes are cashsettled in U.S. dollars and do not give 

the holder any right or other ownership 

interest in the Index or commodities 

comprising the Index. The Notes are 

designed for investors who desire to 

participate in, or gain exposure to, an 

index composed of a basket of activelytraded commodities and receive 

monthly coupon interest payments, and 

who are willing to forego principal 

protection on the Notes during such 

term. Lehman will issue the Notes in 

denominations of whole units, with 

each unit representing a single Note. 

The original public offering price will 

be $1,000 per Note. 

Unless the Notes have been redeemed 

earlier, at maturity, a holder would 

receive per each $1,000 Note, a cash 

amount equal to the Daily Value (as 

defined herein) per $1,000 Note as of 

the Valuation Date,5 plus accrued and 

unpaid coupon payments, to, but 

excluding, the stated maturity date. The 

‘‘Daily Value’’ as of any Index Business 

Day 6 is calculated as follows: $1,000 + 

($1,000 x 3 x (Index Return 7 - (Treasury 

Bill Return 8 + Adjustment Rate 9))). The 

sum of the Treasury Bill Return and the 

Adjustment Rate reflects a combination 

of (1) The cost of Lehman providing 

investors with exposure to the Index 

through the Notes, and (2) the fee to 

investors purchasing the Notes. 

Lehman may redeem the Notes early 

if, on any Index Business Day prior to 

the Valuation Date, the Daily Value per 

$1,000 Note falls below a certain predetermined amount. This day is known 

as the ‘‘Early Redemption Determination 

Date.’’ This pre-determined amount will 

be determined at the time of issuance of 

the Notes. In the event of redemption, 

Lehman will pay an amount per $1,000 


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10 AIG-FP is not a broker-dealer or futures 

commission merchant; however, AIG-FP may have 

such affiliates. Therefore, AIG-FP (1) Maintains and 

agrees to continue to maintain procedures 

reasonably designed to prevent the use and 

dissemination by relevant employees of AIG-FP, in 

violation of applicable laws, rules and regulations, 

of material non-public information relating to 

changes in the composition or method of 

computation or calculation of the Index or the Dow 

Jones-AIG Commodity Index and (2) agrees to 

periodically check the application of such 

procedures as they relate to personnel of AIG-FP 

responsible for such changes. Dow Jones has 

informed the Exchange that it does not have any 

affiliates engaged in the securities or commodities 

trading businesses and, as such, do not believe that 

such firewall procedures are necessary in its case. 

In addition, the Supervisory and Advisory 

Committees (as defined herein) are subject to 

written policies that acknowledge their obligations 

with respect to material non-public information. 

11 Any disseminated Index value after 3 p.m. ET 

is static due to the close of auction trading of 

various commodities futures contracts. 

12 ‘‘DJ-AIG Business Day’’ is a day on which the 

weighting of the Index commodities that are open 

for trading, in the aggregate, is greater than 50% of 

the overall weight of the commodities comprising 

the Index. For example, based on the weighting of 

the Index commodities for 2007, if the Chicago 

Board of Trade (‘‘CBOT’’) and the New York 

Mercantile Exchange (‘‘NYMEX’’) are closed for 

trading on the same day, such day would not 

constitute a DJ-AIG Business Day. 

13 On February 21, 2007, Dow Jones announced 

a change to the Dow Jones-AIG Commodity Index 

Oversight Committee structure providing for a twotier committee structure consisting of a 

‘‘Supervisory Committee’’ and an ‘‘Advisory 

Committee.’’ The Supervisory Committee makes all 

final decisions relating to the Index with the advice 

and recommendation from the Advisory Committee. 

14 See id. 

15 Lehman has informed the Exchange that none 

of the members of the Supervisory or Advisory 

Committees is an officer, director, or employee of 

Lehman. 

16 The Supervisory Committee may exclude any 

otherwise eligible contract from the Index if it 

determines that it has inadequate liquidity. The 

Index currently includes contracts traded on LME, 

which is located in London. During the hours when 

the LME is closed, Dow Jones uses the last price and 

the settlement price once they are available in order 

to publish the Index value through the end of the 

trading day. The Index value does not reflect any 

after-hours or overnight trading in contracts traded 

on LME. 

Note equal to the Daily Value per $1,000 

Note calculated as of the first Index 

Business Day following the Early 

Redemption Determination Date, plus 

accrued and unpaid coupon payments 

to, but excluding, the Early Redemption 

Determination Date. 

If an event of default occurs and the 

maturity of the Notes are accelerated, 

Lehman will pay holders an amount 

equal to the amount that would have 

been payable at maturity, calculated as 

though the date of acceleration was the 

stated maturity date, and the date three 

Index Business Days before the date of 

acceleration was the Valuation Date. If 

a bankruptcy proceeding is commenced, 

the claims of a holder of a Note may be 

limited. 

Index Description 

The Index, developed by AIGI, is a 

proprietary index that is calculated by 

Dow Jones, AIGI, and AIG Financial 

Products Corp. (‘‘AIG-FP’’ and, together 

with AIGI and Dow Jones, the 

‘‘Sponsors’’) and published by Dow 

Jones.10 The methodology for 

determining the composition and 

weighting of the Index and for 

calculating its level is subject to 

modification by the Sponsors at any 

time. Dow Jones disseminates the Index 

level at least every 15 seconds from 8 

a.m. to 3 p.m. Eastern Time (‘‘ET’’),11

and publishes a daily Index level at 

approximately 4 p.m. ET on each DJAIG Business Day 12 on its Web site at 

http://www.djindexes.com and on 

Bloomberg’s Web site. 

The Index is re-weighted and rebalanced each year in January on a 

price-percentage basis. The annual 

weightings for the Index are determined 

each year in June or July by AIG-FP 

under the supervision of the Index 

Supervisory Committee,13 announced 

after approval by such Committee and 

implemented the following January. 

The Index is designed to track rolling 

futures positions in a diversified basket 

of 19 exchange-traded futures contracts 

on physical commodities. The 19 

physical commodities selected for 2007 

are aluminum, coffee, copper, corn, 

cotton, crude oil, gold, heating oil, lean 

hogs, live cattle, natural gas, nickel, 

silver, soybeans, soybean oil, sugar, 

unleaded gasoline, wheat, and zinc. 

Unlike equities, which typically entitle 

the holder to a continuing stake in a 

corporation, commodity futures 

contracts normally specify a certain date 

for the delivery of the underlying 

physical commodity. The Index tracks 

what is known as a rolling futures 

position, which is a position where, on 

a periodic basis, futures contracts on 

physical commodities specifying 

delivery on a nearby date must be sold 

and futures contracts on physical 

commodities that have not yet reached 

the delivery period must be purchased. 

An investor with a rolling futures 

position is able to avoid delivering 

underlying physical commodities while 

maintaining exposure to those 

commodities. The rollover for each 

Index component occurs over a period 

of five DJ-AIG Business Days each 

month according to a pre-determined 

schedule. 

The 19 physical commodities selected 

for inclusion in the Index for 2007, and 

their respective weightings, are as 

follows: 

Commodity Weighting 

(percent) 

crude oil ................................ 12.723561 

natural gas ............................ 12.546191 

soybeans .............................. 7.747790 

gold ....................................... 6.825901 

aluminum .............................. 6.803820 

copper ................................... 6.187758 

live cattle ............................... 6.141286 

corn ....................................... 5.627129 

wheat .................................... 4.715495 

unleaded gasoline ................ 3.940958 

heating oil ............................. 3.789289 

Commodity Weighting 

(percent) 

cotton .................................... 3.146094 

sugar ..................................... 3.122271 

coffee .................................... 3.021718 

lean hogs .............................. 3.013524 

soybean oil ........................... 2.845646 

zinc ....................................... 2.798069 

nickel ..................................... 2.715318 

silver ..................................... 2.288179 

Total (rounded) .............. 100.000000 

Futures contracts on the Index are 

currently listed for trading on CBOT. 

The Index commodities currently trade 

on United States (‘‘U.S.’’) exchanges, 

with the exception of aluminum, nickel 

and zinc, which trade on the London 

Metal Exchange (‘‘LME’’). 

Designated Contracts for Each Index 

Commodity 

The Sponsors have established a twotier committee structure to assist them 

in connection with the operation of the 

Index.14 The two committees are the 

‘‘Supervisory Committee’’ and the 

‘‘Advisory Committee.’’ 15 The 

Supervisory Committee provides final 

decisions regarding the composition and 

maintenance of the Index with the 

advice and recommendation of the 

Advisory Committee. The Supervisory 

Committee is comprised of three 

members appointed by Dow Jones and 

AIG-FP from their respective 

organizations. The Advisory Committee 

is comprised of nine prominent 

members of the financial and academic 

communities selected by AIG-FP. Both 

Committees meet annually to consider 

any changes to be made to the Index for 

the coming year. The Committees may 

also meet at such other times as may be 

necessary. A futures contract, known as 

a ‘‘Designated Contract,’’ is selected by 

the Supervisory Committee for each 

Index commodity.16 With the exception 

of several LME contracts, the 

Supervisory Committee selects the 

futures contract that is traded in the 

U.S. and denominated in U.S. dollars. If 

more than one of those contracts exists, 

the Supervisory Committee will select 


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23864 Federal Register / Vol. 72, No. 83 / Tuesday, May 1, 2007 / Notices 

17 NYBOT recently was purchased by the 

Intercontinental Exchange (‘‘ICE’’) and is now a 

regulated subsidiary of ICE. 

18 E-mail from Jeffrey P. Burns, Associate General 

Counsel, Amex, to Edward Cho, Special Counsel, 

Division of Market Regulation (‘‘Division’’), 

the most actively traded contract. Data 

concerning this Designated Contract 

will be used to calculate the Index 

value. If a Designated Contract is 

terminated or replaced, a comparable 

futures contract would be selected, if 

available, to replace that Designated 

Contract. 

The Designated Contracts for the 

Index commodities included in the 

Index for 2007 are traded on LME, 

CBOT, the New York Board of Trade 

(‘‘NYBOT’’),17 the Chicago Mercantile 

Exchange, Inc. (‘‘CME’’), and NYMEX. 

The particular commodities futures 

exchanges for each commodity futures 

contract are as follows: (1) Aluminum, 

nickel, and zinc—LME at http:// 

www.lme.com; (2) corn, soybeans, 

soybean oil, and wheat—CBOT at http:// 

www.cbot.com; (3) live cattle and lean 

hogs—CME at http://www.cme.com; (4) 

coffee, cotton, and sugar—NYBOT at 

http://www.nybot.com; and (5) copper, 

crude oil, gold, heating oil, natural gas, 

silver, and unleaded gasoline—NYMEX 

at http://www.nymex.com. In addition, 

various market data vendors and 

financial news publications publish 

futures prices and data. The Exchange 

represents that futures quotes and last 

sale information for the commodities 

underlying the Index are widely 

disseminated through a variety of major 

market data vendors worldwide, 

including Bloomberg and Reuters. 

Determination of Relative Weightings 

The relative weightings of the 

component commodities included in 

the Index are determined annually 

according to both liquidity and dollaradjusted production data in 2⁄3 and 1⁄3

shares, respectively. Each June, for each 

commodity designated for potential 

inclusion in the Index, liquidity is 

measured by the commodity liquidity 

percentage (‘‘CLP’’) and production by 

the commodity production percentage 

(‘‘CPP’’). The CLP for each commodity 

is determined by taking a five-year 

average of the product of the trading 

volume and the historic dollar value of 

the designated contract for that 

commodity, and dividing the result by 

the sum of such products for all 

commodities which were designated for 

potential inclusion in the Index. The 

CPP is determined for each commodity 

by taking a five-year average of annual 

world production figures, adjusted by 

the historic dollar value of the 

designated contract, and dividing the 

result by the sum of such production 

figures for all the commodities which 

were designated for potential inclusion 

in the Index. The CLP and the CPP are 

then combined (using a ratio of 2:1) to 

establish the commodity index 

percentage (‘‘CIP’’) for each commodity. 

This CIP is then adjusted in accordance 

with certain diversification rules in 

order to determine the commodities 

which will be included in the Index and 

their respective percentage weights. 

The Index is designed to provide 

diversified exposure to commodities as 

an asset class. To ensure that no single 

commodity or commodity sector 

dominates the Index, the following 

diversification rules are applied to the 

annual re-weighting and re-balancing of 

the Index as of January of the applicable 

year: 

<bullet≤ No related group of 

commodities designated as a commodity 

group (e.g., energy, precious metals, 

livestock, or grains) may constitute more 

than 33% of the Index. 

<bullet≤ No single commodity may 

constitute more than 15% of the Index. 

<bullet≤ No single commodity, 

together with its derivatives (e.g., crude 

oil, together with heating oil and 

unleaded gasoline), may constitute more 

than 25% of the Index. 

Following the annual re-weighting and 

re-balancing of the Index in January, the 

percentage of any single commodity or 

group of commodities at any time prior 

to the next re-weighting or re-balancing 

will fluctuate and may exceed or be less 

than the percentages set forth above. 

Following application of the 

diversification rules, CIPs are 

incorporated into the Index by 

calculating the new unit weights for 

each Index commodity. Near the 

beginning of each new calendar year, 

the CIPs, along with the settlement 

prices on that date for designated 

contracts included in the Index, are 

used to determine a commodity index 

multiplier (‘‘CIM’’) for each Index 

commodity. This CIM is used to achieve 

the percentage weightings of the Index 

commodities, in dollar terms, indicated 

by their respective CIPs. After the CIMs 

are calculated, they remain fixed 

throughout the year. As a result, the 

observed price percentage of each Index 

commodity will float throughout the 

year until the CIMs are reset the 

following year based on new CIPs. 

The Index is calculated by the 

Sponsors by applying the impact of the 

changes to the futures prices of 

commodities included in the Index 

(based on their relative weightings). 

Once the CIMs are determined, the 

calculation of the Index is a 

mathematical process whereby the CIMs 

for the Index commodities are 

multiplied by the prices in U.S. dollars 

for the applicable designated contracts. 

These products are then summed 

(during the rollover period, the sum 

includes both nearby and deferred 

contracts weighted according to the 

specified roll percentage). The 

percentage change in this sum from the 

sum of the prior day is then applied to 

the prior Index level to arrive at the 

current Index value. Finally, the returns 

on cash collateral invested in Treasury 

Bills, which are calculated using the 

most recent weekly auction high rate for 

91-day Treasury Bills, are added to the 

current Index value to arrive at the 

Index level. 

Index Calculation Disruption Events 

From time to time, disruptions can 

occur in trading futures contracts on 

various commodity exchanges. The 

daily calculation of the Index may be 

adjusted in the event that the Sponsors 

determine that any of the following 

Index calculation disruption events 

exists: 

<bullet≤ The termination or 

suspension of, or material limitation or 

disruption in, the trading of any futures 

contract used in the calculation of the 

Index on that day; 

<bullet≤ The settlement price of any 

futures contract used in the calculation 

of the Index reflects the maximum 

permitted price change from the 

previous day’s settlement price; 

<bullet≤ The failure of an exchange to 

publish settlement prices for any futures 

contract used in the calculation of the 

Index; or 

<bullet≤ With respect to any futures 

contract used in the calculation of the 

Index that trades on LME, a business 

day on which LME is not open for 

trading. 

The Exchange submits that for a 

temporary disruption in the trading of a 

futures contract, AIGI will typically use 

the prior day’s price for an Index 

commodity or commodities. In 

exceptional cases, AIGI may employ a 

‘‘fair value’’ price. However, the 

Exchange represents that if the use of a 

prior day’s price or ‘‘fair value’’ pricing 

for an Index commodity or commodities 

continues for more than one day, the 

Exchange will commence delisting the 

Notes. 

Exchange Rules Applicable to the Notes 

Amex represents that the Notes will 

trade on the Exchange subject to 

existing Amex trading rules applicable 

to the Notes 18 including, among others, 


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Commission, dated April 24, 2007 (clarifying the 

scope of the trading rules governing the Notes 

traded on the Exchange). See infra note 23. 

19 See Amex Rule 462. 

20 See 17 CFR 240.10A–3(c)(1). 

21 E-mail from Jeffrey P. Burns, Associate General 

Counsel, Amex, to Edward Cho, Special Counsel, 

Division, Commission, dated April 16, 2007 

(confirming the scope of ISG market surveillance 

information). 

22 With respect to suitability recommendations 

and risks, the Exchange will require members, 

member organizations, and employees thereof 

recommending a transaction in the Notes: (1) To 

determine that such transaction is suitable for the 

customer, and (2) to have a reasonable basis for 

believing that the customer can evaluate the special 

characteristics of, and is able to bear the financial 

risks of, such transaction. 

23 E-mail from Jeffrey P. Burns, Associate General 

Counsel, Amex, to Edward Cho, Special Counsel, 

Division, Commission, dated April 24, 2007 

(specifying that information about the particular 

trading rules governing the Notes traded on the 

Exchange would also be identified in the 

Information Circular). 

24 15 U.S.C. 78f. 

25 15 U.S.C. 78f(b)(5). 

rules governing priority, parity, and 

precedence of orders, specialist 

responsibilities, account opening, and 

customer suitability requirements. In 

addition, the Notes will be subject to the 

equity margin rules of the Exchange.19

Criteria for Initial and Continued Listing 

The Exchange represents that it 

prohibits the initial and/or continued 

listing of any security that is not in 

compliance with Rule 10A–3 under the 

Act.20 The Exchange further represents 

that the Notes will meet the listing 

requirements set forth in Section 107(A) 

of the Company Guide as well as the 

continued listing requirements set forth 

in Sections 1001 through 1003 of the 

Company Guide. The Exchange also has 

a general policy that prohibits the 

distribution of material, non-public 

information by its employees. 

Trading Halts 

The Exchange states that it will halt 

trading in the Notes if the circuit 

breaker parameters of Amex Rule 117 

have been reached. In exercising its 

discretion to halt or suspend trading in 

the Notes, the Exchange may consider 

factors such as those set forth in Amex 

Rule 918C(b), in addition to other 

factors that may be relevant. In 

particular, if the Index value is not 

being disseminated as required, the 

Exchange may halt trading during the 

day in which the interruption to the 

dissemination of the Index value occurs. 

If the interruption to the dissemination 

of the Index value persists past the 

trading day on which it occurred, the 

Exchange will halt trading no later than 

the beginning of the trading day 

following the interruption. 

Surveillance 

The Exchange represents that its 

surveillance procedures are adequate to 

properly monitor the trading of the 

Notes. Specifically, Amex will rely on 

its existing surveillance procedures 

governing index-linked securities which 

are similar to its surveillance 

procedures governing exchange-traded 

funds and trust-issued receipts. With 

regard to the Index components, the 

Exchange currently has in place a 

comprehensive surveillance sharing 

arrangement with ICE, LME, and 

NYMEX, for the purpose of providing 

information in connection with trading 

in or related to futures contracts 

comprising the Index and traded on 

their respective exchanges. The 

Exchange also notes that CBOT, CME, 

and NYBOT are members of the 

Intermarket Surveillance Group (‘‘ISG’’). 

As a result, the Exchange asserts that it 

can obtain all necessary market 

surveillance information,21 including 

customer identity information, from 

CBOT, CME, ICE, LME, NYBOT, and 

NYMEX, if necessary, due to regulatory 

concerns that may arise in connection 

with the commodity futures contracts 

underlying the Index. 

Information Circular 

The Exchange will, prior to trading 

the Notes, distribute an Information 

Circular to its membership providing 

guidance with regard to member firm 

compliance responsibilities (including 

suitability recommendations) 22 when 

handling transactions in the Notes and 

highlighting the special risks and 

characteristics of the Notes. In addition, 

the Circular will disclose the applicable 

trading rules governing the trading of 

the Notes on the Exchange 23 and that 

Lehman will deliver a prospectus in 

connection with the initial sales of the 

Notes and will reference that the 

Commission has no jurisdiction over the 

trading of the physical commodities or 

the futures contracts or on the 

commodities upon which the value of 

the Notes is based. 

2. Statutory Basis 

The proposed rule change is 

consistent with Section 6 of the Act,24

in general, and furthers the objectives of 

Section 6(b)(5),25 in particular, in that it 

is designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to foster cooperation and 

coordination with persons engaged in 

facilitating transactions in securities, 

and to remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change would 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 

The Exchange did not receive any 

written comments on the proposed rule 

change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 35 days of the date of 

publication of this notice in the Federal 

Register or within such longer period (i) 

As the Commission may designate up to 

90 days of such date if it finds such 

longer period to be appropriate and 

publishes its reasons for so finding or 

(ii) as to which Amex consents, the 

Commission will: 

(A) By order approve such proposed 

rule change, or 

(B) Institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

Amex 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 has 

determined that a 15-day comment 

period is appropriate in this case. 

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 

<bullet≤ Use the Commission’s 

Internet comment form (http:// 

www.sec.gov/rules/sro.shtml); or 

<bullet≤ Send an e-mail to rulecomments@sec.gov. Please include File 

Number SR–Amex–2007–29 on the 

subject line. 

Paper Comments 

<bullet≤ Send paper comments in 

triplicate to Nancy M. Morris, Secretary, 

Securities and Exchange Commission, 

100 F Street, NE., Washington, DC 

20549–1090. 


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23866 Federal Register / Vol. 72, No. 83 / Tuesday, May 1, 2007 / Notices 

26 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). 

4 17 CFR 240.19b–4(f)(5). 

5 17 CFR 242.611(b). 

6 17 CFR 242.611(d). 

7 17 CFR 242.611(b). 

8 See Securities Exchange Act Release No. 54389 

(August 31, 2006), 71 FR 52829 (September 7, 

2006). 

9 See Securities Exchange Act Release No. 54678 

(October 31, 2006), 71 FR 65018 (November 6, 

2006). 

10 17 CFR 242.611(b). 

11 17 CFR 242.611(b)(9). 

12 Although Rule 109—AEMI prohibits granting 

or accepting a stop with respect to a security traded 

in AEMI, this exemption may still be applicable in 

certain situations such as error corrections. 

13 See Securities Exchange Act Release No. 54389 

(August 31, 2006), 71 FR 52829 (September 7, 

2006). 

14 See Securities Exchange Act Release No. 54678 

(October 31, 2006), 71 FR 65018 (November 6, 

2006). 

All submissions should refer to File 

Number SR–Amex–2007–29. 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. Copies of the filing also will be 

available for inspection and copying at 

the principal office of the Exchange. All 

comments received will be posted 

without change; the Commission does 

not edit personal identifying 

information from submissions. You 

should submit only information that 

you wish to make available publicly. All 

submissions should refer to File 

Number SR–Amex–2007–29 and should 

be submitted on or before May 16, 2007. 

For the Commission, by the Division of 

Market Regulation, pursuant to delegated 

authority.26

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E7–8224 Filed 4–30–07; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–55663; File No. SR–Amex– 

2007–39] 

Self-Regulatory Organizations; 

American Stock Exchange LLC; Notice 

of Filing and Immediate Effectiveness 

of Proposed Rule Change To Add 

Additional Exceptions to Rule 126A– 

AEMI Relating to the Generation of 

Intermarket Sweep Orders 

April 24, 2007. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 (‘‘Act’’) 

1 and Rule 19b–4 thereunder,2 notice is 

hereby given that on April 20, 2007, the 

American Stock Exchange LLC (‘‘Amex’’ 

or ‘‘Exchange’’) filed with the Securities 

and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I, II, and 

III below, which Items have been 

substantially prepared by the Exchange. 

Amex has filed this proposal pursuant 

to Section 19(b)(3)(A) of the Act 3 and 

Rule 19b–4(f)(5) thereunder,4 which 

renders it effective upon filing with the 

Commission. 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 

Amex proposes to adopt changes to 

Rule 126A—AEMI in order to fully 

conform the list of circumstances 

described therein with additional 

exceptions (a) Listed in Rule 611(b) of 

Regulation NMS 5 or (b) separately 

granted by the Commission pursuant to 

exemptive orders issued pursuant to 

Rule 611(d) of Regulation NMS.6 The 

following resultant changes to Rule 

126A—AEMI are proposed: (i) Addition 

of the ‘‘stopped order’’ exception 

specified under Rule 611(b)(9) of 

Regulation NMS; 7 (ii) addition of an 

exception for ‘‘qualified contingent 

trades’’; 8 and (iii) addition of an 

exception for certain ‘‘sub-penny tradethroughs.’’ 9

The text of the proposed rule change 

is available on Amex’s Web site at 

http://www.amex.com, at the 

Exchange’s principal office, 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, 

Amex 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. Amex has prepared 

summaries, set forth in sections A, B, 

and C below, of the most significant 

aspects of such statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange is currently operating, 

and has adopted rules in connection 

with the operation of, its new hybrid 

market trading platform for equity 

products and exchange traded funds, 

designated as AEMISM (the Auction and 

Electronic Market Integration platform). 

Rule 126A—AEMI is the Exchange’s 

effectuation of Rule 611 of Regulation 

NMS (‘‘Order Protection Rule’’), 

whereby trading centers are required to 

‘‘establish, maintain, and enforce 

written policies and procedures that are 

reasonably designed to prevent tradethroughs on that trading center of 

protected quotations in NMS stocks,’’ 

subject to certain exceptions. Rule 

126A—AEMI, in relevant part, currently 

requires AEMI to generate an 

intermarket sweep order to any away 

market displaying a protected quotation 

simultaneously with the execution of a 

transaction on the Amex that would 

constitute a trade-through, except when 

one or more of eight circumstances—all 

contemplated in Rule 611 of Regulation 

NMS 10—exist. 

The current proposed changes are 

intended to expand the list of 

exceptional circumstances in Rule 

126A—AEMI to include: (i) An 

additional exception from Rule 

611(b)(9) of Regulation NMS 11

pertaining to certain ‘‘stopped orders’’ 

for which the Amex had, at the time of 

receipt of the order, guaranteed an 

execution at no worse than a specified 

price; 12 (ii) an additional exception for 

‘‘qualified contingent trades’’; 13 and 

(iii) an additional exception for certain 

‘‘sub-penny trade-throughs.’’14

The Exchange asserts that the 

proposal to effect the foregoing changes 

to the AEMI trading system does not 

significantly affect the protection of 

investors or the public interest, does not 

impose any significant burden on 

competition, and does not have the 

effect of limiting the access to or 

availability of the system. 


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