Federal Register / Vol. 73, No. 155 / Monday, August 11, 2008 / Notices 46689 

20 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3The shares of the Up Trust are referred to as Up 

MacroShares, the shares of the Down Trust are 

referred to as Down MacroShares, and the Up 

MacroShares and Down MacroShares are referred to 

collectively as the ‘‘Shares.’’

4See Securities Exchange Act Release No. 58024 

(June 25, 2008), 73 FR 38003. 

5Amendment No. 1 provided additional detail 

regarding the availability of the Applicable 

Reference Value (as defined herein) and other 

information relating to the Shares. The amendment 

also clarifies proposed NYSE Arca Equities Rule 

8.400(d)(2)(ii), which describes a circumstance in 

which Paired Trust Shares will be delisted. 

Specifically, the amendment makes clear that the 

Exchange will delist any type of Paired Trust Shares 

(not just Tradeable Shares) for which an intraday 

Reference Price is calculated and disseminated if 

the intraday Reference Price is not calculated or 

disseminated as required by the Rule. 

6The BLS publishes a summary of its 

methodology for calculating the CPI at www.bls.gov/ 

cpi/. In addition, a manual entitled BLS Handbook 

of Methods, in which a chapter is dedicated to 

calculation methodology for the CPI, may be 

accessed on the BLS Web site at www.bls.gov/opub/ 

hom/pdf/homch17.pdf. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.20

Florence E. Harmon, 

Acting Secretary. 

[FR Doc. E8–18422 Filed 8–8–08; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–58312; File No. SR–

NYSEArca–2008–63] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of 

Amendment No. 1 and Order Granting 

Accelerated Approval of a Proposed 

Rule Change, as Modified by 

Amendment No. 1 Thereto, To List and 

Trade Shares of the MacroShares 

Medical Inflation Trusts 

August 5, 2008. 

On June 13, 2008, NYSE Arca, Inc. 

(‘‘NYSE Arca’’ or ‘‘Exchange’’), through 

its wholly owned subsidiary, NYSE 

Arca Equities, Inc. (‘‘NYSE Arca 

Equities’’), 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: (1) Amend 

NYSE Arca Equities Rule 8.400 (Paired 

Trust Shares); and (2) list and trade 

shares of the MacroShares Medical 

Inflation Up Trust Series 2008–1 (‘‘Up 

Trust’’) and shares of the MacroShares 

Medical Inflation Down Trust Series 

2008–1 (‘‘Down Trust’’ and, together 

with the Up Trust, the ‘‘Trusts’’).3 The 

proposed rule change was published for 

comment in the Federal Register on July 

2, 2008.4 The Commission received no 

comments on the proposal. On July 31, 

2008, the Exchange filed Amendment 

No. 1 to the proposed rule change. This 

order provides notice of filing of 

Amendment No. 1 to the proposed rule 

change,5 and grants accelerated 

approval to the proposed rule change, as 

modified by Amendment No. 1. 

I. Description of the Proposal 

A. Amendments to NYSE Arca Equities 

Rule 8.400 

The Exchange proposes to amend 

NYSE Arca Equities Rule 8.400 

governing Paired Trust Shares to allow 

for the listing and trading of ‘‘Trading 

Shares,’’ a proposed new type of Paired 

Trust Share. Currently, NYSE Arca 

Equities Rule 8.400 defines Paired Trust 

Shares to include only Holding Shares, 

which are issued by a matched pair of 

Trusts (‘‘Holding Trusts’’) in exchange 

for cash, and Tradeable Shares, which 

are issued by a different pair of Trusts 

(‘‘Tradeable Trusts’’) in exchange for the 

deposit of Holding Shares. 

Under the proposed amendments to 

NYSE Arca Equities Rule 8.400, the 

term ‘‘Paired Trust Shares’’ refers to: (1) 

Both Holding Shares and any related 

Tradeable Shares; or (2) solely ‘‘Trading 

Shares,’’ which is a new defined term. 

As proposed, Trading Shares has the 

same definition as Holding Shares, 

except that it is not required that a 

majority of Trading Shares be acquired 

and deposited in a related Tradeable 

Trust, as it is with Holding Shares. The 

Exchange represents that there are no 

substantive differences between the 

proposed Paired Trust Shares structure 

(i.e., a single set of Trading Trusts that 

issue Trading Shares and hold financial 

instruments) and the current two-tier 

structure (i.e., a set of Tradeable Trusts 

that issue Tradeable Shares and hold 

Holding Shares issued by a set of 

Holding Trusts that invest in financial 

instruments). 

B. Listing and Trading of the Shares 

The Up Trust and the Down Trust 

intend to issue Up MacroShares and 

Down MacroShares, respectively, on a 

continuous basis at the direction of 

authorized participants. The Up 

MacroShares and the Down 

MacroShares represent undivided 

beneficial interests in the Up Trust and 

the Down Trust, respectively. 

The assets of each Trust will consist 

of an income distribution agreement and 

settlement contracts entered into with 

the other Trust. Under the income 

distribution agreement, as of any 

distribution date, each Trust will either: 

(1) Be required to pay a portion of its 

available income to the other Trust; or 

(2) be entitled to receive all or a portion 

of the other Trust’s available income, 

based, in each case, on the Applicable 

Reference Value of Medical Inflation 

(the ‘‘Applicable Reference Value,’’ as 

defined below) for each day during the 

preceding calculation period. Under 

each settlement contract, in connection 

with the final scheduled termination 

date, an early termination date or any 

redemption date, each Trust will either: 

(1) Be required to make a final payment 

out of its assets to the other Trust; or (2) 

be entitled to receive a final payment 

from the other Trust out of the assets of 

the other Trust, based, in each case, on 

the Applicable Reference Value for the 

period from the closing date through the 

date of redemption. Each Trust will also 

hold U.S. Treasuries and repurchase 

agreements on U.S. Treasuries to secure 

its obligations under the income 

distribution agreement and the 

settlement contracts. 

Each Trust will make quarterly 

distributions of income on the treasuries 

and a final distribution of all assets it 

holds on deposit on the final scheduled 

termination date, an early termination 

date or a redemption date. Each 

quarterly and final distribution will be 

based on the value for the medical care 

component of the Consumer Price Index 

for All Urban Consumers (‘‘CPI–U’’), as 

calculated and published monthly by 

the Bureau of Labor Statistics (‘‘BLS’’) at 

www.bls.gov.6 The medical care 

component of the CPI–U reflects 

inflation in the cost of medical goods 

and services. The Applicable Reference 

Value is a daily linear interpolation 

based on the monthly values of the 

medical care component of the CPI–U 

for the preceding two months, and is the 

Reference Price for purposes of NYSE 

Arca Equities Rule 8.400, on the basis of 

which quarterly and final distributions 

on the Up MacroShares and Down 

MacroShares are calculated. The 

Applicable Reference Value is 

determined for each calendar day using 

a formula set forth in the Up Trust 

Registration Statement. For purposes of 

determining the Applicable Reference 

Value, following the monthly 

publication by the BLS, any corrections 

to the CPI–U values released for any 

calendar month will not be taken into 

consideration or used to recalculate the 

underlying value of the Shares. 

With respect to the Up Trust, if the 

ratio of the Applicable Reference Value 

on any day to the Applicable Reference 

Value on the closing date (the date on 

which the Trusts entered into an income 


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7The hurdle rate has been designated as 4.50%. 

This rate is fixed during the term of the Trusts. The 

Up Trust Registration Statement provides a 

description for calculating a hypothetical ‘‘per share 

underlying value’’ for any date, which is the 

amount an investor would be entitled to receive as 

a final distribution on that date if the paired trusts 

were to settle the settlement contracts and the Up 

Trust were to make a final distribution on Up 

MacroShares. 

8The leverage factor is 2, and is fixed for the term 

of the Trusts. 

9Authorized participants must also pay a 

transaction fee of $2,000 for any paired redemption 

or issuance and, for any paired issuance directed 

prior to July 1, 2008, a fee equal to 3.00% of the 

aggregate par amount of paired shares being created. 

10The Exchange states that the income 

distribution agreement and applicable settlement 

contracts will be attached as Exhibits to the 

Registration Statements. On January 25, 2008, the 

depositor filed with the Commission Amendment 

No. 1 to Registration Statement on Form S–1 for the 

Up MacroShares (File No. 333–147948). The 

Exchange states that the depositor will file with the 

Commission a Registration Statement on Form 

S–1 for the Down MacroShares prior to 

commencement of trading in the Shares on the 

Exchange. 

11The Applicable Reference Value (the Reference 

Price for the Shares) is a daily linear interpolation 

based on the monthly values of the medical care 

component of the CPI–U for the preceding two 

months, and it will not be re-calculated or 

disseminated intraday. 

12The daily value of the Applicable Reference 

Value on the preceding day will be based upon the 

value of the medical component of the CPI–U that 

was calculated and published by the BLS for the 

second and third preceding calendar months. 

13 17 CFR 240.19b–4. 

distribution agreement) exceeds the 

hurdle rate (‘‘Hurdle Rate’’),7

compounded on an annualized basis for 

the period from the closing date to the 

day of measurement, the underlying 

value of the Up Trust on the next 

business day will include all of its 

assets plus a portion of the assets of the 

paired Down Trust. This portion of 

assets due from the Down Trust will be 

multiplied by the leverage factor 

(‘‘Leverage Factor’’).8 Conversely, if this 

ratio is less than the compounded 

hurdle rate, the Up Trust’s underlying 

value will decrease, because a portion of 

its assets will be included in the 

underlying value of its paired Down 

Trust. This portion of assets due to the 

Down Trust will be multiplied by the 

Leverage Factor. 

With respect to the Down Trust, if the 

ratio of the Applicable Reference Value 

on any day to the Applicable Reference 

Value on the closing date (the date on 

which the Trusts entered into an income 

distribution agreement) exceeds the 

Hurdle Rate, compounded for the period 

from the closing date to the day of 

measurement, the underlying value of 

the Down Trust on the next business 

day will decrease, because a portion of 

its assets will be included in the 

underlying value of its paired Up Trust. 

This portion of assets due to the Up 

Trust will be multiplied by the Leverage 

Factor. Conversely, if this ratio is less 

than the compounded Hurdle Rate, the 

Down Trust’s underlying value will 

increase, because a portion of the assets 

of the Up Trust will be included in the 

underlying value of the Down Trust. 

This portion of assets due from the Up 

Trust will be multiplied by the Leverage 

Factor. 

The Up MacroShares may be issued 

only in MacroShares Units consisting of 

a minimum of 50,000 Up MacroShares 

issued by the Up Trust and 50,000 

Down MacroShares issued by the Down 

Trust. The Up Trust and Down Trust 

will issue their shares in the minimum 

amounts that constitute a MacroShares 

Unit on an ongoing basis only to 

persons who qualify as authorized 

participants at the per-share underlying 

value of those shares on the business 

day on which a creation order for the 

shares is delivered to and accepted by 

MacroMarkets LLC, the administrative 

agent.9 The Shares may then be sold by 

authorized participants to the public at 

the market price prevailing at the time 

of any such sale. 

Up MacroShares must be redeemed 

together with Down MacroShares by any 

holder who is an authorized participant 

on any business day in MacroShares 

Units consisting of a minimum of 

50,000 Up MacroShares and 50,000 

Down MacroShares, at the respective 

per Share underlying values of those 

Shares, as measured on the applicable 

redemption date. 

More information regarding the 

Shares, the Up Trust and the Applicable 

Reference Value, Income Distribution, 

Redemption Final Distribution, Risks, 

Fees and Expenses, Termination 

Triggers, and Creation and Redemption 

Procedures can be found in the Up Trust 

Registration Statement and Down Trust 

Registration Statement.10

1. Availability of Information 

At the beginning of each business day, 

not later than one hour prior to the 

commencement of trading in the Core 

Trading Session on the Exchange, State 

Street Bank and Trust Company, the 

trustee for the Up Trust and the Down 

Trust, will calculate the underlying 

values of the Up Trust and the Down 

Trust and the per Share underlying 

values of the Up MacroShares and 

Down MacroShares. The trustee will 

then provide such values to the 

administrative agent, who will post 

them on its Web site located at 

www.macromarkets.com. Intraday 

indicative values for the Shares will not 

be calculated. The trustee will base its 

calculation of underlying value for any 

business day on the administrative 

agent’s calculation of the Applicable 

Reference Value 11 for the preceding day 

(regardless of whether that preceding 

day is a business day or non-business 

day),12 which it will provide to the 

trustee. The underlying values will be 

disseminated to all market participants 

at the same time. 

Information regarding the market 

price and volume of the Shares will be 

continually available on a real-time 

basis throughout the day via electronic 

services. The previous day’s closing 

price and trading volume information 

for the Shares will be published daily in 

the financial section of major 

newspapers and will be available from 

major market data vendors. Quotation 

and last sale information for the Shares 

will be available via the Consolidated 

Tape Association high-speed line. 

2. Initial and Continued Listing Criteria 

NYSE Arca Equities Rule 8.400(d) sets 

forth initial and continued listing 

criteria applicable to Paired Trust 

Shares. A minimum of 100,000 Up 

MacroShares and 100,000 Down 

MacroShares will be required to be 

outstanding at the commencement of 

trading. In addition, the Exchange will 

obtain a representation on behalf of the 

Up Trust and the Down Trust that the 

underlying values per Share of the Up 

Shares and Down Shares will be 

calculated daily and will be made 

available to all market participants at 

the same time. The Exchange will 

remove from listing the Up MacroShares 

or the Down MacroShares under the 

circumstances outlined in the proposed 

amendments to NYSE Arca Equities 

Rule 8.400(d) for Trading Shares, which 

include: 

• If, after the initial twelve-month 

period following the commencement of 

trading of the Shares, (A) the Up Trust 

or the Down Trust has more than 60 

days remaining until termination and 

there are fewer than 50 record and/or 

beneficial holders of Up MacroShares or 

Down MacroShares, respectively, for 30 

or more consecutive trading days; (B) if 

the Up Trust or the Down Trust has 

fewer than 50,000 Up MacroShares or 

Down MacroShares, respectively, issued 

and outstanding; or (C) if the combined 

market value of all Shares issued and 

outstanding for the Up Trust and the 

Down Trust combined is less than 

$1,000,000; 

• If a replacement benchmark is 

selected for the determination of the 

Applicable Reference Value, unless the 

Exchange files with the Commission a 

related proposed rule change pursuant 

to Rule 19b–4 under the Act 13 seeking 


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14For a list of the current members of ISG, see 

www.isgportal.org. 

15NYSE Arca Equities Rule 9.2(a) provides that 

an ETP Holder, before recommending a transaction, 

must have reasonable grounds to believe that the 

recommendation is suitable for the customer based 

on any facts disclosed by the customer as to his 

other security holdings and as to his financial 

situation and needs. Further, the rule provides, 

with a limited exception, that prior to the execution 

of a transaction recommended to a non-institutional 

customer, the ETP Holder shall make reasonable 

efforts to obtain information concerning the 

customer’s financial status, tax status, investment 

objectives, and any other information that the ETP 

Holder believes would be useful to make a 

recommendation. See Securities Exchange Act 

Release No. 54026 (June 21, 2006), 71 FR 36850 

(June 28, 2006) (SR–PCX–2005–115). 

16 15 U.S.C. 78f. 

17 In approving this proposed rule change the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

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

18 15 U.S.C. 78f(b)(5). 

19See current NYSE Arca Equities Rule 

8.400(b)(1). 

approval to continue trading the Up 

MacroShares or Down MacroShares and 

such rule change is approved by the 

Commission; or 

• If such other event shall occur or 

condition exists which in the opinion of 

the Exchange makes further dealings on 

the Exchange inadvisable. 

3. Trading Halts 

With respect to trading halts, the 

Exchange may consider all relevant 

factors in exercising its discretion to 

halt or suspend trading in the Shares. 

Trading may be halted because of 

market conditions or for reasons that, in 

the view of the Exchange, make trading 

in the Shares inadvisable. These may 

include: (1) The extent to which trading 

is not occurring in the underlying 

securities; or (2) whether other unusual 

conditions or circumstances detrimental 

to the maintenance of a fair and orderly 

market are present. NYSE Arca Equities 

Rule 8.400(d)(2) also provides that the 

Exchange will halt trading in the Up 

MacroShares or the Down MacroShares, 

as the case may be, if the circuit breaker 

parameters of NYSE Arca Equities Rule 

7.12 have been reached. In exercising its 

discretion to halt or suspend trading in 

the Up MacroShares or the Down 

MacroShares, the Exchange may 

consider other factors that may be 

relevant. 

If the Exchange becomes aware that 

the underlying value per Share of each 

Up Share and Down Share is not 

disseminated to all market participants 

at the same time, it will halt trading in 

the Up MacroShares or the Down 

MacroShares, as the case may be, until 

such time as the underlying value per 

share is available to all market 

participants. 

4. Trading Rules 

The Exchange deems the Shares to be 

equity securities, thus rendering trading 

in the Shares subject to the Exchange’s 

existing rules governing the trading of 

equity securities. Shares will trade on 

the NYSE Arca Marketplace from 4 a.m. 

to 8 p.m. Eastern Time in accordance 

with NYSE Arca Equities Rule 7.34 

(Opening, Core, and Late Trading 

Sessions). The Exchange represents that 

it has appropriate rules to facilitate 

transactions in the Shares during all 

trading sessions. 

5. Surveillance 

The Exchange intends to utilize its 

existing surveillance procedures 

applicable to derivative securities 

products, including Paired Trust Shares, 

to monitor trading in the Shares. The 

Exchange represents that these 

procedures are adequate to properly 

monitor Exchange trading of the Shares 

in all trading sessions and to deter and 

detect violations of Exchange rules and 

applicable federal securities laws. 

The Exchange’s current trading 

surveillance focuses on detecting 

securities trading outside their normal 

patterns. When such situations are 

detected, surveillance analysis follows 

and investigations are opened, where 

appropriate, to review the behavior of 

all relevant parties for all relevant 

trading violations. 

The Exchange may obtain information 

via the Intermarket Surveillance Group 

(‘‘ISG’’) from other exchanges who are 

members of the ISG.14 In addition, the 

Exchange also has a general policy 

prohibiting the distribution of material, 

non-public information by its 

employees. 

6. Information Bulletin 

Prior to the commencement of 

trading, the Exchange will inform its 

ETP Holders in an Information Bulletin 

(‘‘Bulletin’’) of the special 

characteristics and risks associated with 

trading the Shares. Specifically, the 

Bulletin will discuss the following: (1) 

What the Shares are; (2) the procedures 

for purchases and redemptions of 

Shares in MacroShares Units (and that 

Shares are not individually redeemable); 

(3) NYSE Arca Equities Rule 9.2(a),15

which imposes a duty of due diligence 

on its ETP Holders to learn the essential 

facts relating to every customer prior to 

trading the Shares; (4) the requirement 

that ETP Holders deliver a prospectus to 

investors purchasing newly issued 

Shares prior to or concurrently with the 

confirmation of a transaction; and (5) 

trading information. 

In addition, the Bulletin will 

reference that the Shares are subject to 

various fees and expenses described in 

the Registration Statement. The Bulletin 

will discuss any exemptive, no-action, 

and interpretive relief granted by the 

Commission from any rules under the 

Act. 

II. Discussion and Commission’s 

Findings 

The Commission has carefully 

reviewed the proposed rule change and 

finds that it is consistent with the 

requirements of Section 6 of the Act 16

and the rules and regulations 

thereunder applicable to a national 

securities exchange.17 In particular, the 

Commission finds that the proposal is 

consistent with Section 6(b)(5) of the 

Act,18 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. Amendments to NYSE Arca Equities 

Rule 8.400 

NYSE Arca Equities Rule 8.400 

governs the listing and trading of Paired 

Trust Shares. The definition of Paired 

Trust Shares is currently limited to 

Holding Shares and Tradeable Shares.19

The Exchange proposes to broaden the 

definition of Paired Trust Shares to 

include Trading Shares. The structure of 

Trading Shares differs from the 

structures described under the current 

NYSE Arca Equities Rules governing 

Paired Trust Shares in that, for Trading 

Shares, there are no Holding Trusts and 

there is only one set of trusts (i.e., the 

‘‘Up Trust’’ and the ‘‘Down Trust’’) 

instead of two. As noted above, the 

Exchange has represented that there are 

no substantive differences between the 

proposed structure (a single set of 

Trading Trusts that issue Trading Shares 

and hold financial instruments) and the 

current two-tier structure (in which a set 

of Tradeable Trusts that issue Tradeable 

Shares and hold Holding Shares issued 

by a set of Holding Trusts that invest in 

financial instruments). 

The Commission finds that the 

Exchange’s proposal contains adequate 

rules and procedures to govern the 

listing and trading of Trading Shares on 

the Exchange. Previously, the 

Commission found that the current rules 

governing the listing and trading of 

Paired Trust Shares are consistent with 


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20See Securities Exchange Act Release No. 55033 

(December 29, 2006), 72 FR 1253, 1256 (January 10, 

2007) (SR–NYSEArca–2006–75). 

21See Securities Exchange Act Release No. 58057 

(June 30, 2008), 73 FR 38474 (July 7, 2008) (SR–

Amex–2008–36). 

22 15 U.S.C. 78k–1(a)(1)(C)(iii). 

23See supra note 10. 

24 15 U.S.C. 78f(b)(5). 

25 15 U.S.C. 78s(b)(2). 

Section 6(b)(5) of the Act.20 Given the 

substantial similarities between Holding 

Shares, Tradeable Shares, and Trading 

Shares, the Commission believes that 

including Trading Shares within the 

Exchange’s existing regime for listing 

and trading Paired Trust Shares is 

appropriate and does not raise any 

regulatory issues. The Commission 

notes that it recently approved a 

proposal by another national securities 

exchange which also included Trading 

Shares as part of its rules relating to 

Paired Trust Shares.21

The Commission believes that the 

proposal should help to facilitate the 

listing and trading of additional types of 

exchange-traded products that should 

enhance competition among market 

participants, to the benefit of investors 

and the marketplace. In addition, the 

Commission believes that the listing and 

trading criteria for Trading Shares set 

forth in proposed NYSE Arca Equities 

Rule 8.400 are reasonably designed to 

protect investors and the public interest, 

as discussed herein. 

B. Listing and Trading the Shares 

The Commission finds that the 

proposal to list and trade the Shares on 

the Exchange is consistent with Section 

11A(a)(1)(C)(iii) of the Act,22 which sets 

forth Congress’ finding that it is in the 

public interest and appropriate for the 

protection of investors and the 

maintenance of fair and orderly markets 

to assure the availability to brokers, 

dealers, and investors of information 

with respect to quotations for and 

transactions in securities. Quotation and 

last-sale information for the Shares will 

be available via the Consolidated Tape 

Association high-speed line. The 

Exchange states that information 

regarding the market price and volume 

of the Shares will be continually 

available on a real-time basis throughout 

the day via electronic services, and that 

the previous day’s closing price and 

trading volume information for the 

Shares will be published daily in the 

financial sections of major newspapers 

and will be available from major market 

data vendors. At the end of each 

business day, the administrative agent 

(MacroShares Markets LLC) will also 

calculate the premium or discount of 

the midpoint of the bid/offer to the 

underlying value per Share for both the 

Up MacroShares and the Down 

MacroShares for that day at the close of 

the Exchange’s Core Trading Session. 

The premium/discount calculation will 

be conducted after such underlying 

values are calculated and provided to 

the administrative agent by the trustee 

and after the Exchange provides the 

administrative agent with the closing 

price for the Up MacroShares and Down 

MacroShares as of 3:59:59 (Eastern 

Time). The administrative agent will 

then post these premiums/discounts, 

together with the end-of-day price 

information for the Shares, on its Web 

site (www.macromarkets.com). 

At the beginning of each business day, 

not later than one hour prior to the 

commencement of trading in the Core 

Trading Session on the Exchange, the 

trustee for the Up Trust and the Down 

Trust will calculate the underlying 

value of the Up Trust and the Down 

Trust and the per Share underlying 

values of the Up MacroShares and 

Down MacroShares. The trustee will 

then provide such values to the 

administrative agent, who will post 

them on its Web site, which is 

accessible to the public free of charge. 

The Exchange represents that the 

underlying values of the Trusts will be 

disseminated to all market participants 

at the same time. 

The administrative agent will also 

determine daily the Applicable 

Reference Value, which it will 

disseminate to all market participants at 

the same time by posting it on its Web 

site. 

The Commission believes that the 

proposal to list and trade the Shares is 

reasonably designed to promote fair 

disclosure of information that may be 

necessary to price the Shares 

appropriately and to prevent trading 

when a reasonable degree of 

transparency cannot be assured. The 

Commission notes that the Exchange 

will obtain a representation on behalf of 

the Trusts that the per-Share net asset 

values for the Trusts will be calculated 

daily and made available to all market 

participants at the same time. 

Additionally, the Exchange will halt 

trading in the Shares if it becomes aware 

that the per-Share values of the Up 

Trust or the Down Trust are not 

disseminated daily to all market 

participants at the same time. 

As noted above, neither an indicative 

value for the Shares nor the Applicable 

Reference Value (the Reference Price for 

the Shares, for purposes of NYSE Arca 

Equities Rule 8.400) will be calculated 

or disseminated intraday. Instead, the 

per Share underlying values of the Up 

MacroShares and Down MacroShares 

and the Applicable Reference Value will 

be calculated and disseminated daily. 

The Commission believes that, because 

the Applicable Reference Value is a 

daily linear interpolation based on the 

monthly values of the medical care 

component of the CPI–U for the 

preceding two months, daily 

dissemination of the Applicable 

Reference Value and underlying values 

of the Trusts will be sufficient to 

provide market participants an 

approximation of the value of the 

Shares. 

The Exchange has represented that 

the Shares are equity securities subject 

to the Exchange’s rules governing the 

trading of equity securities. In support 

of this proposal, the Exchange has made 

the following representations: 

(1) The Exchange’s surveillance 

procedures are adequate to properly 

monitor Exchange trading of the Shares 

and to deter and detect violations of 

Exchange rules and applicable federal 

securities laws. 

(2) Prior to the commencement of 

trading, the Exchange will inform its 

members and Member Organizations an 

Information Circular of the special 

characteristics and risks associated with 

trading the Shares. Specifically, the 

Information Circular will discuss the 

following: (a) What the Shares are; (b) 

the procedures for purchases and 

redemptions of Shares in MacroShares 

Units (and that Shares are not 

individually redeemable); (c) NYSE 

Arca Equities Rule 9.2(a), which 

imposes a duty of due diligence on its 

ETP Holders to learn the essential facts 

relating to every customer prior to 

trading the Shares; (d) the requirement 

that ETP Holders deliver a prospectus to 

investors purchasing newly issued 

Shares prior to or concurrently with the 

confirmation of a transaction; (e) trading 

information; (f) that the Shares are 

subject to various fees and expenses 

described in the Registration 

Statements; 23 and (g) any exemptive, 

no-action, and interpretive relief granted 

by the Commission from any rules 

under the Act. 

This approval order is based on the 

Exchange’s representations. 

For the foregoing reasons, the 

Commission finds that the proposed 

rule change is consistent with the Act 

and the rules and regulations 

thereunder applicable to a national 

securities exchange, and, in particular, 

with Section 6(b)(5) of the Act.24

III. Accelerated Approval 

The Commission finds good cause, 

pursuant to Section 19(b)(2) of the 

Act,25 for approving the proposal, as 


rmajette on PRODPC74 with NOTICES
Federal Register / Vol. 73, No. 155 / Monday, August 11, 2008 / Notices 46693 

26Pursuant to Section 19(b)(2) of the Act, 15 

U.S.C. 78s(b)(2), the Commission may not approve 

any proposed rule change, or amendment thereto, 

prior to the thirtieth day after the date of 

publication of the notice thereof, unless the 

Commission finds good cause for so doing. 

27See supra note 5. 

28 15 U.S.C. 78s(b)(2). 

29 17 CFR 200.30–3(a)(12). 

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

2The exact text of the DTC’s proposed rule 

change can be found at http://www.dtcc.com/legal/ 

rule_filings/dtc/2008. 

3The Commission has modified portions of the 

text of the summaries prepared by the DTC. 

4Transfer agents acting as DRS Limited 

Participants must meet certain criteria established 

by DTC, which includes, among other things, that 

the transfer agent also be eligible to participate in 

DTC’s Fast Automated Securities Transfer Program 

(‘‘FAST’’). For securities that are part of FAST, the 

DRS Limited Participants hold the securities 

registered in the name of DTC’s nominee, Cede & 

Co., in the form of balance certificates. As 

additional securities are deposited or withdrawn 

(‘‘deposit-by-transfer’’ and ‘‘withdrawal-bytransfer’’, respectively) from DTC, the DRS Limited 

Participant adjusts the denomination of the balance 

Continued 

modified by Amendment No. 1, prior to 

the thirtieth day after the date of 

publication of notice of filing of 

Amendment No. 1 in the Federal 

Register.26 In Amendment No. 1, NYSE 

Arca provided additional information 

concerning the dissemination of 

information relating to the Shares, and 

clarified the continued listing 

requirement with respect to the 

calculation and dissemination of an 

intraday Reference Price.27 Accordingly, 

Amendment No. 1 does not raise any 

new issues about the proposed rule 

change, and the Commission finds good 

cause for approving the NYSE Arca’s 

proposal, as modified by Amendment 

No. 1, on an accelerated basis, pursuant 

to Section 19(b)(2) of the Act. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning Amendment No. 

1, including whether Amendment No. 1 

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–NYSEArca–2008–63 on the 

subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street, NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSEArca–2008–63. This 

file number should be included on the 

subject line if e-mail is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site (http://www.sec.gov/ 

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

provisions of 5 U.S.C. 552, will be 

available for inspection and copying in 

the Commission’s Public Reference 

Room, 100 F Street, NE., Washington, 

DC 20549, on official business days 

between the hours of 10 a.m. and 3 p.m. 

Copies of such filing also will be 

available for inspection and copying at 

the principal office of the Exchange. All 

comments received will be posted 

without change; the Commission does 

not edit personal identifying 

information from submissions. You 

should submit only information that 

you wish to make available publicly. All 

submissions should refer to File 

Number SR–NYSEArca–2008–63 and 

should be submitted on or before 

September 2, 2008. 

V. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,28 that the 

proposed rule change (SR–NYSEArca–

2008–63), as modified by Amendment 

No. 1 thereto, be, and it hereby is, 

approved on an accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.29

Florence E. Harmon, 

Acting Secretary. 

[FR Doc. E8–18486 Filed 8–8–08; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–58292; File No. SR–DTC–

2008–07] 

Self-Regulatory Organizations; The 

Depository Trust Company; Notice of 

Filing of Proposed Rule Change to 

Implement Processing Enhancements 

to the Profile Modification System 

Used in the Direct Registration System 

August 1, 2008. 

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

Securities Exchange Act of 1934 

(‘‘Act’’),1 notice is hereby given that on 

July 7, 2008, The Depository Trust 

Company (‘‘DTC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) proposed rule change 

No. SR–DTC–2008–07. The Commission 

is publishing this notice to solicit 

comments from interested parties on the 

proposed rule change as described in 

Items I, II, and III below, which items 

have been prepared primarily by the 

DTC.2

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

DTC is proposing to enhance its 

Profile Modification System in order to 

allow a ‘‘move all’’ instruction and to 

allow a second taxpayer identification 

number or social security number to be 

used to verify instructions, DTC is also 

proposing to impose new participant 

fees to reimburse transfer agents for the 

cost of implementing and maintaining 

the proposed Profile enhancements. 

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 

DTC 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. DTC has prepared 

summaries, set forth in sections (A), (B), 

and (C) below, of the most significant 

aspects of these statements.3

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Direct Registration System 

(‘‘DRS’’) allows investors to hold their 

securities positions on the records of the 

issuer in book-entry form rather than in 

certificated form. In May 2000, DTC 

established the Profile Modification 

System (‘‘Profile’’) which allows its 

participants (i.e., broker-dealers and 

banks) and DRS Limited Participants 

(i.e., transfer agents) to electronically 

change an investor’s securities positions 

from street-name ownership to direct 

registration book-entry position and vice 

versa.4 Specifically, Profile allows 


rmajette on PRODPC74 with NOTICES