53306 Federal Register / Vol. 73, No. 179 / Monday, September 15, 2008 / Notices 

17 15 U.S.C. 78s(b)(3)(A). 

18 17 CFR 240.19b–4(f)(6). 

19 Id. In addition, Rule 19b–4(f)(6)(iii) requires a 

self-regulatory organization to give the Commission 

written notice of its intent to file the proposed rule 

change at least five business days prior to the date 

of filing of the proposed rule change, or such 

shorter time as designated by the Commission. 

NYSE has satisfied this requirement. 

20 Id. 

21For purposes only of waiving the 30-day 

operative delay of this proposal, the Commission 

has considered the proposed rule’s impact on 

efficiency, competition, and capital formation. 15 

U.S.C. 78c(f). 

22 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4 15 U.S.C. 78s(b)(1). 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The Exchange has designated the 

proposed rule change as one that: (1) 

Does not significantly affect the 

protection of investors or the public 

interest; (2) does not impose any 

significant burden on competition; and 

(3) does not become operative for 30 

days from the date of filing, or such 

shorter time as the Commission may 

designate if consistent with the 

protection of investors and the public 

interest. Therefore, the foregoing rule 

change has become effective pursuant to 

section 19(b)(3)(A) of the Act 17 and 

subparagraph (f)(6) of Rule 19b–4 

thereunder.18

A proposed rule change filed under 

19b–4(f)(6) normally does not become 

operative until 30 days after the date of 

filing.19 However, Rule 19b–4(f)(6)(iii) 20

permits the Commission to designate a 

shorter time if such action is consistent 

with the protection of investors and the 

public interest. The Exchange has 

requested that the Commission waive 

the 30-day operative delay so that the 

proposal may become operative 

immediately upon filing. The Exchange 

believes that the proposed relief is 

limited in nature, and that the benefits 

of the proposed relief outweigh the 

potential harms. Moreover, given the 

rapidity of recent developments with 

respect to Fannie Mae and Freddie Mac, 

the Exchange believes that immediate 

effectiveness is required in order to 

avoid significant disruption to the 

market. 

The Commission believes that 

waiving the 30-day operative delay is 

consistent with the protection of 

investors and the public interest. The 

Commission therefore grants the 

Exchange’s request and designates the 

proposal to be operative upon filing.21

At any time within 60 days of the 

filing of the proposed rule change, the 

Commission may summarily abrogate 

such rule change if it appears to the 

Commission that such action is 

necessary or appropriate in the public 

interest, for the protection of investors, 

or otherwise in furtherance of the 

purposes of the Act. 

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 

No. SR–NYSE–2008–81 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, Station Place, 100 F Street, 

NE., Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSE–2008–81. 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, 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 NYSE. 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–NYSE– 

2008–81 and should be submitted on or 

before October 6, 2008. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.22

Florence E. Harmon, 

Acting Secretary. 

[FR Doc. E8–21333 Filed 9–12–08; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–58469; File No. SR– 

NYSEArca–2008–92] 

Self-Regulatory Organizations; NYSE 

Arca, Inc.; Notice of Filing of Proposed 

Rule Change Relating to Listing of 

MacroShares Major Metro Housing 

Trusts 

September 5, 2008. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that on August 

25, 2008, NYSE Arca, Inc. (‘‘NYSE 

Arca’’ or the ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(the ‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which Items have been prepared 

by the self-regulatory organization. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

Pursuant to the provisions of section 

19(b)(1) of the Act,4 the Exchange, 

through its wholly-owned subsidiary 

NYSE Arca Equities, Inc. (‘‘NYSE Arca 

Equities’’ or the ‘‘Corporation’’) 

proposes to list and trade under NYSE 

Arca Equities Rule 8.400 (‘‘Paired Trust 

Shares’’) the shares of the MacroShares 

Major Metro Housing Up Trust (‘‘Up 

Trust’’) and the MacroShares Major 

Metro Housing Down Trust (‘‘Down 

Trust’’) (collectively, the ‘‘Trusts’’). The 

shares of the Up Trust are referred to as 

the Up MacroShares, and the shares of 

the Down Trust are referred to as the 

Down MacroShares (collectively, the 

‘‘Shares’’). The text of the proposed rule 

change is available on the Exchange’s 

Web site at http://www.nyse.com, at the 

Exchange’s principal office and at the 

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Federal Register / Vol. 73, No. 179 / Monday, September 15, 2008 / Notices 53307 

5The Commission approved trading a similar 

product on the Exchange pursuant to unlisted 

trading privileges (‘‘UTP’’) when it approved NYSE 

Arca Equities Rule 8.400. See Securities Exchange 

Act Release No. 55033 (December 29, 2006), 72 FR 

1253 (January 10, 2007) (SR–NYSEArca–2006–75) 

(approving UTP trading of Claymore MACROshares 

Oil Up Tradeable Shares and Claymore 

MACROshares Oil Down Tradeable Shares). The 

Commission also approved for listing and trading 

the same product on the American Stock Exchange. 

See Securities Exchange Act Release No. 54839 

(November 29, 2006), 71 FR 70804 (December 6, 

2006) (SR–Amex–2006–82) (approving listing and 

trading Claymore MACROshares Oil Up Tradeable 

Shares and Claymore MACROshares Oil Down 

Tradeable Shares). In addition, the Commission has 

approved a proposed rule change to amend NYSE 

Arca Equities Rule 8.400 to permit listing and 

trading of MacroShares Medical Inflation Up Trust 

and the MacroShares Medical Inflation Down Trust, 

which are similar in structure to the Trusts. See 

Securities Exchange Act Release No. 58312 (August 

5, 2008), 73 FR 46689 (August 11, 2008) (SR– 

NYSEArca–2008–63). The Trusts will be listed and 

traded pursuant to NYSE Arca Equities Rule 8.400 

as amended in SR–NYSEArca–2008–63. 6The Shares are being offered by the Trusts under 

the Securities Act of 1933, as amended, 15 U.S.C. 

77a. On August 6, 2008, the depositor filed with the 

Commission Registration Statements on Form S–1 

(Amendment No. 1) for the Up MacroShares (File 

No. 333–151522) (‘‘Up Trust Registration 

Statement’’) and for the Down MacroShares (File 

No. 333–151523)(‘‘Down Trust Registration 

Statement’’, and, together with the Up Trust 

Registration Statement, ‘‘Registration Statements’’). 

Descriptions herein relating to the operation of the 

Trusts and the S&P/Case-Shiller Home Price Indices 

are based on the Registration Statements. 

7The income distribution agreement and 

applicable settlement contracts are attached as 

exhibits to the Registration Statements. 

8The Reference Value of the Index is the 

Reference Price for purposes of NYSE Arca Equities 

Rule 8.400. 

9 This figure is as of July 29, 2008 and is subject 

to updating to be included in the Registration 

Statements upon effectiveness. 

10The final distribution made on the Up 

MacroShares or Down MacroShares on the final 

scheduled termination date, an early termination 

date or a redemption date will be based upon the 

Underlying Value of the Up Trust or Down Trust, 

respectively, on the last calendar day, whether or 

not such day is a business day, that precedes such 

final scheduled termination date, early termination 

date, or redemption date. Underlying Value will be 

calculated for each day based upon the Reference 

Value of the Index for that day. The Underlying 

Value of the Up Trust or Down Trust on each day 

of measurement represents the aggregate amount of 

the assets in the paired trusts to which the Up Trust 

or Down Trust would be entitled if the settlement 

contracts were settled on that day. The Underlying 

Value of the Up Trust or Down Trust on each day 

of measurement also represents the aggregate final 

distribution to which holders of the Up 

MacroShares would be entitled if those shares were 

redeemed on that day. 

The Underlying Value of a Trust will be equal, 

on any calendar day occurring during any 

Calculation Period, for so long as the proportion of 

assets on deposit in the Up and Down Trust is oneto-one. The methodology for calculating the 

Underlying Value for the Trusts is described in the 

Registration Statements. 

Public Reference Room of the 

Commission. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The Exchange proposes to list and 

trade the Up MacroShares and the Down 

MacroShares under Rule 8.400.5 The Up 

MacroShares and the Down 

MacroShares will be offered by the Up 

Trust and the Down Trust, respectively, 

established by MACRO Inflation 

Depositor, LLC, as depositor, under the 

laws of the State of New York. The 

Trusts are not registered with the 

Commission as investment companies.6

Description of the Shares and the Trusts 

The Up Trust and the Down Trust 

intend to issue Up MacroShares and 

Down MacroShares, respectively, on a 

continuous basis at the direction of 

authorized participants, as described in 

more detail below. The Up MacroShares 

and the Down MacroShares represent 

undivided beneficial interests in the Up 

Trust and the Down Trust, respectively. 

The Shares are ‘‘Trading Shares’’ as 

defined in NYSE Arca Equities Rule 

8.400(b)(1)(B). 

The assets of the Down Trust will 

consist of an income distribution 

agreement and settlement contracts 

entered into with the Up Trust. 

Similarly, the assets of the Up Trust will 

consist of an income distribution 

agreement and settlement contracts 

entered into with the Down Trust.7 Each 

Trust will also hold U.S. Treasuries and 

repurchase agreements on U.S. 

Treasuries to secure its obligations 

under the income distribution 

agreement and the settlement contracts. 

The trustee for the Trusts is State Street 

Bank and Trust Company (‘‘Trustee’’). 

The Trusts will make quarterly 

distributions of net income, if any, on 

the treasuries and a final distribution of 

all assets it holds on deposit on the final 

scheduled termination date, an early 

termination date or a redemption date. 

Quarterly distributions of net income, if 

any, will be made on distribution dates 

that are scheduled to occur in April, 

July, October and January of each year. 

Each quarterly and final distribution 

will be based on the value of the S&P/ 

Case-Shiller Composite-10 Home Price 

Index (‘‘Index’’), as well as on prevailing 

interest rates on U.S. Treasury 

obligations. The last published value of 

the S&P/Case-Shiller Composite-10 

Home Price Index is referred to as the 

‘‘Reference Value of the Index’’ or 

‘‘Reference Value’’, as discussed below.8

The starting level for the Reference 

Value of the Index for purposes of the 

transactions described in the 

Registration Statements is 181.48.9 If the 

Reference Value rises above its starting 

level, the Up Trust’s Underlying Value 

(as described below) will increase to 

include all of its assets plus a portion of 

the assets of the paired Down Trust. 

This portion of assets due from the 

Down Trust will be multiplied by a 

‘‘leverage factor’’ of 2. Conversely, if the 

level of the Reference Value of the Index 

falls below its starting level on and after 

the closing date, the Up Trust’s 

Underlying Value will decrease, because 

a portion of its assets will be included 

in the Underlying Value of its paired 

Down Trust, such portion being 

multiplied by the leverage factor. 

Under the income distribution 

agreement, as of any distribution date, 

each Trust will either (a) be required to 

pay a portion of its available income to 

the other Trust or (b) be entitled to 

receive all or a portion of the other 

Trust’s available income, based, in each 

case, on the Reference Value for each 

day during the preceding calculation 

period. Under each settlement contract, 

in connection with the final scheduled 

termination date, an early termination 

date or any redemption date, each Trust 

will either (a) be required to make a 

final payment out of its assets to the 

other Trust, or (b) be entitled to receive 

a final payment from the other Trust out 

of the assets of the other Trust, based, 

in each case, on the Reference Value of 

the Index on the last calendar day 

preceding the final scheduled 

termination day, an early termination 

day or the relevant redemption date.10

The Reference Value of the Index 

The amount of each payment required 

to be made by the paired trusts under 

the income distribution agreement will 

be based on the daily level of the 

Reference Value of the Index during the 

preceding calculation period and the 

amount of the settlement payment to be 

made under the settlement contracts 

will be based on the Reference Value of 

the Index on the day preceding the 

business day on which those payments 

are made on a redemption date, an early 

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53308 Federal Register / Vol. 73, No. 179 / Monday, September 15, 2008 / Notices 

11 ‘‘Index Publication Day’’ means the business 

day in each month on which S&P publishes the 

value for the S&P/Case-Schiller Composite-10 Home 

Price Index for the second preceding month. 

12The current normalized composite weights for 

the Index are as follows: Year 2000 on—Boston: 

0.07412188, Chicago: 0.08886762, Denver: 

0.03682453, Las Vegas: 0.01480245, Los Angeles: 

0.21161961, Miami: 0.04986164, New York: 

0.27239040, San Diego: 0.05513356, San Francisco: 

0.11787881, Washington, DC: 0.07849949. Source: 

Standard & Poor’s (S&P/Case-Shiller Home Price 

Indices Methodology) and Fiserv. 

termination date or the final scheduled 

termination date. The term ‘‘Reference 

Value of the Index’’ refers to the value 

of the Index, as calculated and 

published by Standard & Poor’s (‘‘S&P’’) 

on the most recent Index Publication 

Day.11 If the relevant date of 

measurement is an Index Publication 

Day, then the Reference Value of the 

Index will be the value calculated and 

published on that day. The Index is 

maintained and governed by the S&P/ 

Case-Shiller Index Committee, whose 

members are drawn from S&P, Fiserv 

Fulfillment Services, Inc. and leading 

industry experts; S&P designates the 

Index Committee Chairman and its 

representatives retain the controlling 

majority of such committee. 

The S&P/Case-Shiller Home Price 

Indices (‘‘Indices’’) measure the change 

in home prices in one or several 

geographic regions of the United States. 

They are calculated monthly and are 

publicly available for 20 major 

metropolitan areas (Metropolitan 

Statistical Areas or MSAs), which are 

also aggregated to form two 

composites—one comprised of 10 of the 

metro areas, the other comprised of all 

20. The S&P/Case-Shiller Composite-10 

Home Price Index is a weighted average 

of the following 10 S&P/Case-Shiller 

Metro Area Home Price Indices: the 

S&P/Case-Shiller Boston Home Price 

Index, the S&P/Case-Shiller Chicago 

Home Price Index, the S&P/Case-Shiller 

Denver Home Price Index, the S&P/ 

Case-Shiller Las Vegas Home Price 

Index, the S&P/Case-Shiller Los Angeles 

Home Price Index, the S&P/Case-Shiller 

Miami Home Price Index, the S&P/CaseShiller New York City Area Home Price 

Index, the S&P/Case-Shiller San Diego 

Home Price Index, the S&P/Case-Shiller 

San Francisco Home Price Index, and 

the S&P/Case-Shiller Washington, DC 

Home Price Index. The value of the 

Index on any Index Publication Day 

reflects home prices for the second 

calendar month preceding the month in 

which such Index Publication Day 

occurs. 

The Index is the result of a 

combination, based on a market 

weighted average, of ten of the Indices 

for separate MSAs. The current Index 

component weights and the factors 

considered in calculating the separate 

Indices on which the Index is based are 

described below.12

Overview of the S&P/Case-Shiller Home 

Price Indices and the Index 

The Indices measure changes in 

housing market prices given a constant 

level of quality. Changes in the types 

and sizes of houses or changes in the 

physical characteristics of houses are 

specifically excluded from the 

calculations to avoid incorrectly 

affecting the applicable index value. 

The Indices use the ‘‘repeat sales 

method’’ of index calculation—an 

approach that is widely recognized as 

the premier methodology for indexing 

housing prices—which uses data on 

properties that have sold at least twice, 

in order to capture the true appreciated 

value of each specific sales unit. 

The Indices originated in the 1980s by 

Case Shiller Weiss’s research principals, 

Karl E. Case and Robert J. Shiller. At the 

time, Case and Shiller developed the 

repeat sales pricing technique. 

According to the Registration 

Statements, this methodology is 

recognized as the most reliable means to 

measure housing price movements and 

is used by other home price index 

publishers, including the Office of 

Federal Housing Enterprise Oversight 

(OFHEO). 

Eligibility Criteria 

The Indices are designed to measure, 

as accurately as possible, changes in the 

total value of all existing single-family 

housing stock. The methodology 

samples all available and relevant 

transaction data to create matched sale 

pairs for pre-existing homes. 

The Indices do not sample sale prices 

associated with new construction, 

condominiums, co-ops/apartments, 

multi-family dwellings, or other 

properties that cannot be identified as 

single-family. 

The factors that determine the 

demand, supply, and value of housing 

are not the same across different 

property types. Consequently, the price 

dynamics of different property types 

within the same market often vary, 

especially during periods of increased 

market volatility. In addition, the 

relative sales volumes of different 

property types fluctuate, so Indices that 

are segmented by property type will 

more accurately track housing values. 

MSA Index Construction 

The Indices are based on observed 

changes in home prices. They are 

designed to measure increases or 

decreases in the market value of 

residential real estate in 20 defined 

MSAs and three price tiers—low, 

middle and high. In contrast, the Indices 

are, specifically, not intended to 

measure recovery costs after disasters, 

construction or repair costs, or other 

such related items. 

The Indices are calculated monthly by 

FISERV, using a three-month moving 

average algorithm. Home sales pairs are 

accumulated in rolling three-month 

periods, on which the repeat sales 

methodology is applied. The index 

point for each reporting month is based 

on sales pairs found for that month and 

the preceding two months. For example, 

the December 2005 index point is based 

on repeat sales data for October, 

November and December of 2005. This 

averaging methodology is used to offset 

delays that can occur in the flow of sales 

price data from county deed recorders 

and to keep sample sizes large enough 

to create meaningful price change 

averages. 

To calculate the Indices, data are 

collected on transactions of all 

residential properties during the months 

in question. The main variable used for 

index calculation is the price change 

between two arms-length sales of the 

same single-family home. Home price 

data are gathered after that information 

becomes publicly available at local 

recording offices across the country. 

Available data usually consist of the 

address for a particular property, the 

sale date, the sale price, the type of 

property, and in some cases, the name 

of the seller, the name of the purchaser, 

and the mortgage amount. 

For each home sale transaction, a 

search is conducted to find information 

regarding any previous sale for the same 

home. If an earlier transaction is found, 

the two transactions are paired and are 

considered a ‘‘repeat sale.’’ Sales pairs 

are designed to yield the price change 

for the same house, while holding the 

quality and size of each house constant. 

All available arms-length transactions 

for single-family homes are candidates 

for sale pairs. When they can be 

identified, transactions with prices that 

do not reflect market value are excluded 

from sale pairs. This includes: (1) Nonarms-length transactions (e.g., property 

transfers between family members); (2) 

transactions where the property type 

designation is changed (e.g., properties 

originally recorded as single-family 

homes are subsequently recorded as 

condominiums); and (3) suspected data 

errors where the order of magnitude in 

values appears unrealistic. 

Each sales pair is aggregated with all 

other sales pairs found in a particular 

MSA to create the MSA-level index. 10 

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Federal Register / Vol. 73, No. 179 / Monday, September 15, 2008 / Notices 53309 

13See note 11, supra. 

14S&P employee Index Committee members and 

any other S&P employees with access to S&P/CaseShiller index data are subject to The McGraw-Hill 

Companies, Inc. Code of Business Ethics and to 

additional policies that prohibit insider trading and 

that cover securities trading, information security 

and information dissemination. 

15See note 9, supra. 

16See note 9, supra. 

17See note 9, supra. 

of the 20 Indices are then combined by 

S&P, using a market-weighted average, 

to create the Index (as noted above).13

The Weighting of Sales Pairs 

The Indices are designed to reflect the 

average change in all home prices in a 

particular geographic market. However, 

individual home prices are used in 

these calculations and can fluctuate for 

a number of reasons. In many of these 

cases, the change in value of the 

individual home does not reflect a 

change in the housing market of that 

area; it only reflects a change in that 

individual home. The index 

methodology addresses these concerns 

by weighting sales pairs. 

Different weights are assigned to 

different changes in home prices based 

on their statistical distribution in that 

geographic region. The goal of this 

weighting process is to measure changes 

in the value of the residential real estate 

market, as opposed to atypical changes 

in the value of individual homes. These 

weighting schemes include: 

If there is a large change in the prices 

of a sales pair relative to the statistical 

distribution of all price changes in the 

area, then it is possible that the home 

was remodeled, rebuilt or neglected in 

some manner during the period from the 

first sale to the second sale. Or, if there 

were no physical changes to the 

property, there may have been a 

recording error in one of the sale prices, 

or an excessive price change caused by 

idiosyncratic, non-market factors. Since 

the Indices seek to measure homes of 

constant quality, the methodology will 

apply smaller weights to homes that 

appear to have changed in quality or 

sales that are otherwise not 

representative of market price trends. 

Data related to homes that sell more 

than once within six months are 

excluded from the calculation of any 

Indices. Historical and statistical data 

indicate that sales made within a short 

interval often indicate that one of the 

transactions: (1) Is not arms-length, (2) 

precedes or follows the redevelopment 

of a property, or (3) is a fraudulent 

transaction. 

Sales pairs are also weighted based on 

the time interval between the first and 

second sales. If a sales pair interval is 

longer, then it is more likely that a 

house may have experienced physical 

changes. Sales pairs with longer 

intervals are, therefore, given less 

weight than sales pairs with shorter 

intervals. 

Each sales pair is assigned a weight 

equal to the first sale price to ensure 

that the Indices track the aggregate/ 

average value of all homes in a market. 

Index Governance 

The S&P/Case-Shiller Home Price 

Indices and the Index are maintained 

and governed by the S&P/Case-Shiller 

Index Committee. The Index Committee 

members are drawn from S&P, Fiserv 

Fulfillment Services, Inc. and leading 

industry experts; S&P designates the 

Index Committee Chairman. The Index 

Committee has complete discretion to 

determine how the Indices and the 

Index are calculated. In addition, the 

Index Committee may revise index 

policy covering rules for selecting 

houses to be considered for the index 

and extraordinary events, such as 

natural disasters, that may result in 

special consideration in the index in 

any given month. S&P considers 

information about changes to the 

Indices and related matters to be 

potentially market moving and material. 

Therefore, all Index Committee 

discussions are confidential. The Index 

Committee has no broker-dealer 

members.14

For more information on the index 

construction process, pairing sales, 

controlling data quality, index 

maintenance, and the repeat sales 

methodology, see the ‘‘S&P/Case-Shiller 

Home Price Indices: Index 

Methodology’’ document, available at 

http://www.macromarkets.com. 

Termination Triggers 

Following the occurrence of specified 

events, referred to in the Registration 

Statements as ‘‘Termination Triggers,’’ 

the income distribution agreement and 

the settlement contracts will 

automatically terminate and the Trustee 

will redeem all of the Paired Shares on 

the next scheduled Distribution Date. 

Among the events that will constitute 

Termination Triggers are the following: 

—S&P fails to publish the Index or S&P 

fails to make the Reference Value of 

the Index available to the Paired 

Trusts for purposes of calculating 

Underlying Value, in either case, for 

3 consecutive Index Publication Days; 

—On any Index Publication Day, the 

Index rises to or above 258.61,15 at 

which point the Down Trust would be 

entitled to approximately 85% of the 

Up Trust’s assets under the settlement 

contracts, or the Index falls to or 

below 104.35,16 at which point the Up 

Trust would be entitled to 

approximately 85% of the Down 

Trust’s assets under the settlement 

contracts, and remains at or above this 

value or at or below this value, as 

applicable, for the next two (2) 

consecutive Index Publication Days; 

—The Down MacroShares and/or the 

Up MacroShares are delisted by NYSE 

Arca. Additional Termination 

Triggers are described in the 

Registration Statements. 

Calculation of Underlying Value 

The Final Distribution made on the 

Down MacroShares on the Final 

Scheduled Termination Date, an Early 

Termination Date or a Redemption Date 

will be based upon the Underlying 

Value of the Down Trust on the last 

calendar day that precedes the Final 

Scheduled Termination Date, an Early 

Termination Date or the relevant 

Redemption Date. Underlying Value 

will be calculated for each calendar day 

based upon the Reference Value of the 

Index. The Underlying Value of the 

Down Trust on any date of measurement 

represents the aggregate amount of the 

assets in the Paired Trusts to which the 

Down Trust would be entitled if the 

settlement contracts were settled on that 

day. The Underlying Value of the Down 

Trust on each day also represents the 

aggregate Final Distribution to which 

holders of the Down MacroShares 

would be entitled if those Shares were 

redeemed on that day. The Underlying 

Value of the Up Trust on any day 

represents the aggregate amount of the 

assets in the Paired Trusts to which the 

Up Trust would be entitled if the 

settlement contracts were settled on that 

day. The Underlying Value of the Up 

Trust on each day also represents the 

aggregate Final Distribution to which 

holders of the Up MacroShares would 

be entitled if those shares were 

redeemed on that day. 

An increase in the Reference Value of 

the Index results in a proportionate 

decrease in the Underlying Value of the 

Down Trust, multiplied by the leverage 

factor. A decrease in the Reference 

Value of the Index results in a 

proportionate increase in the 

Underlying Value of the Down Trust, 

multiplied by the leverage factor. After 

the closing date, the Reference Value of 

the Index may fluctuate above or below 

a ‘‘starting level’’ of 181.48.17 The 

proportion of the funds in the Down 

Trust and the Up Trust will initially be 

1:1 and this proportion will be sought 

to be maintained throughout the entire 

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53310 Federal Register / Vol. 73, No. 179 / Monday, September 15, 2008 / Notices 

18See note 9, supra. 

19Authorized participants must also pay a 

transaction fee of $2,000 for any paired redemption 

or issuance. 

transaction by virtue of the requirement 

that redemptions and issuances must be 

done in MacroShares Units composed of 

50,000 Down MacroShares and 50,000 

Up MacroShares. The Underlying Value 

formula as described in the Registration 

Statements, and the requirement that 

Down MacroShares can only be issued 

and redeemed in paired optional 

redemptions and paired issuances and 

only in the form of MacroShares Units, 

is intended to ensure that a change of 

3.63 18 in the Reference Value of the 

Index will always result in a $1 change 

in the per share Underlying Value of 

each Down MacroShare. 

The impact of changes in the 

Reference Value of the Index is 

multiplied by the leverage factor. The 

ratio of the ending level of the Reference 

Value of the Index to the starting level 

of the Reference Value of the Index on 

the closing date, will yield a settlement 

factor by which the assets held on 

deposit by the Down Trust must be 

multiplied in order to determine the 

trust’s Underlying Value. Before being 

so applied, this settlement factor is first 

adjusted by a leverage factor, which is 

equal to 2. The effect of this is to double 

any increase in the Underlying Value of 

the Down Trust as well as to double any 

decline in that Underlying Value, 

making the per share Underlying Value 

and the market price of Down 

MacroShares potentially more volatile 

than the housing prices which those 

shares reference. 

The Up MacroShares may be issued 

only in MacroShares Units consisting of 

a minimum of 50,000 Up MacroShares 

issued by the Up Trust and 50,000 

Down MacroShares issued by the Down 

Trust. The Up Trust and Down Trust 

will issue their Shares in the minimum 

amounts that constitute a MacroShares 

Unit on an ongoing basis only to 

persons who qualify as authorized 

participants at the per-share Underlying 

Value of those Shares on the business 

day on which a creation order for the 

Shares is delivered to and accepted by 

MacroMarkets LLC, the administrative 

agent.19 The Shares may then be sold by 

authorized participants to the public at 

the market price prevailing at the time 

of any such sale. 

The Up MacroShares must be 

redeemed together with Down 

MacroShares by any holder who is an 

authorized participant on any business 

day in MacroShares Units consisting of 

a minimum of 50,000 Up MacroShares 

and 50,000 Down MacroShares, at the 

respective Underlying Value of those 

shares, as measured on the applicable 

redemption date. Unless earlier 

redeemed on a redemption date or an 

early termination date, a final 

distribution will be made on the Up 

MacroShares on the distribution date 

occurring in 2018. 

The Registration Statements include a 

number of hypothetical scenarios of 

circumstances that will impact the 

Underlying Value of an Up MacroShare 

and a Down MacroShare. 

For more information regarding the 

Shares, the Trusts, the Reference Value, 

Income Distribution, Redemption Final 

Distribution, risks, fees and expenses, 

Termination Triggers, and creation and 

redemption procedures, see the 

Registration Statements. 

Availability of Information 

At the beginning of each business day, 

not later than one hour prior to the 

commencement of trading in the Core 

Trading Session on the Exchange, the 

Trustee will calculate the Underlying 

Value of the Up Trust and the Down 

Trust and the per share Underlying 

Value of one Up MacroShare and one 

Down MacroShare. The Trustee will 

then provide such values to the 

administrative agent, who will post 

them on its Web site located at http:// 

www.macromarkets.com. The Trustee 

will base its calculation of the 

Underlying Values for any business day 

on the administrative agent’s calculation 

of the Reference Values for the 

preceding day (regardless of whether 

that preceding day is a business day or 

non-business day), which it will provide 

to the Trustee. The Underlying Values 

will be disseminated to all market 

participants at the same time. 

An intraday indicative value will not 

be disseminated for the Trusts. The 

Exchange believes that an intraday 

indicative value for the Trusts would 

not provide an accurate approximation 

of the value of Shares of the Trusts. As 

noted above, the Reference Price, (in the 

case of the Up MacroShares and Down 

MacroShares, the Reference Value), is 

based on the monthly value of the 

Index. The Exchange believes that the 

Reference Price applicable to the Trusts, 

considered together with the current 

market price of Shares, will provide 

investors with sufficient information to 

approximate the amount to be received 

upon redemption of Shares. 

Information regarding market price 

and volume of the Shares is and will be 

continually available on a real-time 

basis throughout the day via electronic 

services. The previous day’s closing 

price and trading volume information 

for the Shares will be published daily in 

the financial section of major 

newspapers and will be available from 

major market data vendors. Quotation 

and last sale information for the Shares 

will be available via the Consolidated 

Tape Association high speed line. 

Announcements regarding the levels 

for the Index and the Indices are made 

at 9:00 a.m. Eastern Time on the last 

Tuesday of each month, and are made 

available to all market participants at 

the same time. Such levels are available 

through major market data vendors (e.g., 

Bloomberg, and Reuters). Press releases 

are posted at Standard and Poor’s Web 

site at http:// 

www.indices.standardandpoors.com 

and are released to major news services. 

Historical data regarding the Index and 

the Indices are published at http:// 

www.indices.standardandpoors.com. 

The Index and the Indices are 

disseminated to all market participants 

at the same time. 

Initial and Continued Listing Criteria 

Rule 8.400(d) sets forth initial and 

continued listing criteria applicable to 

Paired Trust Shares. A minimum of 

100,000 Up MacroShares and 100,000 

Down MacroShares will be required to 

be outstanding at the commencement of 

trading. In addition, the Corporation 

will obtain a representation on behalf of 

the Up Trust and the Down Trust that 

the Underlying Value per share of each 

Up Share and Down Share, respectively, 

will be calculated daily and will be 

made available to all market 

participants at the same time. The 

Corporation will remove from listing the 

Up MacroShares or the Down 

MacroShares under the circumstances 

outlined in Rule 8.400(d) for Trading 

Shares, which include: 

• If, after the initial twelve-month 

period following the commencement of 

trading of the Shares, (A) the Up Trust 

or the Down Trust has more than 60 

days remaining until termination and 

there are fewer than 50 record and/or 

beneficial holders of Up MacroShares or 

Down MacroShares, respectively, for 30 

or more consecutive trading days; (B) if 

the Up Trust or the Down Trust has 

fewer than 50,000 Up MacroShares or 

Down MacroShares, respectively, issued 

and outstanding; or (C) if the combined 

market value of all Shares issued and 

outstanding for the Up Trust and the 

Down Trust combined is less than 

$1,000,000; 

• If a replacement benchmark is 

selected for the determination of the 

Reference Value, unless the Corporation 

files with the Commission a related 

proposed rule change pursuant to Rule 

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Federal Register / Vol. 73, No. 179 / Monday, September 15, 2008 / Notices 53311 

20 20 17 CFR 240.19b–4. 

21For a list of the current members of ISG, see 

http://www.isgportal.org. 

22NYSE 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). 23 15 U.S.C. 78f(b)(5). 

19b–4 under the Exchange Act 20

seeking approval to continue trading the 

Up MacroShares or Down MacroShares 

and such rule change is approved by the 

Commission; or 

• If such other event shall occur or 

condition exists which in the opinion of 

the Corporation makes further dealings 

on the Corporation inadvisable. 

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

Corporation will halt trading in the Up 

MacroShares or the Down MacroShares, 

as the case may be, if the circuit breaker 

parameters of NYSE Arca Equities Rule 

7.12 have been reached. In exercising its 

discretion to halt or suspend trading in 

the Up MacroShares or the Down 

MacroShares, the Corporation may 

consider other factors that may be 

relevant. 

Trading Halts 

With respect to trading halts, the 

Exchange may consider all relevant 

factors in exercising its discretion to 

halt or suspend trading in the Shares. 

Trading may be halted because of 

market conditions or for reasons that, in 

the view of the Exchange, make trading 

in the Shares inadvisable. These may 

include: (1) The extent to which trading 

is not occurring in the underlying 

securities; or (2) whether other unusual 

conditions or circumstances detrimental 

to the maintenance of a fair and orderly 

market are present. Rule 8.400(d)(2) 

described above sets forth 

circumstances under which Shares may 

be halted. 

If the Exchange becomes aware that 

the Underlying Value per Share of each 

Up Share and Down Share is not 

disseminated to all market participants 

at the same time, it will halt trading in 

the Up MacroShares or the Down 

MacroShares, as the case may be, until 

such time as the Underlying Values per 

Share are available to all market 

participants. 

Trading Rules 

The Exchange deems the Shares to be 

equity securities, thus rendering trading 

in the Shares subject to the Exchange’s 

existing rules governing the trading of 

equity securities. Shares will trade on 

the NYSE Arca Marketplace from 4 a.m. 

to 8 p.m. Eastern Time in accordance 

with NYSE Arca Equities Rule 7.34 

(Opening, Core, and Late Trading 

Sessions). The Exchange has 

appropriate rules to facilitate 

transactions in the Shares during all 

trading sessions. 

Surveillance 

The Exchange intends to utilize its 

existing surveillance procedures 

applicable to derivative securities 

products, including Paired Trust Shares, 

to monitor trading in the Shares. The 

Exchange represents that these 

procedures are adequate to properly 

monitor Exchange trading of the Shares 

in all trading sessions and to deter and 

detect violations of Exchange rules and 

applicable federal securities laws. 

The Exchange’s current trading 

surveillance focuses on detecting 

securities trading outside their normal 

patterns. When such situations are 

detected, surveillance analysis follows 

and investigations are opened, where 

appropriate, to review the behavior of 

all relevant parties for all relevant 

trading violations. 

The Exchange may obtain information 

via the Intermarket Surveillance Group 

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

members of the ISG.21

In addition, the Exchange also has a 

general policy prohibiting the 

distribution of material, non-public 

information by its employees. 

Information Bulletin 

Prior to the commencement of 

trading, the Exchange will inform its 

ETP Holders in an Information Bulletin 

(‘‘Bulletin’’) of the special 

characteristics and risks associated with 

trading the Shares. Specifically, the 

Bulletin will discuss the following: (1) 

what the Shares are; (2) the procedures 

for purchases and redemptions of 

Shares in MacroShares Units (and that 

Shares are not individually redeemable); 

(3) NYSE Arca Equities Rule 9.2(a),22

which imposes a duty of due diligence 

on its ETP Holders to learn the essential 

facts relating to every customer prior to 

trading the Shares; (4) the requirement 

that ETP Holders deliver a prospectus to 

investors purchasing newly issued 

Shares prior to or concurrently with the 

confirmation of a transaction; and (5) 

trading information. 

In addition, the Bulletin will 

reference that the Shares are subject to 

various fees and expenses described in 

the Registration Statements. The 

Bulletin will discuss any exemptive, noaction, and interpretive relief granted by 

the Commission from any rules under 

the Exchange Act. 

2. Statutory Basis 

The basis under the Exchange Act for 

this proposed rule change is the 

requirement under section 6(b)(5) 23 that 

an exchange have rules that are 

designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to remove impediments to, and 

perfect the mechanism of a free and 

open market and, in general, to protect 

investors and the public interest. The 

Exchange believes that the proposed 

rule change will facilitate the listing and 

trading of additional types of exchangetraded products that will enhance 

competition among market participants, 

to the benefit of investors and the 

marketplace. In addition, the listing and 

trading criteria set forth in NYSE Arca 

Equities Rule 8.400 are intended to 

protect investors and the public interest. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition that is not 

necessary or appropriate in furtherance 

of the purposes of the Act. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

No written comments were solicited 

or received with respect to the proposed 

rule change. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Within 35 days of the date of 

publication of this notice in the Federal 

Register or within such longer period (i) 

as the Commission may designate up to 

90 days of such date if it finds such 

longer period to be appropriate and 

publishes its reasons for so finding or 

(ii) as to which the self-regulatory 

organization consents, the Commission 

will: 

(A) By order approve such proposed 

rule change, or 

mstockstill on PROD1PC66 with NOTICES

53312 Federal Register / Vol. 73, No. 179 / Monday, September 15, 2008 / Notices 

24 17 CFR 200.30–3(a)(12). 

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

2 15 U.S.C. 78a. 

3 17 CFR 240.19b–4. 

4NYSE Arca Rule 6.62(e) defines a ‘‘Complex 

Order’’ as any order involving the simultaneous 

purchase and/or sale of two or more different 

option series in the same underlying security, for 

the same account, in a ratio that is equal to or 

greater than one-to-three (.333) and less than or 

equal to three-to-one (3.00) and for the purpose of 

executing a particular investment strategy. 

5See Securities Exchange Act Release No. 58174 

(July 16, 2008), 73 FR 42640 (July 22, 2008) (order 

approving SR–NYSEArca–2008–54, establishing 

rules pertaining to automated electronic trading of 

Complex Orders). 

(B) Institute proceedings to determine 

whether the proposed rule change 

should be disapproved. 

The Exchange has requested 

accelerated approval of this proposed 

rule change prior to the 30th day after 

the date of publication of the notice of 

the filing thereof. The Commission is 

considering granting accelerated 

approval of the proposed rule change at 

the end of a 15-day comment period. 

IV. Solicitation of Comments 

Interested persons are invited to 

submit written data, views, and 

arguments concerning the foregoing, 

including whether the proposed rule 

change is consistent with the Act. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an e-mail to rulecomments@sec.gov. Please include File 

Number SR–NYSEArca–2008–92 on the 

subject line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street, NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–NYSEArca–2008–92. This 

file number should be included on the 

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

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

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

rules/sro.shtml). Copies of the 

submission, all subsequent 

amendments, all written statements 

with respect to the proposed rule 

change that are filed with the 

Commission, and all written 

communications relating to the 

proposed rule change between the 

Commission and any person, other than 

those that may be withheld from the 

public in accordance with the 

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

available for inspection and copying in 

the Commission’s Public Reference 

Room, 100 F Street, NE., Washington, 

DC 20549, on official business days 

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

Copies of the filing also will be available 

for inspection and copying at the 

principal office of the Exchange. All 

comments received will be posted 

without change; the Commission does 

not edit personal identifying 

information from submissions. You 

should submit only information that 

you wish to make available publicly. All 

submissions should refer to File 

Number SR–NYSEArca–2008–92 and 

should be submitted on or before 

September 30, 2008. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.24

Florence E. Harmon, 

Acting Secretary. 

[FR Doc. E8–21329 Filed 9–12–08; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–58473; File No. SR– 

NYSEArca–2008–97] 

Self-Regulatory Organizations; Notice 

of Filing and Immediate Effectiveness 

of Rule Change by NYSE Arca, Inc. 

Amending Its Schedule of Fees and 

Charges for Exchange Services in 

Order To Establish a New Fee for 

Electronically Executed Complex 

Orders 

September 8, 2008. 

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

Securities Exchange Act of 1934 (the 

‘‘Act’’) 2 and Rule 19b–4 thereunder,3

notice is hereby given that, on 

September 5, 2008, NYSE Arca, Inc. 

(‘‘NYSE Arca’’ or the ‘‘Exchange’’) filed 

with the Securities and Exchange 

Commission (the ‘‘Commission’’) the 

proposed rule change as described in 

Items I, II, and III below, which Items 

have been prepared by the self– 

regulatory organization. The 

Commission is publishing this notice to 

solicit comments on the proposed rule 

change from interested persons. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The Exchange proposes to amend its 

Schedule of Fees and Charges for 

Exchange Services (‘‘Schedule’’) in 

order to establish certain Transaction 

Fees. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, the 

self-regulatory organization included 

statements concerning the purpose of, 

and basis for, the proposed rule change 

and discussed any comments it received 

on the proposed rule change. The text 

of those statements may be examined at 

the places specified in Item IV below. 

The Exchange has prepared summaries, 

set forth in sections A, B, and C below, 

of the most significant parts of such 

statements. 

A. Self-Regulatory Organization’s 

Statement of the Purpose of, and the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of this filing is to amend 

the existing Schedule in order to create 

a new fee structure covering 

electronically executed Complex 

Orders.4

Pursuant to a recent rule filing 5 the 

Exchange will be introducing automated 

complex order trading for all market 

participants on NYSE Arca. In 

conjunction with this new functionality, 

the Exchange proposes to introduce two 

new transaction fees specific to 

Complex Order executions. Pursuant to 

this proposal, electronically entered and 

executed Complex Orders when 

executed against similar contra-side 

Complex Orders will be subject to a 

reduced transaction fee. 

Complex Orders that are executed 

against other similar Complex Orders 

will be subject to a transaction fee of 

$0.10 per contract. For example, if a 

Complex Order, comprised of two legs, 

executes against a similar two-legged 

Complex Order, each market participant 

will be charged $0.20 ($0.10 per 

contract). To expand on this example, if 

the same strategy is executed a total of 

ten (10) times, each participant would 

be charged $2.00. If a Complex Order 

comprised of three legs executes against 

a similar three-legged Complex Order, 

then each participant would be charged 

$0.30 for the transaction. To expand on 

this example, if the same three-legged 

Complex Order is executed a total of ten 

(10) times, each participant would be 

changed $3.00. All electronically 

executed Complex Orders, regardless of 

whether they are entered by Market 

Makers, Brokers Dealers, or OTP Firms 

representing Public Customers, will be 

billed this same rate when their order is 

executed against another Complex 

Order. 

mstockstill on PROD1PC66 with NOTICES