Document ID: SEC-2007-1744-0001
Agency: sec
Document Type: Notice
Title: Self-regulatory organizations; proposed rule changes: NASDAQ Stock Market LLC
Posted Date: 2007-12-21T05:00Z

[Federal Register: December 21, 2007 (Volume 72, Number 245)]
[Notices]               
[Page 72809-72813]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr21de07-137]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-56952; File No. SR-NASDAQ-2007-097]

 
Self-Regulatory Organizations; the NASDAQ Stock Market LLC; 
Notice of Filing and Order Granting Accelerated Approval of Proposed 
Rule Change To Trade the Shares of 45 Funds of the Rydex ETF Trust 
Based on Numerous Domestic Securities Indexes Pursuant to Unlisted 
Trading Privileges

December 12, 2007.
    Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on December 6, 2007, The NASDAQ Stock Market LLC (``Nasdaq'' or 
``Exchange'') filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change as described in Items I and 
II below, which Items have been substantially prepared by the Exchange. 
This order provides notice of the proposed rule change and approves it 
on an accelerated basis.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.

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[[Page 72810]]

I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    Nasdaq proposes to trade, pursuant to unlisted trading privileges 
(``UTP''), shares (``Shares'') of 45 funds of the Rydex ETF Trust 
(``Trust'').
    The text of the proposed rule change is available from the 
Exchange's Web site (http://nasdaq.complinet.com), at the principal 

office of the Exchange, and at the Commission's Public Reference Room.

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of, and basis for, the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item III below. The Exchange has prepared summaries, set forth in 
sections A, B and C below, of the most significant aspects of such 
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

1. Purpose
    Nasdaq proposes to trade pursuant to UTP the Shares of the 45 new 
funds of the Trust that are designated as Rydex Leveraged Funds (the 
``Leveraged Funds''), Rydex Inverse Funds (the ``Inverse Funds''), and 
Rydex Leveraged Inverse Funds (the ``Leveraged Inverse Funds''). Each 
of the Funds has a distinct investment objective. Each Fund attempts, 
on a daily basis, to achieve its investment objective by corresponding 
to a specified multiple of the performance, or the inverse performance, 
of a particular equity securities index (individually referred to as 
the ``Underlying Index'' and collectively referred to as the 
``Underlying Indexes''). The American Stock Exchange LLC (``Amex'') 
filed a proposal with the Commission to list and trade the Shares, 
which was approved by the Commission on October 29, 2007 (the ``Amex 
Proposal'').\3\
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    \3\ See Securities Exchange Act Release No. 56713 (October 29, 
2007), 72 FR 61915 (November 1, 2007) (SR-Amex-2007-74).
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    The Funds are based on the following benchmark indexes: (1) The S&P 
500 Index (the ``S&P 500''); (2) the S&P MidCap 400 Index; (3) the S&P 
Small Cap 600 Index; (4) the Russell 1000 Index; (5) the Russell 2000 
Index; (6) the Russell 3000 Index; (7) the S&P 500 Consumer 
Discretionary Index; (8) the S&P 500 Consumer Staples Index; (9) the 
S&P 500 Energy Index; (10) the S&P 500 Financials Index; (11) the S&P 
500 Healthcare Index; (12) the S&P 500 Industrials Index; (13) the S&P 
500 Information Technology Index; (14) the S&P 500 Materials Index; and 
(15) the S&P 500 Utilities Index. Certain Funds seek daily investment 
results, before fees and expenses, that correspond to twice (200%) the 
daily performance of the Underlying Indexes (the ``Leveraged Funds''). 
Such a Fund, if successful in meeting its objective, should gain, on a 
percentage basis, approximately twice as much as the Fund's Underlying 
Index when the prices of the securities in such Index increase on a 
given day, and should lose approximately twice as much when such prices 
decline on a given day.
    In addition, Nasdaq proposes to trade pursuant to UTP shares of the 
Funds that seek daily investment results, before fees and expenses, 
that correspond to the inverse or opposite of the daily performance (-
100%) of the Underlying Indexes (the ``Inverse Funds''). If such a Fund 
is successful in meeting its objective, the net asset value (the 
``NAV'') of shares of the Fund should increase approximately as much, 
on a percentage basis, as the respective Underlying Index loses when 
the prices of the securities in the Index decline on a given day, or 
should decrease approximately as much as the respective Index gains 
when the prices of the securities in the index rise on a given day.
    Finally, Nasdaq proposes to trade pursuant to UTP shares of the 
Funds that seeks daily investment results, before fees and expenses 
that correspond to twice the inverse (-200%) of the daily performance 
of the Underlying Indexes (the ``Leveraged Inverse Funds''). If such a 
Fund is successful in meeting its objective, the NAV of shares of the 
Fund should increase approximately twice as much, on a percentage 
basis, as the respective Underlying Index loses when the prices of the 
securities in the Index decline on a given day, or should decrease 
approximately twice as much as the respective Underlying Index gains 
when the prices of the securities in the index rise on a given day.
    The Underlying Indexes and the operation of the Funds are described 
further in the Amex Proposal.
    The Trust's Web site (http://www.rydexinvestments.com), which is 

and will be publicly accessible at no charge, will contain the 
following information for each Fund's Shares: (1) The prior business 
day's closing NAV, the reported closing price, and a calculation of the 
premium or discount of such price in relation to the closing NAV; (2) 
data for a period covering at least the four previous calendar quarters 
(or the life of a Fund, if shorter) indicating how frequently each 
Fund's Shares traded at a premium or discount to NAV based on the daily 
closing price and the closing NAV, and the magnitude of such premiums 
and discounts; (3) its prospectus and/or product description; and (4) 
other quantitative information such as daily trading volume. The 
prospectus and/or product description for each Fund will inform 
investors that the Trust's Web site has information about the premiums 
and discounts at which the Fund's Shares have traded.
    According to the Amex Proposal, Amex will disseminate for each Fund 
on a daily basis by means of Consolidated Tape Association (``CTA'') 
and CQ High Speed Lines information with respect to an Indicative 
Intra-Day Value (``IIV'') (as defined and discussed below), the recent 
NAV, the number of shares outstanding, the estimated cash amount, and 
the total cash amount per Creation Unit (as defined in the Amex 
Proposal). Amex will make available on its Web site daily trading 
volume, the closing price, the NAV, and the final dividend amounts to 
be paid for each Fund. Amex represented in the Amex Proposal that it 
will obtain a representation from the Trust (for each Fund), prior to 
listing, that the NAV per share for each Fund will be calculated daily 
and made available to all market participants at the same time.\4\
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    \4\ If Amex halts trading in the Shares of the Funds because the 
NAV is not being disseminated to all market participants at the same 
time, then Nasdaq would do so as well.
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    According to the Amex Proposal, each Fund's total portfolio 
composition is disclosed on the Web site of the Trust or another 
relevant Web site as determined by the Trust and/or Amex. The Trust 
expects that Web site disclosure of portfolio holdings will be made 
daily and will include, as applicable, the names and number of shares 
held of each specific types of financial instruments and 
characteristics of such instruments, cash equivalents, and the amount 
of cash held in the portfolio of each Fund. This public Web site 
disclosure of the portfolio composition of each Fund will coincide with 
the disclosure by Rydex Investments (``Advisor'') of the ``IIV File'' 
and the ``PCF File'' provided to an

[[Page 72811]]

``Authorized Participant,'' a broker-dealer or other participant in the 
continuous net settlement system of the National Securities Clearing 
Corporation (``NSCC'') or a Depositary Trust Company participant, which 
has entered into a participant agreement with the distributor, Rydex 
Distributors, Inc.\5\ The format of the public Web site disclosure and 
the IIV File and PCF File will differ because the public Web site will 
list all portfolio holdings while the IIV File and PCF File will 
similarly provide the portfolio holdings but in a format appropriate 
for Authorized Participants, i.e., the exact components of a Creation 
Unit.\6\ Accordingly, each investor will have access to the current 
portfolio composition of each Fund through the Trust's Web site, at 
http://www.rydexinvestments.com, and/or at the Amex's Web site at 

http://www.amex.com.

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    \5\ According to the Amex Proposal, at the end of each business 
day, the Trust will create a portfolio composition file (``PCF'') 
for each Fund, which it will transmit to NSCC before the open of 
business the next business day. The information in the PCF will be 
available to all participants in the NSCC system. Because the NSCC's 
system for the receipt and dissemination to its participants of the 
PCF is not currently capable of processing information with respect 
to financial instruments, the Advisor has developed an ``IIV File,'' 
which it will use to disclose the Funds' holdings of financial 
instruments. The IIV File will contain, for each Leveraged Fund (to 
the extent it holds financial investments) and Inverse and Leveraged 
Inverse Fund, information sufficient by itself or in connection with 
the PCF File and other available information for market participants 
to calculate a Fund's IIV and effectively arbitrage the Fund. The 
Trust or the Advisor will post the IIV File to a password-protected 
Web site before the opening of business on each business day, and 
all Authorized Participants and Amex will have access to a password 
and the Web site containing the IIV File.
    \6\ The composition will be used to calculate the NAV later that 
day.
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    Beneficial owners of Shares will receive all of the statements, 
notices, and reports required under the Investment Company Act of 1940 
\7\ and other applicable laws. They will receive, for example, annual 
and semiannual fund reports, written statements accompanying dividend 
payments, proxy statements, annual notifications detailing the tax 
status of fund distributions, and Form 1099-DIVs. Some of these 
documents will be provided to beneficial owners by their brokers, while 
others will be provided by the Fund through the brokers.
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    \7\ 15 U.S.C. 80a.
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    The daily closing index value and the percentage change in the 
daily closing index value for each Underlying Index is publicly 
available on various Web sites, e.g., http://www.bloomberg.com. Data 

regarding each Underlying Index is also available from the respective 
index provider to subscribers. Several independent data vendors also 
package and disseminate index data in various value-added formats 
(including vendors displaying both securities and index levels and 
vendors displaying index levels only). The value of each Underlying 
Index is updated intra-day as its individual component securities 
change in price. These intra-day values of each Underlying Index are 
disseminated at least every 15 seconds though the trading day by Amex 
or another organization authorized by the relevant Underlying Index 
provider.
    According to the Amex Proposal, to provide updated information 
relating to each Fund for use by investors, professionals, and persons 
wishing to create or redeem Shares, Amex will disseminate though the 
facilities of the CTA: (1) Continuously throughout the trading day, the 
market value of a Share; and (2) at least every 15 seconds throughout 
the trading day, a calculation of the Indicative Intra-Day Value or 
``IIV'' as calculated by Amex (the ``IIV Calculator''). Comparing these 
two figures helps an investor to determine whether, and to what extent, 
the Shares may be selling at a premium or a discount to NAV.
    The IIV Calculator (Amex) calculates an IIV for each Fund in the 
manner discussed in the Amex Proposal. The IIV is designed to provide 
investors with a reference value that can be used in connection with 
other related market information. The IIV does not necessarily reflect 
the precise composition of the current portfolio held by each Fund at a 
particular point in time. Therefore, the IIV on a per-Share basis 
disseminated during Amex trading hours should not be viewed as a real-
time update of the NAV of a particular Fund, which is calculated only 
once a day. While the IIV that will be disseminated by Amex is expected 
to be close to the most recently calculated Fund NAV on a per-Share 
basis, it is possible that the value of the portfolio held by a Fund 
may diverge from the IIV during any trading day. In such case, the IIV 
will not precisely reflect the value of the Fund portfolio.
    Nasdaq will halt trading in the Shares of the Fund under the 
conditions specified in Nasdaq Rules 4120 and 4121. The conditions for 
a halt include a regulatory halt by the listing market. UTP trading in 
the Shares will also be governed by provisions of Nasdaq Rule 4120(b) 
relating to temporary interruptions in the calculation or wide 
dissemination of the IIV or the value of the underlying index. 
Additionally, Nasdaq may cease trading the Shares if other unusual 
conditions or circumstances exist which, in the opinion of Nasdaq, make 
further dealings on Nasdaq detrimental to the maintenance of a fair and 
orderly market. Nasdaq will also follow any procedures with respect to 
trading halts as set forth in Nasdaq Rule 4120(c). Finally, Nasdaq will 
stop trading the Shares if the listing market delists them.
    Nasdaq deems the Shares to be equity securities, thus rendering 
trading in the Shares subject to Nasdaq's existing rules governing the 
trading of equity securities. Nasdaq will allow trading in the Shares 
only from 9:30 a.m. until 4:15 p.m. until the Commission acts on 
Nasdaq's proposal to generally allow trading in ETFs on Nasdaq during 
the Pre-Market and Post-Market Sessions, which would permit trading in 
the Shares from 7 a.m. until 8 p.m.\8\
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    \8\ See SR-NASDAQ-2007-098 (filed on December 7, 2007).
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    Nasdaq believes that its surveillance procedures are adequate to 
address any concerns about the trading of the Shares on Nasdaq. Trading 
of the Shares through Nasdaq facilities is currently subject to FINRA'S 
surveillance procedures for equity securities in general and ETFs in 
particular.\9\
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    \9\ FINRA surveils trading pursuant to a regulatory services 
agreement. Nasdaq is responsible for FINRA'S performance under this 
regulatory services agreement.
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    Nasdaq will be able to obtain information regarding trading in the 
Shares through its members in connection with the proprietary or 
customer trades that such members effect on any relevant market. In 
addition, Nasdaq may obtain trading information via the Intermarket 
Surveillance Group (``ISG'') from other exchanges who are members or 
affiliates of the ISG.\10\ In addition, Nasdaq also has a general 
policy prohibiting the distribution of material, non-public information 
by its employees.
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    \10\ For a list of the current members and affiliate members of 
ISG, see http://www.isgportal.com.

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    Prior to the commencement of trading, Nasdaq will inform its 
members in an Information Circular of the special characteristics and 
risks associated with trading the Shares. Specifically, the Information 
Circular will discuss the following: (1) The procedures for purchases 
and redemptions of Shares in Creation Unit aggregations (and that 
Shares are not individually redeemable); (2) Nasdaq Rule 2310, which 
imposes suitability obligations on Nasdaq members with respect to 
recommending transactions in the Shares to customers; (3) the risks 
involved in trading the Shares during the Pre-Market and Post-Market 
Sessions when an updated IIV will not be calculated or publicly 
disseminated; (4) how information

[[Page 72812]]

regarding the IIV is disseminated; (5) the requirement that Nasdaq 
members deliver a prospectus to investors purchasing newly issued 
Shares prior to or concurrently with the confirmation of a transaction; 
and (6) trading information.
    In addition, the Information Circular will reference that the Fund 
is subject to various fees and expenses described in the registration 
statement for the Fund. The Information Circular will also discuss any 
exemptive, no-action and interpretive relief granted by the Commission 
from section 11(d)(1) of the Act \11\ and certain rules under the Act, 
including Rule 10b-10, Rule 14e-5, Rule 10b-17, Rule 11d1-2, Rules 
15cl-5 and 15cl-6, and Rules 101 and 102 of Regulation M. The 
Information Circular will also disclose that the NAV for the Shares 
will be calculated after 4 p.m. Eastern Time each trading day.
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    \11\ 15 U.S.C. 78k(d)(1).
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2. Statutory Basis
    Nasdaq believes that the proposed rule change is consistent with 
the Act and the rules and regulations thereunder applicable to a 
national securities exchange. Specifically, Nasdaq believes that the 
proposed rule change is consistent with the section 6(b)(5) \12\ 
requirements that an exchange have rules 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. In addition, 
Nasdaq believes that the proposal is consistent with Rule 12f-5 under 
the Act \13\ because it 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.
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    \12\ 15 U.S.C. 78f(b)(5).
    \13\ 17 CFR 240.12f-5.
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B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any burden on competition that is not necessary or appropriate 
in furtherance of the purposes of the Act.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants or Others

    The Exchange neither solicited nor received comments on the 
proposal.

III. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Act. Comments may be submitted by any of 
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml.
); or     Send an e-mail to rule-comments@sec.gov. Please include 

File Number SR-NASDAQ-2007-097 on the subject line.

Paper Comments

     Send paper comments in triplicate to Nancy M. Morris, 
Secretary, Securities and Exchange Commission, 100 F Street, NE., 
Washington, DC 20549-1090.

All submissions should refer to File Number SR-NASDAQ-2007-097. 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-NASDAQ-2007-097 and should 
be submitted on or before January 11, 2008.

IV. Commission's Findings and Order Granting Accelerated Approval of 
the Proposed Rule Change

    After careful review, the Commission finds that the proposed rule 
change is consistent with the requirements of the Act and the rules and 
regulations thereunder applicable to a national securities 
exchange.\14\ In particular, the Commission finds that the proposed 
rule change is consistent with section 6(b)(5) of the Act,\15\ which 
requires that an exchange have rules designed, among other things, 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. The Commission believes that this proposal should benefit 
investors by increasing competition among markets that trade the 
Shares.
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    \14\ In approving this rule change, the Commission notes that it 
has considered the proposal's impact on efficiency, competition, and 
capital formation. See 15 U.S.C. 78c(f).
    \15\ 15 U.S.C. 78f(b)(5).
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    In addition, the Commission finds that the proposal is consistent 
with section 12(f) of the Act,\16\ which permits an exchange to trade, 
pursuant to UTP, a security that is listed and registered on another 
exchange.\17\ The Commission notes that it previously approved the 
listing and trading of the Shares on Amex.\18\ The Commission also 
finds that the proposal is consistent with Rule 12f-5 under the 
Act,\19\ which provides that an exchange shall not extend UTP to a 
security unless the exchange has in effect a rule or rules providing 
for transactions in the class or type of security to which the exchange 
extends UTP. The Exchange has represented that it meets this 
requirement because it 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.
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    \16\ 15 U.S.C. 78l(f).
    \17\ Section 12(a) of the Act, 15 U.S.C. 78l(a), generally 
prohibits a broker-dealer from trading a security on a national 
securities exchange unless the security is registered on that 
exchange pursuant to Section 12 of the Act. Section 12(f) of the Act 
excludes from this restriction trading in any security to which an 
exchange ``extends UTP.'' When an exchange extends UTP to a 
security, it allows its members to trade the security as if it were 
listed and registered on the exchange even though it is not so 
listed and registered.
    \18\ See supra note 3.
    \19\ 17 CFR 240.12f-5.
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    The Commission further believes that the proposal is consistent 
with section 11A(a)(1)(C)(iii) of the Act,\20\ which sets forth 
Congress's 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

[[Page 72813]]

with respect to quotations for and transactions in securities. 
Quotations for and last-sale information regarding the Shares are 
disseminated through the facilities of the CTA and the Consolidated 
Quotation System. In addition, Amex will calculate and disseminate the 
IIV per Share for each Fund through the facilities of the Consolidated 
Tape Association at least every 15 seconds throughout the trading hours 
for the Shares. The value of each Underlying Index will also be updated 
intra-day on a real-time basis as its individual component securities 
change in price and will be disseminated at least every 15 seconds 
throughout the trading hours for the Shares. Finally, the Trust's Web 
site provides various information for each Fund's Shares.
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    \20\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
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    The Commission also believes that the proposal appears reasonably 
designed to preclude trading of the Shares when transparency is 
impaired. Trading in the Shares will be subject to Nasdaq Rule 4120(b), 
which provides that, if the listing market halts trading when the IIV 
or value of the underlying index is not being calculated or 
disseminated, the Exchange also would halt trading.
    In support of this proposal, the Exchange has made the following 
additional representations:
    1. The Exchange's surveillance procedures are adequate to properly 
monitor Exchange trading of the Shares in all trading sessions and to 
deter and detect violations of Exchange rules.
    2. Prior to the commencement of trading, the Exchange would inform 
its members in an Information Bulletin of the special characteristics 
and risks associated with trading the Shares.
    3. The Information Bulletin also would discuss the requirement that 
members deliver a prospectus to investors purchasing newly issued 
Shares prior to or concurrently with the confirmation of a transaction.

This approval order is based on the Exchange's representations.
    The Commission notes that, if the Shares should be delisted by the 
listing exchange, the Exchange would no longer have authority to trade 
the Shares pursuant to this order.
    The Commission finds good cause for approving this proposal before 
the thirtieth day after the publication of notice thereof in the 
Federal Register. As noted above, the Commission previously found that 
the listing and trading of the Shares on Amex is consistent with the 
Act. The Commission presently is not aware of any regulatory issue that 
should cause it to revisit that finding or would preclude the trading 
of the Shares on the Exchange pursuant to UTP. Therefore, accelerating 
approval of this proposal should benefit investors by creating, without 
undue delay, additional competition in the market for the Shares.

V. Conclusion

    It is therefore ordered, pursuant to section 19(b)(2) of the 
Act,\21\ that the proposed rule change (SR-NASDAQ-2007-097) be, and it 
hereby is, approved on an accelerated basis.
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    \21\ 15 U.S.C. 78s(b)(2).
    \22\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\22\
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E7-24789 Filed 12-20-07; 8:45 am]

BILLING CODE 8011-01-P