Document ID: SEC-2007-0310-0001
Agency: sec
Document Type: Notice
Title: Self-regulatory organizations; proposed rule changes: New York Stock Exchange LLC
Posted Date: 2007-03-02T05:00Z

[Federal Register: March 2, 2007 (Volume 72, Number 41)]
[Notices]               
[Page 9599-9606]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr02mr07-103]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-55352; File No. SR-NYSE-2006-71]

 
Self-Regulatory Organizations; New York Stock Exchange LLC; 
Notice of Filing of Proposed Rule Change To List and Trade Nine Series 
of Exchange-Traded Notes of Barclays Bank PLC Linked to the Performance 
of Sub-Indices of the Dow Jones--AIG Commodity IndexSM

February 26, 2007.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(the ``Exchange Act''),\1\ and Rule 19b-4 thereunder,\2\ notice is 
hereby given that on February 20, 2007, the New York Stock Exchange LLC 
(``Exchange'' or ``NYSE'') filed with the Securities and Exchange 
Commission (``Commission'') the proposed rule changes as described in 
Items I, II, and III below, which items have been substantially 
prepared by the Exchange. The Commission is publishing this notice to 
solicit comments on the proposed rule changes from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The NYSE proposes to list and trade nine series of Exchange-Traded 
Notes of Barclays Bank PLC (``Barclays'') linked to the performance of 
sub-indices of the Dow Jones--AIG Commodity Index SM.

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

    In its filing with the Commission, the Exchange included statements 
concerning the purpose of and basis for the proposed rule change and 
discussed any comments it received on the proposed rule change. The 
text of these statements may be examined at the places specified in 
Item IV below. The NYSE has prepared summaries, set forth in Sections 
A, B and C below, of the most significant aspects of such statements.
    The text of the proposed rule change is available at the NYSE, the 
Commission's Public Reference Room, and http://www.nyse.com.

[[Page 9600]]

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

1. Purpose

The Notes

    Under Section 703.19 of the Listed Company Manual (the ``Manual''), 
the Exchange may approve for listing and trading securities not 
otherwise covered by the criteria of Sections 1 and 7 of the Manual, 
provided the issue is suited for auction market trading.\3\ The 
Exchange proposes to list and trade, under Section 703.19 of the 
Manual, nine series of the Notes, which are linked to the performance 
of the following sub-indices (the sub-index linked to each series of 
Notes is referred to in this filing as the ``Index'' with respect to 
that series) of the Dow Jones--AIG Commodity Index SM: the 
Dow Jones--AIG Petroleum Total Return Sub-Index SM; the Dow 
Jones--AIG Livestock Total Return Sub-Index SM; the Dow 
Jones--AIG Agriculture Total Return Sub-Index SM; the Dow 
Jones--AIG Grains Total Return Sub-Index SM; the Dow Jones--
AIG Energy Total Return Sub-Index SM; the Dow Jones--AIG 
Precious Metals Total Return Sub-Index SM; the Dow Jones--
AIG ExEnergy Total Return Sub-Index SM; the Dow Jones--AIG 
Industrial Metals Total Return Sub-Index SM; and the Dow 
Jones--AIG Softs Total Return Sub-Index SM. Barclays intends 
to issue the Notes under the name ``iPath SM Exchange-Traded 
Notes.''
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    \3\ See Securities Exchange Act Release No. 28217 (July 18, 
1990), 55 FR 30056 (July 24, 1990).
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    The Exchange believes that the Notes will conform to the initial 
listing standards for equity securities under Section 703.19, as 
Barclays is an affiliate of Barclays PLC,\4\ which is a listed company 
in good standing, the Notes will have a minimum life of one year, the 
minimum public market value of each series of the Notes at the time of 
issuance will exceed $4 million, there will be at least one million 
units of each series of Notes outstanding, and there will be at least 
400 holders of each series at the time of issuance. The Notes are 
medium-term debt securities of Barclays that provide for a cash payment 
at maturity or upon earlier exchange at the holder's option, based on 
the performance of the Index subject to the adjustments described 
below. The original issue price of each Note is expected to be $50. The 
Notes will trade on the Exchange's equity trading floor and the 
Exchange's existing equity trading rules will apply to trading in the 
Notes. The Notes will not have a minimum principal amount that will be 
repaid and, accordingly, payment on the Notes prior to or at maturity 
may be less than the original issue price of the Notes. In fact, the 
value of the Index must increase for the investor to receive at least 
the $50 original issue price per Note at maturity or upon redemption. 
If the value of the Index decreases or does not increase sufficiently 
to offset the investor fee (described below), the investor will receive 
less, and possibly significantly less, than the $50 original issue 
price per Note. In addition, holders of the Notes will not receive any 
interest payments from the Notes. The Notes will have a term of 30 
years. The Notes are not callable.
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    \4\ The issuer of the Notes, Barclays, is an affiliate of an 
Exchange-listed company (Barclays PLC) and not an Exchange-listed 
company itself. However, Barclays, though an affiliate of Barclays 
PLC, would exceed the Exchange's earnings and minimum tangible net 
worth requirements in Section 102 of the Manual. Additionally, 
Barclays has informed the Exchange that the original issue price of 
the Notes, when combined with the original issue price of all other 
iPath securities offerings of the issuer that are listed on a 
national securities exchange (or association), does not exceed 25% 
of the issuer's tangible net worth.
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    Holders who have not previously redeemed their Notes will receive a 
cash payment at maturity equal to the original issue price of their 
Notes times the index factor on the Final Valuation Date (as defined 
below) minus the investor fee on the Final Valuation Date. The ``index 
factor'' on any given day will be equal to the closing value of the 
Index on that day divided by the initial index level. The ``initial 
index level'' is the closing value of the Index on the date of issuance 
of the Notes (the ``Trade Date'') and the ``final index level'' is the 
closing value of the Index on the Final Valuation Date. The investor 
fee is equal to 0.75% per year times the principal amount of a holder's 
Notes times the index factor, calculated on a daily basis in the 
following manner: The investor fee on the Trade Date will equal zero. 
On each subsequent calendar day until maturity or early redemption, the 
investor fee will increase by an amount equal to 0.75% times the 
principal amount of a holder's Notes times the index factor on that day 
(or, if such day is not a trading day, the index factor on the 
immediately preceding trading day) divided by 365. The investor fee is 
the only fee holders who hold their Notes until maturity will be 
charged in connection with their ownership of the Notes (investors who 
redeem their Notes early, as described below, will be charged an 
additional fee in the form of an adjustment to the index factor).
    Prior to maturity, holders may redeem their Notes on any Redemption 
Date (defined below) during the term of the Notes provided that they 
present at least 50,000 Notes for redemption, or they act through a 
broker or other financial intermediaries (such as a bank or other 
financial institution not required to register as a broker-dealer to 
engage in securities transactions) that are willing to bundle their 
Notes for redemption with other investors' Notes. If a holder chooses 
to redeem such holder's Notes, the holder will receive a cash payment 
on the applicable Redemption Date equal to the initial issue price of 
such holder's Notes times the adjusted index factor on the applicable 
Valuation Date minus the investor fee on the applicable Valuation Date. 
The adjusted index factor on any given day will be equal to the closing 
value of the Index on that day times 0.9975 divided by the initial 
Index level. A ``Redemption Date'' is the third business day following 
a Valuation Date (other than the Final Valuation Date (defined below)). 
A ``Valuation Date'' is each Thursday from the first Thursday after 
issuance of the Notes until the last Thursday before maturity of the 
Notes (the ``Final Valuation Date'') inclusive (or, if such date is not 
a trading day,\5\ the next succeeding trading day), unless the 
calculation agent determines that a market disruption event, as 
described below, occurs or is continuing on that day.\6\ In that event, 
the Valuation Date for the maturity date or corresponding Redemption 
Date, as the case may be, will be the first following trading day on 
which the calculation agent determines that a market disruption event 
does not occur and is not continuing. In no event, however, will a 
Valuation Date be postponed by more than five trading days.\7\
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    \5\ A ``trading day'' is a day on which (i) the value of the 
Index is published by AIG-FP and Dow Jones, (ii) trading is 
generally conducted on the Exchange and (iii) trading is generally 
conducted on the markets on which the futures contracts underlying 
the Index are traded, in each case as determined by the calculation 
agent in its sole discretion.
    \6\ Barclays will serve as the initial calculation agent.
    \7\ If a ``market disruption event'' is of more than a temporary 
nature, the Exchange will file a proposed rule change pursuant to 
Rule 19b-4 seeking Commission approval to continue trading the 
Notes. Unless approved for continued trading, the Exchange would 
commence delisting proceedings.
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    Any of the following will be a market disruption event: (i) A 
material limitation, suspension or disruption in the trading of any 
Index component which results in a failure by the trading facility on 
which the relevant contract is traded to report a daily contract 
reference price (i.e., the price of the relevant contract that is used 
as a reference or benchmark by market

[[Page 9601]]

participants); (ii) the daily contract reference price for any Index 
component is a ``limit price,'' which means that the daily contract 
reference price for such contract has increased or decreased from the 
previous day's daily contract reference price by the maximum amount 
permitted under the applicable rules or procedures of the relevant 
trading facility; (iii) failure by AIG-FP and Dow Jones to publish the 
closing value of the Index or of the applicable trading facility or 
other price source to announce or publish the daily contract reference 
price for one or more Index component; or (iv) any other event, if the 
calculation agent determines in its sole discretion that the event 
materially interferes with Barclays' ability or the ability of any of 
Barclays' affiliates to unwind all or a material portion of a hedge 
with respect to the Notes that Barclays or Barclays' affiliates have 
effected or may effect as described herein in connection with the sale 
of the Notes.
    If a Valuation Date is postponed by five trading days, that fifth 
day will nevertheless be the date on which the value of the Index will 
be determined by the calculation agent. In such an event, the 
calculation agent will make a good faith estimate in its sole 
discretion of the value of the Index.
    To redeem their Notes, holders must instruct their broker or other 
person through whom they hold their Notes to take the following steps:
     Deliver a notice of redemption to Barclays via e-mail by 
no later than 11 a.m. Eastern time (``ET'') on the business day prior 
to the applicable Valuation Date. If Barclays receives such notice by 
the time specified in the preceding sentence, it will respond by 
sending the holder a confirmation of redemption;
     Deliver the signed confirmation of redemption to Barclays 
via facsmile in the specified form by 4 p.m. ET on the same day; 
Barclays must acknowledge receipt in order for the confirmation to be 
effective; and
     Transfer such holder's book-entry interest in its Notes to 
the trustee on Barclays' behalf at or prior to 10 a.m. ET on the 
applicable Redemption Date (the third business day following the 
Valuation Date).
    If holders elect to redeem their Notes, Barclays may request that 
Barclays Capital Inc. (a broker-dealer) purchase the Notes for the cash 
amount that would otherwise have been payable by Barclays upon 
redemption. In this case, Barclays will remain obligated to redeem the 
Notes if Barclays Capital Inc. fails to purchase the Notes. Any Notes 
purchased by Barclays Capital Inc. may remain outstanding.
    If an event of default occurs and the maturity of the Notes is 
accelerated, Barclays will pay the default amount in respect of the 
principal of the Notes at maturity. The default amount for the Notes on 
any day will be an amount, determined by the calculation agent in its 
sole discretion, equal to the cost of having a qualified financial 
institution, of the kind and selected as described below, expressly 
assume all Barclays' payment and other obligations with respect to the 
Notes as of that day and as if no default or acceleration had occurred, 
or to undertake other obligations providing substantially equivalent 
economic value to the holders of the Notes with respect to the Notes. 
That cost will equal:
     The lowest amount that a qualified financial institution 
would charge to effect this assumption or undertaking, plus
     The reasonable expenses, including reasonable attorneys' 
fees, incurred by the holders of the Notes in preparing any 
documentation necessary for this assumption or undertaking.
    During the default quotation period for the Notes (described 
below), the holders of the Notes and/or Barclays may request a 
qualified financial institution to provide a quotation of the amount it 
would charge to effect this assumption or undertaking. If either party 
obtains a quotation, it must notify the other party in writing of the 
quotation. The amount referred to in the first bullet point above will 
equal the lowest--or, if there is only one, the only--quotation 
obtained, and as to which notice is so given, during the default 
quotation period. With respect to any quotation, however, the party not 
obtaining the quotation may object, on reasonable and significant 
grounds, to the assumption or undertaking by the qualified financial 
institution providing the quotation and notify the other party in 
writing of those grounds within two business days after the last day of 
the default quotation period, in which case that quotation will be 
disregarded in determining the default amount. The default quotation 
period is the period beginning on the day the default amount first 
becomes due and ending on the third business day after that day, 
unless:
     No quotation of the kind referred to above is obtained, or
     Every quotation of that kind obtained is objected to 
within five business days after the due date as described above.
    If either of these two events occurs, the default quotation period 
will continue until the third business day after the first business day 
on which prompt notice of a quotation is given as described above. If 
that quotation is objected to as described above within five business 
days after that first business day; however, the default quotation 
period will continue as described in the prior sentence and this 
sentence.
    In any event, if the default quotation period and the subsequent 
two business day objection period have not ended before the Final 
Valuation Date, then the default amount will equal the stated principal 
amount of the Notes.\8\
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    \8\ Additional information about the default provisions of the 
Notes is provided in Barclays' Registration Statement on Form F-3 
(333-126811), as amended by Amendment No. 1 on September 14, 2005.
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Indicative Value

    An intraday ``Indicative Value'' meant to approximate the intrinsic 
economic value of the Notes will be calculated and published via the 
facilities of the Consolidated Tape Association (``CTA'') every 15 
seconds throughout the NYSE trading day on each day on which the Notes 
are traded on the Exchange.\9\ Additionally, Barclays or an affiliate 
will calculate and publish the closing Indicative Value of the Notes on 
each trading day at http://www.ipathetn.com. The last sale price of the Notes 

will also be disseminated over the consolidated tape, subject to a 20-
minute delay. In connection with the Notes, the term ``Indicative 
Value'' refers to the value at a given time determined based on the 
following equation:

    \9\ The Indicative Value calculation will be provided for 
reference purposes only. It is not intended as a price or quotation, 
or as an offer or solicitation for the purchase, sale, redemption or 
termination of the Notes, nor does it reflect hedging or transaction 
costs, credit considerations, market liquidity or bid-offer spreads. 
Published Index levels from the sponsors may occasionally be subject 
to delay or postponement. Any such delays or postponements will 
affect the current Index level and therefore the Indicative Value of 
the Notes. Index levels provided by the sponsors will not 
necessarily reflect the depth and liquidity of the underlying 
commodities markets. For this reason and others, the actual trading 
price of the Notes may be different from their Indicative Value.

Indicative Value = Principal Amount per Unit X (Current Index Level/
---------------------------------------------------------------------------
Initial Index Level) - Current Investor Fee

Where:

Principal Amount per Unit = $50;
Current Index Level = The most recent published level of the Index 
as reported by Dow Jones and AIG-FP;
Initial Index Level = The Index level on the trade date for the 
Notes; and
Current Investor Fee = The most recent daily calculation of the 
investor fee with respect to the Notes, determined as described 
above (which, during any trading day, will be the investor fee 
determined on the preceding calendar

[[Page 9602]]

day).

    The Indicative Value will not reflect price changes to the price of 
an underlying commodity between the close of trading of the futures 
contract at the relevant futures exchange and the close of trading on 
the NYSE at 4 p.m. ET. The value of the Notes may accordingly be 
influenced by non-concurrent trading hours between the NYSE and the 
various futures exchanges on which the futures contracts based on the 
Index commodities are traded. While the Notes will trade on the NYSE 
from 9:30 a.m. to 4 p.m. ET, the table below lists the trading hours 
for all of the components of each series of Notes.

CBOT
    Corn 10:30 a.m.-2:15 p.m. ET
    Soybeans 10:30 a.m.-2:15 p.m. ET
    Soybean Oil 10:30 a.m.-2:15 p.m. ET
    Wheat 10:30 a.m.-2:15 p.m. ET
CME
    Lean Hogs 10:10 a.m.-2 p.m. ET
    Live Cattle 10:05 a.m.-2 p.m. ET
CSCE
    Coffee 9:15 a.m.-12:30 p.m. ET
    Sugar 11 9 a.m.-12 p.m. ET
NYBOT
    Cotton 2 10:30 a.m.-2:15 p.m. ET
NYMEX
    Copper 8:10 a.m.-1 p.m. ET
    Gold 8:20 a.m.-1:30 p.m. ET
    Heating Oil 10:05 a.m.-2:30 p.m. ET
    Natural Gas 10 a.m.-2:30 p.m. ET
    Silver 8:25 a.m.-1:25 p.m. ET
    Unleaded Gasoline 10:05 a.m.-2:30 p.m. ET
    WTI Crude Oil 10 a.m.-2:30 p.m. ET
LME
    Aluminum 6:55 a.m.-12 p.m. ET
    Nickel 7:15 a.m.-11:55 a.m. ET
    Zinc 7:10 a.m.-11:55 a.m. ET

    While the market for futures trading for each of the Index 
commodities is open, the Indicative Value can be expected to closely 
approximate the redemption value of the Notes. However, during NYSE 
trading hours when the futures contracts have ceased trading, spreads 
and resulting premiums or discounts may widen, and therefore, increase 
the difference between the price of the Notes and their redemption 
value. The Indicative Value disseminated during NYSE trading hours 
should not be viewed as a real time update of the redemption value.

Description of the Indices

    All of the indices to which the Notes included in this filing are 
linked are sub-indices of the Dow Jones--AIG Commodity Index 
SM. The Commission has previously reviewed and approved for 
listing Exchange-Traded Notes linked to the Dow Jones--AIG Commodity 
Index Total Return SM and it is described in detail in the 
related filing.\10\ At present, Dow Jones disseminates the Index value 
of each sub-index every 15 seconds (assuming the Index value has 
changed within such 15 second interval) from 8 a.m. to 3 p.m. ET and 
publishes a daily Index value at approximately 4 p.m. ET on each day on 
which the Index is calculated. The sub-index values can still be 
retrieved after 3 p.m. until the end of the Exchange trading day but 
their values are generally static after 3 p.m., although they may 
change if settlement values for Index components become available after 
that time.
    The following is a description of the components of the various 
sub-indices of the Dow Jones--AIG Commodity Index SM to 
which the various Notes are linked.

Dow Jones--AIG Petroleum Total Return Sub-Index SM

    The index includes those contracts in the Dow Jones--AIG Commodity 
Index SM that relate to petroleum-related commodities: Crude 
oil, heating oil and unleaded gasoline. The relative weighting of each 
contract in the index as of August 15, 2006 was as follows:

----------------------------------------------------------------------------------------------------------------
                                                                                                      Weighting
                Commodity                      Designated contract                Exchange            (percent)
----------------------------------------------------------------------------------------------------------------
Crude Oil................................  Oil........................  NYMEX......................        62.43
Heating Oil..............................  Heating Oil................  NYMEX......................        19.05
Unleaded Gasoline........................  New York Harbor Unleaded     NYMEX......................        18.51
                                            Gasoline.
----------------------------------------------------------------------------------------------------------------

Dow Jones--AIG Livestock Total Return Sub-Index SM

    The index includes those contracts in the Dow Jones--AIG Commodity 
Index SM that relate to livestock: Hogs and live cattle. The 
relative weighting of each contract in the index as of August 15, 2006 
was as follows:

----------------------------------------------------------------------------------------------------------------
                                                                                                      Weighting
                Commodity                      Designated contract                Exchange            (percent)
----------------------------------------------------------------------------------------------------------------
Live Cattle..............................  Live Cattle................  CME........................        57.72
Hogs.....................................  Lean Hogs..................  CME........................        42.28
----------------------------------------------------------------------------------------------------------------

Dow Jones--AIG Agriculture Total Return Sub-Index SM

    The index includes those contracts in the Dow Jones--AIG Commodity 
Index SM that relate to agricultural commodities: Coffee, 
corn, cotton, soybean oil, soybeans and wheat. The relative weighting 
of each contract in the index as of August 15, 2006 was as follows:
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    \10\ See Securities Exchange Act Release No. 53876 (May 25, 
2006), 71 FR 32158 (June 2, 2006) (SR-NYSE-2006-16).

[[Page 9603]]

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                                                                                                      Weighting
                Commodity                      Designated contract                Exchange            (percent)
----------------------------------------------------------------------------------------------------------------
Soybeans.................................  Soybeans...................  CBOT.......................        23.36
Corn.....................................  Corn.......................  CBOT.......................        21.11
Wheat....................................  Wheat......................  CBOT.......................        18.50
Cotton...................................  Cotton.....................  NYCE.......................        10.27
Soybean Oil..............................  Soybean Oil................  CBOT.......................        10.07
Coffee...................................  Coffee ``C''...............  CSCE.......................         8.46
Sugar....................................  World Sugar No. 11.........  CSCE.......................         8.23
----------------------------------------------------------------------------------------------------------------

Dow Jones--AIG Grains Total Return Sub-Index SM

    The index includes those contracts in the Dow Jones--AIG Commodity 
Index SM that relate to grains: Corn, soybeans and wheat. 
The relative weighting of each contract in the index as of August 15, 
2006 was as follows:

----------------------------------------------------------------------------------------------------------------
                                                                                                      Weighting
                Commodity                      Designated contract                Exchange            (percent)
----------------------------------------------------------------------------------------------------------------
Soybeans.................................  Soybeans...................  CBOT.......................        37.10
Corn.....................................  Corn.......................  CBOT.......................        33.52
Wheat....................................  Wheat......................  CBOT.......................        29.38
----------------------------------------------------------------------------------------------------------------

Dow Jones--AIG Energy Total Return Sub-Index SM

    The index includes those contracts in the Dow Jones--AIG Commodity 
Index SM that relate to energy-related commodities: Crude 
oil, heating oil, natural gas and unleaded gasoline. The relative 
weighting of each contract in the index as of August 15, 2006 was as 
follows:

----------------------------------------------------------------------------------------------------------------
                                                                                                      Weighting
                Commodity                      Designated contract                Exchange            (percent)
----------------------------------------------------------------------------------------------------------------
Crude Oil................................  Oil........................  NYMEX......................        42.41
Natural Gas..............................  Henry Hub Natural Gas......  NYMEX......................        32.07
Heating Oil..............................  Heating Oil................  NYMEX......................        12.94
Unleaded Gasoline........................  New York Harbor Unleaded     NYMEX......................        12.58
                                            Gasoline.
----------------------------------------------------------------------------------------------------------------

Dow Jones--AIG Precious Metals Total Return Sub-Index SM

    The index includes those contracts in the Dow Jones--AIG Commodity 
Index SM that relate to commodities other than energy: 
Aluminum, coffee, copper, corn, cotton, gold, hogs, live cattle, 
nickel, silver, soybeans, soybean oil, sugar, wheat and zinc. The 
relative weighting of each contract in the index as of August 15, 2006 
was as follows:

----------------------------------------------------------------------------------------------------------------
                                                                                                      Weighting
                Commodity                      Designated contract                Exchange            (percent)
----------------------------------------------------------------------------------------------------------------
Copper...................................  Copper.....................  NYMEX......................        12.63
Aluminum.................................  High Grade Primary Aluminum  LME........................         9.52
Gold.....................................  Gold.......................  NYMEX......................         9.34
Soybeans.................................  Soybeans...................  CBOT.......................         9.29
Corn.....................................  Corn.......................  CBOT.......................         8.39
Live Cattle..............................  Live Cattle................  CME........................         7.47
Wheat....................................  Wheat......................  CBOT.......................         7.36
Nickel...................................  Primary Nickel.............  LMED.......................         6.54
Zinc.....................................  Zinc.......................  LME........................         5.85
Hogs.....................................  Lean Hogs..................  CME........................         5.47
Cotton...................................  Cotton.....................  NYCE.......................         4.08
Soybean Oil..............................  Soybean Oil................  CBOT.......................         4.00
Silver...................................  Silver.....................  NYMEX......................         3.43
Coffee...................................  Coffee ``C''...............  CSCE.......................         3.36
Sugar....................................  World Sugar No. 11.........  CSCE.......................         3.27
----------------------------------------------------------------------------------------------------------------

Dow Jones--AIG ExEnergy Total Return Sub-Index SM

    The index includes those contracts in the Dow Jones--AIG Commodity 
Index SM that relate to commodities other than energy: 
Aluminum, coffee, copper, corn, cotton, gold, hogs, live cattle, 
nickel, silver, soybeans, soybean oil, sugar, wheat and zinc. The 
relative weighting of each contract in the index as of August 15, 2006 
was as follows:

[[Page 9604]]

----------------------------------------------------------------------------------------------------------------
                                                                                                      Weighting
                Commodity                      Designated contract                Exchange            (percent)
----------------------------------------------------------------------------------------------------------------
Copper...................................  Copper.....................  NYMEX......................        12.63
Aluminum.................................  High Grade Primary Aluminum  LME........................         9.52
Gold.....................................  Gold.......................  NYMEX......................         9.34
Soybeans.................................  Soybeans...................  CBOT.......................         9.29
Corn.....................................  Corn.......................  CBOT.......................         8.39
Live Cattle..............................  Live Cattle................  CME........................         7.47
Wheat....................................  Wheat......................  CBOT.......................         7.36
Nickel...................................  Primary Nickel.............  LME........................         6.54
Zinc.....................................  Zinc.......................  LME........................         5.85
Hogs.....................................  Lean Hogs..................  CME........................         5.47
Cotton...................................  Cotton.....................  NYCE.......................         4.08
Soybean Oil..............................  Soybean Oil................  CBOT.......................         4.00
Silver...................................  Silver.....................  NYMEX......................         3.43
Coffee...................................  Coffee ``C''...............  CSCE.......................         3.36
Sugar....................................  World Sugar No. 11.........  CSCE.......................         3.27
----------------------------------------------------------------------------------------------------------------

Dow Jones-AIG Industrial Metals Total Return Sub-Index SM

    The index includes those contracts in the Dow Jones--AIG Commodity 
Index SM that relate to industrial metals: Aluminum, copper, 
nickel and zinc. The relative weighting of each contract in the index 
as of August 15, 2006 was as follows:

----------------------------------------------------------------------------------------------------------------
                                                                                                      Weighting
                Commodity                      Designated contract                Exchange            (percent)
----------------------------------------------------------------------------------------------------------------
Copper...................................  Copper.....................  NYMEX......................        36.56
Aluminum.................................  High Grade Primary Aluminum  LME........................        27.56
Nickel...................................  Primary Nickel.............  LME........................        18.95
Zinc.....................................  Zinc.......................  LME........................        16.93
----------------------------------------------------------------------------------------------------------------

Dow Jones--AIG Softs Total Return Sub-Index SM

    The index includes those contracts in the Dow Jones--AIG Commodity 
Index SM that relate to soft commodities: Coffee, cotton and 
sugar. The relative weighting of each contract in the index as of 
August 15, 2006 was as follows:

----------------------------------------------------------------------------------------------------------------
                                                                                                      Weighting
                Commodity                      Designated contract                Exchange            (percent)
----------------------------------------------------------------------------------------------------------------
Cotton...................................  Cotton.....................  NYCE.......................        38.09
Coffee...................................  Coffee ``C''...............  CSCE.......................        31.38
Sugar....................................  World Sugar No. 11.........  CSCE.......................        30.53
----------------------------------------------------------------------------------------------------------------

Continued Listing Criteria

    The Exchange prohibits the initial and/or continued listing of any 
security that is not in compliance with Rule 10A-3 under the Exchange 
Act.\11\
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    \11\ 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    The Exchange will delist any series of the Notes:
     (i) If, following the initial twelve month period from the 
date of commencement of trading of the Notes, the Notes have more than 
60 days remaining until maturity and there are fewer than 50 beneficial 
holders of the Notes for 30 or more consecutive trading days; (ii) if 
fewer than 100,000 Notes remain issued and outstanding; or (iii) if the 
market value of all outstanding Notes is less than $1,000,000.
     If the Index value ceases to be calculated or available 
during the time the Notes trade on the Exchange on at least a 15 second 
basis through one or more major market data vendors or the sponsors of 
the Index.
     If, during the time the Notes trade on the Exchange, the 
Indicative Value ceases to be available on a 15 second delayed basis.
     If such other event shall occur or condition exists which 
in the opinion of the Exchange makes further dealings on the Exchange 
inadvisable.
    The Exchange will also delist any series of the Notes if:
     Dow Jones and AIG-FP substantially change either the Index 
component selection methodology or the weighting methodology.
     If a new component is added to the Index (or pricing 
information is used for a new or existing component) that constitutes 
more than 10% of the weight of the Index with whose principal trading 
market the Exchange does not have a comprehensive surveillance sharing 
agreement.\12\
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    \12\ The Exchange will contact the Commission staff whenever Dow 
Jones and AIG-FP add a new component to the Index using pricing 
information from a market with which the Exchange does not have a 
previously existing information sharing agreement or switches to 
using pricing information from such a market with respect to an 
existing component. In such circumstances, the Exchange will discuss 
with the Commission staff whether a filing under Rule 19b-4 is 
necessary.
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     If a successor or substitute index is used in connection 
with the Notes. The filing will address, among other things the listing 
and trading characteristics of the successor or substitute index and 
the Exchange's surveillance procedures applicable thereto.
    Notwithstanding the foregoing, the Exchange may continue the 
listing of a series of the Notes if, prior to the implementation of any 
of the foregoing changes, the Exchange files a proposed

[[Page 9605]]

rule change pursuant to Rule 19b-4 under the Exchange Act and the 
Commission approves such filing.

Trading Halts

    If the Index value or the Indicative Value is not being 
disseminated as required, the Exchange may halt trading during the day 
on which the interruption to the dissemination of the Index value or 
the Indicative Value first occurs. If the interruption to the 
dissemination of the Index value or the Indicative Value persists past 
the trading day in which it occurred, the Exchange will halt trading no 
later than the beginning of the trading day following the interruption.

Surveillance

    The Exchange's surveillance procedures will incorporate and rely 
upon existing Exchange surveillance procedures governing equities with 
respect to surveillance of the Notes. The Exchange believes that these 
procedures are adequate to monitor Exchange trading of the Notes and to 
detect violations of Exchange rules, thereby deterring manipulation. In 
this regard, the Exchange currently has the authority under NYSE Rule 
476 to request the Exchange specialist in the Notes to provide NYSE 
Regulation with information that the specialist uses in connection with 
pricing the Notes on the Exchange, including specialist proprietary or 
other information regarding securities, commodities, futures, options 
on futures or other derivative instruments. The Exchange believes it 
also has authority to request any other information from its members--
including floor brokers, specialists and ``upstairs'' firms--to fulfill 
its regulatory obligations.
    The Exchange's current trading surveillances focus on detecting 
securities trading outside 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.
    With regard to the Index components, the Exchange can obtain market 
surveillance information with respect to transactions occurring on the 
London Metal Exchange (``LME''), including customer identity 
information, pursuant to a memorandum of understanding with the LME. 
The Exchange has access to transaction information, including customer 
identity information with respect to all contracts traded on the New 
York Mercantile Exchange (the ``NYMEX'') pursuant to the Exchange's 
information sharing agreement with NYMEX. All of the other trading 
venues on which current Index components are traded are members of the 
Intermarket Surveillance Group and the Exchange therefore has access to 
all relevant trading information with respect to those contracts 
without any further action being required on the part of the Exchange.

Trading Rules

    The Exchange's existing trading rules will apply to trading of the 
Notes. The Notes will trade between the hours of 9:30 a.m. and 4 p.m. 
ET and will be subject to the equity margin rules of the Exchange. The 
Notes will be subject to the equity margin rules of the Exchange.\13\
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    \13\ See NYSE Rule 431.
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Suitability

    Pursuant to Exchange Rule 405, the Exchange will impose a duty of 
due diligence on its members and member firms to learn the essential 
facts relating to every customer prior to trading the Notes.\14\ With 
respect to suitability recommendations and risks, the Exchange will 
require members, member organizations and employees thereof 
recommending a transaction in the Notes: (1) To determine that such 
transaction is suitable for the customer, and (2) to have a reasonable 
basis for believing that the customer can evaluate the special 
characteristics of, and is able to bear the financial risks of, such 
transaction.
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    \14\ NYSE Rule 405 requires that every member, member firm or 
member corporation use due diligence to learn the essential facts 
relative to every customer and to every order or account accepted.
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Information Memorandum

    The Exchange will, prior to trading the Notes, distribute an 
information memorandum to the membership providing guidance with regard 
to member firm compliance responsibilities (including suitability 
recommendations) when handling transactions in the Notes. The 
information memorandum will note to members language in the prospectus 
used by Barclays in connection with the sale of the Notes regarding 
prospectus delivery requirements for the Notes. Specifically, in the 
initial distribution of the Notes,\15\ and during any subsequent 
distribution of the Notes, NYSE member organizations will deliver a 
prospectus to investors purchasing from such distributors.
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    \15\ The Registration Statement reserves the right to make 
subsequent distributions of these Notes.
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    The information memorandum will discuss the special characteristics 
and risks of trading this type of security. Specifically, the 
information memorandum, among other things, will discuss what the Notes 
are, how the Notes are redeemed, applicable Exchange rules, 
dissemination of information regarding the Indicative Value, 
dissemination of information regarding the Index value and the 
Indicative Value, trading information and applicable suitability rules.
    The information memorandum will also notify members and member 
organizations about the procedures for redemptions of Notes and that 
Notes are not individually redeemable but are redeemable only in 
aggregations of at least 50,000 Notes. The information memorandum will 
also discuss any relief, if granted, by the Commission or the staff 
from any rules under the Act. The information memorandum will also 
reference the fact that there is no regulated source of last sale 
information regarding physical commodities and that the SEC has no 
jurisdiction over the trading of physical commodities such as aluminum, 
gold, crude oil, heating oil, corn and wheat, or the futures contracts 
on which the value of the Notes is based.
2. Statutory Basis
    The Exchange states that the basis under the Exchange Act for this 
proposed rule change is the requirement under Section 6(b)(5) \16\ 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.
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    \16\ 15 U.S.C. 78f(b)(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 Exchange Act.

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

    The Exchange has neither solicited nor received written comments on 
the proposed rule change.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 35 days of the date of publication of this notice in the 
Federal

[[Page 9606]]

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 the proposed rule change, or
    (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 has determined that a 15-
day comment period is appropriate in this case.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views and 
arguments concerning the foregoing, including whether the proposed rule 
change is consistent with the Exchange 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-NYSE-2006-71 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-NYSE-2006-71. This file 
number should be included on the subject line if e-mail is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/sro/shtml
). Copies of the submission, all subsequent amendments, all 

written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for inspection and 
copying in the Commission's Public Reference Room. Copies of such 
filing will also be available for inspection and copying at the 
principal office of the 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-2006-71 and should be submitted on or before March 
19, 2007.

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\17\
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    \17\ 17 CFR 200.30-3(a)(12).
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Nancy M. Morris,
Secretary.
 [FR Doc. E7-3670 Filed 3-1-07; 8:45 am]

BILLING CODE 8010-01-P