Document ID: SEC-2006-1536-0001
Agency: sec
Document Type: Notice
Title: Self-regulatory organizations; proposed rule changes: New York Stock Exchange LLC
Posted Date: 2006-11-28T05:00Z

[Federal Register: November 28, 2006 (Volume 71, Number 228)]
[Notices]               
[Page 68864-68870]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr28no06-98]                         

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-54800; File No. SR-NYSE-2006-69]

 
Self-Regulatory Organizations; New York Stock Exchange LLC; 
Notice of Filing of a Proposed Rule Change and Amendment No. 1 Thereto 
To List and Trade Exchange-Traded Notes of Barclays Bank PLC Linked to 
the Performance of the MSCI India Equities Index

 November 21, 2006.
    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 August 24, 2006 the New York Stock Exchange LLC (``NYSE'' or 
``Exchange'') 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 prepared by the Exchange. On 
November 8, 2006, the Exchange submitted Amendment No. 1.\3\ The 
Commission is publishing this notice to solicit comments on the 
proposed rule change, as amended, from interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Amendment No. 1 replaced and superseded the Exchange's 
original submission in its entirety.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Exchange proposes to list and trade exchange-traded notes 
(``Notes'') of Barclays Bank PLC (``Barclays'') linked to the 
performance of the MSCI India Total Return IndexSM 
(``Index'').

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.

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 (``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. The Exchange proposes to 
list and trade, under Section 703.19 of the Manual, the Notes, which 
are linked to the performance of the Index. Barclays intends to issue 
the Notes under the name ``iPathSM Exchange-Traded Notes.''
    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 an Exchange-
listed company in good standing, the Notes will have a minimum life of 
one year, the minimum public market value of the Notes at the time of 
issuance will exceed $4 million, there will be at least one million 
Notes outstanding, and there will be at least 400 holders at the time 
of issuance. The Notes are a series of debt securities of Barclays that 
provide for a cash payment at maturity or upon earlier redemption 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 
will 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 principal amount 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 principal amount 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 net worth.
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    Holders who have not previously redeemed their Notes will receive a 
cash payment at maturity equal to the initial 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, and the ``final index level'' is the closing value of the 
Index on the Final Valuation Date. The investor fee will be equal to 
0.89% per year times the principal amount of Holders' Notes times the 
index factor, calculated on a daily basis in the following manner: The 
investor fee on the date of issuance will equal zero. On each 
subsequent calendar day until maturity or early redemption, the 
investor fee will increase by an amount equal to 0.89% times the 
principal amount of holders' 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.
    Prior to maturity, holders may, subject to certain restrictions, 
redeem their Notes on any Redemption Date (defined

[[Page 68865]]

below) during the term of the Notes, provided that they present at 
least 50,000 Notes for redemption. The Exchange states that holders may 
also act through a broker-dealer or other financial intermediary exempt 
from being (or otherwise not required to be) registered as a broker-
dealer \5\ that is willing to bundle their Notes for redemption with 
other investors' securities. Barclays may from time to time in its sole 
discretion reduce, in part or in whole, the minimum redemption amount 
of 50,000 Notes. The Exchange states that any such reduction will be 
applied on a consistent basis for all holders of Notes at the time the 
reduction becomes effective. 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 Weekly Redemption Value, which 
is the initial issue price of such holder's Notes times the index 
factor on the applicable Valuation Date minus the investor fee on the 
applicable Valuation Date, less the redemption charge. The ``redemption 
charge'' is a one-time charge imposed upon early redemption and is 
equal to 0.00125 times the Weekly Redemption Value. The investor fee 
and the redemption charge are the only fees holders will be charged in 
connection with their ownership of the Notes. 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,\6\ 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.\7\ 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.
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    \5\ Telephone conference between John Carey, Assistant General 
Counsel, NYSE, and Florence Harmon, Senior Special Counsel, 
Commission, Division of Market Regulation (``Division''), on 
November 20, 2006 (``Telephone Conference'').
    \6\ A trading day is a day on which (i) the value of the Index 
is published by MSCI, (ii) trading is generally conducted on the 
NYSE, and (iii) trading is generally conducted on the National Stock 
Exchange of India (the ``NSE''), as determined by the calculation 
agent in its sole discretion.
    \7\ Barclays will serve as the initial calculation agent.
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    The Exchange states that any of the following will be a market 
disruption event: (i) A suspension, absence, or material limitation of 
trading in a material number of Index Components, as determined by the 
calculation agent in its sole discretion, (ii) a suspension, absence, 
or material limitation of trading in option or futures contracts 
relating to the Index or a material number of Index Components in the 
primary market for those contracts for more than two hours of trading 
or during the one-half hour before the close of trading in the relevant 
market, as determined by the calculation agent in its sole discretion, 
(iii) the Index is not published, or (iv) any other event, if the 
calculation agent determines in its sole discretion that such event 
materially interferes with the ability of Barclays or any of its 
affiliates to unwind all or a material portion of certain hedges with 
respect to the Notes that Barclays or any of its affiliates have 
effected or may effect.
    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, a holder must instruct his broker or other 
person through whom he holds his Notes to take the following steps: (i) 
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, it will respond by sending the holder a form of confirmation 
of redemption, (ii) deliver the signed confirmation of redemption to 
Barclays via facsimile in the specified form by 4 p.m. ET on the same 
day; Barclays or its affiliate must acknowledge receipt in order for 
the confirmation to be effective, (iii) instruct the holder's 
Depository Trust Company (``DTC'') custodian to book a delivery vs. 
payment trade with respect to the holder's Notes on the Valuation Date 
at a price equal to the applicable Weekly Redemption Value, facing 
Barclays Capital DTC 5101, and (iv) cause the holder's DTC custodian to 
deliver the trade as booked for settlement via DTC 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 would equal: (i) The lowest amount that a qualified financial 
institution would charge to effect this assumption or undertaking, plus 
(ii) the reasonable expenses, including reasonable attorney's fees, 
incurred by the holders of the Notes in preparing any documentation 
necessary for this assumption or undertaking.\8\
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    \8\ The Exchange states that 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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    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 item (i) 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

[[Page 68866]]

due and ending on the third business day after that day, unless: (i) No 
quotation of the kind referred to above is obtained, or (ii) 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 principal amount of the Notes.

Indicative Value

    An intraday ``indicative value'' meant to approximate the intrinsic 
economic value of the Notes, updated to reflect changes in currency 
exchange rates, will be calculated and published by a third-party 
service provider via the facilities of the Consolidated Tape 
Association at least every fifteen 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 \10\ 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, Barclays uses the term ``indicative 
value'' to refer to the value at a given time determined based on the 
following equation:

    \9\ The Exchange states that the indicative value calculation 
will be provided for reference purposes only. It is not intended as 
a price for quotation, or as an offer or solicitation for the 
purchase, sale or redemption or termination of Notes, nor will it 
reflect hedging or transaction costs, credit considerations, market 
liquidity or bid-offer spreads. Published Index levels from MSCI 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 MSCI will 
not necessarily reflect the depth and liquidity of the Indian 
equities market. For this reason and others, the Exchange states 
that the actual trading price of the Notes may be different from 
their indicative value.
    \10\ Telephone Conference (noting that Barclays will calculate 
and publish closing indicative value of the Notes).
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    Indicative Value = Principal Amount per Security x (Current Index 
Level/Initial Index Level)-Current Investor Fee

Where:

Principal Amount per Security = $50,
Current Index Level = The most recent level of the Index published 
by MSCI,
Initial Index Level = The level of the Index on the Date of Issuance 
and
Current Investor Fee = The most recent daily calculation of the 
holder's investor fee with respect to the holder's securities, 
determined as described above (which, during any trading day, will 
be the investor fee determined on the preceding calendar day).

    The Indicative Value will not reflect changes in the prices of 
securities included in the Index resulting from trading on other 
markets after the close of trading on the NSE, but will be updated to 
reflect changes in the exchange rate between the U.S. dollar and the 
Indian rupee.

Description of the Index

    The Index is a free float-adjusted market capitalization index that 
is designed to measure the market performance, including price 
performance and income from dividend payments, of Indian equity 
securities. The Index is currently comprised of the top 68 companies by 
market capitalization (the ``Index Components'') listed on the NSE. The 
number of securities included in the Index will vary over time as, in 
all of its country indexes, MSCI targets an 85% free float-adjusted 
market representation level within each industry group. The Index is 
calculated by Morgan Stanley Capital International Inc. (``MSCI'') and 
is denominated in U.S. dollars.\11\
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    \11\ As the Commission has previously stated, when a broker-
dealer, or a broker-dealer's affiliate such as MSCI, is involved in 
the development and maintenance of a stock index upon which a 
product such as iShares is based, the broker-dealer or its affiliate 
should have procedures designed specifically to address the improper 
sharing of information. See Securities Exchange Act Release No. 
52178 (July 29, 2005), 70 FR 46244 (August 8, 2005) (SR--NYSE-2005-
41). The Exchange notes that MSCI has implemented procedures to 
prevent the misuse of material, non-public information regarding 
changes to component stocks in the MSCI Indexes. Telephone 
Conference.
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    Securities eligible for inclusion in the Index include equity 
securities issued by companies incorporated in India. The shares of 
those companies are mainly traded on the NSE. However, in cases where 
such prices are not available due to the delisting from the NSE, 
official closing prices from the Bombay Stock Exchange (the ``BSE'') 
may be used. The NSE was established at the behest of the Government of 
India in November 1992, and the capital markets segment commenced 
operations in November 1994. As of the end of October 2006, there were 
approximately 1016 companies listed on the NSE. Trades executed on the 
NSE are cleared and settled by a clearing corporation, the National 
Securities Clearing Corporation Limited, which acts as a counterparty 
and guarantees settlement.
    The Exchange states that the weighting of a company in the Index is 
intended to be a reflection of the current importance of that company 
in the market as a whole. Stocks are selected and weighted according to 
the same consistent methodology that is applied to all MSCI Indexes, as 
described below. The reason for a company being heavily weighted 
reflects the fact that it has a relatively larger market capitalization 
than other, smaller Index Components. The Exchange states that the 
Index Components are frequently reviewed to ensure that the Index 
continues to reflect the state and structure of the underlying market 
it measures. The composition of the Index is reviewed quarterly every 
January, April, July, and October.
    The NSE opens at 9:55 a.m. Mumbai time (12:25 a.m. ET, 5:25 a.m. 
London time) and closes at 3:30 p.m. Mumbai time (6 a.m. ET, 11 a.m. 
London time). All of the securities included in the Index generally 
trade during these hours. The Index is calculated and is updated 
continuously until the market closes and is published as end of day 
values in U.S. dollars using the exchange rate published by WM Reuters 
at 4 p.m. on the previous day. The Index is reported by Bloomberg, L.P. 
under the ticker symbol ``NDEUSIA.'' The Index is static during the 
Exchange trading day.

The MSCI Indexes

    The Exchange states that the MSCI Indexes, of which the Index is 
one, were founded in 1969 by Capital International S.A. as the first 
international performance benchmarks constructed to facilitate accurate 
comparison of world markets. Morgan Stanley acquired rights to the 
Indexes in 1986. In November 1998, Morgan Stanley transferred all 
rights to the MSCI Indexes to MSCI, a Delaware corporation of which 
Morgan Stanley is the majority owner, and The Capital Group of 
Companies, Inc. is the minority shareholder. The Exchange states that 
the MSCI single country standard equity indexes have covered the 
world's developed markets since 1969, and in 1988, MSCI commenced 
coverage of the emerging markets. The Index was launched on December 
31, 1992.
    Local stock exchanges traditionally calculated their own indexes 
that were generally not comparable with one another due to differences 
in the representation of the local market,

[[Page 68867]]

mathematical formulas, base dates and methods of adjusting for capital 
changes. MSCI, however, applies the same criteria and calculation 
methodology across all markets for all single country standard equity 
indexes, developed and emerging.
    MSCI's single country standard equity indexes generally seek to 
have 85% of the free float-adjusted market capitalization of each 
industry group in each country. The MSCI single country standard equity 
indexes seek to balance the inclusiveness of an ``all share'' index 
against the replicability of a ``blue chip'' index.

MSCI Single Country Standard Equity Indexes

Weighting

    Effective May 31, 2002 all single-country MSCI equity indexes are 
free-float-weighted, i.e., companies are included in the indexes at the 
value of their free public float (free float, multiplied by price). 
MSCI defines ``free float'' as total shares excluding shares held by 
strategic investors such as governments, corporations, controlling 
shareholders and management, and shares subject to foreign ownership 
restrictions.

Regional Weights

    The Exchange states that market capitalization weighting, combined 
with a consistent target of 85% of free float-adjusted market 
capitalization, helps ensure that each country's weight in regional and 
international indexes approximates its weight in the total universe of 
developing and emerging markets. The Exchange states that maintaining 
consistent policies among MSCI developed and emerging market indexes is 
critical to the calculation of certain combined developed and emerging 
market indexes published by MSCI.

Selection Criteria

    The Exchange states that, to construct relevant and accurate equity 
indexes for the global institutional investor, MSCI undertakes an index 
construction process that involves: (i) Defining the equity universe, 
(ii) adjusting the total market capitalization of all securities in the 
universe for free float available to foreign investors, (iii) 
classifying the universe of securities under the Global Industry 
Classification Standard (the ``GICS''), and (iv) selecting securities 
for inclusion according to MSCI's index construction rules and 
guidelines.
(i) Defining the Universe
    The index construction process starts at the country level, with 
the identification of all listed securities for that country. 
Currently, MSCI creates equity indexes for 50 global country markets. 
MSCI classifies each company and its securities in only one country. 
This allows securities to be sorted distinctly by their respective 
countries. In general, companies and their respective securities are 
classified as belonging to the country in which they are incorporated. 
All listed equity securities, or listed securities that exhibit 
characteristics of equity securities, except investment trusts, mutual 
funds and equity derivatives, are eligible for inclusion in the 
universe. Shares of non-domiciled companies generally are not eligible 
for inclusion in the universe.
(ii) Adjusting the Total Market Capitalization of Securities in the 
Universe for Free Float
    After identifying the universe of securities, MSCI calculates the 
free float-adjusted market capitalization of each security in that 
universe using publicly available information. The process of free 
float adjusting market capitalization involves: (i) Defining and 
estimating the free float available to foreign investors of each 
security, using MSCI's definition of free float, (ii) assigning a free 
float-adjustment factor to each security, and (iii) calculating the 
free float-adjusted market capitalization of each security.
(iii) Classifying Securities Under the GICS
    In addition to the free float-adjustment of market capitalization, 
all securities in the universe are assigned to an industry-based 
hierarchy that describes their business activities. To this end, MSCI 
has designed, in conjunction with Standard & Poor's, the GICS. This 
comprehensive classification scheme provides a universal approach to 
industries worldwide and forms the basis for achieving MSCI's objective 
of reflecting broad and fair industry representation in its indexes.
(iv) Selecting Securities for Index Inclusion
    In order to ensure a broad and fair representation in the indexes 
of the diversity of business activities in the universe, the Exchange 
states that MSCI follows a ``bottom-up'' approach to index 
construction, building indexes up to the industry group level. The 
bottom-up approach to index construction requires a thorough analysis 
and understanding of the characteristics of the universe. This analysis 
drives the individual security selection decisions, which aim to 
reflect the overall features of the universe in the country index. MSCI 
targets an 85% free float-adjusted market representation level within 
each industry group, within each country. The security selection 
process within each industry group is based on the careful analysis of: 
(i) Each company's business activities and the diversification that its 
securities would bring to the index, (ii) the size (based on free 
float-adjusted market capitalization) and liquidity of the securities 
of the company, and (iii) the estimated free float for the company and 
its individual share classes. MSCI targets for inclusion the most 
sizable and liquid securities in an industry group. MSCI generally does 
not consider securities with inadequate liquidity and/or securities 
that do not have an estimated free float greater than 15%. Exceptions 
to this general rule are made only in significant cases, where 
exclusion of a security of a large company would compromise the index's 
ability to fully and fairly represent the characteristics of the 
underlying market.

Free Float

    MSCI defines the free float of a security as the proportion of 
shares outstanding that are deemed to be available for purchase in the 
public equity markets by international investors. In practice, 
limitations on free float available to international investors include: 
(i) Strategic and other shareholdings not considered part of available 
free float, and (ii) limits on share ownership for foreigners.
    Under MSCI's free-float adjustment methodology, a constituent's 
inclusion factor is equal to its estimated free float rounded up to the 
closest 5% for constituents with free float equal to or exceeding 15%. 
For example, a constituent security with a free float of 23.2% will be 
included in the index at 25% of its market capitalization. For 
securities with a free float of less than 15% that are included on an 
exceptional basis, the estimated free float is adjusted to the nearest 
1%.

Prices and Exchange Rates

Prices

    The prices used to calculate the MSCI Indexes are the official 
exchange closing prices or those figures accepted as such. MSCI 
reserves the right to use an alternative pricing source on any given 
day.\12\
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    \12\ The Exchange has been informed that MSCI's language 
regarding alternative pricing sources is meant to address 
contingencies that may be used to address major exchange outages or 
other cases of extended data disruption. As a matter of practice, 
MSCI does not regularly alternate among stated sources and would 
make every effort to inform clients in advance of any such changes. 
The price sources implicit in the exchange code for each security's 
identifier (Ticker or RIC) should be considered as a consistent 
source in that regard.

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[[Page 68868]]

Exchange Rates

    MSCI uses the foreign exchange rates published by WM Reuters at 4 
p.m. London time. MSCI uses WM Reuters rates for all developed and 
emerging markets. Exchange rates are taken daily at 4 p.m. London time 
by the WM Company and are sourced whenever possible from multi-
contributor quotes on Reuters. Representative rates are selected for 
each currency based on a number of ``snapshots'' of the latest 
contributed quotations taken from the Reuters service at short 
intervals around 4 p.m. WM Reuters provides closing bid and offer 
rates. MSCI uses these rates to calculate the mid-point to five decimal 
places.
    MSCI continues to monitor exchange rates independently and may, 
under exceptional circumstances, elect to use an alternative exchange 
rate if the WM Reuters rate is believed not to be representative for a 
given currency on a particular day.

Changes to the Indexes

    The MSCI Indexes are maintained with the objective of reflecting, 
on a timely basis, the evolution of the underlying equity markets. In 
maintaining the MSCI Indexes, emphasis is also placed on continuity, 
replicability, and minimizing turnover in the Indexes. Maintaining the 
MSCI Indexes involves many aspects, including: (i) Additions to and 
deletions from the Indexes, (ii) changes in number of shares, and (iii) 
changes in Foreign Inclusion Factors (``FIFs'') as a result of updated 
free float estimates.
    Potential additions are analyzed not only with respect to their 
industry group, but also with respect to their industry or sub-industry 
group, in order to represent a wide range of economic and business 
activities. All additions are considered in the context of MSCI's 
methodology, including the index constituent eligibility rules and 
guidelines.
    In assessing deletions, it is important to emphasize that indexes 
must represent the full investment cycle, including both bull and bear 
markets. Out-of-favor industries and their securities may exhibit 
declining prices, declining market capitalization and/or declining 
liquidity, yet they are not deleted because they continue to be good 
representatives of their industry group. As a general policy, changes 
in number of shares are coordinated with changes in FIFs to accurately 
reflect the investability of the underlying securities. In addition, 
MSCI continuously strives to improve the quality of its free float 
estimates and the related FIFs. Additional shareholder information may 
come from better disclosure by companies or more stringent disclosure 
requirements by a country's authorities. It may also come from MSCI's 
ongoing examination of new information sources for the purpose of 
further enhancing free float estimates and better understanding 
shareholder structures. When MSCI identifies useful additional sources 
of information, it seeks to incorporate them into its free float 
analysis.
    Overall, index maintenance can be described by three broad 
categories of implementation of changes: (i) Annual full country index 
reviews, conducted on a fixed annual timetable, that systematically re-
assess the various dimensions of the equity universe for all countries, 
(ii) quarterly index reviews, aimed at promptly reflecting other 
significant market events, and (iii) ongoing changes related to events 
such as mergers and acquisitions, which generally are rapidly 
implemented in the indexes as they occur.
    Potential changes in the status of countries (stand-alone, 
emerging, developed) follow their own separate timetables. These 
changes are normally implemented in one or more phases at the regular 
annual full country index review and quarterly index review dates.
    The annual full country index review for all the MSCI single 
country standard equity indexes is carried out once every 12 months and 
implemented as of the close of the last business day of May. The 
implementation of changes resulting from a quarterly index review 
occurs only on three dates throughout the year: as of the close of the 
last business day of February, August, and November. Any single country 
indexes may be impacted at the quarterly index review. MSCI Index 
additions and deletions due to quarterly index rebalancings are 
announced at least two weeks in advance.

Continued Listing Criteria

    The Exchange prohibits the initial and/or continued listing of any 
securitythat is not in compliance with Rule 10A-3 under the Act.\13\
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    \13\ 17 CFR 240.10A-3.
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    The Exchange will delist the Notes:
     If, following the initial twelve month period from the 
date of commencement of trading of the Notes, (a) 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, (b) if fewer than 100,000 Notes remain issued and outstanding, or 
(c) if the market value of all outstanding Notes is less than 
$1,000,000.
     If the Index closing 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 
sponsor of the Index (it being understood that the closing \14\ Index 
value will be static during the Exchange trading day).
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    \14\ Telephone Conference (clarifying that Index closing value 
must be disseminated).
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     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.

Exchange Filing Obligations

    The Exchange will file a proposed rule change pursuant to Rule 19b-
4 under the Act, seeking approval to continue trading the Securities 
and unless approved, the Exchange will commence delisting the 
Securities, 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.
     At any time the most heavily weighted component stock in 
the Index exceeds 25% of the weight of the Index or the five most 
heavily weighted component stocks exceed 60% of the weight of the 
Index.
     MSCI substantially changes the index methodology.\15\
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    \15\ Telephone Conference.
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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.

[[Page 68869]]

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, options on securities 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.

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.

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.\16\ With 
respect to suitability recommendations and risks, the Exchange will 
require members, member organizations and employees thereof 
recommending a transaction in the Notes: (i) To determine that such 
transaction is suitable for the customer, and (ii) 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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    \16\ 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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    The Notes will be subject to the equity margin rules of the 
Exchange.\17\
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    \17\ See NYSE Rule 431.
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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,\18\ 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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    \18\ 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 Index value and the 
Indicative Value, exchange rate, 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 100,000 Notes.
    The information memorandum will also discuss any exemptive or no-
action relief under the Act provided by the Commission staff.
2. Statutory Basis
    The proposed rule change is consistent with Section 6(b) of the 
Act,\19\ in general, and furthers the objectives of Section 
6(b)(5),\20\ in particular, in that it is 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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    \19\ 15 U.S.C. 78f(b).
    \20\ 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 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 Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding or (ii) as to 
which Amex consents, the Commission will:
    (A) By order approve such proposed rule change, or
    (B) institute proceedings to determine whether the proposed rule 
change should be disapproved.
    The Commission is considering granting accelerated approval of the 
proposed rule change, as amended, at the end of a 15-day comment 
period.\21\
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    \21\ NYSE has requested accelerated approval of the proposed 
rule change, as amended, prior to the 30th day after the date of 
publication of notice of the proposal in the Federal Register.
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IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing, including whether the proposed rule 
change, as amended, 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-NYSE-2006-69.

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-2006-69. This file 
number should be included on the

[[Page 68870]]

subject line if e-mail is used. To help the Commission process and 
review your comments more efficiently, please use only one method. The 
Commission will post all comments on the Commission's Internet Web site 
(http://www.sec.gov/rules/sro.shtml). Copies of the submission, all 

subsequent amendments, all written statements with respect to the 
proposed rule change that are filed with the Commission, and all 
written communications relating to the proposed rule change between the 
Commission and any person, other than those that may be withheld from 
the public in accordance with the provisions of 5 U.S.C. 552, will be 
available for inspection and copying in the Commission's Public 
Reference Room. Copies of the filing also will be available for 
inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-NYSE-2006-69 and should be 
submitted on or before December 13, 2006.
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    \22\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\22\
Jill M. Peterson,
Assistant Secretary.
[FR Doc. E6-20130 Filed 11-27-06; 8:45 am]

BILLING CODE 8011-01-P