Document ID: SEC-2008-0804-0001
Agency: sec
Document Type: Notice
Title: Self-Regulatory Organizations; Proposed Rule Changes: American Stock Exchange LLC
Posted Date: 2008-06-11T04:00Z

[Federal Register: June 11, 2008 (Volume 73, Number 113)]
[Notices]               
[Page 33121-33125]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr11jn08-103]                         

[[Page 33121]]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-57925; File No. SR-Amex-2008-36]

 
Self-Regulatory Organizations; American Stock Exchange LLC; 
Notice of Filing of a Proposed Rule Change Relating to the Listing and 
Trading of Shares of the MacroShares $100 Oil Up Trust and the 
MacroShares $100 Oil Down Trust

June 5, 2008.
    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 May 20, 2008, the American Stock Exchange LLC (``Amex'' or 
``Exchange''), filed with the Securities and Exchange Commission 
(``Commission'') the proposed rule change 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 change 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 Exchange proposes to amend Amex Rules 1400, 1401, 1402 and 1405 
relating to the trading of Paired Trust Shares and to list and trade 
shares of the MacroShares $100 Oil Up Trust (``Up Trust'') and the 
MacroShares $100 Oil Down Trust (``Down Trust'') (collectively, the 
``Trusts'') under those rules, as amended. The shares of the Up Trust 
are referred to as the Up MacroShares, the shares of the Down Trust are 
referred to as the Down MacroShares, and they are referred to 
collectively as the ``Shares.'' The text of the proposed rule change is 
available at the Exchange, the Commission's Public Reference Room, and 
http://www.amex.com.

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 Exchange has prepared summaries, set forth in 
Sections A, B, and C below, of the most significant aspects of such 
statements.

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

1. Purpose
    The Exchange proposes to amend Amex Rules 1400, 1401, 1402 and 1405 
relating to the trading of Paired Trust Shares and to list and trade 
the Shares under those rules, as amended.\3\ The Up MacroShares and the 
Down MacroShares will be offered by the Up Trust and the Down Trust, 
respectively. The Trusts were established by MACRO Securities 
Depositor, LLC, as depositor, under the laws of the State of New York. 
The Trusts are not registered with the Commission as investment 
companies.\4\
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    \3\ The Commission approved the listing and trading of a similar 
product on the Exchange when it approved new Amex Rules 1400-1405. 
See Securities Exchange Act Release No. 54839 (November 29, 2006), 
71 FR 70804 (December 6, 2006) (SR-Amex-2006-82) (approving the 
listing and trading of Claymore MACROshares Oil Up Tradeable Shares 
and Claymore MACROshares Oil Down Tradeable Shares). Amex Rules 1403 
and 1404 would also be applicable to the Up MacroShares and Down 
MacroShares described herein, although the Exchange is not proposing 
to amend those rules.
    \4\ The Shares are being offered by the Trusts under the 
Securities Act of 1933, as amended. On April 17, 2008, the depositor 
filed with the Commission a Registration Statement on Form S-1 for 
both the Up MacroShares (File No. 333-150282-01) (``Up Trust 
Registration Statement'') and the Down MacroShares (File No. 333-
150282-02) (``Down Trust Registration Statement'' and together with 
the Up Trust Registration Statement, the ``Registration 
Statements'').
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a. Amendment to Amex Rules 1400, 1401, 1402 and 1405
    The Exchange proposes to amend Amex Rules 1400, 1401, 1402 and 
1405, which apply to Paired Trust Shares, to accommodate the listing 
and trading of the Up MacroShares and the Down MacroShares. In their 
current form, these rules apply to Paired Trust Shares that consist of 
Holding Shares and Tradeable Shares.\5\
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    \5\ Holding Shares are issued by a matched pair of trusts 
(``Holding Trusts'') in exchange for cash; Tradeable Shares are 
issued by a different pair of trusts (``Tradeable Trusts'') in 
exchange for the deposit of Holding Shares.
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    As described in more detail below, the structure of the series of 
Paired Trust Shares proposed to be listed and traded on the Exchange 
pursuant to this proposal varies from the structure contemplated under 
the current rules for Paired Trust Shares in that there is only one set 
of trusts instead of two. As a result of a recent interpretation by the 
staff of the Internal Revenue Service relating to the inability to 
interpose a grantor trust in order to utilize a certain tax reporting 
form, the Exchange has been notified that the need for the current two-
tier trust structure set forth in Amex Rule 1400 for Paired Trust 
Shares is no longer necessary.\6\ The Exchange represents that there 
are no substantive differences between the proposed structure (a single 
set of Trading Trusts that issue Trading Shares and hold financial 
instruments) and the current two-tier structure (a set of Tradeable 
Trusts that issue Tradeable Shares and hold Holding Shares issued by a 
set of Holding Trusts that invest in financial instruments).\7\
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    \6\ See email from William Love, Vice President and Associate 
General Counsel, Amex, to Christopher W. Chow and Ronesha Butler, 
Special Counsels, Commission, dated May 29, 2008 (``May 29 E-
mail'').
    \7\ See id.
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    Therefore, the Exchange proposes to amend Amex Rules 1400, 1401, 
1402 and 1405 to provide for the listing and trading of Paired Trust 
Shares in the case of a series that has only one set of paired trusts. 
Under the proposed amendments to Amex Rule 1400, the term ``Paired 
Trust Shares'' refers to: (1) Both Holding Shares and any related 
Tradeable Shares; or (2) solely ``Trading Shares,'' which is a new 
defined term. As proposed, Trading Shares has the same definition as 
Holding Shares, except that it is not required that a majority of 
Trading Shares be acquired and deposited in a related Tradeable Trust, 
as it is with Holding Shares. The Exchange proposes conforming changes 
in Amex Rules 1401, 1402 and 1405.\8\
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    \8\ In paragraph (b)(i) of Amex Rule 1402, the Exchange also 
proposes to correct an error that was inadvertently made when the 
rule was originally adopted by replacing the word ``certificates'' 
with the word ``shares'' (consistent with all other references to 
shares in the rules for Paired Trust Shares).
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b. Description of the Shares and the Trusts
    The Up Trust and the Down Trust would issue Up MacroShares and Down 
MacroShares, respectively, on a continuous basis at the direction of 
authorized participants, as described in more detail below.\9\ The Up 
MacroShares and the Down MacroShares represent undivided beneficial 
interests in the Up Trust and the Down Trust, respectively.
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    \9\ See May 29 E-mail, supra note 6.
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    The assets of each Trust will include an income distribution 
agreement and settlement contracts entered into with the other Trust. 
Under the income distribution agreement, as of any distribution date, 
each Trust will either: (1) Be required to pay all or a portion of its 
available income to the other Trust; or (2) be entitled to receive all 
or

[[Page 33122]]

a portion of the other Trust's available income, based, in each case, 
on the level of the Applicable Reference Price of Crude Oil (as defined 
below) for each day during the preceding calculation period. Under each 
settlement contract, in connection with the final scheduled termination 
date, an early termination date or any redemption date, each Trust will 
either be required to make a final payment out of its assets to the 
other Trust or be entitled to receive a final payment from the other 
Trust out of the assets of the other Trust, based, in each case, on the 
change in the level of the Applicable Reference Price of Crude Oil from 
its starting level on the closing date to its ending level on the 
relevant price determination day preceding the final scheduled 
termination date, early termination date, or redemption date, as the 
case may be. Each Trust will also hold U.S. Treasuries and repurchase 
agreements on U.S. Treasuries (collectively, ``treasuries'') to secure 
its obligations under the income distribution agreement and the 
settlement contracts.\10\
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    \10\ See id.
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    Each Trust will make quarterly distributions of income on the 
treasuries and a final distribution of all assets it holds on deposit 
on the final scheduled termination date, an early termination date or a 
redemption date.\11\ Each quarterly and final distribution will be 
based on the value of the Applicable Reference Price of Crude Oil, 
which is defined as the settlement price of the New York Mercantile 
Exchange (``NYMEX'') division light sweet crude oil futures contract of 
the designated maturity, as established and reported by the NYMEX on a 
per barrel basis in U.S. dollars at the end of each price determination 
day.\12\ For this purpose, a price determination day refers to each day 
on which trading of the light sweet crude oil futures contract of the 
designated maturity occurs by open outcry on the trading floor of 
NYMEX.\13\ The Applicable Reference Price of Crude Oil is the reference 
value on the basis of which quarterly and final distributions on the Up 
MacroShares and Down MacroShares are calculated.
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    \11\ Each Trust's quarterly distribution to holders of that 
Trust's Shares will be made out of the income that it holds on 
deposit after it has deducted an appropriate amount for fees, either 
made or received a payment under the income distribution agreement, 
and acquired treasuries with an aggregate purchase price equal to 
the aggregate par amount of the outstanding Shares of that Trust on 
that distribution date. On any distribution date, if a Trust's 
actual fees and expenses exceeds its income from the treasuries, 
there will be a corresponding reduction in the underlying value of 
the Trust that will be permanent unless it can be made up out of 
treasury income on future distribution dates, net of fees and 
expenses on those distribution dates.
    Each Trust's final distribution to holders of that Trust's 
Shares will depend on the payments that it is required to make to, 
or that it is entitled to receive from, the other Trust under the 
settlement contracts that are settled in connection with the final 
scheduled termination date, early termination date, or redemption 
date, as the case may be.
    \12\ See id.
    \13\ If trading of the NYMEX division's light sweet crude oil 
futures contract ceases to occur by open outcry and is transferred 
by NYMEX to an electronic platform, a price determination day will 
be based upon trading on such electronic platform.
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    With respect to the Up Trust, if the level of the Applicable 
Reference Price of Crude Oil on any price determination day exceeds its 
starting level on the closing date (the date on which the Trusts 
entered into the income distribution agreement), the underlying value 
of the Up Trust will increase to include all of its assets plus a 
portion of the assets of the paired Down Trust. Conversely, if the 
level of the Applicable Reference Price of Crude Oil on any price 
determination day falls below its starting level, the Up Trust's 
underlying value will decrease because a portion of its assets will be 
included in the underlying value of the paired Down Trust. The 
underlying value of the Up Trust on each price determination day 
represents the aggregate amount of the assets in the paired Trusts to 
which the Up Trust would be entitled if the settlement contracts were 
settled on that day.
    With respect to the Down Trust, if the level of the Applicable 
Reference Price of Crude Oil on any price determination day exceeds its 
starting level on the closing date, the underlying value of the Down 
Trust will decrease because a portion of its assets will be included in 
the underlying value of the paired Up Trust. Conversely, if the level 
of the Applicable Reference Price of Crude Oil on any price 
determination day falls below its starting level, the Down Trust's 
underlying value will increase to include all of its assets plus a 
portion of the assets of the paired Up Trust. The underlying value of 
the Down Trust on each price determination day represents the aggregate 
amount of the assets in the paired Trusts to which the Down Trust would 
be entitled if the settlement contracts were settled on that day.
    The Up MacroShares and the Down MacroShares may be issued only in 
MacroShares Units, consisting of 50,000 Up MacroShares issued by the Up 
Trust and 50,000 Down MacroShares issued by the Down Trust. The Up 
Trust and Down Trust will issue their Shares on an ongoing basis at any 
time after the closing date only to persons who qualify as authorized 
participants at the per share underlying value of those shares on the 
business day on which a creation order for the Shares is delivered to 
and accepted by MacroMarkets LLC, the administrative agent for both 
Trusts.\14\ The Shares may then be sold by authorized participants to 
the public at the market price prevailing at the time of any such sale.
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    \14\ Authorized participants must also pay a transaction fee of 
$2,000 for any paired redemption or issuance. All of the shares 
created on the closing date will be sold to authorized participants 
at their underlying value plus a fee of $0.10 per share, which will 
be applied to cover the formation costs of the Trusts.
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    The Up MacroShares (Down MacroShares) may be redeemed on any 
business day together with Down MacroShares (Up MacroShares) by any 
holder who is an authorized participant only in MacroShares Units (as 
described above) at the respective per Share underlying values of those 
Shares, as measured on the date on which the applicable redemption 
order was placed. Unless earlier redeemed on a redemption date or an 
early termination date, a final distribution will be made on both the 
Up MacroShares and the Down MacroShares on the distribution date 
occurring in December of 2013.
    The Registration Statements contain more information regarding the 
Shares, the Trusts, the Applicable Reference Price of Crude Oil, 
quarterly distributions, final distributions, underlying values, risks, 
fees and expenses, termination triggers, and creation and redemption 
procedures.
c. Availability of Information Regarding the Shares
    Intraday Indicative Values. Throughout each price determination 
day, the Amex, acting as the calculation agent for each Trust, will 
calculate and disseminate, at least every 15 seconds during regular 
Amex trading hours, through the facilities of the Consolidated Tape 
Association (``CTA''), an estimated value (referred to as an ``Intraday 
Indicative Value'' or ``IIV'') for the underlying value per Share of 
both the Up MacroShares and the Down MacroShares. The purpose of this 
disclosure is to promote liquidity and intraday pricing transparency 
with respect to these estimated per Share underlying values, which can 
be used in connection with other related market information. To enable 
this calculation, the Amex will receive real time price data from the 
NYMEX through major market data vendors for the light sweet crude oil 
futures contract of the designated maturity that trades on the 
NYMEX.\15\
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    \15\ See May 29 E-mail, supra note 6.

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[[Page 33123]]

    Because the NYMEX market for the light sweet crude oil futures 
contract will be closed for portions of the Amex trading day, the IIV 
calculated values will become fixed and will not be updated at such 
times that the NYMEX contract is not trading.\16\ Conversely, at times 
when the light sweet crude oil futures contract of the designated 
maturity is trading on NYMEX, those trades will be used to update the 
IIV values.
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    \16\ The IIV calculated during the period following the daily 
opening of trading of the Shares on the Amex but prior to any trades 
taking place on the NYMEX in the relevant light sweet crude oil 
futures contract will be based on the final price of the futures 
contract on the prior trading day.
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    The per-Share IIVs disseminated during Amex trading hours should 
not be viewed as real time updates of the underlying value of an Up 
MacroShare and a Down MacroShare, as these values are calculated only 
once a day. The Exchange believes, however, that dissemination of the 
IIVs provides additional information that is useful to professionals 
and investors in connection with the trading of the Shares on the 
Exchange or the creation or redemption of Shares.
    The Amex will make available through its in-house systems, for use 
by the specialist and market makers, the IIV values distributed through 
the facilities of the CTA. This data will also be available to Amex 
surveillance systems and personnel for their purposes.
    Availability of Other Information and Data. At the end of each 
price determination day, the Amex will also calculate the premium or 
discount of the midpoint of the bid/offer for the Up MacroShares at the 
close on the Amex relative to the underlying value per Share for that 
price determination day, after the latter is calculated and provided to 
the Amex by the trustee. The Amex will also perform the same 
calculation with respect to the Down MacroShares. The Amex will then 
post these premiums/discounts, together with the end-of-day price 
information for the Shares, on its Web site (http://www.amex.com/
amextrader). Further, the Amex will post on its Web site any 
corrections made by NYMEX to the Applicable Reference Price of Crude 
Oil that was reported by NYMEX for any price determination day. The 
Amex also intends to disseminate a variety of data with respect to the 
Shares on a daily basis by means of CTA and CQ High Speed Lines, 
including quotation and last sale data information.
    On each price determination day, State Street Bank and Trust 
Company, the trustee for the Up Trust and the Down Trust, will 
calculate the underlying value of the Up Trust and the Down Trust and 
the per-Share underlying value of one Up MacroShare and one Down 
MacroShare, based on the Applicable Reference Price of Crude Oil 
established and reported by NYMEX. The trustee will then provide such 
values to the administrative agent, which will post them on its Web 
site (http://www.macromarkets.com). All investors and market 
participants will have access to the administrative agent's Web site at 
no charge.
    Information regarding secondary market prices and volume of the 
Shares will be broadly available on a real-time basis throughout the 
trading day on brokers' computer screens and other electronic services. 
The previous day's closing price and trading volume information will be 
published daily in the financial section of newspapers.
    Delayed information on futures contracts is often publicly 
available from futures exchanges.\17\ Daily settlement prices for the 
oil futures contract designated as the Applicable Reference Price of 
Crude Oil for the Shares is publicly available on NYMEX's Web site.\18\
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    \17\ See e-mail from William Love, Vice President and Associate 
General Counsel, Amex, to Christopher W. Chow and Ronesha Butler, 
Special Counsels, Commission, dated May 30, 2008 (``May 30 E-
mail'').
    \18\ See id.
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d. Initial and Continued Listing Criteria
    Amex Rule 1402 sets forth initial and continued listing criteria 
applicable to Paired Trust Shares. These criteria are currently 
applicable to Holding Shares and Tradeable Shares, and the proposed 
rule change would make them applicable to Trading Shares as well.
    A minimum of 150,000 Up MacroShares and 150,000 Down MacroShares 
will be required to be outstanding at the commencement of trading. The 
Exchange believes that this minimum number of outstanding Shares at the 
start of trading is sufficient to provide adequate market liquidity, 
and it is the same initial minimum requirement that was applicable to 
the Claymore MACROshares Oil Up Tradeable Shares and the Claymore 
MACROshares Oil Down Tradeable Shares (the first series of Paired Trust 
Shares to be listed and traded on the Exchange). The starting level for 
the Applicable Reference Price of Crude Oil will be $100 and is based 
on recent prices for a barrel of light sweet crude oil. The Exchange 
will obtain a representation on behalf of the Up Trust and the Down 
Trust that the underlying value per share of each Up Share and Down 
Share, respectively, will be calculated daily and will be made 
available to all market participants at the same time. The Exchange 
will remove from listing the Up MacroShares or the Down MacroShares 
under the following circumstances, pursuant to proposed Amex Rule 1402:
     If following the initial twelve month period following the 
commencement of trading of the Shares: (1) The Up Trust or the Down 
Trust has more than 60 days remaining until termination and there are 
fewer than 50 record and/or beneficial holders of Up MacroShares or 
Down MacroShares, respectively, for 30 or more consecutive trading 
days; (2) if the Up Trust or the Down Trust has fewer than 50,000 Up 
MacroShares or Down MacroShares, respectively, issued and outstanding; 
or (3) if the combined market value of all Shares issued and 
outstanding for the Up Trust and the Down Trust combined is less than 
$1,000,000;
     If the intraday level of the Applicable Reference Price of 
Crude Oil is no longer calculated or available on at least a 15-second 
delayed basis during the time the Shares trade on the Amex from a 
source unaffiliated with the sponsor, custodian, depositor, Up Trading 
Trust, Down Trading Trust or the Exchange that is a major market data 
vendor;
     If the IIV of each Up Trading Share or Down Trading Share, 
as the case may be, is no longer made available on at least a 15-second 
delayed basis by a major market data vendor during the time the shares 
trade on the Exchange;
     If a replacement benchmark is selected for the 
determination of the Applicable Reference Price of Crude Oil, unless 
the Exchange files with the Commission a related proposed rule change 
pursuant to Rule 19b-4 under the Act seeking approval to continue 
trading the Up MacroShares or Down MacroShares and such rule change is 
approved by the Commission; or
     If such other event shall occur or condition exists which 
in the opinion of the Exchange makes further dealings on the Exchange 
inadvisable.
e. Trading Halts
    Prior to the commencement of trading, the Exchange will issue an 
Information Circular (described below) to members informing them of, 
among other things, Exchange policies regarding halts in trading of the 
Shares. First, the Information Circular (described below) will advise 
that trading will be halted in the event the market volatility trading 
halt parameters set forth in Amex Rule 117 have been reached. In 
exercising its discretion to

[[Page 33124]]

halt or suspend trading in the Shares, the Exchange may also consider 
other relevant factors and the existence of unusual conditions or 
circumstances that may be detrimental to the maintenance of a fair and 
orderly market. During any trading halt in the Shares, the underlying 
light sweet crude oil futures contracts are expected to continue to 
trade on the NYMEX because the NYMEX does not provide for trading halts 
in these contracts.
    In the event that (a) The underlying value of each Trust or the 
per-Share underlying values of each of the Up Trading Shares or the 
Down Trading Shares are not disseminated daily to all market 
participants at the same time, (b) the IIV, updated at least every 
fifteen (15) seconds, for the underlying value per Share of the Up 
Trading Shares or the Down Trading Shares is no longer being calculated 
or disseminated by a major market data vendor during the time the 
Shares trade on the Amex, or (c) the price of the NYMEX light sweet 
crude oil futures contract is no longer available at least every 15 
seconds from a major market data vendor during the time the Shares 
trade on the Amex \19\ (e.g., due to a temporary disruption in 
connection with either the pricing of the light sweet crude oil futures 
contract on the NYMEX or the transmission of real time price data from 
the NYMEX), then the Exchange will halt trading.\20\ However, in the 
case of (b) or (c) involving interruption to the required dissemination 
of IIVs or futures contract prices, the Exchange may consider relevant 
factors and exercise its discretion regarding the halt or suspension of 
trading during the day in which the interruption to the dissemination 
of the IIVs or the futures contract prices occurs. If the interruption 
to the dissemination of the IIVs or the futures contract prices 
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.
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    \19\ Trading in the MACRO Tradeable Shares will not be halted on 
the Amex, however, simply because price data from the NYMEX based on 
current trading is not available outside the normal open outcry 
trading hours of light sweet crude oil futures contracts on the 
NYMEX from 10 a.m. to 2:30 p.m., Eastern Time.
    \20\ In each of these circumstances, the Exchange may contact 
the Commission staff to discuss the matter.
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f. Trading Rules
    The Shares are equity securities subject to Amex Rules governing 
the trading of equity securities, including, among others, rules 
governing priority, parity and precedence of orders, specialist 
responsibilities and account opening and customer suitability (Amex 
Rule 411). The Shares will trade on the Amex from 9:30 a.m. until 
either 4 p.m. or 4:15 p.m. Eastern Time each business day for each 
series, as specified by the Exchange, and will trade in a minimum price 
variation of $0.01 pursuant to Amex Rule 127-AEMI. Trading rules 
pertaining to odd-lot trading in Amex equities (Amex Rule 205-AEMI) 
will also apply.
    Amex Rule 154-AEMI(c)(ii) provides that stop and stop limit orders 
to buy or sell a security the price of which is derivatively priced 
based upon another security or index of securities, may be elected by a 
quotation, as set forth in subparagraphs (c)(ii)(1)-(4) of Amex Rule 
154-AEMI . By this rule filing, the Exchange is designating the Shares 
as eligible for this treatment.\21\ In addition, Amex Rule 126A-AEMI 
complies with Rule 611 of Regulation NMS, which requires, among other 
things, that the Exchange adopt and enforce written policies and 
procedures that are reasonably designed to prevent trade-throughs of 
protected quotations. Members and member organizations will be subject 
to Commentary .03 to Amex Rule 1400 prohibiting such member or member 
organizations from entering into the Exchange's order routing system 
multiple limit orders as agent (i.e., customer agency orders).
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    \21\ See Securities Exchange Act Release No. 29063 (April 10, 
1991), 56 FR 15652 (April 17, 1991) (SR-Amex-90-31) at note 9, 
regarding the Exchange's designation of equity derivative securities 
as eligible for such treatment by means of a new rule filing with 
the Commission. In the instant case, the price of the Up MacroShares 
and the Down MacroShares are derivatively based upon, and should 
fluctuate with, the value of the underlying settlement contracts 
held by the Up Trust or the Down Trust, as the case may be, which 
settlement contracts: (1) Determine the amount of the aggregate 
assets in the paired Trusts to which each respective Trust would be 
entitled if settlement occurred on that day; and (2) have a value 
that is determined by the level of the Applicable Reference Price of 
Crude Oil. Consequently, as with other equity derivative securities 
designated by the Exchange as eligible under the terms of Securities 
Exchange Act Release No. 29063 to allow stop and stop limit orders 
to be elected by a quotation, the Exchange believes that the 
derivative pricing relationship to which the Shares are subject does 
not present the type of opportunity for manipulation and trading 
abuses in connection with elections of stop orders by specialists 
that the Commission seeks to prohibit.
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g. Information Circular
    Prior to the commencement of trading, the Exchange will inform its 
members and member organizations in an Information Circular of the 
special characteristics and risks associated with trading the Shares. 
Specifically, the Information Circular will discuss the following: (1) 
What the Shares are; (2) the procedures for purchases and paired 
optional redemptions of Shares, which may only be effected in 
MacroShares Units or multiples thereof by Authorized Participants 
(noting in particular that Shares are not individually redeemable); (3) 
prospectus delivery requirements that are applicable in connection with 
the purchase of newly issued Shares by investors; (4) applicable Amex 
rules; (5) dissemination of information regarding the underlying value 
of each Trust and the share of that underlying value allocable to one 
Up MacroShare and one Down MacroShare; (6) trading information; and (7) 
suitability obligations of members with respect to recommended 
transactions to customers in the Shares (see below).
    In addition, the Information Circular will reference that the 
Shares are subject to various fees and expenses described in the 
Registration Statement on Form S-1 for the Up MacroShares or the Down 
MacroShares, as applicable.\22\ The Information Circular will discuss 
any exemptive, no-action, and interpretive relief granted by the 
Commission from any rules under the Exchange Act. It will also 
reference the fact that the Commission has no jurisdiction over the 
trading of the NYMEX light sweet crude oil futures contract. Finally, 
the Information Circular will also advise members that the upside gains 
to investors are capped once the price level percentage change of the 
Applicable Reference Price of Crude Oil equals or exceeds 100%.
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    \22\ See supra note 4.
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h. Suitability
    The Exchange, in the Information Circular referenced above, will 
inform members and member organizations of the characteristics of the 
Trusts and the Shares and of applicable Exchange rules, as well as of 
the requirements of Amex Rule 411 (Duty to Know and Approve Customers).
    The Exchange notes that pursuant to Amex Rule 411, members and 
member organizations are required in connection with recommending 
transactions in the Shares to have a reasonable basis to believe that a 
customer is suitable for the particular investment given reasonable 
inquiry concerning the customer's investment objectives, financial 
situation, needs, and any other information known by such member.
i. Surveillance
    The Exchange represents that its surveillance procedures are 
adequate to properly monitor the trading of the Shares and to deter and 
detect violations of Exchange rules and

[[Page 33125]]

applicable federal securities laws.\23\ Specifically, the Amex will 
rely on its existing surveillance procedures applicable to derivative 
securities products, including Paired Trust Shares, to monitor trading 
in the Shares. In addition, the Exchange also has a general policy 
prohibiting the distribution of material, non-public information by its 
employees.
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    \23\ See May 30 E-mail supra note 17.
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    The Exchange currently has in place a comprehensive surveillance 
sharing agreement with the NYMEX for the purpose of providing 
information in connection with trading in, or related to, futures 
contracts traded on the NYMEX that will serve as the Applicable 
Reference Price of Crude Oil. This agreement supports the surveillance 
responsibilities of the two exchanges, including monitoring for 
fraudulent and manipulative practices in the trading of the Shares. The 
Exchange also notes that NYMEX is a member of the Intermarket 
Surveillance Group (``ISG'') and a signatory to the existing ISG 
Agreement, as is the Amex. Pursuant to the ISG Agreement, NYMEX has the 
obligation to provide relevant surveillance information in response to 
a request from Amex.\24\
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    \24\ See id.
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2. Statutory Basis
    The basis under the Act for this proposed rule change is the 
requirement under Section 6(b)(5) \25\ that a national securities 
exchange have rules that are designed to prevent fraudulent and 
manipulative acts and practices, to promote just and equitable 
principles of trade, to foster cooperation and coordination with 
persons engaged in facilitating transactions in securities, to remove 
impediments to and perfect the mechanism of a free and open market and 
a national market system, and, in general, to protect investors and the 
public interest. The Exchange believes that the proposed rule 
amendments will facilitate the listing and trading of additional types 
of exchange-traded products that will enhance competition among market 
participants, to the benefit of investors and the marketplace. In 
addition, the listing and trading criteria set forth in the proposed 
rules are intended to protect investors and the public interest.
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    \25\ 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

    Written comments on the proposed rule change were neither solicited 
nor received.

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

    Within 35 days of the date of publication of this notice in the 
Federal Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    A. By order approve such proposed rule change, or
    B. Institute proceedings to determine whether the proposed rule 
change should be disapproved.
    The Exchange has requested accelerated approval of this proposed 
rule change prior to the 30th day after the date of publication of the 
notice of the filing thereof. The Commission is considering granting 
accelerated approval of the proposed rule change at the end of a 15-day 
comment period.

IV. Solicitation of Comments

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

Electronic Comments

     Use the Commission's Internet comment form (http://
www.sec.gov/rules/sro.shtml); or
     Send an e-mail to rule-comments@sec.gov. Please include 
File Number SR-Amex-2008-36 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-Amex-2008-36. This file 
number should be included on the subject line if e-mail is used. To 
help the Commission process and review your comments more efficiently, 
please use only one method. The Commission will post all comments on 
the Commission's Internet Web site (http://www.sec.gov/rules/
sro.shtml). Copies of the submission, all subsequent amendments, all 
written statements with respect to the proposed rule change that are 
filed with the Commission, and all written communications relating to 
the proposed rule change between the Commission and any person, other 
than those that may be withheld from the public in accordance with the 
provisions of 5 U.S.C. 552, will be available for inspection and 
copying in the Commission's Public Reference Room, 100 F Street, NE., 
Washington, DC 20549, on official business days between the hours of 10 
a.m. and 3 p.m. Copies of such filing also will be available for 
inspection and copying at the principal office of the Exchange. All 
comments received will be posted without change; the Commission does 
not edit personal identifying information from submissions. You should 
submit only information that you wish to make available publicly. All 
submissions should refer to File Number SR-Amex-2008-36 and should be 
submitted on or before June 26, 2008.
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    \26\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\26\
Florence E. Harmon,
Acting Secretary.
 [FR Doc. E8-13030 Filed 6-10-08; 8:45 am]

BILLING CODE 8010-01-P