[Federal Register Volume 65, Number 174 (Thursday, September 7, 2000)]
[Notices]
[Pages 54327-54330]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 00-22988]


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SECURITIES AND EXCHANGE COMMISSION

[Rel. No. IC-24631; 812-11882]


State Street Bank and Trust Company, et al.; Notice of 
Application

September 1, 2000.
AGENCY: Securities and Exchange Commission (``Commission'' or ``SEC'').

ACTION: Notice of application for an order under section 6(c) of the 
Investment Company Act of 1940 (the ``Act'') for an exemption from 
sections 2(a)(32), 5(a)(1), and 22(d) of the Act and rule 22c-1 under 
the Act, and under sections 6(c) and 17(b) of the Act for an exemption 
from sections 17(a)(1) and 17(a)(2) of the Act.

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SUMMARY OF APPLICATION: Applicants request an order that would permit 
certain open-end management investment companies, whose portfolios will 
consist of the component securities of certain indices, to issue shares 
of limited redeemability; permit secondary market transactions in the 
shares of the companies at negotiated prices; and permit affiliated 
persons of the companies to deposit securities into, and receive 
securities from, the companies in connection with the purchase and 
redemption of aggregations of the companies' shares.

Applicants: State Street Bank and Trust Company (the ``Adviser''), ALPS 
Mutual Funds Services, Inc. and State Street Capital Markets, LLC, 
(each a ``Distributor'' and together the ``Distributors''), The Select 
Sector SPDR Trust and The Index Exchange Listed Securities Trust (each 
a ``Trust'' and together the ``Trusts'').

FILING DATES: The application was filed on December 8, 1999 and amended 
on August 1, 2000. Applicants have agreed to file an amendment during 
the notice period, the substance of which is reflected in this notice.

HEARING OR NOTIFICATION OF HEARING: An order granting the application 
will be issued unless the SEC orders a hearing. Interested persons may 
request a hearing by writing to the SEC's Secretary and serving 
applicants with a copy of the request, personally or by mail. Hearing 
requests should be received by the SEC by 5:30 p.m. on September 22, 
2000, and should be accompanied by proof of service on applicants, in 
the form of an affidavit, or, for lawyers, a certificate of service. 
Hearing requests should state the nature of the writer's interest, the 
reason for the request, and the issue contested. Persons may request 
notification of a hearing by writing to the SEC's Secretary.

ADDRESSES: Secretary, SEC, 450 Fifth Street, NW., Washington, DC 20549. 
Applicants, c/o Michael E. Gillespie, Vice President and Associate 
Counsel, State Street Bank and Trust Company, P.O. Box 1713, Boston, MA 
02105-1713.

FOR FURTHER INFORMATION CONTACT: Marilyn Mann, Senior Counsel, at (202) 
942-0582, or Mary Kay Frech, Branch Chief, at (202) 942-0564 (Division 
of Investment Management, Office of Investment Company Regulation).

SUPPLEMENTARY INFORMATION: The following is a summary of the 
application. The complete application may be obtained for a fee from 
the SEC's Public Reference Branch, 450 5th Street, NW., Washington DC 
20549-0102 (telephone (202) 942-8090).

Applicants' Representations

    1. Each Trust is an open-end management investment company 
organized as a Massachusetts business trust and registered under the 
Act. Each Trust has separate investment portfolios (each, a ``Fund''). 
The Adviser acts as investment adviser and custodian for each Fund. 
ALPS Mutual Fund Services, Inc., a broker-dealer registered under the 
Securities Exchange Act of 1934 (the ``Exchange Act''), serves as the 
principal underwriter of each Fund in The Select Sector SPDR Trust. 
State Street Capital Markets, LLC, a broker-dealer registered under the 
Exchange Act, serves as the principal underwriter for each Fund in The 
Index Exchange Listed Securities Trust. Each Distributor will 
distribute Fund shares on an agency basis.
    2. The Trusts currently have 10 Funds operating under the terms of 
a prior order \1\ and are now requesting to supersede the prior order 
to add 10 new Funds, each of which will be a series of The Index 
Exchange Listed Securities Trust, and to add certain conditions. Each 
Fund will invest in a portfolio of equity securities (``Portfolio 
Securities'') generally consisting of the component securities of a 
specified equity securities index (``Index'').\2\ The proposed Indices 
are the Morgan Stanley High-Tech 35 Index, the Morgan Stanley Internet 
Index (the ``Morgan Stanley Indices''), the Dow Jones U.S. Small-cap 
Growth Stock Index, the Dow Jones U.S. Small-cap Value Stock Index, the 
Dow Jones U.S. Large-cap Growth Stock Index, the Dow Jones U.S. Large-
cap Value Stock Index, the Dow Jones Global Titans Index (collectively, 
the ``Dow Jones Equity Indices''), the Wilshire Real Estate Investment 
Trust Index (the ``Real Estate Investment Trust Index''), the

[[Page 54328]]

Fortune 500 Index and the Fortune e-50 Index (the ``Fortune 
Indices'').\3\
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    \1\ See The Select Sector SPDR Trust, Investment Company Act 
Release Nos. 23492 (Oct. 20, 1998) (notice) and 23534 (Nov. 13, 
1998) (order).
    \2\ Each Fund will invest at least 90% of its total assets in 
common stocks that comprise the relevant Index. A Fund may invest up 
to 10% of its total assets in securities, options and futures not 
included in the relevant Index but which the Adviser believes will 
help the Fund track the Index. A Fund may accept as Deposit 
Securities (as defined below) stocks that are publicly announced as 
additions to the relevant Index prior to their actual date of 
inclusion in the index. A Fund also may hold Portfolio Securities 
that have recently been deleted from the Index. In addition, this 
10% portion of the Fund's assets may be invested in securities not 
included in the Index to comply with the registered investment 
company diversification requirements of the Internal Revenue Code. 
This portion of the Fund's assets also may be invested in money 
market instruments and money market funds (subject to the Act's 
limitations).
    \3\ The Morgan Stanley High-Tech 35 Index is comprised of 35 
actively traded stocks of U.S. companies in the computer and 
technology industries with large market capitalization. The Morgan 
Stanley Internet Index is comprised of the common stocks of leading 
U.S. public companies that are driving the growth of Internet usage. 
The Morgan Stanley Indices will be calculated by Morgan Stanley Inc. 
The Dow Jones U.S. Small-cap Growth Stock Index consists of typical 
growth stocks in the Dow Jones U.S. Small-cap Index. The Dow Jones 
U.S. Small-cap Value Stock Index consists of typical value stocks in 
the Dow Jones U.S. Small-cap Index. The Dow Jones U.S. Large-cap 
Growth Stock Index consists of typical growth stocks in the Dow 
Jones U.S. Large-cap Index. The Dow Jones U.S. Large-cap Value Stock 
Index consists of typical value stocks in the Dow Jones U.S. Large-
cap Index. The Dow Jones Global Titans Index consists of 50 common 
stocks that meet certain criteria and are drawn from the Dow Jones 
Global Indices. The Dow Jones Equity Indices will be calculated by 
the Dow Jones Company. The Real Estate Investment Trust Index is a 
market capitalization weighted index of publicly traded Real Estate 
Investment Trusts. It will be calculated by Wilshire Associates. The 
Fortune 500 Index is based on Fortune's list of America's 500 
largest companies, ranked by revenue. The Fortune e-50 Index tracks 
the performance of companies shaping the internet economy. The 
Fortune Indices will be calculated by the Fortune Group. Each 
Index's value will be disseminated every 15 seconds through the 
facilities of the Consolidated Tape Association.
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    3. In the future, the applicants may offer additional Funds 
(``Future Funds'') based on other Indices. Applicants request that the 
order apply to any Future Funds. Any Future Funds will (a) be advised 
by the Adviser or an entity controlled by or under common control with 
the Adviser and (b) comply with the terms and conditions of the order. 
References in the application to ``Funds'' include the existing Funds, 
the proposed Funds and any Future Funds. No entity that creates, 
compiles, sponsors or maintains an Index is or will be an affiliated 
person, as defined in section 2(a)(3) of the Act, or an affiliated 
person of an affiliated person, of the Trust, the Adviser, the 
Distributors or any sub-adviser to a Fund.
    4. The investment objective of each Fund will be to provide 
investment results that correspond, before expenses, generally to the 
price and yield performance of its relevant Index. A Fund may not hold 
all of the underlying securities that comprise an Index in certain 
instances. When a potential component security is illiquid or when 
there are substantial costs involved in matching an Index with hundreds 
of component securities, a Fund may hold a representative sample of the 
component securities of the Index determined using a technique known as 
``portfolio optimization.'' \4\ Applicants anticipate that a Fund that 
utilizes the portfolio optimization technique will not track its Index 
with the same degree of accuracy as an investment vehicle that invested 
in every component security of the Index with the same weighting as the 
Index. Applicants also state that over time the Adviser will be able to 
employ the portfolio optimization technique so that the expected 
tracking error of a Fund relative to the performance of its Index will 
be less than 5 percent.
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    \4\ The Adviser will consider each component security in an 
Index for inclusion in a Fund based on the security's contribution 
to certain capitalization, industry, and fundamental investment 
characteristics. The Adviser will seek to construct the portfolio of 
a Fund so that, in the aggregate, its capitalization, industry, and 
fundamental investment characteristics perform like those in the 
corresponding Index.
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    5. Shares of a Fund (``Shares'') will be issued in aggregations of 
at least 50,000 Shares (``Creation Units''). The price of a Creation 
Unit will be approximately $3,800,000 to $6,300,000 (based on the 
values of the Indices as of June 30, 2000). Orders to purchase Creation 
Units must be placed by or through an ``Authorized Participant,'' which 
is either (a) a ``Participating Party,'' (i.e., a broker-dealer or 
other participant in the Shares Clearing Process through the Continuous 
Net Settlement System of the National Securities Clearing Corporation 
(``NSCC''), a clearing agency that is registered with the SEC), or (b) 
a participant in the Depository Trust Company (``DTC'') system, which 
in either case has executed an agreement with the Trust and with the 
Distributor with respect to creations and redemptions of Creation Units 
(``Participant Agreement''). A Creation Unit purchase or redemption can 
only be placed by or through an Authorized Participant that has signed 
a Participant Agreement. An investor wishing to purchase a Creation 
Unit from a Fund will have to transfer to the Fund a ``Fund Deposit'' 
consisting of: (a) A portfolio of securities that has been selected by 
the Adviser to correspond to the returns on the Index (``Deposit 
Securities''),\5\ and (b) a cash payment to equalize any differences 
between the market value per Creation Unit of the Deposit Securities 
and the net asset value (``NAV'') per Creation Unit (``Cash 
Component''). Certain of the Funds may include as part of the Cash 
Component a ``Dividend Equivalent Payment,'' which is an amount equal 
per Creation Unit to the dividends accrued on the Deposit Securities of 
a Fund since the last dividend payment by the Fund, net of expenses and 
liabilities.\6\ An investor purchasing a Creation Unit from a Fund will 
be charged a purchase fee (``Transaction Fee'') to prevent the dilution 
of the interests of the remaining shareholders resulting from the Fund 
incurring costs in connection with the purchase of the Creation 
Units.\7\ Each Fund will disclose the Transaction Fees charged by the 
Fund in its prospectus and the method of calculating the Transaction 
Fees in its statement of additional information (``SAI'').
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    \5\ The identity and number of shares of the Deposit Securities 
required for a Fund Deposit for each Fund will change as rebalancing 
adjustments and corporate events are reflected from time to time by 
the Adviser. The composition of the Deposit Securities may also 
change in response to adjustments to the weighting or composition of 
the securities constituting an Index.
    \6\ On each business day, the custodian in consultation with the 
Adviser will make available, immediately prior to the opening of 
trading on the AMEX, a list of the names and the required number of 
shares of each Deposit Security included in the current Fund 
Deposit. The Fund Deposit will be applicable to effect purchases of 
Creation Units until the Fund Deposit composition is next announced. 
The custodian also makes available the previous day's Cash 
Component, as well as the estimated Cash Component for the current 
day. In addition, each Fund reserves the right to permit or require 
a cash in lieu amount or the substitution of any security to replace 
any Deposit Security that may be unavailable in sufficient quantity 
for delivery to the Fund upon the purchase of a Creation Unit, or 
which may be ineligible for transfer through the DTC system and 
therefore ineligible for transfer through the Shares Clearing 
Process or ineligible for trading by an Authorized Participant or 
the investor on whose behalf it is acting. In cases in which cash is 
substituted, the Adviser will adjust the Transaction Fee to cover 
the brokerage costs a Fund will incur in connection with the 
acquisition of a Deposit Security.
    The AMEX will disseminate every 15 seconds throughout the 
trading day via the facilities of the Consolidated Tape Association 
an amount representing on a per Share basis the sum of the current 
value of the Deposit Securities and, when applicable to the Fund, 
the Dividend Equivalent Payment effective through and including the 
prior business day.
    \7\ The Transaction Fee for each Fund will be separately 
determined. The Transaction Fee will be limited to amounts 
determined by the Adviser to be appropriate and will take into 
account the transaction costs associated with the Deposit Securities 
of each Fund.
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    6. Orders to purchase Creation Units will be placed with the 
Distributor who will be responsible for transmitting the orders to each 
Fund. The Distributor will issue confirmations of acceptance, issue 
delivery instructions to the Fund to implement the delivery of Creation 
Units, and maintain records of the orders and the confirmations. The 
Distributor also will be responsible for delivering prospectuses to 
purchasers of Creation Units.
    7. Persons purchasing Creation Unit-size aggregations of Shares 
from a Fund may hold the Shares or sell some or all of them in the 
secondary market. Shares will be listed on the AMEX and traded in the 
secondary market in the same manner as other equity securities. An AMEX 
specialist will be assigned to

[[Page 54329]]

make a market in Shares. The price of Shares on the AMEX will be based 
on a current bid/offer market and will be in the range of $70 to $125 
per Share (based on the values of the Indices as of June 30, 2000). 
Transactions involving the sale of Shares will be subject to customary 
brokerage commissions and charges. Applicants expect that the price at 
which the Shares trade will be disciplined by arbitrage opportunities 
created by the ability to continually purchase or redeem Creation Units 
at their NAV, which should ensure that the Shares will not trade at a 
material discount or premium in relation to their NAV.
    8. Applicants expect that purchasers of Creation Units will include 
institutional investors and arbitrageurs (which could include 
institutional investors). The AMEX specalist, in providing for a fair 
and orderly secondary market for Shares, also may purchase Creation 
Units for use in its market-making activities on the AMEX. Applicants 
expect that secondary market purchasers of Shares will include both 
institutional and retail investors.\8\
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    \8\ Shares will be registered in book-entry form only. DTC or 
its nominee will be the registered owner of all outstanding Shares. 
Records reflecting the beneficial owners of Shares will be 
maintained by DTC or its participants.
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    9. Shares will not be individually redeemable. Shares will only be 
redeemable in Creation Unit-size aggregations through each Fund.\9\ An 
investor redeeming a Creation Unit generally will receive a portfolio 
of securities (``Fund Securities'') plus a ``Cash Redemption Amount.'' 
The Cash Redemption Amount is cash in an amount equal to the difference 
between the NAV of the Shares being redeemed and the market value of 
the Fund Securities. The Cash Redemption Amount may include a Dividend 
Equivalent Payment. An investor may receive the cash equivalent of a 
Fund Security upon its request if, for example, the investor were 
constrained from effecting transactions in the Fund Security by 
regulation or policy. A redeeming investor will pay a Transaction Fee 
calculated in the same manner as a Transaction Fee payable in 
connection with the purchase of a Creation Unit.\10\
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    \9\ Creation Units may be redeemed through either NSCC or DTC. 
Investors who redeem through DTC will pay a higher Transaction Fee.
    \10\ See supra note 7.
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    10. Because each Fund will redeem Creation Units in kind, a Fund 
will not have to maintain cash reserves for redemptions. This will 
allow the assets of each Fund to be committed as fully as possible to 
tracking its Index. Accordingly, applicants state that each Fund will 
be able to track its Index more closely than certain other investment 
products that must allocate a greater portion of their assets for cash 
redemptions.
    11. Applicants state that neither Trust nor any Fund will be 
marketed or otherwise held out as a ``mutual fund.'' Rather, applicants 
state that each Fund will be marketed as an ``exchange-traded fund.'' 
No Fund marketing materials (other than as required in the prospectus) 
will refer to a Fund as an ``open-end'' or ``mutual fund,'' except to 
contrast a Fund with a conventional open-end management investment 
company. In all marketing materials where the method of obtaining, 
buying or selling Shares is described, applicants will include a 
statement to the effect that Shares are not redeemable through a Fund 
except in Creation Units. The same type of disclosure will be provided 
in each Fund's prospectus, SAI, advertising materials, and all reports 
to shareholders.\11\
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    \11\ Applicants state that persons purchasing Creation Units 
will be cautioned in a Fund's prospectus and/or SAI that some 
activities on their part may, depending on the circumstances, result 
in their being deemed statutory underwriters and subject them to the 
prospectus delivery and liability provisions of the Securities Act 
of 1933 (``Securities Act''). For example, a broker-dealer firm and/
or its client may be deemed a statutory underwriter if it takes 
Creation Units after placing an order with the Distributor, breaks 
them down into the constituent Shares, and sells shares directly to 
its customers; or if it chooses to couple the creation of a supply 
of new Shares with an active selling effort involving solicitation 
of secondary market demand for Shares. A Fund's prospectus and/or 
SAI will state that whether a person is an underwriter depends upon 
all the facts and circumstances pertaining to that person's 
activities. A Fund's prospectus and/or SAI also will state that 
broker-dealer firms should also note that dealers who are not 
``underwriters'' but are participating in a distribution (as 
contrasted to ordinary secondary trading transactions), and thus 
dealing with Shares that are part of an ``unsold allotment'' within 
the meaning of section 4(3)(C) of the Securities Act, would be 
unable to take advantage of the prospectus delivery exemption 
provided by section 4(3) of the Securities Act.
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Applicants' Legal Analysis

    1. Applicants request an order under section 6(c) of the Act 
granting an exemption from sections 2(a)(32), 5(a)(1), and 22(d) of the 
Act and rule 22c-1 under the Act; and under sections 6(c) and 17(b) of 
the Act granting an exemption from sections 17(a)(1) and 17(a)(2) of 
the Act.
    2. Section 6(c) of the Act provides that the Commission may exempt 
any person, security, or transaction, or any class of persons, 
securities, or transactions, if and to the extent that such exemption 
is necessary or appropriate in the public interest and consistent with 
the protection of investors and the purposes fairly intended by the 
policy and provisions of the Act.

Sections 5(a)(1) and 2(a)(32) of the Act

    3. Section 5(a)(1) of the Act defines an ``open-end company'' as a 
management investment company that is offering for sale or has 
outstanding any redeemable security of which it is the issuer. Section 
2(a)(32) of the Act defines a redeemable security as any security, 
other than short-term paper, under the terms of which the holder, upon 
its presentation to the issuer, is entitled to receive approximately 
his proportionate share of the issuer's current net assets or the cash 
equivalent. Because Shares will not be individually redeemable, 
applicants request an order that would permit each Trust to register 
and operate as an open-end management investment company. Applicants 
state that investors may purchase Shares in Creation Units from each 
Fund and redeem Creation Units. Applicants further state that because 
the market price of Creation Units will be disciplined by arbitrage 
opportunities, investors should be able to sell Shares in the secondary 
market at prices that do not vary substantially from their NAV.

Sections 22(d) of the Act and Rule 22c-1 Under the Act

    4. Section 22(d) of the Act, among other things, prohibits a dealer 
from selling a redeemable security that is being currently offered to 
the public by or through an underwriter, except at a current public 
offering price described in the prospectus. Rule 22c-1 under the Act 
generally requires that a dealer selling, redeeming, or repurchasing a 
redeemable security do so only at a price based on NAV. Applicants 
state that secondary market trading in Shares will take place at 
negotiated prices, not at a current offering price described in the 
prospectus, and not at a price on NAV. Thus, purchases and sales of 
Shares in the secondary market will not comply with section 22(d) and 
rule 22c-1. Applicants request an exemption from these provisions.
    5. Applicants assert that the concerns sought to be addressed by 
section 22(d) and rule 22c-1 with respect to pricing are equally 
satisfied by the proposed method of pricing Shares. Applicants maintain 
that while there is little legislative history regarding section 22(d), 
its provisions, as well as those of rule 22c-1, appear to have been 
designed to (a) prevent dilution caused by certain riskless-trading 
schemes by principal underwriters and contract

[[Page 54330]]

dealers, (b) prevent unjust discrimination or preferential treatment 
among buyers resulting from sales at different prices, and (c) assure 
an orderly distribution of investment company shares by eliminating 
price competition from dealers offering shares at less than the 
published sales price and repurchasing shares at more than the 
published redemption price.
    6. Applicants believe that none of these purposes will be thwarted 
by permitting Shares to trade in the secondary market at negotiated 
prices. Applicants state (a) that secondary market trading in Shares 
does not involve the Funds as parties and cannot result in dilution of 
an investment in Shares, and (b) to the extent different prices exist 
during a given trading day, or from day to day, such variances occur as 
a result of third-party market forces, such as supply and demand, not 
as a result of unjust or discriminatory manipulation. Therefore, 
applicants assert that secondary market transactions in Shares will not 
lead to discrimination or preferential treatment among purchasers. 
Finally, applicants contend that the proposed distribution system will 
be orderly because arbitrage activity will ensure that the difference 
between the market price of Shares and their NAV remains narrow.

Section 17(a) of the Act

    7. Section 17(a) of the Act generally prohibits an affiliated 
person of a registered investment company, or an affiliated person of 
such a person, from selling any security to or purchasing any security 
from the company. Because purchases and redemptions of Creation Units 
will be ``in-kind'' rather than cash transactions, section 17(a) may 
prohibit affiliated persons of the Fund from purchasing or redeeming 
Creation Units. Because the definition of ``affiliated person'' or 
another person in section 2(a)(3)(A) of the Act includes any person 
owning five percent or more of an issuer's outstanding voting 
securities, every purchaser of a Creation Unit will be affiliated with 
a Fund so long as fewer than twenty Creation Units of the Fund are in 
existence. In addition, any person owning more than 25% of the Shares 
of a Fund may be deemed an affiliated person under section 2(a)(3)(C) 
of the Act. Applicants request an exemption from section 17(a) under 
sections 6(c) and 17(b), to permit such affiliated persons of the Funds 
to purchase and redeem Creation Units.
    8. Section 17(b) authorizes the Commission to exempt a proposed 
transaction from section 17(a) if evidence establishes that the terms 
of the transaction, including the consideration to be paid or received, 
are reasonable and fair and do not involve overreaching, and the 
proposed transaction is consistent with the policies of the registered 
investment company and the general provisions of the Act. Applicants 
contend that no useful purpose would be served by prohibiting the 
affiliated persons of a Fund described above from purchasing or 
redeeming Creation Units. The composition of a Fund Deposit made by a 
purchaser or the Fund Securities and Cash Redemption Amount given to a 
redeeming investor will be the same regardless of the investor's 
identity, and will be valued under the same objective standards applied 
to valuing the Portfolio Securities. Therefore, applicants state that 
``in kind'' purchases and redemptions will afford no opportunity for 
the affiliated persons described above to effect a transaction 
detrimental to the other holders of its Shares. Applicants also believe 
that ``in kind'' purchases and redemptions will not result in abusive 
self-dealing or overreaching by affiliated persons of the Fund.

Applicants' Conditions

    Applicants agree that any order of the SEC granting the requested 
relief will be subject to the following conditions:
    1. Applicants will not register the Shares of any Future Fund by 
means of filing a post-effective amendment to a Trust's registration 
statement or by any other means, unless (a) applicants have requested 
and received with respect to such Future Fund, either exemptive relief 
from the Commission or a no-action letter from the Division of 
Investment Management of the Commission, or (b) the Future Fund will be 
listed on a national securities exchange without the need for a filing 
pursuant to rule 19b-4 under the Exchange Act.
    2. Each Fund's prospectus will clearly disclose that, for purposes 
of the Act, Shares are issued by the Fund and that acquisition of 
Shares by investment companies is subject to the restrictions of 
section 12(d)(1) of the Act.
    3. As long as each Trust operates in reliance on the requested 
order, the Shares of the Funds will be listed on a national securities 
exchange.
    4. Neither the Trusts nor any Fund will be advertised or marketed 
as an open-end investment company or a mutual fund. Each Fund's 
prospectus will prominently disclose that the Shares are not 
individually redeemable and that owners of the Shares may acquire those 
Shares from the Trust and tender those Shares for redemption to the 
Trust in Creation Units only.
    5. The website for each Trust, which will be publicly accessible at 
no charge, will contain the following information, or a per Share 
basis, for each Fund: (a) the prior business day's NAV and the reported 
closing price, and a calculation of the premium or discount of such 
price against such NAV; and (b) data in chart format displaying the 
frequency distribution of discounts and premiums of the daily closing 
price against the NAV, within appropriate ranges, for each of the four 
previous calendar quarters.
    6. The prospectus and annual report for each Fund will also 
include: (a) the information listed in condition 6(b), (i) in the case 
of the prospectus, for the most recently completed year (and the most 
recently completed quarter or quarters, as applicable) and (ii) in the 
case of the annual report, for the immediately preceding five years, as 
applicable; and (b) the following data, calculated on a per Share basis 
for one, five and ten year periods (or life of the Funds): (i) the 
cumulative total return and the average annual total return based on 
NAV and market price, and (ii) the cumulative total return of the 
relevant Index.

    For the Commission, by the Division of Investment Management, 
pursuant to delegated authority.
Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 00-22988 Filed 9-6-00; 8:45 am]
BILLING CODE 8010-01-M