[Federal Register Volume 72, Number 240 (Friday, December 14, 2007)]
[Notices]
[Pages 71178-71184]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: E7-24194]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-56932; File No. SR-NYSEArca-2007-112]


Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing 
and Order Granting Accelerated Approval of a Proposed Rule Change to 
List and Trade Shares of the iShares S&P GSCI Commodity-Indexed Trust

December 7, 2007
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on December 7, 2007, NYSE Arca, Inc. (``NYSE Arca'' or ``Exchange'') 
filed with the Securities and Exchange Commission (``Commission'') the 
proposed rule change as described in Items I and II below, which Items 
have been substantially prepared by the Exchange. This order provides 
notice of the proposed rule change, and approves the proposed rule 
change on an accelerated basis.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    NYSE Arca, through its wholly owned subsidiary NYSE Arca Equities, 
Inc. (``NYSE Arca Equities''), proposes to list and trade under NYSE 
Arca Equities Rule 8.203 shares (``Shares'') of the iShares[supreg] S&P 
GSCI\TM\ Commodity-Indexed Trust (``Trust'').\3\ The Trust issues units 
of beneficial interest (i.e., the Shares) representing fractional 
undivided beneficial interests in the net assets of the Trust. The text 
of the proposed rule change is available on the Exchange's Web site at 
http://www.nyse.com, at the Exchange's principal office, and at the 
Commission's Public Reference Room.
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    \3\ iShares[supreg] is a registered trademark of Barclays Global 
Investors, N.A. ``S&P GSCI'' is a trademark of Standard & Poor's 
(``S&P'' or ``Index Sponsor''), a division of The McGraw-Hill 
Companies, Inc.
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II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

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

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

1. Purpose
    The Exchange proposes to list and trade the Shares under NYSE Arca 
Equities Rule 8.203. The objective of the Trust is for the performance 
of the Shares to correspond generally to the performance of the S&P 
GSCI\TM\ Total Return Index, before payment of the Trust's and the 
Investing Pool's (as described below) expenses and liabilities (the 
``Total Return Index''). The Trust is currently listed on the New York 
Stock Exchange LLC (``NYSE'') and trades on NYSE Arca pursuant to 
unlisted trading privileges. Following Commission approval of this 
proposed rule change, the Trust will transfer listing from NYSE to NYSE 
Arca,\4\ and will not trade on NYSE. The Exchange represents that the 
Shares satisfy the requirements of NYSE Arca Equities Rule 8.203 and 
thereby qualify for listing on the Exchange.
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    \4\ See Securities Exchange Act Release No. 54013 (June 16, 
2006), 71 FR 36372 (June 26, 2006) (SR-NYSE-2006-17) (``NYSE 
Order'') (approving listing and trading of the Shares on NYSE); 
Securities Exchange Act Release No. 54025 (June 21, 2006), 71 FR 
36856 (June 28, 2006) (SR-NYSEArca-2006-12) (approving, among other 
things, the trading of the Shares on NYSE Arca pursuant to unlisted 
trading privileges).
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    The commodity component of the Total Return Index is comprised of a 
group of commodities included in the S&P GSCI\TM\ Commodity Index 
(``S&P GSCI\TM\'' or ``Index''), which is a production-weighted index 
of the prices

[[Page 71179]]

of a diversified group of futures contracts on physical commodities. 
The Total Return Index reflects the return of the S&P GSCI\TM\ Excess 
Return Index (``S&P GSCI\TM\-ER''), described below, together with the 
return on specified U.S. Treasury securities that are deemed to have 
been held to collateralize a hypothetical long position in the futures 
contracts comprising the S&P GSCI\TM\-ER.
    The S&P GSCI\TM\-ER is calculated based on the same commodities as 
those in the Total Return Index and S&P GSCI\TM\ Index and reflects the 
returns that are potentially available through a rolling 
uncollateralized investment in the contracts comprising the S&P 
GSCI\TM\ Index. The S&P GSCI\TM\-ER does not reflect the return on U.S. 
Treasury securities used to collateralize positions in futures 
contracts comprising that index.\5\
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    \5\ S&P acquired the S&P GSCI\TM\ (formerly known as the 
``Goldman Sachs Commodity Index''), the S&P GSCI\TM\-ER and the 
Total Return Index from Goldman Sachs & Co., the prior Index 
Sponsor, effective May 2007. The Sponsor, defined infra, filed Form 
S-1 for iShares[supreg] GSCI\TM\ Commodity-Indexed Trust on July 22, 
2005. See Registration No. 333-126810 and Registration No. 333-
142259 (Trust prospectus dated May 11, 2007). These filings are 
referred to collectively herein as the ``Registration Statement.'' 
According to the Registration Statement, S&P has represented that it 
will not modify the determination methodology for the S&P GSCI\TM\ 
Total Return Index from that existing on the date of transfer (May 
9, 2007) for at least one year. Thereafter, there can be no 
assurance as to whether the methodology will be changed.
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    The Trust will attempt to approximate the Total Return Index by 
holding interests in an Investing Pool (described below) which, in 
turn, holds futures contracts on the S&P GSCI\TM\-ER (``CERFs''), 
together with cash or other short-term securities used to collateralize 
the futures positions.
a. The Trust and Investing Pool
    The Trust is a Delaware statutory trust that issues units of 
beneficial interest called Shares, representing fractional undivided 
beneficial interests in its net assets. Substantially all of the assets 
of the Trust consist of holdings of the limited liability company 
interests of a specified commodity pool (``Investing Pool Interests''), 
which are the only securities in which the Trust may invest. 
Specifically, the Trust holds interests in the iShares[supreg] S&P 
GSCI\TM\ Commodity-Indexed Investing Pool (``Investing Pool'').
    The Investing Pool holds long positions in futures contracts on the 
S&P GSCI\TM\-ER and will post margin in the form of cash or short-term 
securities to collateralize these futures positions. Trading on the 
Chicago Mercantile Exchange (``CME'') Globex electronic trading 
platform of CERFs based on the GSCI-ER Index commenced effective March 
12, 2006 for trade date March 13, 2006.
    The Trust and the Investing Pool are each commodity pools managed 
by a commodity pool operator registered as such with the Commodity 
Futures Trading Commission (``CFTC''). According to the Registration 
Statement, neither the Trust nor the Investing Pool is an investment 
company registered under the Investment Company Act of 1940.\6\
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    \6\ 15 U.S.C. 80a.
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b. The Sponsor and Trustee
    The sponsor of the Trust (``Sponsor'') is Barclays Global Investors 
International, Inc. The Sponsor's primary business function is to act 
as Sponsor and commodity pool operator of the Trust and Manager of the 
Investing Pool, as discussed below.\7\ The Advisor to the Investing 
Pool is Barclays Global Fund Advisors, a California corporation and an 
indirect subsidiary of Barclays Bank PLC.
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    \7\ Barclays Global Investors International, Inc. is a commodity 
pool operator registered with the CFTC.
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    Barclays Global Investors International, Inc. also serves as the 
Manager of the Investing Pool, in which capacity it serves as commodity 
pool operator of the Investing Pool and is responsible for its 
administration. The Manager arranges for and pays the costs of 
organizing the Investing Pool. The Manager has delegated some of its 
responsibilities for administering the Investing Pool to the 
Administrator, State Street Bank and Trust Company which, in turn, has 
employed the Investing Pool Administrator and the Tax Administrator 
(PriceWaterhouse Coopers) to maintain various records on behalf of the 
Investing Pool.
    The trustee of the Trust (``Trustee'') is Barclays Global 
Investors, N.A., a national banking association affiliated with the 
Sponsor. The Trustee is responsible for the day-to-day administration 
of the Trust.\8\ Pursuant to NYSE Arca Equities Rule 8.203(e)(4)(ii), a 
change in the Trustee would require prior notice to and approval by the 
Exchange. The Exchange notes that both the Sponsor and the Trustee will 
establish firewall procedures with respect to personnel who have access 
to information concerning changes and adjustments to components of the 
Trust to prevent the use and dissemination of material non-public 
information.
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    \8\ Except as otherwise specifically noted, the information 
provided by the Exchange in its proposed rule change relating to the 
Trust and the Shares, commodities markets, and related information 
is based entirely on information included in the Registration 
Statement.
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c. The Investing Pool
    The Investing Pool holds long positions in CERFs, which are cash-
settled futures contracts listed on the CME that have a term of 
approximately five years after listing and whose settlement at 
expiration is based on the value of the S&P GSCITM-ER at 
that time. The Investing Pool also earns interest on the assets used to 
collateralize its holdings of CERFs.
    A detailed description of the Trust, the Investing Pool, 
characteristics and calculation of the S&P GSCITM Total 
Return Index, the S&P GSCITM Index, and S&P 
GSCITM-ER, characteristics and valuation of CERFs, 
computation of the Trust's net asset value, creation and redemption 
procedures, and Trust fees is included in the NYSE Order \9\ and the 
Registration Statement.\10\
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    \9\ See supra at note 4.
    \10\ See supra at note 5.
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d. The Index Committee and Index Advisory Panel
    The Index Sponsor has established an Index Committee to oversee the 
daily management and operations of the S&P GSCITM, and is 
responsible for all analytical methods and calculations. The Index 
Committee is comprised of three full-time professional members of S&P's 
staff and two members of Goldman Sachs Group. At each meeting, the 
Index Committee reviews any issues that may affect index constituents, 
statistics comparing the composition of the indices to the market, 
commodities that are being considered as candidates for addition to an 
index, and any significant market events. In addition, the Index 
Committee may revise index policy covering rules for selecting 
commodities, or other matters.
    S&P considers information about changes to its indices and related 
matters to be potentially market moving and material. Therefore, all 
Index Committee discussions are confidential.\11\
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    \11\ The Exchange states that, in this instance, it will apply 
Commentary .01(b)(1) of NYSE Arca Equities Rule 5.2(j)(3) to the 
Shares. This provision requires, among other things, that the Index 
Committee implement and maintain, or be subject to, procedures 
designed to prevent the use and dissemination of material non-public 
information regarding the Index.
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    In addition, the Index Sponsor has established an Index Advisory 
Panel to assist it with the operation of the S&P GSCITM. The 
principal purpose of the Index Advisory Panel is to advise the Index 
Sponsor with respect to, among other things, the calculation of the S&P 
GSCITM, the effectiveness of the S&P

[[Page 71180]]

GSCITM as a measure of commodity futures market performance 
and the need for changes in the composition or the methodology of the 
S&P GSCITM. The Index Advisory Panel acts solely in an 
advisory and consultative capacity. All decisions with respect to the 
composition, calculation and operation of the S&P GSCITM are 
made by the Index Committee.
    The Index Advisory Panel generally meets in October of each year. 
Prior to the meeting, the Index Sponsor determines the commodities to 
be included in the S&P GSCI\TM\ for the following calendar year and the 
weighting factors for each commodity. The Index Advisory Panel's 
members receive the proposed composition of the S&P GSCI\TM\ in advance 
of the meeting and discuss the composition at the meeting. The Index 
Sponsor also consults the Index Advisory Panel on any other significant 
matters with respect to the calculation and operation of the S&P 
GSCI\TM\. The Index Advisory Panel may, if necessary or practicable, 
meet at other times during the year as issues arise that warrant its 
consideration.
    The contracts currently included in the S&P GSCI\TM\ are all 
futures contracts traded on the New York Mercantile Exchange, Inc. 
(``NYM''), ICE Futures (``ICE'') and its subsidiary, the New York Board 
of Trade (``NYBOT''), the CME, the Chicago Board of Trade (``CBT''), 
the Coffee, Sugar & Cocoa Exchange, Inc. (``CSC''), the Kansas City 
Board of Trade (``KBT''), the COMEX Division of the New York Mercantile 
Exchange, Inc. (``CMX'') and the London Metal Exchange (``LME'').
    The futures contracts currently included in the S&P GSCI\TM\, their 
percentage dollar weights (as of August 13, 2007), their market symbols 
and the exchanges on which they are traded, trading hours (New York 
Time), Average Daily Trading Volume (``ADTV'') for January 2007 through 
July, 2007, and units per contract are as follows:

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                                                             ADTV
               Commodity                Weight 8/13/07    (contracts)         Market  symbol             Trading  facility                Units
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WTI Crude Oil.........................           36.03         203,372  CL........................  NYM.......................  1,000 index points.
Brent Crude Oil.......................           14.61         237,534  LCO.......................  ICE.......................  1,000 barrels.
Natural Gas...........................            7.16         112,312  NG........................  NYM.......................  42,000 U.S. Gallons.
Heating Oil...........................            5.79          71,276  HO........................  NYM.......................  42,000 U.S. Gallons.
Gas Oil...............................            5.17          89,636  LGO.......................  ICE.......................  100 metric tons.
Copper................................            4.06          14,894  MCU.......................  NYM.......................  25,000 lbs.
Chicago Wheat.........................            3.84          76,630  W.........................  CBT.......................  5,000 bushels.
Aluminum..............................            3.01         155,886  MAL.......................  LME.......................  25 metric tons.
Corn..................................            2.96         248,132  C.........................  CBT.......................  5,000 bushels.
Live Cattle...........................            2.61          36,530  LC........................  CME.......................  40,000 lbs.
Gold..................................            2.00          90,592  GC........................  NYM.......................  100 Troy ounces.
Soybeans..............................            1.98         122,705  S.........................  CBT.......................  5,000 bushels.
Lean Hogs.............................            1.50          30,698  LH........................  CME.......................  40,000 lbs.
Kansas City Wheat.....................            1.31          17,476  KW........................  KBT.......................  5,000 bushels.
RBOB Gas..............................            1.28          80,211  RB........................  NYM.......................  50,000 X PADD.
Nickel................................            1.11          14,543  MNI.......................  LME.......................  6 metric tons.
Zinc..................................            1.10          48,483  MZN.......................  LME.......................  25 metric tons.
Sugar.................................            1.03          26,452  SB........................  NYBOT.....................  112,000 lbs.
Cotton................................            0.91          26,452  CT........................  NYBOT.....................  50,000 lbs.
Coffee................................            0.72          20,664  KC........................  NYBOT.....................  37,500 lbs.
Lead..................................            0.70          16,998  MPB.......................  LME.......................  25 metric tons.
Feeder Cattle.........................            0.63           4,416  FC........................  CME.......................  50,000 lbs.
Silver................................            0.27          24,458  SI........................  NYM.......................  5,000 troy ounces.
Cocoa.................................            0.21          13,582  CC........................  NYBOT.....................  10 metric tons.
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    The hours of trading (New York Time) of the commodities in the 
charts above are as follows:

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              Commodity                       Trading facility                   Trading hours (NY time)
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Crude Oil...........................  NYM.............................  10 a.m.-2:30 p.m.
Brent Crude Oil.....................  ICE.............................  8 p.m.-5 p.m. (next day).
Natural Gas.........................  NYM.............................  10 a.m.-2:30 p.m.
Heating Oil.........................  NYM.............................  10:05 a.m.-2:30 p.m.
RBOB Gasoline.......................  NYM.............................  10:05 a.m.-2:30 p.m.
Gas Oil.............................  ICE.............................  8 p.m.-5 p.m. (next day).
Live Cattle.........................  CME.............................  10:05 a.m.-2 p.m.
Wheat...............................  CBT.............................  10:30 a.m.-2:15 p.m.
Aluminum............................  LME.............................  6:55 a.m.-12:00 p.m.
Corn................................  CBT.............................  10:30 a.m.-2:15 p.m.
Copper..............................  LME.............................  7 a.m.-12 p.m.
Soybeans............................  CBT.............................  10:30 a.m.-2:15 p.m.
Lean Hogs...........................  CME.............................  9:10 a.m.-1 p.m.
Gold................................  CMX.............................  8:20 a.m.-1:30 p.m.
Sugar...............................  CSC.............................  9 a.m.-12 p.m.
Cotton..............................  NYC.............................  10:30 a.m.-2:15 p.m.
Red Wheat...........................  KBT.............................  10:30 a.m.-2:15 p.m.
Coffee..............................  CSC.............................  9:15 a.m.-12:30 p.m.

[[Page 71181]]

 
Standard Lead.......................  LME.............................  7:05 a.m.-11:50 a.m.
Feeder Cattle.......................  CME.............................  10:05 a.m.-2 p.m.
Zinc................................  LME.............................  7:10 a.m.-11:55 a.m.
Primary Nickel......................  LME.............................  7:10 a.m.-11:55 a.m.
Cocoa...............................  CSC.............................  8 a.m.-11:50 a.m.
Silver..............................  CMX.............................  8:25 a.m.-1:25 p.m.
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e. Dissemination of Information Relating to the Shares
    The Web site for the Trust (http://www.ishares.com), which is 
publicly accessible at no charge, contains the following information: 
(a) The prior Business Day's \12\ net asset value (``NAV''), calculated 
on a per Share basis, and the reported closing price; (b) the mid-point 
of the bid-ask price \13\ in relation to the NAV as of the time the NAV 
is calculated (the ``Bid-Ask Price''); (c) calculation of the premium 
or discount of such price against such NAV; (d) data in chart form 
displaying the frequency distribution of discounts and premiums of the 
Bid-Ask Price against the NAV, within appropriate ranges for each of 
the four previous calendar quarters; (e) the prospectus; (f) the 
holdings of the Trust, including CERFs, cash and Treasury securities; 
(g) the Basket Amount;\14\ and (h) other applicable quantitative 
information.
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    \12\ The Trust's Registration Statement defines ``Business Day'' 
as any day (1) on which none of the following occurs: (a) The NYSE 
is closed for regular trading, (b) the CME is closed for regular 
trading or (c) the Federal Reserve transfer system is closed for 
cash wire transfers; or (2) the Trustee determines that it is able 
to conduct business.
    \13\ The bid-ask price of Shares is determined using the highest 
bid and lowest offer as of the time of calculation of the NAV.
    \14\ The Basket Amount is the amount of CERFs and Short-Term 
Securities or cash that an Authorized Participant must deliver in 
exchange for one Basket.
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    The NAV for the Shares is calculated and disseminated daily. In 
addition, during the NYSE Arca Core Trading Session (i.e., 9:30 a.m. to 
4:15 p.m., New York Time) for the Trust, one or more major market data 
vendors disseminates information with respect to the Indicative Intra-
day Value (as discussed below), recent NAV, and Shares outstanding on a 
daily basis. The NAV for each Business Day on which the NYSE is open 
for regular trading is distributed through major market data vendors 
and will be published online at http://www.ishares.com, or any 
successor thereto. The Trust updates the NAV as soon as practicable 
after each subsequent NAV is calculated.
    The Sponsor for the Trust (Barclays Global Investors International, 
Inc.) has represented to the Exchange that the Trustee for the Trust 
will make the NAV on a per Share basis available to all market 
participants at the same time.
    At present, official calculation by the Index Sponsor of the value 
of S&P GSCI\TM\ Index is performed continuously and is updated on 
Reuters at least every 15 seconds during the NYSE Arca Core Trading 
Session and during business hours on each Business Day on which the 
offices of the Index Sponsor in New York City are open for business. In 
the event that the Exchange is open for business on a day that is not 
an S&P GSCI\TM\ Business Day, the Exchange will not permit trading of 
the Shares on that day.
    In addition, values updated at least every 15 seconds are 
disseminated on Reuters for the Total Return Index during the NYSE Arca 
Core Trading Session. Daily settlement values for the S&P GSCI\TM\, the 
Total Return Index and S&P GSCI\TM\-ER are also widely disseminated.
    If the relevant trading facility fails to make a daily contract 
reference price available or publishes a daily contract reference price 
(as discussed in the Registration Statement and the NYSE Order) that, 
in the reasonable judgment of the Index Sponsor, reflects manifest 
error, the relevant calculation will be delayed until the price is made 
available or corrected; provided, that, if the price is not made 
available or corrected by 4 p.m. New York Time, the Index Sponsor may, 
if it deems that action to be appropriate under the circumstances, 
determine the appropriate daily contract reference price for the 
applicable futures contract in its reasonable judgment for purposes of 
the relevant calculation.
    Various data vendors and news publications publish futures prices 
and data. Futures quotes and last sale information for the commodities 
underlying the Index are widely disseminated through a variety of 
market data vendors worldwide, including Bloomberg and Reuters. In 
addition, complete real-time data for such futures is available by 
subscription from Reuters and Bloomberg. The futures exchanges on which 
the underlying commodities and CERFs trade also provide delayed futures 
information on current and past trading sessions and market news 
generally free of charge on their respective Web sites. The specific 
contract specifications for the futures contracts are also available 
from the futures exchanges on their Web sites as well as other 
financial informational sources.
f. Indicative Intra-Day Value
    In order to provide updated information relating to the Trust for 
use by investors, professionals, and other persons, one or more major 
market data vendors disseminate an updated Indicative Intra-day Value 
(``IIV'') on a per Share basis. The IIV is disseminated at least every 
15 seconds from 9:30 a.m. to 4:15 p.m., New York Time. The IIV is 
calculated based on the cash and collateral in a Basket Amount \15\ 
divided by 50,000, adjusted to reflect the market value of the 
investments held by the Investing Pool, i.e. CERFs. The IIV does not 
reflect price changes to the price of an underlying commodity between 
the close of trading of the futures contract at the relevant futures 
exchange and the close of trading in the NYSE Arca Core Trading 
Session. The value of a Share may accordingly be influenced by non-
concurrent trading hours between NYSE Arca and the various futures 
exchanges on which the futures contracts based on the Index commodities 
are traded. The table above lists the trading hours for each of the 
Index commodities underlying the futures contracts.
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    \15\ The Basket Amount is the amount of CERFs and Short-Term 
Securities or cash that an Authorized Participant must deliver in 
exchange for one Basket.
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    When the market for futures trading for each of the relevant Index 
commodities is open, the IIV can be expected to closely approximate the 
value per Share of the Basket Amount. However, during the NYSE Arca 
Core Trading Session when the futures contracts have ceased trading, 
spreads and resulting premiums or discounts may widen, and, therefore, 
increase the difference between the price of the Shares and the NAV of 
the Shares. IIV on a per Share basis disseminated during the NYSE Arca 
Core Trading Session should not be viewed as a real time update of the 
NAV, which is calculated only once a day.

[[Page 71182]]

g. Other Characteristics of the Shares
    General Information. The trading hours for the Shares on the 
Exchange are the same as those set forth in NYSE Arca Equities Rule 
7.34 (Opening, Core Trading, and Late Trading Sessions, 4 a.m. to 8 
p.m., New York Time). The minimum trading increment for Shares on the 
Exchange is $0.01.
    Initial Listing Criteria. NYSE Arca Equities Rule 8.203(e)(1) 
requires a minimum number of Shares outstanding, as determined by the 
Exchange. For the purpose of this product, the minimum number is 
100,000 Shares.
    Continued Listing Criteria. The Shares will be subject to the 
continued listing criteria of NYSE Arca Equities Rule 8.203(e)(2). 
Under the applicable continued listing criteria, the Shares may be 
delisted as follows: (1) Following the initial 12-month period 
beginning upon the commencement of trading of the Shares, there are 
fewer than 50 record and/or beneficial holders of the Shares for 30 or 
more consecutive trading days; (2) the value of the Total Return Index 
ceases to be calculated by or available from a major market data vendor 
on at least a 15-second basis from a source unaffiliated with the 
Sponsor, the Trust or the Trustee; (3) the NAV is no longer 
disseminated to all market participants at the same time; (4) the IIV 
ceases to be available on at least a 15-second delayed basis from a 
major market data vendor; or (5) such other event shall occur or 
condition exist that, in the opinion of the Exchange, makes further 
dealings on the Exchange inadvisable. The Exchange will remove Shares 
from listing and trading upon termination of the Trust.
h. Trading Rules
    The Exchange deems the Shares to be equity securities, thus 
rendering trading in the Shares subject to the Exchange's existing 
rules governing the trading of equity securities. Trading in the Shares 
on the Exchange occurs in accordance with NYSE Arca Equities Rule 
7.34(a). The Exchange has appropriate rules to facilitate transactions 
in the Shares during this time.
    Further, NYSE Arca Equities Rules 8.203(g)-(i) set forth certain 
restrictions on equity trading permit holders (``ETP Holders'') acting 
as registered Market Makers \16\ in Commodity Index Trust Shares to 
facilitate surveillance. NYSE Arca Equities Rule 8.203(h) requires that 
the ETP Holder acting as a registered Market Maker in the Shares 
provide the Exchange with information relating to its trading in the 
applicable physical commodities included in, or options, futures or 
options on futures on, the applicable Index or any other derivatives 
based on the Index. NYSE Arca Equities Rule 8.203(i) prohibits the ETP 
Holder acting as a registered market maker in the Shares from using any 
material nonpublic information received from any person associated with 
an ETP Holder or employee of such person regarding trading by such 
person or employee in the applicable physical commodities included in, 
or options, futures or options on futures on, the Index or any other 
derivatives based on the Index (including the Shares). In addition, as 
stated above, NYSE Arca Equities Rule 8.203(g) prohibits the ETP Holder 
acting as a registered Market Maker in the Shares from being affiliated 
with a Market Maker in the applicable physical commodities included in, 
or options, futures or options on futures on, the Index or any other 
derivatives based on the Index unless adequate information barriers are 
in place, as provided in NYSE Arca Equities Rule 7.26.
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    \16\ The term ``Market Maker'' is defined in NYSE Arca Equities 
Rule 1.1 as an ETP Holder that acts as a Market Maker pursuant to 
NYSE Arca Equities Rule 7. Market Makers are required to be 
registered with the Exchange pursuant to NYSE Arca Equities Rule 
7.20 and have limitations on dealings as set forth in NYSE Arca 
Equities Rule 7.26.
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    With respect to trading halts, the Exchange may consider all 
relevant factors in exercising its discretion to halt or suspend 
trading in the Shares. Trading on the Exchange in the Shares may be 
halted because of market conditions or for reasons that, in the view of 
the Exchange, make trading in the Shares inadvisable. These may 
include: (1) The extent to which trading is not occurring in CERFs or 
the futures contracts included in the Index; or (2) whether other 
unusual conditions or circumstances detrimental to the maintenance of a 
fair and orderly market are present. In addition, trading in Shares 
will be subject to trading halts caused by extraordinary market 
volatility pursuant to the Exchange's ``circuit breaker'' rule. \17\ If 
the value of the Total Return Index or the IIV is not being 
disseminated on at least a 15-second basis during the hours the Shares 
trade on the Exchange, the Exchange may halt trading during the day in 
which the interruption to the dissemination of the IIV or the Index 
value occurs. If the interruption to the dissemination of the IIV or 
the Index 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.
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    \17\ See NYSE ARCA Equities Rule 7.12.
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    The Exchange has regulatory jurisdiction over its ETP Holders and 
any person or entity controlling an ETP Holder. The Exchange also has 
regulatory jurisdiction over a subsidiary or affiliate of an ETP Holder 
that is in the securities business. A subsidiary or affiliate of an ETP 
Holder that does business only in commodities or futures contracts 
would not be subject to Exchange jurisdiction, but the Exchange could 
obtain certain information regarding the activities of such subsidiary 
or affiliate through surveillance sharing agreements with regulatory 
organizations of which such subsidiary or affiliate is a member.
i. Surveillance
    The Exchange intends to utilize its existing surveillance 
procedures applicable to derivative products to monitor trading in the 
Shares. The Exchange represents that these procedures are adequate to 
properly monitor Exchange trading of the Shares in all trading sessions 
and to deter and detect violations of Exchange rules.
    The Exchange's current trading surveillances focus on detecting 
securities trading outside their 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. The Exchange is able to 
obtain information regarding trading in the Shares, the physical 
commodities included in, or options, futures or options on futures on, 
an index underlying an issue of Commodity Index Trust Shares or any 
other derivatives based on such index, through ETP Holders, in 
connection with such ETP Holders' proprietary or customer trades which 
they effect on any relevant market. With regard to the Index 
components, the Exchange can obtain market surveillance information, 
including customer identity information, with respect to transactions 
occurring on NYM, KBT, ICE and LME, pursuant to its comprehensive 
information sharing agreements with each of those exchanges. All of the 
other trading venues on which current Index components are traded are 
members of the Intermarket Surveillance Group (``ISG'') and the 
Exchange therefore has access to all relevant trading information with 
respect to those contracts without any further action being required on 
the part of the Exchange. A list of ISG members and affiliate members 
is available at http://www.isgportal.com.

[[Page 71183]]

    A new component may be added to the Index if it does not constitute 
more than 10% of the weight of the Index or, if it constitutes more 
than 10% of the weight of the Index, the principal trading market for 
such component either (a) is a member of ISG or (b) has in effect a 
comprehensive surveillance sharing agreement with the Exchange.
j. Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its 
ETP Holders in an Information Bulletin of the special characteristics 
and risks associated with trading the Shares, including risks inherent 
with trading the Shares during the Opening and Late Trading Sessions 
and suitability recommendation requirements.
    Specifically, the Information Bulletin will discuss the following: 
(1) The procedures for purchases and redemptions of Shares in Baskets; 
(2) NYSE Arca Equities Rule 9.2(a),\18\ which imposes a duty of due 
diligence on its ETP Holders to learn the essential facts relating to 
every customer prior to trading the Shares; (3) how information 
regarding the IIV is disseminated; (4) the risks involved in trading 
the Shares during the Opening and Late Trading Sessions when an updated 
IIV will not be calculated or publicly disseminated; (5) the 
requirement that ETP Holders deliver a prospectus to investors 
purchasing newly issued Shares prior to or concurrently with the 
confirmation of a transaction; and (6) trading information. For 
example, the Information Bulletin will advise ETP Holders, prior to the 
commencement of trading, of the prospectus delivery requirements 
applicable to the Trust. The Exchange notes that investors purchasing 
Shares directly from the Trust (by delivery of the Basket Amount) will 
receive a prospectus. ETP Holders purchasing Shares from the Trust for 
resale to investors will deliver a prospectus to such investors.
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    \18\ NYSE Arca Equities Rule 9.2(a) (``Diligence as to 
Accounts'') provides that ETP Holders, before recommending a 
transaction, must have reasonable grounds to believe that the 
recommendation is suitable for the customer based on any facts 
disclosed by the customer as to his other security holdings and as 
to his financial situation and needs. Further, the rule provides, 
with a limited exception, that prior to the execution of a 
transaction recommended to a non-institutional customer, the ETP 
Holders shall make reasonable efforts to obtain information 
concerning the customer's financial status, tax status, investment 
objectives, and any other information that they believe would be 
useful to make a recommendation. See Securities Exchange Act Release 
No. 54026 (June 21, 2006), 71 FR 36850 (June 28, 2006) (SR-PCX-2005-
115).
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    In addition, the Information Bulletin will reference that the Trust 
is subject to various fees and expenses described in the Registration 
Statement. The Information Bulletin will also reference the fact that 
there is no regulated source of last sale information regarding 
physical commodities, and will discuss the relevant regulatory 
jurisdiction over the trading of physical commodities or the futures 
contracts on which the value of the Shares is based.
2. Statutory Basis
    The basis under the Exchange Act for this proposed rule change is 
the requirement under Section 6(b)(5)\19\ 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.
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    \19\ 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. 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 [email protected]. Please include 
File Number SR-NYSEArca-2007-112 on the subject line.

Paper Comments

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

All submissions should refer to File Number SR-NYSEArca-2007-112. 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-NYSEArca-2007-112 and should 
be submitted on or before January 4, 2008.

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

    After careful consideration, the Commission finds that the proposed 
rule change is consistent with the requirements of the Act and the 
rules and regulations thereunder applicable to a national securities 
exchange.\20\ In particular, the Commission finds that the proposed 
rule change is consistent with Section 6(b)(5) of the Act,\21\ which 
requires that the rules of a national securities exchange be designed, 
among other things, to promote just and equitable principles of trade, 
to remove impediments to and perfect the mechanism of a free and open 
market and a national market system, and, in general, to protect 
investors and the public interest. The Commission also finds that the 
proposal is consistent with Section 11A(a)(1)(C)(iii) of the

[[Page 71184]]

Act,\22\ which sets forth Congress' finding that it is in the public 
interest and appropriate for the protection of investors and the 
maintenance of fair and orderly markets to assure the availability to 
brokers, dealers, and investors of information with respect to 
quotations for and transactions in securities.
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    \20\ In approving this rule change, the Commission notes that it 
has considered the proposed rule's impact on efficiency, 
competition, and capital formation. See 15 U.S.C. 78c(f).
    \21\ 15 U.S.C. 78f(b)(5).
    \22\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
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    As described above, the Exchange represents that futures prices and 
data, including quotes and last-sale information for the commodities 
underlying the Index, are widely disseminated through a variety of 
market data vendors, including Bloomberg and Reuters. The Exchange also 
represents that complete real-time data on such futures is available by 
subscription, and the relevant futures exchanges generally provide 
delayed futures information on current and past trading sessions and 
market news free of charge on their respective Web sites. Additionally, 
the specific contract specifications for the futures contracts are 
available from the futures exchanges on their Web sites as well as 
other financial informational sources. Further, the Trust's Web site, 
which is accessible for no charge, contains the following information: 
(a) The prior business day's NAV on a per Share basis and the reported 
closing price; (b) the Bid-Ask Price; (c) calculation of the premium or 
discount of such price against such NAV; (d) data in chart form 
displaying the frequency distribution of discounts and premiums of the 
Bid-Ask Price against the NAV, within appropriate ranges for each of 
the four previous calendar quarters; (e) the prospectus; (f) the 
holdings of the Trust, including CERFs, cash and Treasury securities; 
(g) the Basket Amount, and (h) other applicable quantitative 
information.
    The Commission believes that the proposed rule change is reasonably 
designed to promote fair disclosure of information that may be 
necessary to appropriately price the Shares. The NAV per Share is 
calculated daily, and the Sponsor has represented that the Trustee will 
make the NAV on a per Share basis available to all market participants 
at the same time. In addition, the Exchange represents that the Web 
site disclosure of the portfolio composition of the Trust will be made 
to all market participants at the same time. Further, as described 
above, NYSE Arca Equities Rules 8.203(g)-(i) set forth certain 
restrictions on ETP Holders acting as registered Market Makers in 
Commodity Index Trust Shares.
    The Commission also believes that the Exchange's trading halt rules 
are reasonably designed to prevent trading in the Shares when 
transparency is impaired. Trading in the Shares would be subject to 
trading halts caused by extraordinary market volatility pursuant to the 
Exchange's ``circuit breaker'' rule, NYSE Arca Equities Rule 7.12. In 
exercising its discretion to halt or suspend trading in the Shares, the 
Exchange may consider factors such as the extent to which trading is 
not occurring in CERFs or the futures contracts included in the Index 
or whether other unusual conditions or circumstances detrimental to the 
maintenance of a fair and orderly market are present. If the value of 
the Total Return Index or the IIV is not being disseminated on at least 
a 15-second basis during the hours the Shares trade on the Exchange, 
the Exchange may halt trading during the day in which the interruption 
to the dissemination of the IIV or the Index value occurs. If the 
interruption to the dissemination of the IIV or the Index 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.
    The Commission further believes that the trading rules and 
procedures to which the Fund Units will be subject pursuant to this 
proposal are consistent with the Act. The Exchange has represented that 
the Shares are equity securities subject to NYSE Arca's rules governing 
the trading of equity securities.
    In support of this proposal, the Exchange has made the following 
representations:
    1. The Exchange's surveillance procedures are adequate to properly 
monitor the trading of the Shares, and to deter and detect violations 
of Exchange rules. In addition, the Exchange is able to obtain 
information regarding trading in the Shares, the physical commodities 
included in, or options, futures or options on futures on, an index 
underlying an issue of Commodity Index Trust Shares or any other 
derivatives based on such index. With regard to the Index components, 
the Exchange can obtain market surveillance information, including 
customer identity information, with respect to transactions occurring 
on NYM, KBT, ICE and LME, pursuant to its comprehensive information 
sharing agreements with each of those exchanges. All of the other 
trading venues on which current Index components are traded are members 
of the ISG and the Exchange therefore has access to all relevant 
trading information with respect to those contracts without any further 
action being required on the part of the Exchange.
    2. Prior to the commencement of trading, the Exchange will inform 
its ETP Holders in an Information Bulletin of the special 
characteristics and risks associated with trading the Shares, including 
risks inherent with trading the Shares during the Opening and Late 
Trading Sessions and suitability recommendation requirements. The 
Information Bulletin will also advise ETP Holders, prior to the 
commencement of trading, of the prospectus delivery requirements 
applicable to the Trust. The Information Bulletin will also reference 
the fact that there is no regulated source of last sale information 
regarding physical commodities, and will discuss the relevant 
regulatory jurisdiction of trading of physical commodities or the 
futures contracts on which the value of the Shares is based.
    This approval order is based on the Exchange's representations.
    The Commission finds good cause, pursuant to Section 19(b)(2) of 
the Act,\23\ for approving the proposed rule change prior to the 30th 
day after the date of publication of notice in the Federal Register. 
The Commission has previously approved both the listing and trading of 
the Shares on NYSE and the trading of the Shares on NYSE Arca pursuant 
to unlisted trading privileges,\24\ and does not believe that allowing 
the product to be both listed and traded on NYSE Arca raises novel 
regulatory issues. Consequently, the Commission believes that it is 
appropriate to allow the switching of listing markets without delay. 
Accordingly, the Commission finds that there is good cause, consistent 
with Section 6(b)(5) of the Act,\25\ to approve the proposal on an 
accelerated basis.
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    \23\ 15 U.S.C. 78s(b)(2).
    \24\ See supra at note 4.
    \25\ 15 U.S.C. 78f(b)(5).
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V. Conclusion

    It is therefore ordered, pursuant to Section 19(b)(2) under the 
Act,\26\ that the proposed rule change (SR-NYSEArca-2007-112) be, and 
it hereby is, approved on an accelerated basis.
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    \26\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\27\
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    \27\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
 [FR Doc. E7-24194 Filed 12-13-07; 8:45 am]
BILLING CODE 8011-01-P