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Code · REGISTER · 2006-11-02 · Bureau of Prisons, Justice · Notices

Notices. Notice

48,760 words·~222 min read·/register/2006/11/02/06-9024·

A research copy — for the controlling text, always check the official state or federal source. Not legal advice.

BILLING CODE 4410-NW-M DEPARTMENT OF JUSTICE Bureau of Prisons Annual Determination of Average Cost of Incarceration AGENCY: Bureau of Prisons, Justice. ACTION: Notice. SUMMARY: The fee to cover the average cost of incarceration for Federal inmates in Fiscal Year 2005 was $20,842. DATES: *Effective Date:* November 2, 2006. ADDRESSES: Office of General Counsel, Federal Bureau of Prisons, 320 First St., NW., Washington, DC 20534. FOR FURTHER INFORMATION CONTACT: Sarah Qureshi,
(202)307-2105. SUPPLEMENTARY INFORMATION: 28 CFR part 505 allows for assessment and collection of a fee to cover the average cost of incarceration for Federal inmates. We calculate this fee by dividing the number representing Bureau facilities' monetary obligation (excluding activation costs) by the number of inmate-days incurred for the preceding fiscal year, and then by multiplying the quotient by 365. Under § 505.2, the Director of the Bureau of Prisons determined that, based upon fiscal year 2005 data, the fee to cover the average cost of incarcerating a single inmate for one year during 2005 was $20,842. Harley G. Lappin, Director, Bureau of Prisons. [FR Doc. E6-18446 Filed 11-1-06; 8:45 am] BILLING CODE 4410-05-P DEPARTMENT OF LABOR Employee Benefits Security Administration Agency Information Collection Activities; Announcement of OMB Approvals AGENCY: Employee Benefits Security Administration, Labor. ACTION: Notice. SUMMARY: The Employee Benefits Security Administration
(EBSA)announces that the Office of Management and Budget
(OMB)has approved certain collections of information, listed in the Supplementary Information below, following EBSA's submission of requests for such approvals under the Paperwork Reduction Act of 1995
(PRA)(44 U.S.C. 3501 *et seq.* ). This notice describes the information collections that have been approved or re-approved, their OMB control numbers, and their current expiration dates. FOR FURTHER INFORMATION CONTACT: Susan G. Lahne, Office of Policy and Research, Employee Benefits Security Administration, U.S. Department of Labor, 200 Constitution Avenue, NW., Room N-5647, Washington, DC 20210. Telephone:
(202)693-8410; Fax:
(202)219-4745. These are not toll-free numbers. SUPPLEMENTARY INFORMATION: The PRA and its implementing regulations require Federal agencies to display OMB control numbers and inform respondents of their legal significance after OMB has approved an agency's information collections. In accordance with those requirements, EBSA hereby notifies the public that the following information collections have been re-approved by OMB following EBSA's submission of an information collection request
(ICR)for extension of a prior approval: • OMB Control No. 1210-0114, Disclosures by Insurers to General Account Policyholders (final regulation). The expiration date for this information collection is March 31, 2009. • OMB Control No. 1210-0090, Disclosures for Participant Directed Individual Account Plans under ERISA Section 404(c) (final regulation). The expiration date for this information collection is March 31, 2009. • OMB Control No. 1210-0084, ERISA Technical Release 91-1 (notice). The expiration date for this information collection is March 31, 2009. • OMB Control No. 1210-0066, ERISA Procedure 76-1; Advisory Opinion Procedure. The expiration date for this information collection is May 31, 2009. • OMB Control No. 1210-0091, Settlement Agreements between a Plan and a Party in Interest (PTEs 94-71, 03-39). The expiration date for this information collection is May 31, 2009. • OMB Control No. 1210-0122, Notice of Blackout Period under ERISA (final regulation). The expiration date for this information collection is May 31, 2009. • OMB Control No. 1210-0100, Definition of Plan Assets—Participant Contributions (final regulation). The expiration date for this information collection is June 30, 2009. • OMB Control No. 1210-0113, National Medical Support Notice—Part B (final regulation). The expiration date for this information collection is June 30, 2009. • OMB Control No. 1210-0040, ERISA Summary Annual Report (final regulation). The expiration date for this information collection is July 31, 2009. • OMB Control No. 1210-0115, Prohibited Transaction Class Exemption for Cross-Trades of Securities by Index and Model-Driven Funds (PTE 02-12). The expiration date for this information collection is August 31, 2009. • OMB Control No. 1210-0082, Bank Collective Investment Funds; Prohibited Transaction Class Exemption 91-38. The expiration date for this information collection is August 31, 2009. • OMB Control No. 1210-0083, PTE 90-1; Insurance Company Pooled Separate Accounts (prohibited transaction class exemption). The expiration date for this information collection is August 31, 2009. • OMB Control No. 1210-0104, Prohibited Transaction Class Exemption 97-41; Collective Investment Funds Conversion Transactions. The expiration date for this information collection is August 31, 2009. • OMB Control No. 1210-0124, Acquisition and Sale of Trust REIT Shares by Individual Account Plans Sponsored by Trust REITs (PTE 04-07). The expiration date for this information collection is August 31, 2009. • OMB Control No. 1210-0058, Prohibited Transaction Class Exemptions for Multiemployer Plans & Multiemployer Apprenticeship Plans, PTEs 76-1, 77-10, 78-6. The expiration date for this information collection is October 31, 2009. EBSA also notifies the public that the following information collections have been approved by OMB following EBSA's submission of an information collection request
(ICR)for revision or change of a prior approval: • OMB Control No. 1210-0118, Voluntary Fiduciary Correction Program (compliance assistance program). The expiration date for this information collection is May 31, 2009. • OMB Control No. 1210-0127, Termination of Abandoned Individual Account Plans (final regulations, prohibited transaction class exemption). The expiration date for this information collection is June 30, 2009. • OMB Control No. 1210-0059, Prohibited Transaction Exemption 86-128. The expiration date for this information collection is August 31, 2008. The PRA provides that an agency may not conduct or sponsor, and a person is not required to respond to, a collection of information unless it displays a currently valid OMB control number. Publication of this notice satisfies this requirement with respect to the above-listed information collections, as provided in 5 CFR 1320.5(b)(2)(C). Joseph S. Piacentini, Director, Office of Policy and Research, Employee Benefits Security Administration. [FR Doc. E6-18459 Filed 11-1-06; 8:45 am] BILLING CODE 4510-29-P NATIONAL ARCHIVES AND RECORDS ADMINISTRATION Advisory Committee on the Electronic Records Archives AGENCY: National Archives and Records Administration. ACTION: Notice of meeting. SUMMARY: In accordance with the Federal Advisory Committee Act, as amended (5 U.S.C. Appendix 2), the National Archives and Records Administration
(NARA)announces a meeting of the Advisory Committee on the Electronic Records Archives (ACERA). The committee serves as a deliberative body to advise the Archivist of the United States, on technical, mission, and service issues related to the Electronic Records Archives (ERA). This includes, but is not limited to, advising and making recommendations to the Archivist on issues related to the development, implementation and use of the ERA system. *Date of Meeting:* November 15-16, 2006. *Time of Meeting:* 9 a.m.-4 p.m. *Place of Meeting:* National Archives at College Park, 8601 Adelphi Road, College Park, MD 20740-6001. This meeting will be open to the public. However, due to space limitations and access procedures, the name and telephone number of individuals planning to attend must be submitted to the Electronic Records Archives Program at *era.program@nara.gov* . SUPPLEMENTARY INFORMATION: Agenda • Opening Remarks. • Approval of Minutes. • Committee Updates. • Activities Reports. • Adjournment. FOR FURTHER INFORMATION CONTACT: Lewis Bellardo, Deputy Archivist/Chief of Staff;
(301)837-1600. Dated: October 30, 2006. Mary Ann Hadyka, Committee Management Office. [FR Doc. E6-18473 Filed 11-1-06; 8:45 am] BILLING CODE 7515-01-P NATIONAL SCIENCE FOUNDATION Notice of Permit Application Received Under the Antarctic Conservation Act of 1978 AGENCY: National Science Foundation. ACTION: Notice of permit applications received under the Antarctic Conservation Act. SUMMARY: Notice is hereby given that the National Science Foundation
(NSF)has received a waste management permit application for operation of remote field support camps with emergency provisions for the Expedition Vessel, M/V Discovery for the 2006-2007 season and the one following austral summer. The application is submitted to NSF pursuant to regulations issued under the Antarctic Conservation Act of 1978. DATES: Interested parties are invited to submit written data, comments, or views with respect to this permit application by December 4, 2006. Permit applications may be inspected by interested parties at the Permit Office, address below. ADDRESSES: Comments should be addressed to Permit Office, Room 755, Office of Polar Programs, National Science Foundation, 4201 Wilson Boulevard, Arlington, Virginia 22230. FOR FURTHER INFORMATION CONTACT: Dr. Polly A. Penhale, Environmental Officer, at the above address or
(703)292-8030. SUPPLEMENTARY INFORMATION: NSF's Antarctic Waste Regulation, 45 CFR Part 671, requires all U.S. citizens and entities to obtain a permit for the use or release of a designated pollutant in Antarctica, and for the release of waste in Antarctica. NSF has received a permit application under this Regulation for the operation of expeditions to Antarctica. During each trip, passengers are taken ashore at selected sites by Zodiac (rubber raft) for approximately two to four hours at a time. On each zodiac landing, emergency gear would be taken ashore in case weather deteriorates and passengers are required to camp on shore. Anything taken ashore will be removed from Antarctica and disposed of in Ushuaia, Argentina, Port Stanley, Falkland Islands, or a substitute port of disembarkation. No hazardous domestic products or wastes (aerosol cans, paints, solvents, etc.) will be brought ashore. Smoke flares and parachute rockets will be used only in an emergency to notify responders. Conditions of the permit would include requirements to report on the removal of materials and any accidental releases, and management of all waste, including human waste, in accordance with Antarctic waste regulations. *Application for the permit is made by:* Mark Flager, Vice President, Discovery World Cruises, Inc., 1800 S.E. 10th Avenue, Suite 205, Fort Lauderdale, FL 33316. *Location:* Antarctica (south of 60 degrees south latitude). *Dates:* November 1, 2006 to March 2, 2008. Nadene G. Kennedy, Permit Officer. [FR Doc. E6-18421 Filed 11-1-06; 8:45 am] BILLING CODE 7555-01-P NATIONAL SCIENCE FOUNDATION Notice of Permit Applications Received Under the Antarctic Conservation Act of 1978 (Pub. L. 95-541) AGENCY: National Science Foundation. ACTION: Notice of Permit Applications Received under the Antarctic Conservation Act of 1978, Public Law 95-541. SUMMARY: The National Science Foundation
(NSF)is required to publish notice of permit applications received to conduct activities regulated under the Antarctic Conservation Act of 1978. NSF has published regulations under the Antarctic Conservation Act at Title 45 Part 670 of the Code of Federal Regulations. This is the required notice of permit applications received. DATES: Interested parties are invited to submit written data, comments, or views with respect to this permit application by December 4, 2006. This application may be inspected by interested parties at the Permit Office, address below. ADDRESSES: Comments should be addressed to Permit Office, Room 755, Office of Polar Programs, National Science Foundation, 4201 Wilson Boulevard, Arlington, Virginia 22230. FOR FURTHER INFORMATION CONTACT: Nadene G. Kennedy at the above address or
(703)292-7405. SUPPLEMENTARY INFORMATION: The National Science Foundation, as directed by the Antarctic Conservation Act of 1978 (Pub. L. 95-541), as amended by the Antarctic Science, Tourism and Conservation Act of 1996, has developed regulations for the establishment of a permit system for various activities in Antarctica and designation of certain animals and certain geographic areas a requiring special protection. The regulations establish such a permit system to designate Antarctic Specially Protected Areas. The applications received are as follows: 1. *Applicant:* Bruce R. Mate (Permit Application No. 2007-022), Hatfield Marine Science Center, Oregon State University, Newport, OR 97365-5269. *Activity for Which Permit Is Requested:* Take, and Import into the U.S. The applicant proposes to apply Argos satellite-monitored radio tags annually to 24 humpback whales, and, if the opportunity arose, 5 each of blue and fin whales during the next 5 years. The objectives of the proposed research are to:
(1)Track whale movements within their feeding habitat during the austral summer;
(2)examine the relationship between these movements and available prey distribution information as well as physical and biological oceanographic conditions; and
(3)identify migration routes from their summer feeding grounds in the Antarctic Peninsula region to their winter breeding and calving areas. In addition, the applicant will conduct biopsy sampling of all tagged whales for sex determination and genetic analysis. Collected samples will be returned to the United States for further scientific study. *Location:* Antarctic Peninsula region. *Dates:* January 1, 2007 to January 1, 2012. Nadene G. Kennedy, Permit Officer, Office of Polar Programs. [FR Doc. E6-18460 Filed 11-1-06; 8:45 am] BILLING CODE 7555-01-P NUCLEAR REGULATORY COMMISSION [Docket Nos. 50-387 and 50-388] Notice of Acceptance for Docketing of the Application, Notice of Opportunity for Hearing and Notice of Intent To Prepare an Environmental Impact Statement and Conduct Scoping Process for Facility Operating License Nos. NPF-14 and NPF-22 for an Additional 20-Year Period PPL Susquehanna LLC., Susquehanna Steam Electric Station, Units 1 and 2 The U.S. Nuclear Regulatory Commission (NRC or the Commission) is considering an application for the renewal of Operating License Nos. NPF-14 and NPF-22, which authorizes PPL Susquehanna LLC. (PPL), to operate the Susquehanna Steam Electric Station (SSES), Units 1 and 2 at 3489 megawatts thermal. The renewed license would authorize the applicant to operate the SSES, Units 1 and 2 for an additional 20 years beyond the period specified in the current license. SSES, Units 1 and 2 are located in Salem Township, Luzerne County, Pennsylvania, approximately five miles northeast of Berwick, Pennsylvania. The current operating licenses for the SSES expire on July 17, 2022, and March 23, 2024, for Units 1 and 2, respectively. On September 13, 2006, the NRC staff received the application from PPL to renew the Operating License Nos. NPF-14 and NPF-22 for SSES, Units 1 and 2, pursuant to 10 CFR Part 54. A Notice of Receipt and Availability of the license renewal application
(LRA)was published in the **Federal Register** on October 2, 2006 (71 FR 58014). The NRC staff has reviewed the LRA for its acceptability and has determined that PPL has submitted sufficient information in accordance with 10 CFR 54.19, 54.21, 54.22, 54.23, and 51.53(c), and the application is acceptable for docketing. The current Docket Nos. 50-387 and 50-388 for Operating License Nos. NPF-14 and NPF-22 will be retained. The docketing of the renewal application does not preclude requesting additional information as the review proceeds, nor does it predict whether the Commission will grant or deny the application. Before issuance of each requested renewed license, the NRC will have made the findings required by the Atomic Energy Act of 1954, as amended (the Act), and the Commission's rules and regulations. In accordance with 10 CFR 54.29, the NRC may issue a renewed license on the basis of its review if it finds that actions have been identified and have been or will be taken with respect to:
(1)Managing the effects of aging during the period of extended operation on the functionality of structures and components that have been identified as requiring aging management review, and
(2)time-limited aging analyses that have been identified as requiring review, such that there is reasonable assurance that the activities authorized by the renewed license will continue to be conducted in accordance with the current licensing basis (CLB), and that any changes made to the plant's CLB comply with the Act and the Commission's regulations. The Commission also must first find that the requirements of Subpart A of 10 CFR 51 have been satisfied, and that matters raised under 10 CFR 2.335 have been addressed. Within 60 days after the date of publication of this **Federal Register** Notice, the applicant may file a request for a hearing, and any person whose interest may be affected by this proceeding and who wishes to participate as a party in the proceeding must file a written request for a hearing and a petition for leave to intervene with respect to the renewal of the license. Requests for a hearing and a petition for leave to intervene shall be filed in accordance with the Commission's “Rules of Practice for Domestic Licensing Proceedings” in 10 CFR part 2. Interested persons should consult a current copy of 10 CFR 2.309, which is available at the Commission's Public Document Room (PDR), located at One White Flint North, 11555 Rockville Pike, Rockville, Maryland 20852 and is accessible from the Agencywide Documents Access and Management System (ADAMS) Public Electronic Reading Room on the Internet at *http://www.nrc.gov/reading-rm/adams.html* . Persons who do not have access to ADAMS or who encounter problems in accessing the documents located in ADAMS should contact the NRC's PDR reference staff by telephone at 1-800-397-4209, or 301-415-4737, or by e-mail at *pdr@nrc.gov* . If a request for a hearing/petition for leave to intervene is filed within the 60-day period, the Commission or a presiding officer designated by the Commission or by the Chief Administrative Judge of the Atomic Safety and Licensing Board Panel will rule on the request/petition; and the Secretary or the Chief Administrative Judge of the Atomic Safety and Licensing Board will issue a notice of a hearing or an appropriate order. In the event that no request for a hearing/petition for leave to intervene is filed within the 60-day period, the NRC may, upon completion of its evaluations and upon making the findings required under 10 CFR parts 51 and 54, renew the license without further notice. As required by 10 CFR 2.309, a petition for leave to intervene shall set forth with particularity the interest of the petitioner in the proceeding, and how that interest may be affected by the results of the proceeding, taking into consideration the limited scope of matters that may be considered pursuant to 10 CFR parts 51 and 54. The petition must specifically explain the reasons why intervention should be permitted with particular reference to the following factors:
(1)The nature of the requestor's/petitioner's right under the Act to be made a party to the proceeding;
(2)the nature and extent of the requestor's/petitioner's property, financial, or other interest in the proceeding; and
(3)the possible effect of any decision or order which may be entered in the proceeding on the requestor's/petitioner's interest. The petition must also set forth the specific contentions which the petitioner/requestor seeks to have litigated at the proceeding. Each contention must consist of a specific statement of the issue of law or fact to be raised or controverted. In addition, the requestor/petitioner shall provide a brief explanation of the bases of each contention and a concise statement of the alleged facts or the expert opinion that supports the contention on which the requestor/petitioner intends to rely in proving the contention at the hearing. The requestor/petitioner must also provide references to those specific sources and documents of which the requestor/petitioner is aware and on which the requestor/petitioner intends to rely to establish those facts or expert opinion. The requestor/petitioner must provide sufficient information to show that a genuine dispute exists with the applicant on a material issue of law or fact. 1 Contentions shall be limited to matters within the scope of the action under consideration. The contention must be one that, if proven, would entitle the requestor/petitioner to relief. A requestor/petitioner who fails to satisfy these requirements with respect to at least one contention will not be permitted to participate as a party. 1 To the extent that the application contains attachments and supporting documents that are not publicly available because they are asserted to contain safeguards or proprietary information, petitioners desiring access to this information should contact the applicant or applicant's counsel to discuss the need for a protective order. The Commission requests that each contention be given a separate numeric or alpha designation within one of the following groups:
(1)Technical (primarily related to safety concerns);
(2)environmental; or
(3)miscellaneous. As specified in 10 CFR 2.309, if two or more requestors/petitioners seek to co-sponsor a contention or propose substantially the same contention, the requestors/petitioners will be required to jointly designate a representative who shall have the authority to act for the requestors/petitioners with respect to that contention. Those permitted to intervene become parties to the proceeding, subject to any limitations in the order granting leave to intervene, and have the opportunity to participate fully in the conduct of the hearing. A request for a hearing or a petition for leave to intervene must be filed by:
(1)First class mail addressed to the Office of the Secretary of the Commission, U.S. Nuclear Regulatory Commission, Washington, DC, 20555-0001, Attention: Rulemaking and Adjudications Staff;
(2)courier, express mail, and expedited delivery services: Office of the Secretary, Sixteenth Floor, One White Flint North, 11555 Rockville Pike, Rockville, Maryland, 20852, Attention: Rulemaking and Adjudications Staff;
(3)e-mail addressed to the Office of the Secretary, U.S. Nuclear Regulatory Commission, *HEARINGDOCKET@nrc.gov* ; or
(4)facsimile transmission addressed to the Office of the Secretary, U.S. Nuclear Regulatory Commission, Washington, DC, Attention: Rulemakings and Adjudications Staff at 301-415-1101, verification number is 301-415-1966. 2 A copy of the request for hearing and petition for leave to intervene must also be sent to the Office of the General Counsel, U.S. Nuclear Regulatory Commission, Washington, DC 20555-0001, and it is requested that copies be transmitted either by means of facsimile transmission to 301-415-3725 or by e-mail to *OGCMailCenter@nrc.gov* . A copy of the request for hearing and petition for leave to intervene should also be sent to the attorney for the applicant, Mr. David Lewis, Pillsbury Winthrop Shaw Pittman LLP, 2300 N Street, NW., Washington, DC 20037. 2 If the request/petition is filed by e-mail or facsimile, an original and two copies of the document must be mailed within 2
(two)business days thereafter to the Secretary, U.S. Nuclear Regulatory Commission, Washington, DC 20555-0001; Attention: Rulemaking and Adjudications Staff. Non-timely requests and/or petitions and contentions will not be entertained absent a determination by the Commission, the presiding officer, or the Atomic Safety and Licensing Board that the petition, request and/or contentions should be granted based on a balancing of the factors specified in 10 CFR 2.309(a)(1)(i)-(viii). In addition, the purpose of this notice is to inform the public that the NRC will be preparing an environmental impact statement
(EIS)related to the review of the LRA and to provide the public an opportunity to participate in the environmental scoping process, as defined in 10 CFR 51.29. In accordance with 10 CFR 51.95(c), the NRC will prepare an EIS that will be used as a supplement to the Commission's NUREG-1437, “Generic Environmental Impact Statement for License Renewal of Nuclear Power Plants” (GEIS), dated May 1996. Pursuant to 10 CFR 51.26, and as part of the environmental scoping process, the NRC staff intends to hold a public scoping meeting. In addition, as outlined in 36 CFR 800.8, “Coordination with the National Environmental Policy Act,” the NRC plans to coordinate compliance with Section 106 of the National Historic Preservation Act in meeting the requirements of the National Environmental Policy Act of 1969 (NEPA). In accordance with 10 CFR 51.53(c) and 10 CFR 54.23, PPL prepared and submitted the Environmental Report
(ER)as part of the LRA. The LRA and the ER are publicly available at the NRC's PDR, located at One White Flint North, 11555 Rockville Pike, Rockville, Maryland 20852, or from the NRC's ADAMS. The ADAMS Public Electronic Reading Room is accessible at *http://adamswebsearch.nrc.gov/dologin.htm* . The ADAMS Accession Numbers for the LRA and the ER are ML062630225 and ML062630235, respectively. Persons who do not have access to ADAMS, or who encounter problems in accessing the documents located in ADAMS, should contact the NRC's PDR reference staff by telephone at 1-800-397-4209, or 301-415-4737, or by e-mail at *pdr@nrc.gov* . The LRA and the ER may also be viewed on the Internet at *http://www.nrc.gov/reactors/operating/licensing/renewal/applications/susquehanna.html* . In addition, the LRA and the ER are available for public inspection near the SSES, Units 1 and 2 at the following public library: Berwick Public Library, 205 Chestnut Street, Berwick, Pennsylvania 18603, and the Mill Memorial Library, 495 E. Main Street, Nanticoke, Pennsylvania 18634. Possible alternatives to the proposed action (license renewal) include no action and reasonable alternative energy sources. The NRC is required by 10 CFR 51.95 to prepare a supplement to the GEIS in connection with the renewal of an operating license. This notice is being published in accordance with 10 CFR 51.26. The NRC staff will first conduct a scoping process for the supplement to the GEIS and, as soon as practicable thereafter, will prepare a draft supplement to the GEIS for public comment. Participation in the scoping process by members of the public and local, State, Tribal, and Federal Government agencies are encouraged. As described in 10 CFR 51.29, the scoping process for the supplement to the GEIS will be used to accomplish the following: a. Define the proposed action which is to be the subject of the supplement to the GEIS. b. Determine the scope of the supplement to the GEIS and identify the significant issues to be analyzed in depth. c. Identify and eliminate from detailed study those issues that are peripheral or that are not significant. d. Identify any environmental assessments and other ElSs that are being or will be prepared that are related to, but are not part of, the scope of the supplement to the GEIS being considered. e. Identify other environmental review and consultation requirements related to the proposed action. f. Indicate the relationship between the timing of the preparation of the environmental analyses and the Commission's tentative planning and decision-making schedule. g. Identify any cooperating agencies and, as appropriate, allocate assignments for preparation and schedules for completing the supplement to the GEIS to the NRC and any cooperating agencies. h. Describe how the supplement to the GEIS will be prepared, and include any contractor assistance to be used. The NRC invites the following entities to participate in scoping: a. The applicant, PPL Susquehanna, LLC. b. Any Federal agency that has jurisdiction by law or special expertise with respect to any environmental impact involved, or that is authorized to develop and enforce relevant environmental standards. c. Affected State and local government agencies, including those authorized to develop and enforce relevant environmental standards. d. Any affected Indian tribe. e. Any person who requests or has requested an opportunity to participate in the scoping process. f. Any person who has petitioned or intends to petition for leave to intervene. In accordance with 10 CFR 51.26, the scoping process for an EIS may include a public scoping meeting to help identify significant issues related to a proposed activity and to determine the scope of issues to be addressed in an EIS. The NRC will hold public meetings for the SSES, Units 1 and 2 license renewal supplement to the GEIS, at the Eagles Building,107 South Market St., Berwick, Pennsylvania, on Wednesday, November 15, 2006. There will be two identical meetings to accommodate interested parties. The first meeting will convene at 1:30 p.m. and will continue until 4:30 p.m., as necessary. The second meeting will convene at 7 p.m. and will continue until 10 p.m., as necessary. Both meetings will be transcribed and will include:
(1)An overview by the NRC staff of the NRC's license renewal review process;
(2)an overview by the NRC staff of the NEPA environmental review process, the proposed scope of the supplement to the GEIS, and the proposed review schedule; and
(3)the opportunity for interested government agencies, organizations, and individuals to submit comments or suggestions on the environmental issues or the proposed scope of the supplement to the GEIS. Additionally, the NRC staff will host informal discussions one hour prior to the start of each session at the same location. No formal comments on the proposed scope of the supplement to the GEIS will be accepted during the informal discussions. To be considered, comments must be provided either at the transcribed public meetings or in writing, as discussed below. For more information about the proposed action, the scoping process, and the EIS, please contact the NRC Environmental Project Manager, Mrs. Alicia Mullins, at Mail Stop O-11F1, U.S. Nuclear Regulatory Commission, Washington, DC 20555, by telephone at 1-800-368-5642, extension 1224, or by e-mail at *axm7@nrc.gov.* Persons may register to attend or present oral comments at the meetings on the scope of the NEPA review by contacting Mrs. Mullins. Members of the public may also register to speak at the meeting within 15 minutes of the start of each meeting. Individual oral comments may be limited by the time available, depending on the number of persons who register. Members of the public who have not registered may also have an opportunity to speak, if time permits. Public comments will be considered in the scoping process for the supplement to the GEIS. Mrs. Mullins will need to be contacted no later than November 6, 2006, if special equipment or accommodations are needed to attend or present information at the public meeting, so that the NRC staff can determine whether the request can be accommodated. Members of the public may send written comments on the environmental scope of the SSES, Units 1 and 2 license renewal review to: Chief, Rules and Directives Branch, Division of Administrative Services, Office of Administration, Mail Stop T-6D59, U.S. Nuclear Regulatory Commission, Washington, DC 20555-0001, and should cite the publication date and page number of this **Federal Register** notice. Comments may also be delivered to the U.S. Nuclear Regulatory Commission, Mail Stop T-6D59, Two White Flint North, 11545 Rockville Pike, Rockville, Maryland, 20852, from 7:30 a.m. to 4:15 p.m. during Federal workdays. To be considered in the scoping process, written comments should be postmarked by December 18, 2006. Electronic comments may be sent by e-mail to the NRC at *SusquehannaEIS@nrc.gov,* and should be sent no later than December 18, 2006, to be considered in the scoping process. Comments will be available electronically and accessible through ADAMS. Participation in the scoping process for the supplement to the GEIS does not entitle participants to become parties to the proceeding to which the supplement to the GEIS relates. Matters related to participation in any hearing are outside the scope of matters to be discussed at this public meeting. At the conclusion of the scoping process, the NRC will prepare a concise summary of the determination and conclusions reached, including the significant issues identified, and will send a copy of the summary to each participant in the scoping process. The summary will also be available for viewing in ADAMS. The staff will then prepare and issue for comment the draft supplement to the GEIS, which will be the subject of separate notices and separate public meetings. Copies will be available for public viewing at the above-mentioned addresses, and one copy per request will be provided free of charge, to the extent of supply. After receipt and consideration of the comments, the NRC will prepare a final supplement to the GEIS, which will also be available for public viewing. Information about the proposed action, the supplement to the GEIS, and the scoping process may be obtained from Mrs. Mullins at the aforementioned telephone number or e-mail address. Dated at Rockville, Maryland, this 26th day of October 2006. For The Nuclear Regulatory Commission. Frank P. Gillespie, Director, Division of License Renewal, Office of Nuclear Reactor Regulation. [FR Doc. E6-18466 Filed 11-1-06; 8:45 am] BILLING CODE 7590-01-P NUCLEAR REGULATORY COMMISSION Advisory Committee on Nuclear Waste; Notice of Meeting The Advisory Committee on Nuclear Waste
(ACNW)will hold its 174th meeting on November 13-16, 2006, Room T-2B3, 11545 Rockville Pike, Rockville, Maryland. The schedule for this meeting is as follows: Monday, November 13, 2006 *10 a.m.-10:05 a.m.: Opening Remarks by the ACNW Chairman* (Open)—The ACNW Chairman, Dr. Michael Ryan, will make opening remarks regarding the conduct of today's sessions. *10:05 a.m.-12 p.m.: Update on Status of Seismic Design Bases and Methodology: NRC Perspective* (Open)—Staff representatives from the NRC Office of Nuclear Material Safety and Safeguards
(NMSS)will brief the Committee on seismic issues and review methodologies for both pre- and post-closure phases of the Yucca Mountain repository operation. *1 p.m.-2:30 p.m.: Results from the Liquid Radioactive Release Lessons Learned Task Force* —A representative from the NRC Office of Nuclear Reactor Regulation
(NRR)will brief the Committee on the results from the recently completed report from the Liquid Radioactive Release Lessons Learned Task Force. *2:30 p.m.-5:30 p.m.: Preparation for Meeting with NRC Commissioners* (Open)—The Committee will discuss topics of mutual interest in preparation for ACNW meeting with the NRC Commissioners that is scheduled for Thursday, December 14, 2006. There may be a 15 minute break at some point during this activity. Tuesday, November 14, 2006 ACNW Working Group Meeting on Decommissioning Lessons Learned
(Open)*8:30 a.m.-8:45 a.m.: Opening Remarks and Introductions* (Open)—The ACNW Chairman will make opening remarks regarding the conduct of today's sessions. ACNW Member Dr. James Clarke will provide an overview of the Working Group Meeting (WGM), including the meeting purpose and scope, and introduce invited subject matter experts. Session I: Decommissioning Lessons Learned *8:45 a.m.-11:30 a.m.:* Representatives from the Nuclear Energy Institute, the Fuel Cycle Facilities Forum, the Argonne National Laboratory, and the Army Corps of Engineers will discuss their lessons learned in decommissioning of facilities. *11:30 a.m.-12:30 p.m.: Session I Panel Discussion* —Committee Member Clarke will lead a panel discussion with the invited subject matter experts on decommissioning lessons learned. Session II: Implementing Decommissioning Lessons Learned in NRC Rules And Guidance *1:30 p.m.-4 p.m.:* A representative from the Kansas Department of Health and Environment will discuss decommissioning lessons learned from an Agreement State perspective. Staff representatives from NRR and the NRC Office of Federal and State Materials and Environmental Management Programs
(FSME)will discuss decommissioning lessons learned efforts within NRC and implementation of selected decommissioning lessons learned in NRC rules and guidance. *4:15 p.m.-5:15 p.m.: Session II Panel Discussion* —Committee Member Clarke will lead a panel discussion with the invited subject matter experts on implementing decommissioning lessons learned in NRC rules and guidance. *5:15 p.m.-5:30 p.m.: Wrap Up* —ACNW Member Dr. James Clarke will provide a summary of the Working Group Meeting, including a discussion of a possible letter report to the Commission. Wednesday, November 15, 2006 *8:30 a.m.-8:35 a.m.: Opening Remarks by the ACNW Chairman* (Open)—The Chairman will make opening remarks regarding the conduct of today's sessions. *8:35 a.m.-12:30 p.m.: Dose Effect Relationships and Estimation of the Carcinogenic Effects of Low Doses of Ionizing Radiation* (Open)—French scientists will brief the ACNW regarding the content of the recent report by the French Academy of Sciences and National Academy of Medicine. There may be a 15 minute break at some point during this presentation. *1:30 p.m.-4 p.m.: White Paper on Potential Advanced Fuel Cycles* (Open)—The draft ACNW white paper on spent nuclear fuel recycling will be discussed. This paper focuses on various known reprocessing methods and their resulting effluents and waste. Licensing of a new reprocessing facility will also be addressed. *4:15 p.m.-5:30 p.m.: Discussion of Draft ACNW Letter Reports* (Open)—The Committee will discuss potential and proposed ACNW letter reports. Thursday, November 16, 2006 *8:30 a.m.-8:35 a.m.: Opening Remarks by the ACNW Chairman* (Open)—The Chairman will make opening remarks regarding the conduct of today's sessions. *8:35 a.m.-10 a.m.: Proposed Revision to Regulatory Guide 1.112, Calculation of Releases of Radioactive Materials in Gaseous and Liquid Effluents from Light-Water-Cooled Reactors* (Open)—Staff representatives from the NRC Office of Nuclear Regulatory Research
(RES)will brief the Committee on the proposed modifications to Regulatory Guide 1.112 in support of new reactor licensing. *10:15 a.m.-11:45 a.m.: Proposed Revision to Regulatory Guide 4.15, Quality Assurance for Radiological Monitoring Programs (Inception Through Normal Operations to License Termination)—Effluent Streams and the Environment* (Open)—RES representatives will brief the Committee on the proposed revision to Regulatory Guide 4.15 in support of new reactor licensing. *1 p.m.—3 p.m.: Discussion of Potential ACNW Letter Reports* (Open)—The Committee will discuss potential and proposed ACNW letter reports. *3:15 p.m.-5 p.m.: Miscellaneous* (Open)—The Committee will discuss matters related to the conduct of ACNW activities and specific issues that were not completed during previous meetings, as time and availability of information permit. Discussions may include future Committee Meetings. Procedures for the conduct of and participation in ACNW meetings were published in the **Federal Register** on October 12, 2006 (71 FR 60196). In accordance with these procedures, oral or written statements may be presented by members of the public. Electronic recordings will be permitted only during those portions of the meeting that are open to the public. Persons desiring to make oral statements should notify Mr. Antonio F. Dias (Telephone 301-415-6805), between 8:15 a.m. and 5 p.m. ET, as far in advance as practicable so that appropriate arrangements can be made to schedule the necessary time during the meeting for such statements. Use of still, motion picture, and television cameras during this meeting will be limited to selected portions of the meeting as determined by the ACNW Chairman. Information regarding the time to be set aside for taking pictures may be obtained by contacting the ACNW office prior to the meeting. In view of the possibility that the schedule for ACNW meetings may be adjusted by the Chairman as necessary to facilitate the conduct of the meeting, persons planning to attend should notify Mr. Dias as to their particular needs. Further information regarding topics to be discussed, whether the meeting has been canceled or rescheduled, the Chairman's ruling on requests for the opportunity to present oral statements and the time allotted, therefore can be obtained by contacting Mr. Dias. ACNW meeting agenda, meeting transcripts, and letter reports are available through the NRC Public Document Room
(PDR)at *pdr@nrc.gov* , or by calling the PDR at 1-800-397-4209, or from the Publicly Available Records System component of NRC's document system (ADAMS) which is accessible from the NRC Web site at *http://www.nrc.gov/reading-rm/adams.html* or *http://www.nrc.gov/reading-rm/doc-collections/* (ACRS & ACNW Mtg schedules/agendas). Video Teleconferencing service is available for observing open sessions of ACNW meetings. Those wishing to use this service for observing ACNW meetings should contact Mr. Theron Brown, ACNW Audiovisual Technician (301-415-8066), between 7:30 a.m. and 3:45 p.m. ET, at least 10 days before the meeting to ensure the availability of this service. Individuals or organizations requesting this service will be responsible for telephone line charges and for providing the equipment and facilities that they use to establish the video teleconferencing link. The availability of video teleconferencing services is not guaranteed. Dated: October 27, 2006. Annette L. Vietti-Cook, Secretary of the Commission. [FR Doc. E6-18468 Filed 11-1-06; 8:45 am] BILLING CODE 7590-01-P NUCLEAR REGULATORY COMMISSION Advisory Committee on Nuclear Waste Meeting on Planning and Procedures; Notice of Meeting The Advisory Committee on Nuclear Waste
(ACNW)will hold a Planning and Procedures meeting on November 13, 2006, Room T-2B1, 11545 Rockville Pike, Rockville, Maryland. The entire meeting will be open to public attendance, with the exception of a portion that may be closed pursuant to 5 U.S.C. 552b
(2)and
(6)to discuss organizational and personnel matters that relate solely to internal personnel rules and practices of ACNW, and information the release of which would constitute a clearly unwarranted invasion of personal privacy. The agenda for the subject meeting shall be as follows: Monday, November 13, 2006—8:30 a.m.-9:30 a.m. The Committee will discuss proposed ACNW activities and related matters. The purpose of this meeting is to gather information, analyze relevant issues and facts, and formulate proposed positions and actions, as appropriate, for deliberation by the full Committee. Members of the public desiring to provide oral statements and/or written comments should notify the Designated Federal Official, Mr. Antonio F. Dias ( *Telephone:* 301/415-6805) between 8:15 a.m. and 5 p.m.
(ET)five days prior to the meeting, if possible, so that appropriate arrangements can be made. Electronic recordings will be permitted only during those portions of the meeting that are open to the public. Further information regarding this meeting can be obtained by contacting the Designated Federal Official between 8:15 a.m. and 5 p.m. (ET). Persons planning to attend this meeting are urged to contact the above named individual at least two working days prior to the meeting to be advised of any potential changes in the agenda. Dated: October 26, 2006. Michael R. Snodderly, Branch Chief, ACRS/ACNW. [FR Doc. E6-18469 Filed 11-1-06; 8:45 am] BILLING CODE 7590-01-P NUCLEAR REGULATORY COMMISSION Advisory Committee on Reactor Safeguards Subcommittee Meeting on Future Plant Designs; Notice of Meeting The ACRS Subcommittee on Future Plant Designs will hold a meeting on November 30, 2006, Room T-2B3, 11545 Rockville Pike, Rockville, Maryland. The entire meeting will be open to public attendance. The agenda for the subject meeting shall be as follows: *Thursday, November 30, 2006—8:30 a.m. until the conclusion of business.* The Subcommittee will summarize and discuss the technical content of Draft Regulatory Guide DG-1145, “Combined License Applications for Nuclear Power Plants (LWR Edition),” public comments on DG-1145, and public comment resolution. Certain sections of DG-1145 will be discussed in greater detail. The Subcommittee will gather information, analyze relevant issues and facts, and formulate proposed positions and actions, as appropriate, for deliberation by the full Committee. Members of the public desiring to provide oral statements and/or written comments should notify the Designated Federal Official, Mr. David C. Fischer (telephone 301-415-6889) between 7:30 a.m. and 5 p.m.
(ET)five days prior to the meeting, if possible, so that appropriate arrangements can be made. Electronic recordings will be permitted. Further information regarding this meeting can be obtained by contacting the Designated Federal Official between 7:30 a.m. and 5 p.m. (ET). Persons planning to attend this meeting are urged to contact the above named individual at least two working days prior to the meeting to be advised of any potential changes to the agenda. Dated: October 26, 2006. Michael R. Snodderly, Branch Chief, ACRS/ACNW. [FR Doc. E6-18467 Filed 11-1-06; 8:45 am] BILLING CODE 7590-01-P RAILROAD RETIREMENT BOARD Agency Forms Submitted for OMB Review, Request for Comments *Summary:* In accordance with the Paperwork Reduction Act of 1995 (44 U.S.C. Chapter 35), the Railroad Retirement Board
(RRB)is forwarding an Information Collection Request
(ICR)to the Office of Information and Regulatory Affairs (OIRA), Office of Management and Budget
(OMB)to request an extension of its approval for the following collection of information: 3220-0141, Vocational Report, consisting of RRB Form G-251, Vocational Report. Our ICR describes the information we seek to collect from the public. Review and approval by OIRA ensures that we impose appropriate paperwork burdens. The RRB invites comments on the proposed collection of information to determine
(1)the practical utility of the collection;
(2)the accuracy of the estimated burden of the collection;
(3)ways to enhance the quality, utility and clarity of the information that is the subject of collection; and
(4)ways to minimize the burden of collections on respondents, including the including the use of automated collection techniques or other forms of information technology. Comments to RRB or OIRA must contain the OMB control number of the ICR. For proper consideration of your comments, it is best if RRB and OIRA receive them within 30 days of publication date. *Previous Requests for Comments:* The RRB has already published the initial 60-day notice (71 FR 43824 on August 2, 2006) required by 44 U.S.C. 3506(c)(2). That request elicited no comments. Information Collection Request
(ICR)*Title:* Vocational Report. *OMB Control Number:* 3220-0141. *Form(s) submitted:* G-251, Vocational Report. *Type of request:* Extension of a currently approved collection. *Affected public:* Individuals or households. *Abstract:* Section 2 of the Railroad Retirement Act provides for the payment of disability annuities to qualified employees and widower(s). In order to determine the effect of a disability on an applicant's ability to work, the RRB needs the applicants work history. The collection obtains the information needed to determine their ability to work. *The burden estimate for this ICR is unchanged as follows:* *Estimated annual number of respondents:* 6,000. *Total annual responses:* 6,000. *Total annual reporting hours:* 3,045. *For Further Information Contact:* Copies of the form and supporting documents can be obtained from Charles Mierzwa, the agency clearance officer at (312-751-3363) or *Charles.Mierzwa@rrb.gov.* *Comments:* Comments regarding the information collection should be addressed to Ronald J. Hodapp, Railroad Retirement Board, 844 North Rush Street, Chicago, Illinois 60611-2092 or *Ronald.Hodapp@rrb.gov* and to the OMB Desk Officer for the RRB, Karen Matsuoka at *kmatsuoka@omb.eop.gov,* FAX
(202)395-6974. Charles Mierzwa, RRB Clearance Officer. [FR Doc. E6-18448 Filed 11-1-06; 8:45 am] BILLING CODE 7905-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. IC-27541] Notice of Applications for Deregistration Under Section 8(f) of the Investment Company Act of 1940 October 27, 2006. The following is a notice of applications for deregistration under section 8(f) of the Investment Company Act of 1940 for the month of October 2006. A copy of each application may be obtained for a fee at the SEC's Public Reference Branch (tel. 202-551-5850). An order granting each application will be issued unless the SEC orders a hearing. Interested persons may request a hearing on any application by writing to the SEC's Secretary at the address below and serving the relevant applicant with a copy of the request, personally or by mail. Hearing requests should be received by the SEC by 5:30 p.m. on November 17, 2006, and should be accompanied by proof of service on the applicant, 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 issues contested. Persons who wish to be notified of a hearing may request notification by writing to the Secretary, U.S. Securities and Exchange Commission, 100 F Street, NE., Washington, DC 20549-1090. FOR FURTHER INFORMATION CONTACT: Diane L. Titus at
(202)551-6810, SEC, Division of Investment Management, Office of Investment Company Regulation, 100 F Street, NE., Washington, DC 20549-4041. Pebblebrook Fund Inc. [File No. 811-21297] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On June 15, 2006, applicant made a liquidating distribution to its shareholders, based on net asset value. Applicant incurred no expenses in connection with the liquidation. *Filing Dates:* The application was filed on August 2, 2006, and amended on August 30, 2006 and October 24, 2006. *Applicant's Address:* 13047 Pebblebrook Dr., Houston, TX 77079. AllianceBernstein Multi-Market Strategy Trust, Inc. [File No. 811-6251] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. By August 4, 2006, applicant had made a liquidating distribution to all shareholders, based on net asset value. Expenses of $25,923 incurred in connection with the liquidation were paid by AllianceBernstein L.P., applicant's investment adviser. *Filing Dates:* The application was filed on August 29, 2006, and amended on October 6, 2006. *Applicant's Address:* 1345 Avenue of the Americas, New York, NY 10105. Evergreen Fund [File No. 811-2193] Evergreen Foundation Trust [File No. 811-5953] *Summary:* Each applicant seeks an order declaring that it has ceased to be an investment company. On or about December 22, 1997, each applicant transferred its assets to a corresponding, newly-created series of Evergreen Equity Trust, based on net asset value. Expenses incurred in connection with the reorganizations were paid by applicants. *Filing Date:* The applications were filed on October 5, 2006. *Applicants' Address:* 200 Berkeley St., Boston, MA 02116. The Brazil Fund, Inc. [File No. 811-5269] *Summary:* Applicant, a closed-end investment company, seeks an order declaring that it has ceased to be an investment company. On June 9, 2006, applicant made a liquidating distribution to shareholders, based on net asset value. Expenses of $493,407 incurred in connection with the liquidation were paid by applicant. Applicant has retained $2,954,219 in cash to pay outstanding liabilities and expenses. *Filing Dates:* The application was filed on July 28, 2006, and amended on October 13, 2006. *Applicant's Address:* 345 Park Ave., New York, NY 10154. Scudder Portfolios [File No. 811-3440] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On September 17, 2005, applicant transferred its assets to DWS Cash Investment Trust (formerly, Scudder Cash Investment Trust), based on net asset value. Expenses of $220,718 incurred in connection with the reorganization were paid by Deutsche Investment Management Americas, Inc., applicant's investment adviser. *Filing Dates:* The application was filed on July 6, 2006, and amended on October 3, 2006. *Applicant's Address:* 222 South Riverside Plaza, Chicago, IL 60606. Scudder Investors Portfolio Trust [File No. 811-8375] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On August 20, 2004, applicant made a liquidating distribution to its shareholders, based on net asset value. Expenses of $32,083 incurred in connection with the liquidation were paid by Investment Company Capital Corp., applicant's investment adviser. *Filing Dates:* The application was filed on June 29, 2006, and amended on October 3, 2006. *Applicant's Address:* P O Box 501 Cardinal Ave., Grand Cayman, Cayman Island BWI. Wilmington Low Volatility Fund of Funds [File No. 811-21412] *Summary:* Applicant, a closed-end investment company, seeks an order declaring that it has ceased to be an investment company. On December 22, 2005, applicant made a liquidating distribution to its shareholders, based on net asset value. Expenses of $3,000 incurred in connection with the liquidation were paid by Rodney Square Management Corporation, applicant's investment adviser and sponsor. *Filing Dates:* The application was filed on August 29, 2006, and amended on September 29, 2006. *Applicant's Address:* 1100 North Market, Wilmington, DE 19890. Core Trust
(DE)[File No. 811-8858] *Summary:* Applicant, a master fund in a master-feeder structure, seeks an order declaring that it has ceased to be an investment company. On June 9, 2003, each feeder fund of applicant made a liquidating withdrawal of its interest in applicant's corresponding portfolio, based on net asset value. Applicant incurred no expenses in connection with the liquidation. *Filing Dates:* The application was filed on June 8, 2006, and amended on August 21, 2006, and October 6, 2006. *Applicant's Address:* Two Portland Sq., Portland, ME 04101. Mezzacappa Multi-Strategy Fund, LLC [File No. 811-21415] Mezzacappa Multi-Strategy Plus Fund, LLC [File No. 811-21468] *Summary:* Each applicant, a closed-end management company, seeks an order declaring that it has ceased to be an investment company. Applicants have never made a public offering of their securities and do not propose to make a public offering or engage in business of any kind. *Filing Dates:* The applications were filed on December 13, 2004, and amended on October 11, 2006. *Applicants' Address:* 630 Fifth Ave., New York, NY 10111. Liberty Variable Investment Trust [File No. 811-7556] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On May 11, 2005, Applicant's board of directors approved the merger of Applicant and Columbia Variable Insurance Trust. Applicant distributed its assets on May 1, 2006, pursuant to the merger. In connection with the merger, the Applicant and its advisor, Columbia Management Advisors, each paid 75% and 25% respectively of the following expenses: legal expenses of $73,576.00 and SEC registration fees of $136,561.00. *Filing Dates:* The application was filed on June 23, 2006, and amended on July 18, 2006. *Applicant's Address:* One Financial Center, Boston, Massachusetts 02111. Northstar Life Variable Universal Life Account [811-9807] *Summary:* Applicant, a separate account for variable annuities, seeks an order declaring that it has ceased to be an investment company. On December 27, 2005, Applicant made a liquidating distribution to its sole shareholder, Northstar Life Insurance Company, based on net asset value. Expenses of $2500 incurred in connection with the liquidation were paid by Northstar Life Insurance Company, which is also the depositor of the separate account. Applicant has never had any contractowners invested in the separate account. *Filing Dates:* The application was filed on April 24, 2006, and amended on October 17, 2006. *Applicant's Address* : Northstar Life Insurance Company, The Trebloc Building, 301 East State Street, Ithaca, New York 14850. Allstate Life of New York Variable Account II [File No. 811-6117] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On March 26, 2004, the board of directors approved applicant's merger with another fund. The fund surviving the merger is the Allstate Life of New York Separate Account A. Allstate Life Insurance Company of New York, the depositor, paid expenses of $1,500 incurred in connection with the merger. *Filing Date:* The application was filed on October 11, 2006. *Applicant's Address:* 100 Motor Parkway, Hauppauge, NY 11788. Allstate Life Insurance Company Separate Account A [File No. 811-9227] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On March 12, 2004, the board of directors approved applicant's merger with another fund. The fund surviving the merger is the Allstate Financial Advisors Separate Account I. Allstate Life Insurance Company, the depositor, paid expenses of $1,500 incurred in connection with the merger. *Filing Date:* The application was filed on October 11, 2006. *Applicant's Address:* 3100 Sanders Road, Northbrook, Illinois 60062. Allstate Life of New York Variable Annuity Account [File No. 811-5789] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On March 26, 2004, the board of directors approved applicant's merger with another fund. The fund surviving the merger is the Allstate Life of New York Separate Account A. Allstate Life Insurance Company of New York, the depositor, paid expenses of $1,500 incurred in connection with the merger. *Filing Date:* The application was filed on October 11, 2006. *Applicant's Address:* 100 Motor Parkway, Hauppauge, NY 11788. Glenbrook Life Scudder Variable Account A [File No. 811-8911] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On March 10, 2004, the board of directors approved applicant's merger with another fund. The fund surviving the merger is the Glenbrook Life Multi-Manager Variable Account. Glenbrook Life and Annuity Company, the depositor, paid expenses of $1,500 incurred in connection with the merger. *Filing Date:* The application was filed on October 11, 2006. *Applicant's Address:* 3100 Sanders Road, Northbrook, Illinois 60062. Glenbrook Life AIM Variable Life Separate Account A [File No. 811-8175] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On March 10, 2004, the board of directors approved applicant's merger with another fund. The fund surviving the merger is the Glenbrook Life Variable Life Separate Account A. Glenbrook Life and Annuity Company, the depositor, paid expenses of $1,500 incurred in connection with the merger. *Filing Date:* The application was filed on October 11, 2006. *Applicant's Address:* 3100 Sanders Road, Northbrook, Illinois 60062. Glenbrook Life and Annuity Account [File No. 811-7632] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On March 10, 2004, the board of directors approved applicant's merger with another fund. The fund surviving the merger is the Glenbrook Multi-Manager Variable Account. Glenbrook Life and Annuity Company, the depositor, paid expenses of $1,500 incurred in connection with the merger. *Filing Date:* The application was filed on October 11, 2006. *Applicant's Address:* 3100 Sanders Road, Northbrook, Illinois 60062. Glenbrook Life Variable Separate Account A [File No. 811-7825] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On July 28, 2004, and August 4, 2004, the boards of directors of Allstate Life Insurance Company (“Allstate”) and Glenbrook Life and Annuity Company (“Glenbrook”), respectively, in connection with the merger of Glenbrook into Allstate, determined that efficiency could be improved if the applicant was merged into the Allstate Financial Advisors Separate Account I. Glenbrook paid expenses of $1,500 incurred in connection with the merger. *Filing Date:* The application was filed on October 11, 2006. *Applicant's Address:* 3100 Sanders Road, Northbrook, Illinois 60062. Glenbrook Life Multi-Manager Variable Account [File No. 811-7541] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On July 28, 2004, and August 4, 2004, the boards of directors of Allstate Life Insurance Company (“Allstate”) and Glenbrook Life and Annuity Company (“Glenbrook”), respectively, in connection with the merger of Glenbrook into Allstate, determined that efficiency could be improved if the applicant was merged into the Allstate Financial Advisors Separate Account I. Glenbrook paid expenses of $1,500 incurred in connection with the merger. *Filing Date:* The application was filed on October 11, 2006. *Applicant's Address:* 3100 Sanders Road, Northbrook, Illinois 60062. Glenbrook Life and Annuity Company Separate Account A [File No. 811-7351] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On July 28, 2004, and August 4, 2004, the boards of directors of Allstate Life Insurance Company (“Allstate”) and Glenbrook Life and Annuity Company (“Glenbrook”), respectively, in connection with the merger of Glenbrook into Allstate, determined that efficiency could be improved if the applicant was merged into the Allstate Financial Advisors Separate Account I. Glenbrook paid expenses of $1,500 incurred in connection with the merger. *Filing Date:* The application was filed on October 11, 2006. *Applicant's Address:* 3100 Sanders Road, Northbrook, Illinois 60062. Northbrook Variable Annuity Account [File No. 811-3688] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On July 30, 2002, the board of directors approved applicant's merger with another fund. The fund surviving the merger is the Allstate Financial Advisors Separate Account I. Northbrook Life Insurance Company, the depositor, paid expenses of $1,500 incurred in connection with the merger. *Filing Date:* The application was filed on October 11, 2006. *Applicant's Address:* 3100 Sanders Road, Northbrook, Illinois 60062. Northbrook Variable Annuity Account II [File No. 811-6116] *Summary:* Applicant seeks an order declaring that it has ceased to be an investment company. On July 30, 2002, the board of directors approved applicant's merger with another fund. The fund surviving the merger is the Allstate Financial Advisors Separate Account I. Northbrook Life Insurance Company, the depositor, paid expenses of $1,500 incurred in connection with the merger. *Filing Date:* The application was filed on October 11, 2006. *Applicant's Address:* 3100 Sander Road, Northbrook, Illinois 60062. For the Commission, by the Division of Investment Management, pursuant to delegated authority. Nancy M. Morris, Secretary. [FR Doc. E6-18474 Filed 11-1-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54658; File No. SR-Amex-2006-82] Self-Regulatory Organizations; American Stock Exchange LLC; Notice of Filing of Proposed Rule Change and Amendment No. 1 Thereto Relating to MACRO Tradeable Shares October 26, 2006. Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”) 1 and Rule 19b-4 2 thereunder, notice is hereby given that on August 23, 2006, the American Stock Exchange LLC (“Amex” or “Exchange”) filed with the Securities and Exchange Commission (“SEC” or “Commission”) the proposed rule change as described in Items I, II, and III below, which Items have been prepared by the Exchange. On October 20, 2006, Amex filed Amendment No. 1 to the proposed rule change. 3 The Commission is publishing this notice to solicit comments on the proposed rule change, as amended, from interested persons. 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b-4. 3 Amendment No. 1 supersedes and replaces the original filing in its entirety. I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The Amex proposes to list and trade under new Amex Rules 1400 et seq.
(1)Claymore MACROshares Oil Up Tradeable Shares (the “Up-MACRO 4 Tradeable Shares”) and
(2)Claymore MACROshares Oil Down Tradeable Shares (the “Down-MACRO Tradeable Shares” and together with the Up-MACRO Tradeable Shares, the “MACRO Tradeable Shares”). 4 MACRO® is a federally-registered servicemark of MacroMarkets LLC (“MacroMarkets”). The text of the proposed rule change, as amended, is available on the Amex's Web site ( *http://www.Amex.com* ), at the Amex's Office of the Secretary, and at the Commission's public reference room. The text of Exhibit 5 to the proposed rule change, as amended, is also available on the Commission's Web site ( *http://www.sec.gov/rules/sro/shtml* ). 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 Amex included statements concerning the purpose of and basis for the proposed rule change, as amended. The text of these statements may be examined at the places specified in Item IV below. The Amex 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 add new section 1400 *et seq.* for the purpose of permitting the listing and trading of securities issued by a pair of related trusts and based on an index or other numerical variable (“Reference Price”) whose value reflects the value of assets, prices, or other economic interests. In particular, the Amex initially proposes to list securities issued by
(1)the Claymore MACROshares Oil Up Tradeable Trust (the “Up-MACRO Tradeable Trust”) and
(2)the Claymore MACROshares Oil Down Tradeable Trust (the “Down-MACRO Tradeable Trust” and together with the Up-MACRO Tradeable Trust, the “MACRO Tradeable Trusts”). Each of these securities represents an undivided beneficial interest in the respective MACRO Tradeable Trust. The assets of the Up-MACRO Tradeable Trust will consist exclusively of a majority of the Claymore MACROshares Oil Up Holding Shares (“Up-MACRO Holding Shares”) issued by the Claymore MACROshares Oil Up Holding Trust (“Up-MACRO Holding Trust”). “Quarterly Income Distributions,” “Redemption Distributions,” and “Final Distributions,” as described below, on the Up-MACRO Holding Shares held by the Up-MACRO Tradeable Trust will be based on the “underlying value” of the Up-MACRO Holding Trust on specified dates (which underlying value will increase or decrease in proportion to fluctuations in the “Applicable Reference Price of Crude Oil,” as defined herein, above or below its starting level) and will be passed through to the holders of the Up-MACRO Tradeable Shares. If the Applicable Reference Price of Crude Oil rises above its starting level, the Up-MACRO Holding Trust's underlying value will increase proportionately to include all of its assets plus an obligation of the Down-MACRO Holding Trust (as defined below) to transfer a portion of its assets. Conversely, if the level of the Applicable Reference Price of Crude Oil falls below its starting level, the Up-MACRO Holding Trust's underlying value will decrease proportionately because an obligation to transfer a portion of the Up-MACRO Holding Trust's assets will be included in the calculation of the underlying value of the Down-MACRO Holding Trust. The Applicable Reference Price of Crude Oil is the settlement price of the NYMEX Division of the New York Mercantile Exchange, Inc. (“NYMEX”) light sweet crude oil futures contract of the “designated maturity” (as defined below), as established and reported by NYMEX on a per barrel basis in U.S. dollars at the end of each “Price Determination Day” (as defined below). Similarly, the assets of the Down-MACRO Tradeable Trust will consist exclusively of a majority of the Claymore MACROshares Oil Down Holding Shares (“Down-MACRO Holding Shares” and together with the Up-MACRO Holding Shares, the “MACRO Holding Shares”) issued by the Claymore MACROshares Oil Down Holding Trust (“Down-MACRO Holding Trust” and together with the Up-MACRO Holding Trust, the “MACRO Holding Trusts”). Quarterly Income Distributions, Redemption Distributions and Final Distributions, as described below, on the Down-MACRO Holding Shares held by the Down-MACRO Tradeable Trust will be based on the “underlying value” of the Down-MACRO Holding Trust on specified dates (which underlying value will increase or decrease in proportion to fluctuations in the Applicable Reference Price of Crude Oil above or below its starting level) and will be passed through to the holders of the Down-MACRO Tradeable Shares. If the Applicable Reference Price of Crude Oil rises above its starting level, the Down-MACRO Holding Trust's underlying value will decrease proportionately because an obligation to transfer a portion of the Down-MACRO Holding Trust's assets will be included in the calculation of the underlying value of the Up-MACRO Holding Trust. Conversely, if the level of the Applicable Reference Price of Crude Oil falls below its starting level, the Down-MACRO Holding Trust's underlying value will increase to include all of its assets plus an obligation of the Up-MACRO Holding Trust to transfer a portion of its assets. The underlying value of either MACRO Holding Trust on each Price Determination Day (as defined below) represents the aggregate amount of the assets in both of the MACRO Holding Trusts to which that trust would be entitled if the settlement contracts and the income distribution agreement between the paired MACRO Holding Trusts described below were settled on that day. Under proposed Amex Rule 1401, the Exchange may approve for listing and trading “Paired Trust Shares” based on the value of a Reference Price, which may measure assets, prices, or other economic interests. Consistent with this proposed rule, the Amex proposes to list for trading Up-MACRO and Down-MACRO Tradeable Shares based on the Applicable Reference Price of Crude Oil as the Reference Price under proposed Amex Rule 1400 *et seq.* The MACRO Tradeable Shares will be the first Paired Trust Shares to be listed and traded on the Amex. The MACRO Holding Shares will not be listed or traded on the Amex. Introduction The Exchange is proposing to adopt rules for the listing and trading of Paired Trust Shares. Paired Trust Shares are comprised of two distinct types of securities—“Holding Shares” and “Tradeable Shares”—that are related through a two-tiered structure. The purpose of the following paragraphs in this “Introduction” is to describe Paired Trust Shares generically, not to describe a specific product. 5 The Exchange also proposes to amend its original listing and annual listing fees in Sections 140 and 141 of the Amex Company Guide to include the Paired Trust Shares. 5 *See, infra* “Description of the Reference Price—the Applicable Reference Price of Crude Oil” for the beginning of the detailed description of the specific product that is being proposed for approval in this filing under the proposed rules for Paired Trust Shares. The top tier of Paired Trust Shares consists of Holding Shares, which are securities:
(a)That are issued by a trust (“Holding Trust”) that is paired with another Holding Trust and whose respective “underlying values” move in opposite directions as the value of the specified Reference Price varies from its starting level;
(b)that are issued in exchange for cash;
(c)a majority (but not necessarily all) of which will be acquired and deposited in a related Tradeable Trust (as defined herein);
(d)the issuance proceeds of which are invested and reinvested in highly rated short-term financial instruments that mature prior to the next scheduled income distribution date and that serve the functions of
(i)securing the contractual obligations between the two paired Holding Trusts,
(ii)covering the trust's expenses, and
(iii)if any amount remains, providing periodic Income Distributions to investors; 6
(e)which represent a beneficial interest in the Holding Trust that issued them;
(f)the value of which is determined by the underlying value of the related Holding Trust, which underlying value will either
(i)increase as a result of an increase in the Reference Price and decrease as a result of a decrease in the Reference Price (in the case of “Up Holding Shares” issued by an “Up Holding Trust”) or
(ii)increase as a result of a decrease in the Reference Price and decrease as a result of an increase in the Reference Price (in the case of “Down Holding Shares” issued by the paired “Down Holding Trust”);
(g)whose issuing Holding Trust enters into one or more settlement contracts 7 and an income distribution agreement 8 with the other paired Holding Trust;
(h)that, when timely aggregated in a specified minimum number or amount of securities, along with a specified multiple of that number or amount of securities issued by the other paired Holding Trust (together, a “Creation Unit”) may be redeemed in a Redemption Distribution of cash and/or securities on specified dates by authorized parties; and
(i)that may be subject to early mandatory redemption of all Holding Shares in connection with a Final Distribution prior to the final scheduled termination date under specified circumstances. 6 Such periodic distributions to investors (“Income Distributions”) are based on the income (after expenses) received from the financial instruments held by each Holding Trust ( *e.g.* , interest income from maturing U.S. Treasury securities and repurchase agreements fully collateralized by U.S. Treasury securities), and are made immediately following the periodic transfer of such income between the paired Holding Trusts under the terms of the income distribution agreement as described in clause
(g)of this paragraph. 7 As described below, when Holding Shares are redeemed in a paired optional redemption (“Redemption Distribution”) or upon early or final termination (“Final Distribution”), the settlement contracts between the two Holding Trusts provide for the appropriate transfer of assets between the paired Holding Trusts so that the Holding Shares of each Holding Trust may be redeemed in proportion to the per share underlying value of that Holding Trust. 8 As described below, the income distribution agreement between the two Holding Trusts provides for the periodic transfer between the paired Holding Trusts of income (after payment of expenses) received by each Holding Trust from the financial instruments (as described above) held by that Holding Trust, with the amount of each periodic transfer based on the proportionate change in the Reference Price from its starting level at one or more points during the period following the previous periodic transfer of such income between the paired Holding Trusts. The second tier of Paired Trust Shares consists of Tradeable Shares, which are securities:
(a)That are issued by a trust (“Tradeable Trust”) in exchange for the deposit of Holding Shares (or cash, which cash is then used to purchase Holding Shares) into the Tradeable Trust, with the Holding Shares that are held by the Tradeable Trust being either Up Holding Shares (in the case of “Up Tradeable Shares” issued by an “Up Tradeable Trust”) or Down Holding Shares (in the case of “Down Tradeable Shares” issued by a “Down Tradeable Trust”);
(b)which represent an undivided beneficial interest in the Tradeable Trust that issued them;
(c)the Quarterly Income Distributions, Redemption Distributions, and Final Distributions on which (which are solely pass-through distributions received on the Holding Shares that are held by the issuing Tradeable Trust) will thereby either
(i)in the case of the Up Tradeable Shares, increase as a result of an increase in the Reference Price and decrease as a result of a decrease in the Reference Price or
(ii)in the case of the Down Tradeable Shares, increase as a result of a decrease in the Reference Price and decrease as a result of an increase in the Reference Price, in each case as a result of the corresponding change in the underlying value of the Holding Trust (as discussed in the prior paragraph);
(d)that may have an exchange feature that will allow authorized parties to exchange such Tradeable Shares for the underlying Holding Shares that can be redeemed for cash and/or securities (any such redemption to be done in specified aggregations called Creation Units); and
(e)that may be subject to early mandatory redemption of all Tradeable Shares in connection with a Final Distribution prior to the final scheduled termination date under specified circumstances. For each separate and discrete Reference Price that may underlie Paired Trust Shares, the Exchange will submit a filing pursuant to Section 19(b) of the Act 9 subject to Commission review and approval. The Exchange may eventually seek to revise the proposed listing criteria and trading rules to permit the listing and trading of Paired Trust Shares pursuant to Rule 19b-4(e) under the Act. 9 15 U.S.C. 78s(b). Pursuant to proposed Amex Rule 1402, the Exchange seeks to list and trade the MACRO Tradeable Shares. The MACRO Tradeable Shares will conform to the initial and continued listing criteria under proposed Amex Rule 1402. The MACRO Tradeable Trusts and the MACRO Holding Trusts will be formed under four trust agreements between Investors Bank & Trust Company, as trustee; Claymore Securities, Inc., as administrative agent and marketing agent; and MACRO Securities Depositor, LLC, as depositor. 10 MacroMarkets LLC and Claymore Securities, Inc. are each the owner of 50% of the membership interests in MACRO Securities Depositor, LLC. 10 The issuer states that neither the MACRO Tradeable Trusts nor the MACRO Holding Trusts will be investment companies as defined in Section 3(a) of the Investment Company Act of 1940, as amended (the “1940 Act”). Description of the Reference Price—The Applicable Reference Price of Crude Oil The economic variable whose value will serve as the Reference Price for the first Paired Trust Shares to be listed on the Exchange is the Applicable Reference Price of Crude Oil, which is the settlement price of the NYMEX Division light sweet crude oil futures contract of the “Designated Maturity” (as defined below), as established and reported by NYMEX on a per barrel basis in U.S. dollars at the end of each Price Determination Day. A “Price Determination Day” for this purpose is 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 the NYMEX (located in New York City, New York) through the use of verbal or hand signals, rather than through electronic or other means. Price Determination Days are generally the same as business days—that is, any day other than a Saturday, a Sunday, or a day on which banking institutions and stock exchanges in New York, New York are authorized or required by law, regulation or executive order to close. If a substitute reference oil price is being used, the “Price Determination Day” will be each day on which this price is determined by, or in accordance with the rules of, the substitute oil price provider. A light sweet futures contract of the designated maturity (“Designated Maturity”) means the contract that matures
(i)during the next succeeding calendar month if the date of determination is the first day of the current calendar month through and including the tenth business day of the current calendar month, and
(ii)during the second succeeding calendar month if the date of determination is the eleventh business day through the last day of the current calendar month. For example, from September 1 through the tenth business day in September, the Applicable Reference Price of Crude Oil will reflect the price of the NYMEX Division light sweet crude oil futures contract that is scheduled to settle in October. From the eleventh business day in September through and including September 30, the NYMEX contract of the designated maturity will be the contract that settles in November. From October 1 through and including the tenth business day in October, the NYMEX contract designated month will continue to be November. The reason for this is that around the middle of each calendar month, the highest volume of trading in NYMEX Division light sweet crude oil futures contracts generally moves from the contract that settles in the following month to the contract that settles in the second following month. Switching into the next month's contract around the eleventh business day of each month is intended to minimize the reflection in the Applicable Reference Price of Crude Oil of factors related to the physical delivery of crude oil, such as physical storage and delivery costs. If the eleventh business day of any month occurs later than the seventeenth calendar day of that month, then the switch to the second month's contract will be made on the preceding business day that occurs on or prior to the seventeenth day of that calendar month. The underlying value of each MACRO Holding Trust on each Price Determination Day will be determined by reference to the settlement price on that day of the light sweet crude oil contract of the designated maturity. 11 At the close of each day's regular trading session (“Regular Trading Session”), the NYMEX “Settlement Price Committee” establishes the settlement price of the light sweet crude oil futures contract for each delivery month that trades on NYMEX. The NYMEX Settlement Price Committee was formed and operates under NYMEX's by-laws and its rules governing floor trading. It is generally composed of NYMEX members and representatives of such members. Under NYMEX rules, the Exchange states that members of the Settlement Price Committee are restricted from using or disclosing, for any purpose other than the performance of such member's official duties, any material non-public information obtained as a result of such member's participation on the Settlement Price Committee. Moreover, federal securities law prohibits the use of material non-public information in connection with the purchase and sale of any MACRO securities. However, the Exchange states that members of the Settlement Price Committee are not prohibited from purchasing or selling NYMEX light sweet crude oil futures contracts or MACRO Holding Shares or MACRO Tradeable Shares. The Exchange states that the settlement prices determined by the NYMEX Settlement Price Committee for each contract month are the official prices used by the NYMEX clearinghouse in determining net gains or losses and margin requirements on the light sweet oil futures contracts. The clearinghouse is a body associated with NYMEX that acts as the buyer to all sellers and the seller to all buyers. 11 In the event that no settlement price is determined for the light sweet crude oil contract on the NYMEX on a given Price Determination Day and no substitute oil price provider can be utilized, then the settlement price on the prior Price Determination Day will be utilized as that day's settlement price on which to base the Applicable Reference Price of Crude Oil. If two specified criteria are satisfied with respect to a particular contract month for the light sweet crude oil futures contract, then the settlement price of that contract month will be equal to the weighted average price (rounded to the minimum price fluctuation of $0.01) of all outright transactions that occurred in the closing range. The Exchange states that “outright transactions” means contracts in which one of the parties has taken a position which is not offset by the opposite position taken by that party under another contract, thereby exposing that party to actual risk with respect to the settlement price of the futures contract. The “closing range” is defined under NYMEX rules as the last two minutes of the Regular Trading Session or, for the final day of trading of the expiring light sweet crude oil futures contract, the last thirty
(30)minutes of the Regular Trading Session. The Exchange states that the two specified criteria for each contract month and each Price Determination Day are
(1)the contract month must have, as of the opening of business for that day, more than 10% of the total open interest for all contract months, and
(2)the contract month must represent at least 10% of the closing range volume of all contract months traded on NYMEX on that day. For purposes of calculating total volume, volume from limit orders placed prior to the close in which a buyer indicates that he or she is willing to take the settlement price will be included, but trading volume done during the closing range on the last day of trading in an expiring contract will be excluded. “Open interest” means the number of open or outstanding contracts for which an individual or entity is obligated to NYMEX because that individual or entity has not yet made an offsetting sale or purchase or for which an actual contract delivery has not yet occurred. “Closing range volume” is the volume of executed trades in the light sweet crude oil futures contract for a particular contract month that occurred on any given day of trading during the last two minutes of the Regular Trading Session or, with respect to the last day of trading for that contract month, during the last thirty
(30)minutes of the Regular Trading Session. The Exchange states that NYMEX determines the settlement prices for delivery months of the light sweet crude oil futures contract that represented 10% or less of the total open interest or in which less than 10% of trading volume occurred during the closing range based upon spread relationships determined in the judgment of the Settlement Price Committee. “Spread relationship” refers to the simultaneous purchase and sale of futures contracts with different expirations. The Exchange states that the Settlement Price Committee determines spread relationships by giving the greatest weight to spreads executed late in the trading day in large volumes and lesser weight to spreads traded in smaller volumes executed earlier in the trading day. In any circumstance where the Settlement Price Committee is considering bids and offers for spreads, it must consider the mid-point of the best bid and best offer, not the actual best bid or best offer. On occasion, a price spike may occur in the closing range. The Exchange states that a “price spike” in the closing range will be deemed to have occurred if, in the sole discretion of the Settlement Price Committee, a significant change in the spread relationships between a given month, known as the “spiked month,” and the contract months immediately preceding and following such month occurred during the closing range. If a price spike in the closing range occurs in a light sweet crude oil futures contract for a contract month with respect to which the open interest and volume criteria are met and the settlement price is therefore determined by weighted average price, the Settlement Price Committee may disregard the settlement price for the spiked month in considering spread relationships for the other months where the open interest and volume criteria were not met. The Exchange states that the Settlement Price Committee may not establish a settlement price that would be lower than the best bid or higher than the best offer that had been posted with NYMEX and remained available for execution and unfilled for the final fifteen minutes of trading and was for at least 100 outright contracts in the relevant delivery month or at least 200 spread contracts involving that delivery month and a different delivery month. Finally, if any settlement price determined with respect to the relevant delivery month, either by calculation of the weighted average price or by reference to spread relationships, is inconsistent with transactions that occurred during the closing range in other delivery months of the light sweet crude oil futures contract or with market information known to the Settlement Price Committee, the Settlement Price Committee may, in its discretion, set the settlement price at a level consistent with such other transactions or market information. The Exchange states that crude oil prices are subject to temporary distortions due to various factors, including, but not limited to, lack of liquidity in the markets, the participation of speculators, war, geopolitical instability, supply decisions and policies instituted by OPEC and other non-OPEC oil-producing countries such as Russia, increased demand in developing countries, weather conditions, new environmental policies, government regulation, and government intervention. These factors may cause dramatic fluctuations, or volatility, in the Applicable Reference Price of Crude Oil. Other factors that impact the supply and demand for oil and, therefore, its price, may also add to volatility in the Applicable Reference Price of Crude Oil. The Exchange states that the demand for crude oil is driven by the consumption of energy for transportation, industrial consumption of power, and the demand for sources of energy to be used for heating and cooling. Other factors that may impact demand include taxes, environmental laws, international trade agreements, changes in exchange rates associated with the U.S. dollar, interest rate changes (which affect exchange rates), and technology ( *e.g.* , by enabling the exploitation of alternative fuel sources and by providing methods to use oil more efficiently). The Exchange states that the supply of crude oil is driven by worldwide oil inventories, which are a function of successful exploration, feasibility of drilling, production levels, transportation costs, and the ability of producers to refine the crude oil into consumable products. Other factors that may impact supply include technological advances ( *e.g.* , by making exploration and drilling more economically feasible), production interruptions ( *e.g.* , due to political instability, natural disasters, acts of war or sabotage, labor problems, machinery failure, or human error), and production decisions by oil-producing countries or regions, and government programs and policies ( *e.g.* , permitting or restricting oil drilling in given areas). The Exchange states that all of these factors may adversely affect the Applicable Reference Price of Crude Oil and therefore adversely affect the distributions on the MACRO Holding Shares and the MACRO Tradeable Shares. Trading in the light sweet crude oil futures contract occurs by open outcry on the trading floor at NYMEX from 10 a.m. until 2:30 p.m. (New York City time) on each business day (the “Regular Trading Session”). All prices are quoted in U.S. dollars. Trading also occurs after hours via an internet-based trading platform, but the daily settlement price established by NYMEX for each light sweet crude oil futures contract is based only on trading that occurs during the Regular Trading Session. The Exchange states that MacroMarkets will enter into a licensing agreement with NYMEX for the use of the settlement prices for certain of the commodity-based futures contracts that trade on the facilities of NYMEX, including the light sweet crude oil futures contracts. The MACRO Holding Trusts and the MACRO Tradeable Trusts will collectively enter into a licensing agreement with MacroMarkets that grants a sublicense to each trust giving the trust certain rights to use NYMEX's proprietary settlement prices for the near months of the light sweet crude oil futures contracts. The Exchange states that the term of the license granted by NYMEX to MacroMarkets is five years, and upon the termination of that license agreement the aforementioned sublicense will also expire. NYMEX has the right to terminate the license earlier if it believes that MacroMarkets or any of its sublicensees have misused the license. Upon termination of the NYMEX license, the Exchange states that MacroMarkets and the depositor 12 will seek to negotiate a renewal of the license on terms comparable to those of the existing license. The Exchange states that if NYMEX refuses to renew the license on acceptable terms, an effort will be made to negotiate a license with the Dow Jones Energy Service for use of its West Texas intermediate crude oil spot price on terms comparable to the NYMEX license. If such a license is obtained, this spot price will become the new Applicable Reference Price of Crude Oil. If no license is obtained from the Dow Jones Energy Service, the holders of the paired MACRO Holding Shares (including the holders of the MACRO Tradeable Shares who will be entitled to vote the underlying MACRO Holding Shares on deposit in the MACRO Tradeable Trusts for this purpose) may vote to select a different crude oil price provider. 13 If the shareholders are not able to agree unanimously on a new price provider or a license cannot be negotiated with the provider selected by the shareholders, a termination trigger (“Termination Trigger”) will occur, which will result in an early redemption of the MACRO Holding Shares and the MACRO Tradeable Shares ( *see* Termination Triggers). 12 In addition to participating in such negotiations, the depositor performs certain other tasks that are not performed by the trustee or the administrative agent, such as the preparation of filings under the Act. 13 If a benchmark other than the light sweet crude oil futures contract traded on NYMEX is selected for the determination of the Applicable Reference Price of Crude Oil, the Amex will file with the Commission a proposed rule change pursuant to Rule 19b-4 under the Act seeking approval to continue trading the MACRO Trading Shares and, unless approved, the Exchange will commence delisting the MACRO Tradeable Shares. In the event the Exchange believes that a change in the benchmark or pricing source for the Applicable Reference Price of Crude Oil is only temporary, the Exchange may contact the Commission staff to discuss the matter. Light Sweet Crude Oil Futures Contracts The NYMEX Division light sweet crude oil futures contract is traded on the physical facilities of NYMEX. It is quoted on a per barrel basis and traded in units of 1,000 barrels (42,000 gallons) under the trading symbol “CL” followed by a reference to the month and year in which such contract settles. Prices are quoted for delivery at Cushing, Oklahoma, which is a major crude oil transshipment point with extensive pipeline connections to oil producing areas and refining centers in the southwestern United States and along the U.S. Gulf Coast. According to NYMEX, its light sweet crude oil futures contract is used as an international pricing benchmark for oil because of its excellent liquidity and price transparency. Each light sweet crude oil futures contract traded on NYMEX has a specific delivery month and year in which such contract is scheduled to terminate. This month is referred to as that contract's “delivery month” or “contract month.” For example, the Exchange states that if one purchases the September 2006 light sweet crude oil futures contract, the delivery month and year would be September 2006, and such contract would obligate the seller to deliver 1,000 barrels of light sweet crude oil to the buyer at Cushing, Oklahoma during September 2006. In order to determine the price that the buyer has to pay on delivery, the NYMEX terminates trading in a specific contract month for the light sweet crude futures contract on the third business day prior to the 25th day of the preceding month or, if the 25th day is not a business day, on the third business day prior to the business day that precedes the 25th day of the preceding month. For example, the September 2006 futures contract will stop trading on August 22, 2006, which is three business days prior to August 25, 2006. Regardless of any prior action concerning price limits during the Regular Trading Session, commencing fifteen
(15)minutes before the close of that session, the Exchange states that there will be no price fluctuation limits on any contract month in the light sweet crude oil futures contract and, accordingly, no further trading halts may occur for the remainder of the Regular Trading Session. In addition, the Exchange states that there will be no limitations on price fluctuations for any contract month of the light sweet crude oil futures contract during the final trading day for that contract. The NYMEX Board of Directors may provide at any time that there shall be no trading during any one business day or trading session day in any commodity for future delivery in any specified month or months at prices more than a fixed limit above or below the settlement price for the preceding business day. At the discretion of the Board, any limitation so imposed by it may be changed or suspended or temporarily modified from time to time and without prior notice. The Exchange states that light sweet crude oil futures contracts may be settled physically. Delivery must begin on or after the first calendar day of the delivery month and must be completed by the last calendar day of that month. All deliveries are made ratably over the course of the month. In practice, the light sweet crude oil futures contract is usually settled in cash by means of the futures and clearing procedures of the NYMEX. Under the NYMEX's rules governing the light sweet crude oil futures contract, only certain types of oil meeting specific quality criteria may be delivered under the contract. The NYMEX's rules also specify the levels of sulfur, gravity, viscosity, vapor pressure, impurity levels, and pour points for different grades of oil that can be delivered under the light sweet crude oil futures contract. The Exchange states that this specificity serves as the definition of “light sweet crude oil” under the contract and ensures the quality of the oil to be delivered. The following domestic grades of oil may be delivered by the seller without any discount from the final futures price of the futures contract: West Texas Intermediate, Low Sweet Mix, New Mexican Sweet, North Texas Sweet, Oklahoma Sweet, and South Texas Sweet crude oil. Several foreign grades of oil may also be delivered by a seller with a specific discount or premium from the futures price. The Exchange states that the primary deliverable grade of oil under the contract is West Texas Intermediate crude oil, which is the U.S. benchmark grade of oil. Product Description On and after the closing date for the MACROs transaction, the Up-MACRO Holding Trust and the Up-MACRO Tradeable Trust will issue Up-MACRO Holding Shares and the Up-MACRO Tradeable Shares, respectively, on a continuous basis, upon the direction of any “Authorized Participant” (as defined herein) by delivery of an issuance order to the administrative agent for the paired MACRO Holding Trusts on any Price Determination Day. ( *See* “Paired Issuances” below.) Up-MACRO Holding Shares will be issued at a per share price equal to the underlying value per share of the Up-MACRO Holding Trust on the Price Determination Day on which an issuance order for the creation of paired MACRO Holding Shares is received. The proceeds from each “Paired Issuance” (as defined below) of the Up-MACRO Holding Shares will be delivered to the trustee for the Up-MACRO Holding Trust. These proceeds will be combined with the proceeds from the related Paired Issuance of Down-MACRO Holding Shares, and an equal amount of such proceeds will be deposited into the Up-MACRO Holding Trust and the Down-MACRO Holding Trust. 14 Depending upon whether the Authorized Participants who replaced the issuance order requested holding shares and/or tradeable shares, 15 the trustee for the Up-MACRO Holding Trust will then deliver all or a portion of the issued Up-MACRO Holding Shares to the Up-MACRO Tradeable Trust and the remainder of the Up-MACRO Holding Shares to the creating Authorized Participants, and the trustee for the Up-MACRO Tradeable Trust will cause such trust to issue additional Up-MACRO Tradeable Shares and deliver such shares to the creating Authorized Participants. 14 While equal amounts from the proceeds of a Paired Issuance are deposited in the Up-MACRO Holding Trust and the Down-MACRO Holding Trust, the settlement contracts between the two MACRO Holding Trusts provide an obligation for the proportional transfer of those assets between the trusts when the contracts are settled. 15 A portion of the Up-MACRO Holding Shares as well as the Down-MACRO Holding Shares (representing less than 50% of each) issued on any Paired Issuance date may be acquired by other investors who are not affiliated with the MACRO Tradeable Trusts. Such other investors must either be Authorized Participants or “qualified institutional buyers” (as defined in Rule 144A of the Securities Act of 1933 (“Securities Act”). The trustee for the Up-MACRO Holding Trust will then apply the net proceeds received by the Up-MACRO Holding Trust to purchase bills, bonds and notes issued and guaranteed by the United States Treasury, and repurchase agreements fully collateralized by U.S. Treasury securities 16 (collectively, “Treasuries”) maturing prior to the first quarterly distribution date ( *e.g.* , three-month U.S. Treasury securities). The allocation of funds between U.S. Treasury securities and repurchase agreements will be based on the historical redemption experience of the MACRO Holding Trusts. Due to the continuous redemptions allowed by the MACRO Holding Trusts, it is desirable to allow some funds to be invested in such repurchase agreements that terminate overnight in order to avoid the transaction costs involved in allocating and delivering U.S. Treasury securities to one or more redeeming Authorized Participants. This also gives the MACRO Holding Trusts a measure of bargaining power with securities dealers and repo counterparties by allowing the administrative agent to choose among a number of different dealers and to select U.S. Treasury securities of varying maturities (although never greater than 90 days). In addition, since MACRO Holding Trusts will hold some cash to meet their future obligations to their shareholders as well as to each other, the MACRO Holding Trusts can make use of such cash by investing in such repurchase agreements to earn an additional return for their shareholders, pending the application of the cash to satisfy these obligations. Such returns may be used by the MACRO Holding Trusts to pay their trust expenses as well. On each quarterly distribution date, except for the final scheduled termination date or an early termination date, the trustee, at the direction of the administrative agent, will reinvest the proceeds from the maturing Treasuries that are not part of
(i)a Quarterly Income Distribution or
(ii)in the case of a quarterly distribution date that is a Redemption Date (as described below) for the MACRO Holding Shares, a Redemption Distribution directed on that date, in new Treasuries that will mature prior to the next distribution date. 16 The repurchase agreements will be entered into with counterparties that are
(i)banks with at least one billion U.S. dollars in assets or
(ii)registered securities dealers that are deemed creditworthy by the administrative agent. Such repurchase agreements must terminate overnight, and the obligation of a counterparty to repurchase U.S. Treasury securities from a MACRO Holding Trust will be fully collateralized, as defined in Rule 5b-3 under the 1940 Act. None of the counterparties may be “affiliated persons” (as defined in the 1940 Act) with respect to the trustee, the administrative agent, the depositor, any of the MACRO Holding Trusts or MACRO Tradeable Trusts, any of the Authorized Participants, or any affiliated persons with respect to any of the foregoing entities. The Authorized Participant will offer the Up-MACRO Holding Shares and the Up-MACRO Tradeable Shares at a per share offering price that will vary, depending, among other things, on the current level of the Applicable Reference Price of Crude Oil and the current market price of the Up-MACRO Tradeable Shares on the Amex at the time of the offer. The Authorized Participants who offer such shares, or their respective affiliates, may receive customary compensation and brokerage fees from investors to whom they sell Up-MACRO Holding Shares or Up-MACRO Tradeable Shares. The process described in the immediately preceding paragraphs will also be followed in connection with the related Paired Issuance of the Down-MACRO Holding Shares and the Down-MACRO Tradeable Shares. The proceeds from the Paired Issuance of the Down-MACRO Holding Shares will be delivered to the trustee for the Down-MACRO Holding Trust. These proceeds will be combined with the proceeds from the related Paired Issuance of UP- MACRO Holding Shares, with an equal amount 17 of the proceeds deposited into the Up-MACRO Holding Trust and the Down-MACRO Holding Trust. Depending upon whether the Authorized Participants who placed the issuance order requested holding shares and/or tradeable shares, the trustee for the Down-MACRO Holding Trust will then deliver all or a portion of the issued Down-MACRO Holding Shares to the Down-MACRO Tradeable Trust and the remainder to the creating Authorized Participants, and the trustee for the Down-MACRO Tradeable Trust will cause such trust to issue additional Down-MACRO Tradeable Shares and deliver such shares to the creating Authorized Participants. The net proceeds received by the Down-MACRO Holding Trust will be applied by the trustee for the Down-MACRO Holding Trust to purchase Treasuries on behalf of the Down-MACRO Holding Trust. 18 17 *See supra,* note 14. 18 There is a similar process for paired optional redemptions of MACRO Holding Shares by Authorized Participants and the receipt of related Redemption Distributions consisting of cash and/or U.S. Treasury securities. *See infra,* discussion under “Redemption Distributions and Final Distributions.” Under the trust agreements (which the administrative agent is a party to), the administrative agent will be required, among other things, to use its commercially reasonable efforts to identify and direct the trustee to purchase new Treasuries on each quarterly distribution date (except for the final scheduled termination date or an early termination date) and Paired Issuance date for each of the MACRO Holding Trusts with the same maturities or terms, stated interest rates (if any), and applicable discount rates in order for each trust to be able to realize comparable amounts of income during each quarter. Treasuries will be acquired and held in the minimum permissible denominations in order to facilitate the maintenance of parity in the assets held by each of the MACRO Holding Trusts. However, a portion of the assets of a MACRO Holding Trust may from time to time be held in the form of cash, due to mismatches between the maturity profiles of Treasuries available for purchase and the length of time between distribution dates. Any U.S. Treasury securities delivered in connection with a paired optional redemption (as described below) will be selected by the administrative agent on a “last in, first out” basis. The U. S. Treasury securities selected by the administrative agent to be delivered as the Redemption Distribution in a paired optional redemption will be distributed ratably, by type, to each redeeming Authorized Participant. As described in more detail below, the Up-MACRO Holding Trust will enter into an income distribution agreement and multiple settlement contracts 19 with the Down-MACRO Holding Trust. The Down-MACRO Holding Trust will act as the counterparty to the Up-MACRO Holding Trust under the income distribution agreement and the settlement contracts between the two MACRO Holding Trusts, and vice-versa, and the Treasuries and cash on deposit in each of the MACRO Holding Trusts will serve the functions of securing the contractual obligations between the two trusts, generating income to cover the trust's expenses and, if any amount remains, providing Quarterly Income Distributions to investors. In accordance with the terms of the income distribution agreement between the paired MACRO Holding Trusts, the Up-MACRO Holding Trust will, on each Quarterly Income Distribution date, either
(i)be entitled to receive from the Down-MACRO Holding Trust all or a portion of that trust's available income (as defined below), or
(ii)be required to pay all or a portion of its own available income to the Down-MACRO Holding Trust, based, in each case, on the level of the Applicable Reference Price of Crude Oil on each day that has elapsed since the preceding Quarterly Income Distribution date. The Up-MACRO Holding Trust will then make a quarterly distribution of income to holders of the Up-MACRO Holding Shares (including the Up-MACRO Tradeable Trust) out of the available income that it holds on deposit, if any, on each Quarterly Income Distribution date after it has made or received a payment under the income distribution agreement between the paired MACRO Holding Trusts. 19 The settlement contracts between the MACRO Holding Trusts are not futures contracts traded on any commodities or stock exchange. These contracts are individually negotiated and entered into by or on behalf of the Up-MACRO Holding Trust and the Down-MACRO Holding Trust. Similarly, the Final Distributions and Redemption Distributions on the Up-MACRO Holding Shares and the Down-MACRO Holding Shares will be determined by the payments that each MACRO Holding Trust will be required to make to, or be entitled to receive from, the other MACRO Holding Trust under the settlement contracts between them being settled on the final scheduled termination date, an early termination date, or any Redemption Date, as the case may be. These settlement obligations between the MACRO Holding Trusts will be based on the underlying value of each MACRO Holding Trust on the appropriate date, determined by the change in the level of the Applicable Reference Price of Crude Oil from its starting level to its ending level on the Price Determination Day preceding the final scheduled termination date or early termination date or, in the case of a redemption, on the day (“Redemption Date”) on which a redemption order is placed by an Authorized Participant. In the case of the final scheduled termination date or an early termination date, the applicable MACRO Holding Trust must make a final payment to the other MACRO Holding Trust out of the proceeds of the Treasuries that it holds on deposit on that date to settle all of the settlement contracts between them. In the case of a Redemption Date that occurs between Quarterly Income Distribution dates, the applicable MACRO Holding Trust must transfer all or a portion of its cash and/or Treasuries to the other MACRO Holding Trust in order to settle one or more of the settlement contracts between them based on the amount redeemed. The Up-MACRO Tradeable Trust will pass through to the holders of its Up-MACRO Tradeable Shares all Quarterly Income Distributions, Redemption Distributions, and Final Distributions that it receives on the Up-MACRO Holding Shares that it holds, and the Down-MACRO Tradeable Trust will do likewise to holders of its Down-MACRO Tradeable Shares with respect to all distributions that it receives on the Down-MACRO Holding Shares that it holds. Investors Bank & Trust Company, a Massachusetts trust company, will act as trustee for each of the MACRO Holding Trusts and MACRO Tradeable Trusts under four separate trust agreements. The trustee will be responsible for, among other things:
(i)Administering redemptions and Paired Issuances of MACRO Holding Shares in MACRO Units or integral multiples thereof (with a “MACRO Unit” being a Creation Unit comprised of 50,000 Up-MACRO Holding Shares and 50,000 Down-MACRO Holding Shares in combination) and administering exchanges of MACRO Tradeable Shares;
(ii)making Quarterly Income Distributions, Redemption Distributions and Final Distributions to the holders of the MACRO Holding Shares and passing through those distributions to the holders of the MACRO Tradeable Shares;
(iii)investing cash on deposit in the paired MACRO Holding Trusts in Treasuries in accordance with the directions of the administrative agent;
(iv)on each Price Determination Day, calculating the Price Level Percentage Change (as defined below), the respective underlying values of the paired MACRO Holding Trusts and the per share underlying value of the related MACRO Holding Shares and MACRO Tradeable Shares, and posting these calculations on the publicly accessible Web site maintained by the administrative agent;
(v)calculating the Price Level Percentage Change and the respective underlying values of the paired MACRO Holding Trusts prior to each Quarterly Income Distribution date, Redemption Date, early termination date and the final scheduled termination date;
(vi)calculating, for each Quarterly Income Distribution date, the amount of available income on deposit in each of the paired MACRO Holding Trusts, the payment due under the income distribution agreement between the MACRO Holding Trusts, and the Quarterly Income Distributions to be made on the respective MACRO Holding Shares and passed through to the related MACRO Tradeable Shares;
(vii)calculating, for the final scheduled termination date, an early termination date and each Redemption Date, the final payment due under the settlement contracts being settled between the MACRO Holding Trusts and the Final Distribution or Redemption Distribution, as the case may be, to be made on the respective MACRO Holding Shares and passed through to the related MACRO Tradeable Shares;
(viii)delivering any notices required under any of the trust agreements; and
(ix)notifying the depositor and the administrative agent of the occurrence of certain of the Termination Triggers. Claymore Securities, Inc., a Kansas corporation that is a registered broker/dealer, will act as the administrative agent and a marketing agent 20 for each of the MACRO Holding Trusts and MACRO Tradeable Trusts and will be a party to the trust agreement for each of the trusts. The administrative agent will perform or oversee the performance of a number of duties on behalf of the four trusts, including:
(i)Directing the trustee in the acquisition of new Treasuries, including placing the purchase orders for such Treasuries, for the paired MACRO Holding Trusts on each Quarterly Income Distribution date and each Paired Issuance date in accordance with the acquisition guidelines that are specified in the trust agreements for the paired MACRO Holding Trusts; 21
(ii)selecting U.S. Treasury securities to be delivered in connection with the settlement of the settlement contracts between the paired MACRO Holding Trusts and in connection with paired optional redemptions in accordance with the rules specified in the trust agreements;
(iii)processing redemption and creation orders for MACRO Holding Shares and MACRO Tradeable Shares from Authorized Participants;
(iv)directing the trustee in effecting redemptions and Paired Issuances;
(v)maintaining the publicly accessible Web site that displays information regarding the MACRO Holding Shares and MACRO Tradeable Shares; and
(vi)notifying the depositor and the trustee of the occurrence of certain Termination Triggers. 20 MACRO Financial, LLC will act as an additional marketing agent. 21 A registered broker/dealer will perform all securities transactions and provide all related advice with respect to buying or selling securities. The underlying values of the MACRO Holding Trusts and, consequently, the prices of the MACRO Holding Shares and MACRO Tradeable Shares and the distributions on the MACRO Holding Shares and pass-through distributions to the holders of the MACRO Tradeable Shares track the Applicable Reference Price of Crude Oil, which is based on the futures contract that is an international pricing benchmark for oil. The Applicable Reference Price of Crude Oil is calculated on a per barrel basis and established by NYMEX on each Price Determination Day, which is 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. *See* “Description of the Reference Price—The Applicable Reference Price of Crude Oil” for more information. If the level of the Applicable Reference Price of Crude Oil increases, the underlying value of the Up-MACRO Holding Trust will increase and that of the Down-MACRO Holding Trust will decrease, each by an amount proportionate to the increase in the price. Conversely, if the level of the Applicable Reference Price of Crude Oil decreases, the underlying value of the Up-MACRO Holding Trust will decrease and that of the Down-MACRO Holding Trust will increase, each by an amount proportionate to the decrease in the price. Quarterly Income Distributions Each MACRO Holding Trust will make Quarterly Income Distributions on its MACRO Holding Shares using the income realized on the Treasuries in the paired MACRO Holding Trusts that remain available after:
(i)Each MACRO Holding Trust has deposited a “fee deduction amount” (as defined below) into a fee payment account created under the trust agreement for that MACRO Holding Trust, which amount will be applied to pay the expenses and fees of that trust 22 and the related MACRO Tradeable Trust and
(ii)each MACRO Holding Trust has either made or received a payment under the income distribution agreement on that Quarterly Income Distribution date. With respect to the latter, on every day on which the ending level of the Applicable Reference Price of Crude Oil exceeds the starting level on the closing date, the Up-MACRO Holding Trust will become entitled to retain all of its “available income accrual” (as defined below) for that day and to receive all or a portion of the Down-MACRO Holding Trust's “available income accrual” for that day. On every day on which the ending level of the Applicable Reference Price of Crude Oil is below the starting level on the closing date, the Up-MACRO Holding Trust will be obligated to pay all or a portion of its “available income accrual” for that day to the Down-MACRO Holding Trust. On each day during the calculation period that precedes each Quarterly Income Distribution date, the result of any entitlement of the Up-MACRO Holding Trust under the income distribution agreement as described above to retain all or a portion of its available income accrual for that day, and to receive all or a portion of the Down-MACRO Holding Trust's available income accrual for that day is referred to as the Up-MACRO Holding Trust's “earned income accrual” for that day. On each Quarterly Income Distribution date, 23 the Up-MACRO Holding Trust will declare a Quarterly Income Distribution on each outstanding Up-MACRO Holding Share equal to the sum of all earned income accruals for that trust for each day of the preceding calculation period plus the interest component of the underlying value of each Up-MACRO Holding Share created during such calculation period *less* any portion of the foregoing sum already distributed in connection with paired optional redemptions that occurred during that calculation period, divided by the aggregate number of outstanding Up- MACRO Holding Shares on that Quarterly Income Distribution date. 24 The Quarterly Income Distributions of the Down-MACRO Holding Trust will be calculated similarly, except that the Down-MACRO Holding Trust's entitlement to earned income accruals will be inversely correlated with the Up-MACRO Holding Trust's entitlements described above. In each case, each holder of a MACRO Tradeable Share will then receive, on a pass-through basis, its proportionate share of the Quarterly Income Distribution that is paid on the MACRO Holding Shares held by the respective MACRO Tradeable Trust. The Quarterly Income Distribution date, record date, and distribution payment date for each MACRO Tradeable Trust are the same dates as for the related MACRO Holding Trust. 22 *See* “Fees and Expenses” for additional detail on the application of funds in the fee payment account. 23 This statement is not applicable with respect to the final scheduled termination date or an early termination date or in connection with a Redemption Distribution for which a redemption order was placed on that Quarterly Income Distribution date. 24 Each registered holder of Up-MACRO Holding Shares or Up-MACRO Tradeable Shares on the “record date,” which is the last business day of the month in which the related Quarterly Income Distribution date occurred, will be entitled to receive the quarterly dividend on the “distribution payment date,” which is the third business day of the month immediately following the month in which the related Quarterly Income Distribution date occurred. The quarterly “income distribution date” is the second business day prior to the record date ( *i.e.* , two business days prior to the last business day of that month). The “available income accrual” for a MACRO Holding Trust for each day is
(i)the sum of, for each Treasury on deposit in the applicable trust on that day, the product of the purchase price at which the trust acquired that Treasury and the daily yield rate applicable to that Treasury, minus
(ii)the daily fee accrual. The “daily fee accrual” for that MACRO Holding Trust is the “asset amount” 25 for the trust on each day multiplied by the “daily fee accrual rate.” 26 The sum of the daily fee accruals for each of the MACRO Holding Trusts for an entire calculation period 27 will be equal to the “fee deduction amount” for that calculation period and that trust, which is paid quarterly as described in the prior paragraph. 25 The “asset amount” refers to the amount of assets on deposit in a MACRO Holding Trust, calculated as of any day of a calculation period from a formula based on the aggregate par amount of the MACRO Holding Shares issued by that MACRO Holding Trust plus the available income accrual for each elapsed day of that calculation period (not including the date of determination), with certain adjustments for any available income accruals in connection with paired optional redemptions and/or Paired Issuances of MACRO Holding Shares during such calculation period prior to the date of determination. 26 The “daily fee accrual rate” will be equal to an annual rate of 1.60% until the second anniversary of the closing date and an annual rate of 1.50% for each succeeding year, divided by 365 or 366, depending on the actual number of days in the current year. These rates represent the annual rate at which the funds of each MACRO Holding Trust are allocated to be used for the payment of each trust's fees and expenses. 27 A “calculation period” is defined as the period between Quarterly Income Distribution dates, beginning on the preceding Quarterly Income Distribution date and ending on the day prior to the current Quarterly Income Distribution date. If available, an amount equal to the Up-MACRO aggregate par amount 28 or Down-MACRO aggregate par amount must be reinvested by the trustee, at the direction of the administrative agent, in new Treasuries on each Quarterly Income Distribution date (unless that Quarterly Income Distribution date is the final scheduled termination date or an early termination date), after reducing that amount by the aggregate par amount of any Up-MACRO Holding Shares or Down-MACRO Holding Shares being redeemed if that Quarterly Income Distribution date is also a paired optional Redemption Date ( *i.e.* , a date on which a redemption order has been submitted) for a portion of the MACRO Holding Shares. If, after depositing the fee deduction amount into the fee payment account, the funds remaining on deposit in the Up-MACRO Holding Trust or Down-MACRO Holding Trust on any Quarterly Income Distribution date are equal to or less than the Up-MACRO or Down-MACRO aggregate par amount, as the case may be, then all of these remaining funds must be reinvested in Treasuries and the trust will have no available income with which to make a payment under the income distribution agreement to the paired MACRO Holding Trust. If less than the Up-MACRO aggregate par amount or the Down-MACRO aggregate par amount, as the case may be, is invested in Treasuries on any Quarterly Income Distribution date because the fee deduction amount of that MACRO Holding Trust exceeded the income on its Treasuries, the deficiency in the amount that is invested must be made up out of income received on subsequent Quarterly Income Distribution dates until the amount invested does equal the Up-MACRO aggregate par amount or Down-MACRO aggregate par amount. 28 The “aggregate par amount” is defined as the product of the aggregate number of outstanding shares issued by the Up-MACRO Holding Trust or the Down-MACRO Holding Trust, as the case may be, multiplied by the stated par amount per share. The stated par amount per share is equal to the starting level of the Applicable Reference Price of Crude Oil. If a MACRO Holding Trust does not have any available income on a given Quarterly Income Distribution date and does not receive any available income under the income distribution agreement from the paired MACRO Holding Trust, it will not make any Quarterly Income Distribution to its shareholders on that Quarterly Income Distribution date. If a MACRO Holding Trust fails to make either
(i)a payment under the income distribution agreement or
(ii)a Quarterly Income Distribution to its shareholders on any Quarterly Income Distribution date because it does not have any funds available for distribution, it will not be required to make up that payment or Quarterly Income Distribution on subsequent Quarterly Income Distribution dates, even if it has funds available to do so. Redemption Distributions and Final Distributions An Authorized Participant initiates a Redemption Distribution by presenting paired MACRO Holding Shares in MACRO Unit multiples to the MACRO Holding Trusts for redemption in exchange for cash and/or U.S. Treasury securities. A Final Distribution involves the distribution of cash in connection with the termination of the MACRO Holding Trusts. A Redemption Distribution or Final Distribution from a MACRO Holding Trust occurs when the MACRO Holding Trust settles some or all of the settlement contracts entered into with its paired MACRO Holding Trust. Each settlement contract will have a notional amount equal to the aggregate par amount of one MACRO Unit. On the final scheduled termination date or early termination date following the occurrence of a Termination Trigger, the trustee will cause the paired MACRO Holding Trusts to settle all of the settlement contracts between them using the funds they hold on deposit on those dates, which will consist of all interest, discount, principal, and any other amounts received by each trust upon the maturity of its Treasuries immediately prior to those dates. After the settlement contracts between the MACRO Holding Trusts have been settled, each MACRO Holding Trust will declare a Final Distribution in redemption of that trust's MACRO Holding Shares using all the funds it then holds on deposit, and the trustee will pay that Final Distribution, in cash, to shareholders on the distribution payment date that follows the final scheduled termination date or early termination date in redemption of those shares. On a Redemption Date, which may be any business day prior to the final scheduled termination date or an early termination date, an Authorized Participant may direct a paired optional redemption by placing a redemption order with the trustee and the administrative agent at least 30 minutes prior to the end of trading of light sweet crude oil futures contracts by open outcry on the NYMEX at 2:30 p.m. (New York City time). If the Authorized Participant delivers, by 10 a.m. on the business day following the Redemption Date, or such other day and time as may be specified in the Participants Agreement, MACRO Holding Shares or MACRO Tradeable Shares that in the aggregate constitute the requisite number of MACRO Units being redeemed, plus the applicable “redemption cash component” 29 and applicable transaction fee ($500 for each trust whose MACRO Holding Shares are being redeemed or whose MACRO Tradeable Shares are being exchanged), then the trustee will effect the redemption by delivering cash and/or U.S. Treasury securities in accordance with the instructions of the administrative agent to the redeeming Authorized Participant on the first business day following the Redemption Date if only MACRO Holding Shares were tendered for redemption or within such other time period as may be specified in the Participants Agreement. The administrative agent will select cash and/or U.S. Treasury securities for delivery in redemptions in accordance with the following rules:
(1)First, all cash delivered in connection with Paired Issuances directed on the same day as the Redemption Date will be used;
(2)second, all cash on deposit in the MACRO Holding Trusts from maturing repurchase agreements will be used; and
(3)if insufficient cash is available from these two sources, the remainder of the Redemption Distribution will be delivered in the form of U.S. Treasury securities. 29 The “redemption cash component” is the cash that must be delivered to a MACRO Holding Trust in connection with a paired optional redemption by the redeeming Authorized Participant to compensate the trust for the excess value that will be delivered to such redeeming Authorized Participant in the form of U.S. Treasury securities delivered to it as a Redemption Distribution. In the case of a partial paired optional redemption by Authorized Participants, the number of settlement contracts that will be settled between the paired MACRO Holding Trusts in that transaction will equal the number of MACRO Units of paired MACRO Holding Shares that are being redeemed. The holders of MACRO Holding Shares who are not participating in a paired optional redemption will not receive any Redemption Distribution on the relevant Redemption Date, unless that Redemption Date is also a Quarterly Income Distribution date, in which case they will receive only their Quarterly Income Distribution, if any, that is payable to them on that date. Any Final Distribution or Redemption Distribution on MACRO Holding Shares that were held on deposit by the corresponding MACRO Tradeable Trust will be passed through to the holders of the corresponding MACRO Tradeable Shares on any final scheduled termination date, early termination date or Redemption Date, as the case may be. Holders of MACRO Tradeable Shares may not participate in a paired optional redemption. Only Authorized Participants may place an order with the administrative agent to exchange their MACRO Tradeable Shares for the underlying MACRO Holding Shares on deposit in the related MACRO Tradeable Trust (even if they do not wish to then effect a paired optional redemption). 30 Therefore, holders of MACRO Tradeable Shares who are not Authorized Participants must sell them to Authorized Participants 31 or other interested investors ( *e.g.* , on the Exchange) in order to liquidate their investment in those shares prior to the final scheduled termination date or any early termination date. 30 There is a related transaction fee of $500 for each such exchange involving the MACRO Tradeable Shares of one of the MACRO Tradeable Trusts. 31 In order to be an Authorized Participant, an entity must
(1)be a registered broker-dealer and a member in good standing with the National Association of Securities Dealers, Inc. (“NASD”), or a participant in the securities markets such as a bank or other financial institution that is not required to register as a broker-dealer or be a member of the NASD in order to engage in securities transactions;
(2)be a participant in DTC or have indirect access to the clearing facilities of DTC by virtue of a custodial relationship with a DTC participant;
(3)not be a benefit plan investor for purposes of the Employee Retirement Income Security Act of 1974; and
(4)have entered into a “participation agreement” with the depositor, the administrative agent and the trustee which specifies procedures for the Paired Issuance and redemption of paired MACRO Holding Shares. Alternatively, an Authorized Participant may direct a paired optional redemption of MACRO Holding Shares by presenting to the trustee for exchange into MACRO Holding Shares and then redemption a combination of MACRO Tradeable Shares that will constitute, following such exchange, one or more MACRO Units (each consisting of 50,000 Up-MACRO Holding Shares and 50,000 Down-MACRO Holding Shares) or a combination of MACRO Holding Shares and MACRO Tradeable Shares that will constitute, after the Tradeable Shares are exchanged, one or more MACRO Units. Consequently, the ability of an Authorized Participant to direct the redemption of any MACRO Holding Shares depends on that Authorized Participant being able to acquire and present for simultaneous redemption MACRO Holding Shares (or MACRO Tradeable Shares exchangeable for such MACRO Holding Shares) issued by both of the paired MACRO Holding Trusts in sufficient quantity to form one or more MACRO Units. The number of settlement contracts between the MACRO Holding Trusts that will be settled in connection with a paired optional redemption will be equal to the number of MACRO Units that are being redeemed on a net daily basis. Following a paired optional redemption, the trustee will record an appropriate reduction in the aggregate number of MACRO Holding Shares that are outstanding on a net daily basis. The amount of any Final Distribution or Redemption Distribution from a MACRO Holding Trust will depend on the payments between the paired MACRO Holding Trusts under the settlement contracts being settled between them, which final payments will, in turn, be based on the underlying value (as defined below) of each MACRO Holding Trust on
(i)the last Price Determination Day preceding the final scheduled termination date or early termination date, or
(ii)in the case of a paired optional redemption, on the relevant Redemption Date. The underlying value on the relevant day will be calculated by reference to the ending level of the Applicable Reference Price of Crude Oil on that date. If the level of the Applicable Reference Price of Crude Oil on the relevant Price Determination Day is above its starting level, the Up-MACRO Holding Trust will be entitled to receive a final payment from the Down-MACRO Holding Trust in an amount proportional to the increase in the level of the Applicable Reference Price of Crude Oil. If the level of the Applicable Reference Price of Crude Oil on the relevant Price Determination Day is below its starting level, the Up-MACRO Holding Trust will be required to make a final payment to the Down-MACRO Holding Trust in an amount proportional to the decrease in the level of that price. The purpose of the final payments under the settlement contracts is to transfer assets between the paired MACRO Holding Trusts such that each trust has cash and Treasuries in an amount equal to its underlying value at the time of settlement. The Final Distribution on each outstanding MACRO Holding Share on a final scheduled termination date or early termination date will equal its share of the “underlying value” (as defined below) of the corresponding MACRO Holding Trust on that date. For purposes of settling the settlement contracts between the paired MACRO Holding Trusts and making a Final Distribution on the final scheduled termination date or an early termination date, underlying value will include the Up-MACRO earned income accrual and Down-MACRO earned income accrual for the final scheduled termination date or early termination date. Any such Final Distribution by a MACRO Holding Trust will include the cumulative earned income accruals that would have been distributed as a Quarterly Income Distribution if the final scheduled termination date or early termination date had been an ordinary Quarterly Income Distribution date. Each MACRO Tradeable Trust will receive the Final Distribution on each of the MACRO Holding Shares that it holds on deposit and will pass through that Final Distribution to holders of the corresponding MACRO Tradeable Shares, which will be considered to be redeemed. The amount of cash and/or U.S. Treasury securities delivered in a paired optional redemption by Authorized Participants will always be equal to the combined underlying values of the paired MACRO Holding Trusts, which will consist of the sum of
(i)the underlying value of the Up-MACRO Holding Trust on the relevant Redemption Date multiplied by the applicable “redemption percentage” for the Up-MACRO Holding Shares and
(ii)the underlying value of the Down-MACRO Holding Trust on the relevant Redemption Date multiplied by the applicable “redemption percentage” for the Down-MACRO Holding Shares. The “redemption percentage” for these purposes is the aggregate number of MACRO Holding Shares of the relevant MACRO Holding Trust that are being redeemed, divided by the aggregate number of such MACRO Holding Shares that are outstanding prior to the redemption. If the redemption order was placed on a Quarterly Income Distribution date, the redeeming Authorized Participant will receive cash. If there was a net increase in the aggregate par amount of the paired MACRO Holding Trusts on any settlement date for a paired optional redemption, because more MACRO Units were created than redeemed, redeeming Authorized Participants will also receive their Redemption Distribution in cash out of the funds delivered to the trusts by the Authorized Participants who created shares on the same date. If any “Paired Issuances” (as described below) were effected on the settlement date for the redemption, even if there was a net decrease in the aggregate par amount of the paired MACRO Holding Trusts, redeeming Authorized Participants will receive a portion of their Redemption Distribution in cash out of the funds delivered by the creating Authorized Participants, then from any cash on deposit in the MACRO Holding Trusts from maturing repurchase agreements, and the remaining portion of that Redemption Distribution in U.S. Treasury securities. In all other cases, redeeming Authorized Participants will receive their Redemption Distribution in connection with a paired optional redemption in U.S. Treasury securities. Paired Issuances At any time prior to the final scheduled termination date or an early termination date, on any day that is a Price Determination Day, an Authorized Participant may effect a Paired Issuance by directing the paired MACRO Holding Trusts to issue additional shares in a minimum number of Up-MACRO and Down-MACRO Holding Shares constituting one or more MACRO Units. If so directed, the MACRO Holding Trusts will issue on a net basis the additional paired MACRO Holding Shares to the Authorized Participant who may then sell those MACRO Holding Shares directly to qualified investors or deposit all or a portion of them into the Up-MACRO and Down-MACRO Tradeable Trusts and direct the MACRO Tradeable Trusts to issue the appropriate number of additional MACRO Tradeable Shares to it in exchange for the MACRO Holding Shares. For each additional MACRO Holding Share that is deposited into the corresponding MACRO Tradeable Trust, the MACRO Tradeable Trust will issue one additional MACRO Tradeable Share. To create one or more new MACRO Units, an Authorized Participant must place a creation order with the administrative agent at least 30 minutes before the end of trading of light sweet crude oil futures contracts by open outcry on NYMEX at 2:30 p.m. (New York City time) on any Price Determination Day (“Issuance Date”). Concurrently with any Paired Issuance, an Authorized Participant may also simultaneously create MACRO Tradeable Shares by directing the paired MACRO Holding Trusts to issue additional paired MACRO Holding Shares for deposit into the applicable MACRO Tradeable Trusts and directing one or both of the MACRO Tradeable Trusts to issue MACRO Tradeable Shares. By 10 a.m. New York City time on the next business day after the Issuance Date, or by such other day and time as may be specified in the Participants Agreement, the Authorized Participant must deposit into the paired MACRO Holding Trusts immediately available funds in an amount equal to the combined per share underlying value of the Up-MACRO Holding Shares and the Down-MACRO Holding Shares being created, as measured on the Issuance Date. 32 The Authorized Participant must also deposit a transaction fee of $500 for each of any:
(i)Up-MACRO Holding Shares;
(ii)Up-MACRO Tradeable Shares;
(iii)Down-MACRO Holding Shares; and
(iv)Down-MACRO Tradeable Shares being issued (for a maximum fee of $2,000 for any Paired Issuance). By 3 p.m. New York City time on the next business day following the Issuance Date, or by such other day and time as may be specified in the Participants Agreement, the administrative agent will instruct the trustee to deliver the new shares. The trustee will also cause the paired MACRO Holding Trusts to enter into one new settlement contract between them for each new MACRO Unit that is being created. If MACRO Units are being both created and redeemed on the same day, new settlement contracts between the paired MACRO Holding Trusts will be entered into only if there is a net increase in the Up-MACRO and Down-MACRO aggregate par amounts, and existing settlement contracts between the MACRO Holding Trusts will be settled if there is a net decrease in these aggregate par amounts in order to satisfy the requirement that one settlement contract must always be outstanding for each outstanding MACRO Unit. Quarterly Income Distributions on the additional MACRO Holding Shares will be governed by the original income distribution agreement between the paired MACRO Holding Trusts. 32 The amount of funds deposited will reflect the income and the expenses of each of the MACRO Holding Trusts during the current calculation period because those amounts are included as part of the determination of the underlying value of each MACRO Holding Trust. The proportion of the funds in the Up-MACRO Holding Trust and the Down-MACRO Holding Trust will initially be 1:1 and this proportion will be maintained throughout the entire transaction by virtue of the requirement that redemptions and Paired Issuances must be done in MACRO Units composed of an equal number of Up-MACRO and Down-MACRO Holding Shares. Underlying Value The “underlying value” of a MACRO Holding Trust on each Price Determination Day represents the aggregate amount of the assets in the paired MACRO Holding Trusts to which that MACRO Holding Trust would be entitled if the settlement contracts between the MACRO Holding Trusts were settled on that day. The determination of the “underlying value” of a MACRO Holding Trust on a given Price Determination Day is calculated using the following formula, which is designed to ensure that a $1 change in the settlement price of the Applicable Reference Price of Crude Oil will result in a $1 change in the per share underlying value of each MACRO Holding Share: If the “ending level” of the Applicable Reference Price of Crude Oil established and reported by NYMEX or the applicable substitute oil price provider on a Price Determination Day is above the starting level, the “underlying value” of the Up-MACRO Holding Trust will equal the sum of: • The sum of the earned income accruals for that trust for each day that has elapsed during the current calculation period, up to and including the current Price Determination Day, • The “investment amount” for that MACRO Holding Trust on that date, and • The product of
(i)the “investment amount” for the other paired MACRO Holding Trust on that date and
(ii)the Price Level Percentage Change of the Applicable Reference Price of Crude Oil. The same formula above will be used to calculate the “underlying value” of the Down-MACRO Holding Trust if the “ending level” of the Applicable Reference Price of Crude Oil on a Price Determination Day is below the starting level. If the “ending level” of the Applicable Reference Price of Crude Oil on a Price Determination Day is below the starting level, the “underlying value” of the Up-MACRO Holding Trust will be calculated using the same formula, except that the third term in the above formula will be subtracted from the sum of the first two terms (instead of being added to them) and the “investment amount” used in that third term will be the value for that MACRO Holding Trust (instead of the value for the other paired MACRO Holding Trust on that date). This version of the formula in the previous statement is also applicable to the calculation of the “underlying value” of the Down-MACRO Holding Trust if the “ending level” of the Applicable Reference Price of Crude Oil on a Price Determination Day is above the starting level. In connection with these calculations, the “investment amount” will equal, on any Quarterly Income Distribution date, the amount of cash that was actually invested on behalf of a MACRO Holding Trust in Treasuries on that Quarterly Income Distribution date, which is required to equal the lesser of
(x)the aggregate par amount of its outstanding shares and
(y)all funds that the trust holds on deposit on that Quarterly Income Distribution date. The “investment amount” on any day during a calculation period (other than the Quarterly Income Distribution date) will equal the aggregate par amount of the MACRO Holding Shares of that MACRO Holding Trust that are outstanding on that day if the amount actually invested on the preceding Quarterly Income Distribution date was equal to the aggregate par amount on that date. If the amount actually invested on the last Quarterly Income Distribution date was less than the aggregate par amount, then the “investment amount” for that MACRO Holding Trust for each day of the ensuing calculation period will equal the amount that was actually invested divided by the number of MACRO Holding Shares outstanding on that Quarterly Income Distribution date, multiplied by the number of MACRO Holding Shares that are outstanding on the day on which the calculation is being made. Since the trustee, under the direction of the administrative agent, is required to invest an amount equal to the aggregate par amount in Treasuries on each Quarterly Income Distribution date in accordance with the directions of the administrative agent, the “investment amount” for that MACRO Holding Trust should be equal to the aggregate par amount, as increased and decreased by redemptions and Paired Issuances, throughout the ensuing calculation period. 33 33 The only case in which this will not be true is if the MACRO Holding Trust's daily fee accrual rate exceeded the daily yield rate on its Treasuries during one or more preceding calculation periods and the resulting deficiency was not made up with income realized by that MACRO Holding Trust during other preceding calculation periods following a general rise in interest rates. If a deficiency does exist during a calculation period, this deficiency will be reflected in the per share underlying value at which Authorized Participants may create and redeem the MACRO Holding Shares. The “Price Level Percentage Change” will equal, on any Price Determination Day, the absolute value of
(i)the ending level of the Applicable Reference Price of Crude Oil on that Price Determination Day minus the starting level of the Applicable Reference Price of Crude Oil divided by
(ii)the starting level. For example, if the Applicable Reference Price of Crude Oil should double from its starting level, the Price Level Percentage Change would be equal to 100% and the Up-MACRO Holding Trust would be entitled to the entire “investment amount” in the Down-MACRO Holding Trust if the settlement contracts between the paired MACRO Holding Trusts were to be settled on that day. Reaching this value (100%) would effectively “cap” any further upside gains for holders of the Up-MACRO Holding Shares and Up-MACRO Tradeable Shares based on additional increases in the Applicable Reference Price of Crude Oil. Arbitrage The Exchange states that market fluctuations in the price of a MACRO Tradeable Share are expected to mirror fluctuations in its per share underlying value (which will be determined by the value of the applicable futures price of light sweet crude oil), similar to the manner in which the price of an ETF share mirrors its net asset value. The Exchange states that this tracking should occur due to arbitrage opportunities that will be available to Authorized Participants if these values should move out of line, with the additional requirement that any arbitrage will require equal numbers of Up-MACRO Tradeable Shares and Down-MACRO Tradeable Shares. For example, if the market prices of the MACRO Tradeable Shares begin to trade downward away from their combined per share underlying values, Authorized Participants will take advantage of the resulting arbitrage opportunity by purchasing the undervalued MACRO Tradeable Shares, exchanging them for MACRO Holding Shares and directing a paired optional redemption at the combined per share underlying values. Conversely, if the market prices of the MACRO Tradeable Shares begin to trade upward away from their combined per share underlying values, Authorized Participants will take advantage of the resulting arbitrage opportunity by delivering cash to the trustee in the amount of the combined per share underlying values, receiving MACRO Holding Shares in a Paired Issuance, and depositing the latter into the respective MACRO Tradeable Trusts in exchange for an equal number of the overvalued MACRO Tradeable Shares, which can be sold in the market. To the extent that an Authorized Participant should choose to hold in inventory any MACRO Holding Shares or MACRO Tradeable Shares in connection with arbitrage opportunities, the Exchange states that such a position can be hedged by using the underlying light sweet crude oil futures. In contrast to the procedures with respect to certain ETF products, the MACRO Holding Trusts will not disseminate on a daily basis the specific holdings of each trust that correspond to the basic unit of creation—a MACRO Unit. This will not be necessary because the creation of new MACRO Holding Shares and MACRO Tradeable Shares by Authorized Participants is accomplished through the deposit of cash instead of securities. Further, the Exchange states that such disclosure is not necessary for price transparency and independent verification of the underlying value calculation because, unlike ETFs, the MACRO Shares are wholly synthetic in nature, and the financial assets whose values primarily determine the underlying value of each MACRO Holding Share and MACRO Tradeable Share ( *i.e.* , light sweet crude oil futures contracts) are not actually acquired and held by the MACRO Holding Trusts. The daily fluctuations in market value of the Treasuries that are held by each MACRO Holding Trust are not part of the calculation of underlying value. The Exchange acknowledges that this value that is necessary for the end-of-day calculation of the underlying value of each MACRO Holding Trust (and the portion of that value associated with each MACRO Holding Share and MACRO Tradeable Share) is already fully transparent—the settlement price on NYMEX of the light sweet crude oil futures contract of the designated maturity. Risk An investment in the MACRO Holding Shares or the MACRO Tradeable Shares involves a number of risks. An investor could lose his or her entire investment in the MACRO Holding Shares or the MACRO Tradeable Shares, depending on the percentage movement up or down in the Applicable Reference Price of Crude Oil. Further, there is no guarantee as to the amount of any Quarterly Income Distribution, Redemption Distribution, or Final Distribution, and no obligation to make up Quarterly Income Distributions that are not paid due to lack of available funds. The MACRO Tradeable Shares cannot be redeemed, and the right to exchange MACRO Tradeable Shares for MACRO Holding Shares that can be redeemed is limited to Authorized Participants. Further, MACRO Holding Trusts may deliver U.S. Treasury securities instead of cash in a paired optional redemption, which could decrease the income of remaining holders of MACRO Tradeable Shares if the U.S. Treasury securities delivered have higher yields than those remaining in the trust. The return on the MACRO Tradeable Shares is also uncertain because the related trusts may terminate early, and the return is capped due to the fact that neither MACRO Holding Trust is entitled to receive an amount greater than 100% of the assets in the other paired MACRO Holding Trust. Prospectus Delivery The Exchange states that each MACRO Tradeable Trust will be deemed to be a statutory underwriter of the related MACRO Holding Shares under the Securities Act and will be subject to the prospectus delivery requirements and liability provisions of the Securities Act in connection with its participation in a “distribution” of Up-MACRO Holding Shares. In connection with any Paired Issuance, the Exchange states that any Authorized Participant that creates a MACRO Unit will be deemed to be a statutory underwriter of the paired MACRO Holding Shares and the related MACRO Tradeable Shares and will be subject to the prospectus delivery requirements and liability provisions of the Securities Act. The Exchange states that dealers that are not “underwriters” but nonetheless are participating in a distribution, and thus are dealing with MACRO Holding Shares or MACRO Tradeable Shares that are part of an “unsold allotment” within the meaning of the Securities Act, would be unable to take advantage of the prospectus delivery exemption provided by Section 4(3) of the Securities Act. The Exchange states that Dealers unable to rely on the Section 4(3) prospectus delivery exemption will be subject to the prospectus delivery requirements of the Securities Act. Fees and Expenses As indicated in note 26 above, the sum of the daily fee accruals based on a rate of 1.50% (1.60% until the second anniversary of the closing date) per annum will cover the payment of all fees and expenses of each MACRO Holding Trust that will be applied against invested assets. 34 On each Quarterly Income Distribution date, each of the paired MACRO Holding Trusts is required to deposit the “fee deduction amount” (as defined above) into the fee payment account to be applied to the payment of the expenses and fees incurred by that MACRO Holding Trust and the related MACRO Tradeable Trust during the preceding calculation period. After first being used to pay the expenses of the trusts, which will include:
(i)Registration fees;
(ii)prospectus printing and delivery expenses;
(iii)trust administration expenses; and
(iv)treasury settlement expenses, the remaining funds in the fee payment account will be applied to pay the fees charged by entities that provide services or license intellectual property to the trusts. These fees include:
(i)The fee payable to the trustee for administering the MACRO Holding Trust and the related MACRO Tradeable Trust;
(ii)the fee payable to the administrative agent for administrating the Treasuries held by the MACRO Holding Trust and performing various calculations and other services on behalf of the trusts, and to the marketing agent for its marketing and distribution services;
(iii)the fee payable to MacroMarkets for sublicensing to the trusts the right to reference the settlement price of the light sweet crude oil futures contract and the NYMEX name;
(iv)the licensing fee payable to MacroMarkets for the use of its intellectual property related to the patented MACROs structure;
(v)fees payable to the independent accountants;
(vi)fees payable to the Amex for acting as listing exchange and calculation agent; and
(vii)legal fees. These expenses and fees payable by each MACRO Holding Trust will accrue during each calculation period and will be payable in arrears on each Quarterly Income Distribution date out of the fee deduction amount. 34 Such daily fee accruals, however, would not cover transactional costs associated with purchase, sale, redemption and creation of shares, and certain other potential liabilities such as, for example, indemnities. To the extent that the remaining fee deduction amount after payment of expenses is insufficient to pay in full all of the fees, MacroMarkets and Claymore Securities, Inc. will reduce the fees payable to each of them by the MACRO Holding Trust. If any deficiencies in the payment of the fees and expenses of the trust continue to exist after the waiver of these fees, these deficiencies will be paid by MACRO Securities Depositor, LLC, the depositor for the trusts. If any funds remain on deposit in the fee payment account after the fees and expenses of the MACRO Holding Trust and related MACRO Tradeable Trust have been paid in full on a Quarterly Income Distribution date, the trustee will deliver these excess funds to the depositor as additional compensation. Periodic Dissemination of Intraday Per Share Values for MACRO Tradeable Shares During each trading day, the Amex, acting as the calculation agent, will publish to the Consolidated Tape System (“CTS”), at least every 15 seconds during the entire time that the MACRO Tradeable Shares trade on the Amex (normally 9:30 a.m. to 4:15 p.m. each Price Determination Day), an indicated value, referred to as an Indicative Intraday Value (“IIV”), for the underlying value per share of both the Up-MACRO Tradeable Shares and the Down-MACRO Tradeable Shares. The Amex will also disseminate at least every 15 seconds the related percentage change in the Applicable Reference Price of Crude Oil. The Amex will also publish these values on its Web site. The purpose of this disclosure is to promote liquidity and intraday price transparency with respect to the underlying value per share of the MACRO Tradeable Shares. To enable this calculation, the Amex will receive real time price data from the NYMEX for the light sweet crude oil futures contract that trades on the NYMEX from two major market data vendors, from the opening of trading of the light sweet crude oil futures contract on NYMEX at 10 a.m. to the close of trading of the MACRO Tradeable Shares on the Amex at 4:15 p.m. (New York City time). 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 at such time as the NYMEX contract stops trading in the regular trading session. 35 During such time periods, however, if trading in the NYMEX light sweet crude oil futures contract is occurring on the NYMEX electronic aftermarket system, then those trades will be used to update IIV values. 35 The IIV calculated value between the opening of trading of the MACRO Tradeable Shares on the Amex at 9:30 a.m. and the opening of trading of the light sweet crude oil futures contract on NYMEX at 10 a.m. (New York City time) will be based on the final price from the prior trading day. The Amex will make available through its in-house systems, for use by the specialist and market makers, the IIV values distributed over the CTS. This data will also be available to Amex surveillance systems and personnel for their purposes. Dissemination of Other Information on Price Determination Days Pursuant to a separate calculation agency agreement with MACRO Securities Depositor, LLC, MacroMarkets and the trusts, the calculation agent will perform a number of duties for the Up-MACRO Tradeable Trust, the Up-MACRO Holding Trust, the Down-MACRO Tradeable Trust and the Down-MACRO Holding Trust. In addition to its periodic (at least every 15 seconds) calculation and dissemination of
(1)the value of the percentage change in the light sweet oil futures contract of the designated maturity from the starting level of the Applicable Reference Price of Crude Oil and
(2)IIVs for the underlying value of each MACRO Holding Trust that is allocable to each Up-MACRO Tradeable Share and Down-MACRO Tradeable Share, the calculation agent will also post to its Web site by 7:15 p.m. New York City time on each Price Determination Day the following information: • Any corrections made by NYMEX to the Applicable Reference Price of Crude Oil reported on previous Price Determination Days; 36 and 36 As described above, a Price Determination Day is 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 the NYMEX. *See supra* , discussion of Price Determination Days under “Description of the Reference Price—the Applicable Reference Price of Crude Oil.” • The closing price of the Up-MACRO Tradeable Shares and the Down-MACRO Tradeable Shares on the Amex. The administrative agent will maintain a Web site that is publicly accessible at no charge and will contain the following information posted by the trustee on each Price Determination Day: 37 37 The issuer has represented that all market participants will have access to this data at the same time and, therefore, no market participant will have a time advantage in using such data. • The Price Level Percentage Change of the Applicable Reference Price of Crude Oil; • The underlying value 38 of the Up-MACRO Holding Trust and the per share underlying value of the Up-MACRO Holding Shares and the Up-MACRO Tradeable Shares; and 38 Conceptually, the “underlying value” per share of MACRO Holding Shares and MACRO Tradeable Shares is similar to the “net asset value” that is calculated for many other securities. For MACRO securities, however, net asset value is not meaningful because the respective per share values are not determined by the total value of the assets held by each MACRO Holding Trust at any point in time. This is because assets are not transferred daily between the MACRO Holding Trusts to settle the contractual transfer obligations between them. For example, transfers of “principal” between the MACRO Holding Trusts only take place in connection with paired optional redemptions or upon termination of the trusts. The underlying value, however, takes into account the value of each MACRO Holding Trust as if the settlement contracts between the trusts were settled on that date by the transfer of assets, reflecting the obligations of the trusts to each other based on the Applicable Reference Price of Crude Oil on that date. • The underlying value of the Down-MACRO Holding Trust and the per share underlying value of the Down-MACRO Holding Shares and the Down-MACRO Tradeable Shares. Availability of Information Regarding MACRO Tradeable Shares The depositor will prepare, in accordance with the requirements of the Act, quarterly reports on Form 10-Q, annual reports on Form 10-K, and current reports on Form 8-K, containing information about the MACRO Holding Trusts and the MACRO Tradeable Trusts. The depositor will file such reports with the Commission and the trustee will send copies to Cede & Co., as nominee of the Depository Trust Company (“DTC”), any other registered holder of the MACRO Tradeable Shares or the MACRO Holding Shares, and such other parties as may be specified in the trust agreements. DTC forwards these reports to its participants, and shareholders may obtain copies by contacting their brokers. The annual reports will include financial statements prepared in accordance with accounting principles generally accepted in the United States of America. The Form 10-Q reports will include the following information as of each Quarterly Income Distribution date: • The aggregate par amount of the outstanding MACRO Tradeable Shares of each of the MACRO Tradeable Trusts; • The aggregate par amount of the outstanding MACRO Holding Shares of each of the MACRO Holding Trusts; • The underlying value of each of the MACRO Holding Trusts and the portion of that underlying value that is allocable to each of the related MACRO Holding Shares, in each case, prior to any Quarterly Income Distributions being made on that Quarterly Income Distribution date; • The amount of income realized on the Treasuries in each of the MACRO Holding Trusts and the amount of fees accrued for each trust; • The amount, if any, by which the aggregate par amount exceeds the asset amount for either of the MACRO Holding Trusts; • The available income, if any, in each of the MACRO Holding Trusts, and the available income allocable to each related MACRO Holding Share; • The payments to be made by one of the MACRO Holding Trusts under the income distribution agreement between the MACRO Holding Trusts and the amount of cash and/or Treasuries delivered under any settlement contracts between the MACRO Holding Trusts that were settled since the preceding Quarterly Income Distribution date, in the aggregate and per share; • The number of MACRO Holding Shares issued in Paired Issuances, and the number of MACRO Holding Shares redeemed in paired optional redemptions during the preceding calculation period, as well as the amount of cash and U.S. Treasury securities delivered in such paired optional redemptions, in the aggregate and per share; • The Quarterly Income Distribution to be made by each MACRO Holding Trust on that Quarterly Income Distribution date, in the aggregate and per share, for both the related MACRO Holding Shares and the MACRO Tradeable Shares; and • If the Quarterly Income Distribution date is the final scheduled termination date, an early termination date, or a Redemption Date, the Final Distribution or Redemption Distribution, as the case may be, to be made by each MACRO Holding Trust on that Quarterly Income Distribution date, in the aggregate and per share, for both the related MACRO Holding Shares and the MACRO Tradeable Shares. Termination Triggers On the Quarterly Income Distribution date following the occurrence of any of the following events (“Termination Triggers”), such date being an “early termination date,” the trustee will cause the MACRO Holding Trusts to settle all of the settlement contracts between the paired MACRO Holding Trusts and then declare a Final Distribution in redemption of all of the outstanding MACRO Holding Shares, based on the underlying value of each MACRO Holding Trust on the Price Determination Day preceding the early termination date. This underlying value may be higher or lower than the underlying value at the time when the Termination Trigger occurred, which is one of the risks to investors of early termination. The portion of the Final Distribution received by each MACRO Tradeable Trust (based on the MACRO Holding Shares held by that trust) will be passed through to the holders of the corresponding MACRO Tradeable Shares. Following this Final Distribution, the MACRO Holding Shares and MACRO Tradeable Shares will be considered to be redeemed in full and will cease to be outstanding. The Termination Triggers are: • Any of the following circumstances persisting for five
(5)consecutive business days:
(i)The Applicable Reference Price of Crude Oil is not established by NYMEX or the substitute oil price provider;
(ii)NYMEX or such substitute oil price provider refuses to make that price available to the administrative agent for the purpose of calculating underlying value; or
(a)NYMEX terminates the license it has granted to MacroMarkets to use and sublicense certain of its futures prices or does not agree to a renewal thereof after the expiration of its initial 5-year term, and the depositor and MacroMarkets are unable to enter into a substitute licensing agreement with the Dow Jones Energy Service or
(b)in the event that the depositor and MacroMarkets have already entered into a substitute licensing agreement with the Dow Jones Energy Service or another substitute oil price provider, such substitute oil price provider terminates that license and, in the case of either
(a)or (b), the beneficial owners of the MACRO Holding Shares do not select a substitute oil price provider or the depositor and MacroMarkets are unable to enter into a substitute licensing agreement with the substitute oil price provider that was selected by these beneficial owners; • The Applicable Reference Price of Crude Oil rises to or above 185% of the starting level or falls to or below 15% of the starting level and, in either case, remains at that level for three
(3)consecutive Price Determination Days; • A MACRO Tradeable Trust or a MACRO Holding Trust becomes required to register as an investment company under the 1940 Act; • A MACRO Tradeable Trust or a MACRO Holding Trust is adjudged by a court having competent jurisdiction to be bankrupt or insolvent; or such court grants an order for relief or approves as properly filed a petition seeking reorganization, arrangement, adjustment or composition under the Bankruptcy Code or any other applicable law, or appointing a receiver, liquidator, assignee or sequestrator of any such trust or of any substantial part of its property, or ordering the winding up or liquidation of its affairs; or any such trust commences a voluntary case or proceeding under the Bankruptcy Code or any other applicable law, or an involuntary case or proceeding is commenced against any such trust, seeking any of the foregoing and such case or proceeding continues undismissed or unstayed and in effect for 90 consecutive days (in which case any payments under the income distribution agreement and the settlement contracts between the paired MACRO Holding Trusts and any Quarterly Income Distribution, Redemption Distribution or Final Distribution to be made by either of the MACRO Holding Trusts, or passed through on the MACRO Tradeable Shares by the related MACRO Tradeable Trust, may be subject to delays pending the resolution of bankruptcy proceedings); • A MACRO Tradeable Trust or a MACRO Holding Trust becomes a commodities pool that is regulated under the Commodity Exchange Act; • DTC becomes unwilling or unable to act as the depository under the trust agreements and no suitable replacement is willing and able to assume those duties; • The administrative agent resigns or is unable to perform its duties or becomes bankrupt or insolvent, and no suitable replacement is willing and able to assume those duties; • The depositor elects to terminate a MACRO Holding Trust, and 66 2/3 % of the beneficial owners of both MACRO Holding Trusts, each voting as a separate class, consent to such termination; or • The “investment amount” (as defined above) for either MACRO Holding Trust is reduced to fifty
(50)million dollars or a lesser amount after previously reaching an amount equal to two hundred
(200)million dollars or the failure to reach an amount equal to two hundred
(200)million dollars within a period of six
(6)months following the closing date and the depositor elects to terminate a MACRO Holding Trust. The administrative agent will be responsible for monitoring the occurrence of Termination Triggers that are related to a specified increase or decrease in the Applicable Reference Price of Crude Oil and the failure by NYMEX or the applicable oil price provider to establish the Applicable Reference Price of Crude Oil or its refusal to make it available to the administrative agent. The administrative agent must notify the depositor and the trustee of any of these occurrences. The trustee will be responsible for notifying the depositor and the administrative agent of the occurrence of the Termination Triggers described in the third through fifth bullet points above. Criteria for Initial and Continued Listing The MACRO Tradeable Shares will be subject to the criteria in proposed Amex Rule 1402 for initial and continued listing of Paired Trust Shares. The proposed continued listing criteria provides for the delisting or removal from listing of the Up-MACRO Tradeable Shares or Down-MACRO Tradeable Shares, as the case may be, under any of the following circumstances: • Following the initial twelve month period from the date of commencement of trading of the Up-MACRO Tradeable Shares or Down-MACRO Tradeable Shares:
(i)If the corresponding MACRO Tradeable Trust has more than 60 days remaining until termination and there are fewer than 50 record and/or beneficial holders of the Up-MACRO Tradeable Shares or Down-MACRO Tradeable Shares for 30 or more consecutive trading days;
(ii)if the corresponding MACRO Tradeable Trust has fewer than 50,000 Up-MACRO Tradeable Shares or Down-MACRO Tradeable Shares issued and outstanding; or
(iii)if the combined market value of all Up-MACRO Tradeable Shares and Down-MACRO Tradeable Shares together 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 on the Amex Web site during the time the MACRO Tradeable Shares trade on the Amex from a source unaffiliated with the depositor, the custodian, MacroMarkets, a MACRO Holding Trust, a MACRO Tradeable Trust or the Exchange; • If the underlying value of the corresponding MACRO Holding Trust is not made available on the administrative agent's publicly accessible Web site on a daily basis to all market participants at the same time; • If the intraday indicative value of the underlying value of each Up-MACRO Tradeable Share or Down-MACRO Tradeable Share, as the case may be, is no longer made available on at least a 15-second delayed basis through CTS during the time the Tradeable Shares trade on the Amex; • If a benchmark other than the light sweet crude oil futures contract traded on the NYMEX 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 seeking approval to continue trading the MACRO Tradeable Shares and such rule change is approved by the Commission; 39 or 39 In the event the Exchange believes that a change in the benchmark or pricing source for the Applicable Reference Price of Crude Oil is only temporary, the Exchange may contact the Commission staff to discuss the matter. • If such other event shall occur or condition exists which in the opinion of the Exchange makes further dealings on the Exchange inadvisable. It is anticipated that a minimum of 150,000 Up-MACRO Tradeable Shares and 150,000 Down-MACRO Tradeable Shares will be required to be outstanding at the start of trading. It is anticipated that the initial price of an Up-MACRO Tradeable Share and a Down-MACRO Tradeable Share will each be approximately $60 per share, or the price of a barrel of light sweet crude oil on the last Price Determination Day prior to the closing date. The Exchange believes that the anticipated minimum number of MACRO Tradeable Shares outstanding at the start of trading is sufficient to provide adequate market liquidity and to further the objective of providing a simple and cost effective means of making an investment that is similar to an investment in light sweet crude oil. The Exchange represents that it prohibits the initial and/or continued listing of any security that is not in compliance with Rule 10A-3 under the Act. 40 40 *See* Rule 10A-3(c)(7). Original and Annual Listing Fees The Amex original listing fee applicable to the listing of the MACRO Tradeable Shares is $5,000 for the Up-MACRO Tradeable Shares and $5,000 for the Down-MACRO Tradeable Shares. In addition, the annual listing fee applicable under Section 141 of the Amex Company Guide will be based upon the year-end aggregate number of shares in all series of MACRO Tradeable Shares (including series based on other Reference Prices) outstanding at the end of each calendar year. Disclosure The Exchange, in an “Information Circular” (described below) to Exchange members and member organizations, will inform members and member organizations, prior to commencement of trading, of the prospectus delivery requirements applicable to the MACRO Tradeable Shares. The issuing MACRO Tradeable Trust will deliver a prospectus to investors who purchase such newly issued MACRO Tradeable Shares. Exchanges of MACRO Tradeable Shares; Paired Issuances and Paired Optional Redemptions of MACRO Holding Shares in MACRO Unit Aggregations In the Information Circular (described below), members and member organizations will be informed that procedures for exchanges of MACRO Tradeable Shares for the underlying MACRO Holding Shares and for Paired Issuances and paired optional redemptions of MACRO Holding Shares are described in the Prospectus and that MACRO Holding Shares are issuable and redeemable only in MACRO Units and only by Authorized Participants. Trading Rules MACRO Tradeable 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). Initial equity margin requirements of 50% will apply to transactions in MACRO Tradeable Shares. MACRO Tradeable Shares will trade on the Amex from 9:30 a.m. until 4:15 p.m. New York time each business day and will trade in a minimum price variation of $0.01 pursuant to Amex Rule 127. Trading rules pertaining to odd-lot trading in Amex equities (Amex Rule 205) will also apply. Amex Rule 154, Commentary .04(c) provides that stop and stop limit orders to buy or sell a security (other than an option, which is covered by Amex Rule 950(f) and Commentary thereto) the price of which is derivatively priced based upon another security or index of securities, may with the prior approval of a Floor Official, be elected by a quotation, as set forth in Commentary .04(c) (i-v). The Exchange has designated MACRO Tradeable Shares as eligible for this treatment. 41 41 *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 under Amex Rule 154, Commentary .04(c). MACRO Tradeable Shares will be deemed “Eligible Securities,” as defined in Amex Rule 230, for purposes of the Intermarket Trading System Plan and therefore will be subject to the trade through provisions of Amex Rule 236 which require that Amex members avoid initiating trade-throughs for ITS securities. Specialist transactions in MACRO Tradeable Shares, as an Authorized Participant, made in connection with the creation of MACRO Tradeable Shares and the exchange of MACRO Tradeable Shares for MACRO Holding Shares will not be subject to the prohibitions of Amex Rule 190. 42 Unless exemptive or no-action relief is available, MACRO Tradeable Shares will be subject to the short sale rules, and other rules, under the Act. If exemptive or no-action relief is provided, the Exchange will issue a notice detailing the terms of the exemption or relief. The MACRO Tradeable Shares will generally be subject to the Exchange's stabilization rule, Amex Rule 170. 42 *See* Commentary .05 to Amex Rule 190. The adoption of proposed Amex Rule 1403 relating to certain specialist prohibitions will address potential conflicts of interest in connection with acting as a specialist in Paired Trust Shares. Specifically, proposed Amex Rule 1403 provides that the prohibitions in Amex Rule 175(c) apply to a specialist in Paired Trust Shares so that the specialist or affiliated person may not act or function as a market maker in an asset, commodity or other economic interest underlying the Reference Price, options, related futures or options on futures, or any other related derivatives. An affiliated person of the specialist consistent with Amex Rule 193 may be afforded an exemption to act in a market making capacity on another market center, other than as a specialist in the asset, commodity or other economic interest underlying the Reference Price, options, related futures or options on futures, or any other related derivatives. In particular, proposed Amex Rule 1403 provides that an approved person of an equity specialist that has established and obtained Exchange approval for procedures restricting the flow of material, non-public market information between itself and the specialist member organization, and any member, officer, or employee associated therewith, may act in a market making capacity, other than as a specialist in Paired Trust Shares on another market center, in the asset, commodity or other economic interest underlying the Reference Price, options, related futures or options on futures, or any other related derivatives. Adoption of proposed Amex Rule 1404 will also ensure that specialists handling the Paired Trust Shares provide the Exchange with all the necessary information relating to their trading in the asset, commodity or other economic interest underlying the Reference Price, options, related futures or options on futures, or any other related derivatives. As a general matter, the Exchange has regulatory jurisdiction over its members, member organizations and approved persons of a member organization. The Exchange also has regulatory jurisdiction over any person or entity controlling a member organization as well as a subsidiary or affiliate of a member organization that is in the securities business. The MACRO Tradeable Shares will be registered in book entry form through DTC in the United States or with Clearstream Banking, societe anonyme or Euroclear Bank S.A./NV in Europe. Trading in MACRO Tradeable Shares will be effected until 4:15 p.m. New York time each business day. The minimum trading increment for such shares will be $.01 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 trading halts in MACRO Tradeable Shares. First, the circular 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. Second, with respect to a halt in trading that is not specified above, 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 MACRO Tradeable 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 MACRO Holding Trust or the per share underlying values of each of the Up-MACRO Holding Shares, the Up-MACRO Tradeable Shares, the Down-MACRO Holding Shares or the Down-MACRO Tradeable Shares are not disseminated daily to all market participants at the same time,
(b)the IIV, updated at least every fifteen
(15)seconds on the CTS, for the underlying value per share of both the Up-MACRO Tradeable Shares and the Down-MACRO Tradeable Shares is no longer calculated or available during the time the MACRO Tradeable 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 fifteen
(15)seconds on the Amex Web site during the time the MACRO Tradeable Shares trade on the Amex 43 ( *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. 44 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. 43 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., New York City time. During those daily periods, from 9:30 a.m. to 10 a.m. and from 2:30 p.m. to 4:15 p.m. (New York City time), the IIVs disseminated by the Amex will be based on “stale” data. 44 In each of these circumstances, the Exchange may contact the Commission staff to discuss the matter. Suitability The Information Circular (described below) will inform members and member organizations of the characteristics of the MACRO Tradeable 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 MACRO Tradeable 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. Information Circular The Amex will distribute an Information Circular to its members in connection with the trading of MACRO Tradeable Shares. The Information Circular will discuss the special characteristics and risks of trading this type of security. Specifically, the Information Circular, among other things, will discuss what the MACRO Tradeable Shares are, how they are created and exchanged for MACRO Holding Shares by Authorized Participants, the requirement that members and member firms deliver a prospectus to investors purchasing the MACRO Tradeable Shares prior to or concurrently with the confirmation of a transaction, applicable Amex rules, dissemination of information regarding the “underlying value” of each paired MACRO Holding Trust and the share of that “underlying value” allocable to one Up-MACRO Holding Share, one Up-MACRO Tradeable Share, one Down-MACRO Holding Share and one Down-MACRO Tradeable Share, trading information and applicable suitability rules. The Information Circular will also explain that the MACRO Holding Trusts and the MACRO Tradeable Trusts are subject to various fees and expenses described in the Registration Statement. The Information Circular will also reference the fact that the Securities and Exchange Commission has no jurisdiction over the trading of the NYMEX light sweet crude oil futures contract. The Information Circular will also notify members and member organizations about the procedures for purchases and paired optional redemptions of the MACRO Holding Shares held in the MACRO Tradeable Trusts, which may only be effected in MACRO Units by Authorized Participants. The Information Circular will advise members of their suitability obligations with respect to recommended transactions to customers in the MACRO Tradeable Shares. The Information Circular will also discuss any relief, if granted, by the Commission or the staff from any rules under the Act. Surveillance Exchange surveillance procedures applicable to trading in the proposed MACRO Tradeable Shares will be similar to those applicable to trust issued receipts, Portfolio Depository Receipts and Index Fund Shares currently trading on the Exchange. The AMEX surveillance systems use data published over CTS ( *e.g.* , the IIVs) in its normal course of business. In the event this group needs additional information to audit transactions in MACRO Tradeable Shares, the NYMEX and Amex have executed an information sharing agreement to support the surveillance responsibilities of the two exchanges. 2. Statutory Basis The Amex believes that the proposed rule change, as amended, is consistent with the requirements of Section 6(b) of the Act 45 in general, and furthers the objectives of Section 6(b)(5), 46 of the Act in particular, in that it is 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, and to remove impediments to and perfect the mechanism of a free and open market and a national market system. 45 15 U.S.C. 78f(b). 46 15 U.S.C. 78f(b)(5). B. Self-Regulatory Organization's Statement on Burden on Competition The Exchange does not believe that the proposed rule change, as amended, 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, as amended. 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, as amended, or
(B)institute proceedings to determine whether the proposed rule change should be disapproved. The Commission is considering granting accelerated approval of the proposed rule change at the end of a 15-day comment period. 47 47 The Amex 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, following the conclusion of a 15-day comment period. Telephone conference among Brian Trackman and Michou H.M. Nguyen, Special Counsels, Division of Market Regulation, Commission, and William Love, Associate General Counsel, Exchange, on October 25, 2006. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change, as amended, is consistent with the Exchange Act. Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission's Internet comment form ( *http://www.sec.gov/rules/sro.shtml);* or • Send an e-mail to *rule-comments@sec.gov* . Please include File Number SR-Amex-2006-82 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-Amex-2006-82. This file number should be included on the subject line if e-mail is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site ( *http://www.sec.gov/rules/sro.shtml)* . Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for inspection and copying in the Commission's Public Reference Room. Copies of the filing also will be available for inspection and copying at the principal office of the Amex. 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-2006-82 and should be submitted on or before November 17, 2006. For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 48 Jill M. Peterson, Assistant Secretary. 48 17 CFR 200.30-3(a)(12). [FR Doc. E6-18478 Filed 11-1-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54657; File No. SR-CHX-2006-29] Self-Regulatory Organizations; Chicago Stock Exchange, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change and Amendment No. 1 Thereto Relating to Participant Fees and Credits October 26, 2006. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the “Act”), 1 and Rule 19b-4 thereunder, 2 notice is hereby given that on September 29, 2006, the Chicago Stock Exchange, Inc. (“CHX” 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 prepared by the CHX. On October 20, 2006, the CHX filed Amendment No. 1 to the proposed rule change. 3 The CHX has designated this proposal as one establishing or changing a member due, fee, or other charge imposed by the CHX under Section 19(b)(3)(A)(ii) of the Act, 4 and Rule 19b-4(f)(2) thereunder, 5 which renders the proposal effective upon filing with the Commission. The Commission is publishing this notice to solicit comments on the proposed rule change, as amended, from interested persons. 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b-4. 3 Amendment No. 1 made technical changes to correct the marking of the proposed rule text and made clarifying changes to the discussion in the purpose section. Amendment No. 1 made no changes to the proposed fees as set forth in the original filing. 4 15 U.S.C. 78s(b)(3)(A)(ii). 5 17 CFR 240.19b-4(f)(2). I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The CHX proposes to revise its Schedule of Participant Fees and Credits (“Fee Schedule”) to provide for fees, charges and credits contemplated by the Exchange's new trading model being implemented by the CHX this fall. The text of the proposed rule change is available on the CHX's Web site ( *http://www.chx.com/rules/proposed_rules.htm* ), at the principal office of the CHX, and at the Commission's Public Reference Room. 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 CHX 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 CHX 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 Throughout 2006, the Exchange has been working on the design and development of a new trading model centered around a core matching system that will provide for fully automated electronic matching of orders (“Matching System”), as well as corresponding rules and regulatory initiatives. On September 29, 2006, the Exchange's proposed rules relating to the new trading model were approved by the Commission. 6 The Exchange anticipates making the transition to its new trading model commencing the week of October 23, 2006. As further detailed in SR-CHX-2006-05, the Exchange's new trading model differs from the current CHX structure in several notable ways. First, the CHX will no longer operate from a traditional physical exchange floor, but rather will operate an entirely electronic facility. Second, the CHX will no longer maintain a specialist program, in which specialists maintain books of orders in designated issues. 7 Finally, as noted above, orders will be matched by a fully automated Matching System. 8 6 *See* Securities Exchange Act Release No. 54550 (September 29, 2006); 71 FR 59563 (October 10, 2006) (SR-CHX-2006-05) (referred to as the “NTM Approval Order”). 7 In the new trading model, Participants may register as either market makers or institutional brokers (formerly known as floor brokers), or may simply operate as unregistered order-sending firms that route orders to the CHX for execution. 8 The CHX new trading model does contemplate special handling of orders by CHX institutional brokers, but all such orders must be entered by institutional brokers into an electronic functionality known as Brokerplex. Brokered orders must clear the Matching System prior to execution and must otherwise be executed in accordance with the rules set forth in new CHX Article 17, which governs institutional brokers, as well as applicable law, including Regulation NMS. This fundamental shift in the Exchange's trading model necessitates certain changes in the Exchange's business model, including the fees, charges and credits that it assesses its participants (“Participants”). After significant deliberation, including a comprehensive review of other self-regulatory organizations and their respective billing structures, the Exchange has formulated a revised Fee Schedule that the Exchange believes more closely resembles the fee structures that have been implemented in connection with other electronic trading facilities. Summarized below are the provisions of the Fee Schedule that will change from the previous version. To facilitate an orderly transition to the new trading model, the Fee Schedule contemplates charging Participants under current rates, with new Fee Schedule provisions to become applicable as issues are transitioned to the new trading model and become eligible for trading in the Matching System. The Fee Schedule delineates which fees will be “phased out” during and after the transition to the new trading model. *Participant Access & Registration (Sections A-D)* *• Permit Fees:* In connection with the Exchange's demutualization on February 9, 2005, the Exchange's rules were amended to require that each Participant hold at least one Trading Permit in order to access the CHX. 9 The Exchange's Fee Schedule was amended to provide for annual Trading Permit fees in lieu of annual member dues; the amount of the Trading Permit Annual Fee ($6,000) was identical to the amount of member dues immediately prior to demutualization. Trading Permit fees have not increased for nearly two years, since the demutualization transaction. 9 *See* Securities Exchange Act Release No. 51149 (February 8, 2005), 70 FR 7531 (February 14, 2005) (SR-CHX-2004-26). Prior to demutualization, the Exchange's rules provided for access by “members” who owned or leased CHX “seats.” The demutualization rule changes provide for access by “Participants” who hold “trading permits.” Pursuant to a recent proposed rule change (the “Trading Permit Rule Changes”), each Participant Firm will be required to hold only one Trading Permit per firm, regardless of the number of its registered representatives. 10 These rule changes reflect the Exchange's transition from a floor-based exchange (where it was appropriate to require multiple Trading Permits if a Participant Firm had multiple representatives on the CHX floor) to an electronic facility (where all Participant Firms have equivalent electronic access to the Exchange's facilities). 10 *See* Securities Exchange Act Release No. 54494 (September 25, 2006); 71 FR 58023 (October 2, 2006) (SR-CHX-2006-23). The Exchange believes that the Trading Permit Rule Changes will provide for an even more equitable allocation of fees among Exchange Participants, because no firm will be required to bear a disproportionate share of total Trading Permit fees by holding multiple Trading Permits. Instead, each Participant's Trading Permit fee will be identical, because each Participant will only hold one Trading Permit. The revised proposed Fee Schedule provides that the annual fee for each Trading Permit will increase from $6,000 to $7,200 for each Trading Permit purchased or renewed after October 1, 2006. The Trading Permit cancellation fee will increase to the lesser of $2,400 or $600 per month for the remainder of the one-year term of the permit, effective with the renewal of each Trading Permit after October 1, 2006. 11 11 *See* Section A of the Fee Schedule. The CHX believes that these changes to the Trading Permit fee structure are reasonable under the circumstances. The Trading Permit Annual Fee has not increased for some time, warranting a modest increase. Moreover, the Trading Permit Rule Changes will result in aggregate savings to CHX Participants. 12 12 Although not all CHX Participant firms will realize savings due to a reduction in the number of Trading Permits, total Trading Permit fees will be reduced substantially. In order to offset a portion of this aggregate reduction, the Exchange believes that the proposed modest increase in annual Trading Permit fees is appropriate. With respect to the Trading Permit cancellation fee, as set forth in previous proposed rule changes relating to charges for cancellation of Trading Permits, 13 the CHX believes that it is reasonable to provide for some fee relief for Participants whose trading permits are cancelled intrayear. The Exchange also believes, however, that it is necessary for the Exchange to have an adequate basis on which to budget and project annual revenues. Accordingly, the Exchange believes that a Trading Permit cancellation fee, including a modest increase thereof, remains appropriate. 13 *See* Securities Exchange Act Release No. 52815 (November 21, 2005), 70 FR 71572 (November 29, 2005) (SR-CHX 2005-31); Securities Exchange Act Release No. 54495 (September 25, 2006), 71 FR 58025 (October 2, 2006) (SR-CHX-2006-27) (providing for a cancellation fee in the event a Trading Permit is cancelled intrayear). • SRO Fee: This fee will increase from $100/month to $250/month. This fee will be assessed per Trading Permit. 14 As set forth above with respect to Trading Permit fees, this slight increase in the per permit fee is offset by the aggregate savings that will be achieved by CHX Participants due to the new “one firm, one permit” rule made effective by the Trading Permit Rule Changes. 14 *See* Section B of the Fee Schedule. • Registration Fees: The CHX will continue to assess a $500 annual fee for each trader who is engaged in proprietary securities trading for an off-Exchange Participant Firm that is solely a CHX Participant and for which the CHX is the Designated Examining Authority (“DEA”). 15 This fee will be pro-rated in the first year of a trader's registration, based on the quarter in which that registration occurs. 16 15 *See* Section C of the Fee Schedule. 16 This provision formerly provided for a $500 initial registration fee and $500 annual fee (with no proration for partial years) for each off-floor trader who was engaged in proprietary securities trading for a Participant Firm for which the CHX is the DEA. Given the elimination of the $500 initial registration fee and the addition of the proration language, the changes to this provision will result in net savings by affected Participant Firms. Other changes to Section C of the Fee Schedule reflect the transition away from a floor-based trading environment, with references to the floor modified to reflect access to the Exchange's facilities. The fee for floor clerks has also been eliminated. • Matching System Port Charges: The revised proposed Fee Schedule provides for a port charge of $400 per month for each Participant connection to the Matching System, other than connections through the Brokerplex functionality that is used by CHX institutional brokers. 17 This fee is a new addition to the Fee Schedule and reflects the Exchange's transition to a fully-electronic trading platform instead of a floor-based market. The Exchange believes that, in the new trading model, the port charge provides a reasonable means of allocating a portion of Matching System expenses to those Participant Firms that maintain connectivity to the Matching System. 18 17 *See* Section D of the Fee Schedule. Section D formerly contained provisions relating to assignment of issues to CHX specialists. This process will no longer occur because all specialist issues are being migrated to the new trading model. Accordingly, all former text of Section D has been deleted in its entirety. 18 The former Fee Schedule allocated a portion of these costs by means of various MAX-related connectivity charges, which will be eliminated for issues as they migrate from MAX (the Exchange's current semi-automated execution platform) to the new trading model. Transaction and Order Routing Fees (Section E) Transaction fees will be modified in several ways as the Exchange transitions to its new trading model. 19 19 *See* Section E of the Fee Schedule. • Matching System: Section E of the Fee Schedule sets forth the transaction fees that will be charged for executions in the Matching System once it is operative, including Matching System routing fees. This section also contains an odd-lot Matching System transaction fee, which is charged to the Participant that submits the odd-lot order to the Matching System. The Exchange believes that the new transaction fees for the Matching System are fair and reasonable, particularly in light of the fee structures implemented in connection with other electronic facilities. The Exchange believes that the “take/provide” model has become a widely-recognized industry model, and the Exchange's rates are in line with other similarly-situated market centers. To facilitate an orderly transition, Section E.7 of the Fee Schedule preserves the pre- new trading model fee structure, which will continue to provide the basis for transaction and order processing fees if an issue is not yet traded in the Matching System, but will no longer be applicable once an issue transitions to the new trading model and is available for trading in the Matching System. Section E.7 of the Fee Schedule also contains a new provision establishing a charge for outbound ITS or NMS Linkage Plan orders. 20 20 This provision is necessary in order to implement the CHX's participation in the exchange-to-exchange billing arrangement associated with the “Plan for the Purpose of Creating and Operating an Intermarket Communications Linkage Pursuant to Section 11A(a)(3)(B) of the Securities Exchange Act of 1934” (“Linkage Plan”), which took effect on October 1, 2006. *See* Securities Exchange Act Release No. 54548 (September 29, 2008), 71 FR 59159 (October 6, 2006) (SR-CHX-2006-28) (approving Linkage Plan exchange-to-exchange billing procedures); Securities Exchange Act Release No. 54551 (September, 2006), 71 FR 59148 (October 6, 2006) (approving Linkage Plan). When an outbound Linkage Plan commitment is executed on another Linkage Participant market, such market will directly invoice the CHX for a transaction fee equal to the transaction fee that it would charge its own member for such an execution. The CHX is then responsible for payment of such invoice. The new CHX Fee Schedule provision permits the CHX to collect a corresponding fee from the Participant who generated the outbound Linkage Plan commitment. • Institutional Broker Agency Fees: Section E.3 of the Fee Schedule outlines the fees that will be charged to the Participant Firm that executes an order through an institutional broker, if the broker facilitates the execution of the order on the Exchange or in another market over ITS or any later linkage plan. These fees have not changed from the fees set forth in Section F.4(e) and
(f)of the previous Fee Schedule; only their location within the Fee Schedule has changed. 21 21 Reference to “floor” broker also has changed to “institutional” broker. Credits (Section F) The Exchange's credit structure has been revised to adjust for the new trading model as well as Regulation NMS, which impacts allocation and payment of market data fees. 22 22 *See* Section F of the Fee Schedule. • Institutional Brokers: In lieu of the previous formula used for floor broker credits, which incorporated significant variables including market data fees, each institutional broker will be eligible for a monthly transaction fee credit equal to 18% of the transaction fees received by the Exchange each month for agency trades executed through the institutional broker. 23 23 This new institutional broker credit replaces the former floor broker credit provision set forth in Section M.2 of the previous Fee Schedule. • Specialist Credits: These credits will continue to be available to specialists in issues that they trade as specialist during the transition to the new trading model. 24 As an issue moves into the Matching System for trading, specialist credits will be pro-rated or eliminated for that issue, based on the date that the issue becomes eligible for trading in the Matching System. Specialists (or other eligible Participants) who elect to register as market makers in the new trading model may then earn market data rebates for liquidity-providing trades or crosses submitted to the Matching System. 24 Formerly set forth in Section M.1, the specialist credit provisions are unchanged and will remain in place until an issue migrates to the new trading model. • Market Data Rebates for Matching System Trades: Each Participant Firm 25 will be eligible for a tape credit, applied on a quarterly basis, equal to 50% of monthly tape revenue from the Consolidated Tape Association (less all direct CTA costs) generated by liquidity-providing trades or crosses submitted to the Matching System by a Participant Firm in a particular Tape A or Tape B security. By its terms, this credit is not available unless an issue has migrated to the Matching System. 25 Institutional brokers are not eligible to receive tape credits; they are instead eligible for the transaction fee credits previously described. The terms of this credit are identical to the terms of the Specialist Credit discussed above. However, the CHX has added a provision indicating that tape credits will be applied on a quarterly basis, after the Exchange receives its payments from the reporting plans. 26 The identical nature of the credits is intentional. As set forth above, the Specialist Credit is available until an issue migrates to the CHX Matching System, at which point Specialist Credits will no longer be available, 27 but the former specialist (or another eligible Participant) may receive a Market Data Rebate in lieu of the Specialist Credit, on account of liquidity-providing trades or crosses submitted to the Matching System. 26 The Exchange has also added a provision indicating that the tape credit will be based on the tape revenue generated by *liquidity-providing* trades or Crosses submitted to the Matching System by the Participant Firm. (emphasis added). Telephone conversation between Kathleen Boege, Vice President and Associate General Counsel, CHX, Joseph Morra, Special Counsel, Division of Market Regulation (“Division”), Commission, and Sara Gillis, Attorney, Division, Commission, on October 24, 2006. 27 There will no longer be a specialist assigned to such issue. • Other Credit Provisions: Section F.4 of the Fee Schedule, relating to Two-Sided Quote Providers, remains unchanged but has been relocated from former Section M.4. Section F.5 of the Fee Schedule, governing unavailability of credits if a Participant's payment to the Exchange is more than 60 days past due, also is unchanged from the version that became effective shortly before this Fee Schedule was submitted. 28 28 *See* Securities Exchange Act Release No. 54522 (September 27, 2006), 71 FR 58456 (October 3, 2006) (SR-CHX-2006-26). Co-Location Fees (Section G) These provisions have not changed; they merely have been relocated from former Section H to current Section G of the Fee Schedule. Clearing Support Fees (Section H) There are no changes to this section, which formerly was Section I of the Fee Schedule, except that the Exchange is deleting provisions relating to CUSIP fees. Listing Fees (Section I) There are no substantive changes to this section, which formerly was Section J. Market Regulation and Market Surveillance Fees (Section J) There are no changes to this section, which formerly was Section K of the Fee Schedule, except that the provision relating to DEA Examination Fees has been modified to delete a footnote relating to exemptions and to clarify that the charge is assessed per Participant Firm. Specialist Fixed Fees (Section K) These provisions have not changed with respect to calculation of the aggregate fixed fees; they merely have been relocated from former Section E to current Section K of the Fee Schedule. This provision has also been modified to reflect the transition to the new trading model and to provide a basis for pro rating the fixed fees as issues migrate to the new trading model over the next several months. Fixed fees will continue to be charged for issues traded by CHX specialists; once an issue migrates to the new trading model and is no longer traded by a CHX specialist, the fixed fee due from the specialist for that month will be prorated based on the transition date. Space Charges (Section L) The rule changes relating to the new trading model provide that the Exchange will no longer be considered to have a physical trading floor from a regulatory perspective, although the current trading floor space will remain available for leasing by Participants (and ultimately perhaps by non-Participants). During the transitional period this fall, the existing billing structure for booth space, post space and electrical or structural modifications to such space will remain in place, through December 31, 2006. After that date, any applicable space charges will be incorporated into separate lease agreements between the Exchange and entities that lease space on the Exchange's former trading floor. 29 The Exchange is in the process of finalizing its comprehensive space plan for the former trading floor, including the terms under which it will offer space for lease to Participants. These terms, and corresponding lease documentation, will be available for consideration by Participants later this fall. 29 *See* Section L of the Fee Schedule. Equipment, Information Services & Technology Charges (Section M) As with space charges, these fees will remain in place until December 31, 2006. Except as set forth below, there are no substantive changes to this section. Most changes are intended to delete obsolete provisions relating to the Exchange's former OTC specialist program. • Broker Connectivity Charge/Credit: All network and connectivity charges are rebilled monthly to institutional brokers that access the network, based on the proportion of each firm's use of the network during the month. 30 Until completion of the new trading model rollout, institutional brokers will be eligible for a monthly network/connectivity fee credit, equal to a total monthly credit of $15,000, allocated among institutional broker firms based on each firm's respective percentage of total monthly transaction fee credits. 31 30 *See* Section M of the Fee Schedule. 31 *See* Section F.2 of the Fee Schedule for a description of this credit. Supplies, Rulebooks and Reports (Section N) This section includes two new charges: • Brokerplex Report Charge: There will be a charge of $50 per month to provide reports of Participant Firm activity, by trader. 32 32 *See* Section N.3 of the Fee Schedule. • Trade and order data: This charge is intended to help the Exchange defray the expenses of responding to Participants' data requests, which often require significant customization and other accommodation of specific requests. 33 33 *See* Section N.4 of the Fee Schedule. Late Fees (Section O) These provisions have not changed; they merely have been relocated from former Section N to current Section O of the Fee Schedule. 2. Statutory Basis The Exchange believes that the proposed rule change is consistent with Section 6(b)(4) of the Act 34 in that it provides for the equitable allocation of reasonable dues, fees and other charges among its members and is in line with other self-regulatory organizations that have implemented trading platforms similar to the CHX new trading model. 34 15 U.S.C. 78f(b)(4). 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. C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others No written comments were either solicited or received. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing proposed rule change establishes or changes a member due, fee, or other charge imposed by the Exchange, it has become effective pursuant to Section 19(b)(3)(A) of the Act 35 and Rule 19b-4(f)(2) 36 thereunder. At any time within 60 days of the filing of such proposed rule change, the Commission may summarily abrogate such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. 37 35 15 U.S.C. 78s(b)(3)(A). 36 17 CFR 19b-4(f)(2). 37 For purposes of calculating the 60-day period within which the Commission may summarily abrogate the proposed rule change under Section 19(b)(3)(C) of the Act, the Commission considers the period to commence on October 20, 2006, the date on which the CHX filed Amendment No. 1. *See* 15 U.S.C. 78s(b)(3)(C). IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the proposed rule change, as amended, is consistent with the Act. Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission's Internet comment form ( *http://www.sec.gov/rules/sro.shtml* ); or • Send an e-mail to *rule-comments@sec.gov* . Please include File No. SR-CHX-2006-29 on the subject line. Paper Comments • Send paper comments in triplicate to Nancy M. Morris, Secretary, Securities and Exchange Commission, Station Place, 100 F Street, NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-CHX-2006-29. This file number should be included on the subject line if e-mail is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site ( *http://www.sec.gov/rules/sro.shtml* ). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for inspection and copying in the Commission's Public Reference Room. Copies of such filing also will be available for inspection and copying at the principal office of the CHX. 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-CHX-2006-29 and should be submitted on or before November 24, 2006. 38 17 CFR 200.30-3(a)(12). For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 38 Jill M. Peterson, Assistant Secretary. [FR Doc. E6-18481 Filed 11-1-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54653; File No. SR-NYSE-2006-94] Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate Effectiveness of Proposed Rule Change Relating to Rule 122 (Orders With More Than One Broker) Until the Availability of Full d-Quote Functionality in a Particular Security or February 5, 2007, Whichever Comes First October 26, 2006. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”) 1 and Rule 19b-4 thereunder, 2 notice is hereby given that on October 25, 2006, the New York Stock Exchange LLC (“NYSE” 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 prepared by the Exchange. NYSE filed the proposed rule change pursuant to Section 19(b)(3) of the Act 3 and Rule 19b-4(f)(6) thereunder, 4 which renders the proposed rule change effective upon filing with the Commission. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b-4. 3 15 U.S.C. 78s(b)(3)(A). 4 17 CFR 240.19b-4(f)(6). I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change NYSE seeks to amend Exchange Rule 122 (Orders with More than One Broker) for a period of time commencing from the operative date of this proposed rule change until the availability of full d-Quoting 5 functionality in a particular security or February 5, 2007, whichever comes first. The proposed rule change would permit Floor brokers to maintain discretionary e-Quotes (“d-Quotes”) and CAP-DI orders 6 in a security on the same side of the market for the same order that are capable of trading at the same price. The text of the proposed rule change is available on the Exchange's Web site ( *http://www.nyse.com* ), at the Exchange's Office of the Secretary, and at the Commission's Public Reference Room. 5 *See* Securities Exchange Act Release No. 54577 (October 5, 2006), 71 FR 60208 (October 12, 2006). 6 *See* Exchange Rules 13 and 123A.30(a). Exchange Rule 123A.30(a) describes a CAP-DI order as: “The elected or converted portion of a ‘percentage order that is convertible on a destabilizing tick and designated immediate execution or cancel election’ (“CAP-DI order”) may be automatically executed and may participate in a sweep.” 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 permit Floor brokers to enter discretionary e-Quotes and CAP-DI orders in a security on the same side of the market for the same order that are capable of trading at the same price for a limited period of time—that is, from the operative date of this proposed rule change until the availability of full d-Quoting functionality in a particular security or February 5, 2007, whichever comes first. The Exchange believes that discretionary e-Quote capabilities will be fully implemented in Phase IV of the Hybrid Market, 7 which is scheduled to commence rolling out in late December 2006. This amendment will allow Floor brokers to participate electronically in certain trades they would otherwise miss while full d-Quoting functionality is being implemented. As such, the amendment enhances the competitive position between Floor brokers (on behalf of customer orders) and specialist proprietary trading that d-Quoting was designed to assist. 7 The Commission approved the Hybrid Market on March 22, 2006. *See* Securities Exchange Act Release No. 53539 (March 22, 2006), 71 FR 16353 (March 31, 2006). Currently, d-Quote functionality permits Floor brokers to assign discretionary price instructions to their e-Quotes. Pursuant to these instructions, a d-Quote may trade with marketable and non-marketable incoming orders, by trading with such orders at a price better than the Exchange best bid or offer. Currently, the functionality to interact with a non-marketable incoming order ( *i.e.* , an order that would become the new Exchange best bid or offer) has not been implemented. However, specialists are able to interact with non-marketable incoming orders via their algorithmic systems subject to certain requirements. Specifically, a specialist can send electronically a “hit bid” or “take offer” message based on an incoming order that would create a new best bid or best offer. This allows the specialist to trade electronically with the newly published bid or offer. Until d-Quoting is fully implemented, a Floor broker only has the ability to interact manually with such new bid or offer. Accordingly, the speed disparity between a manual action and an electronic one places the Floor broker at a competitive disadvantage. A Floor broker can seek to trade at the bid or offer price by manually “hitting the bid” or “taking the offer.” They can also send a CAP-DI order to the specialist for conversion or election at that price. Marketable CAP-DI orders are automatically converted and trade along with specialist proprietary executions. Accordingly, by allowing Floor brokers to have CAP-DI orders and d-Quotes, the Floor brokers retain the ability to compete with specialist algorithmic trading for executions involving marketable incoming orders via discretionary pricing instructions, but do not miss participating in executions when specialists algorithmically hit a bid or take an offer. Exchange Rule 122 currently prevents Floor brokers who have transmitted part of an order to a specialist for execution (such as a CAP-DI order) from bidding or offering on behalf of the retained portion of such order at a price at which the transmitted part may be quoted or executed. Because a CAP-DI may execute at the same price as a d-Quote, the Exchange seeks to amend Rule 122 to permit Floor brokers to maintain both d-Quotes and CAP-DI orders in the same security for the account of the same principal that are capable of being executed at the same price. This filing applies to those securities subject to the Pilot 8 currently operating in conjunction with the implementation of Hybrid Market Phase III. 8 *See* Securities Exchange Act Release Nos. 54578 (October 5, 2006), 71 FR 60216 (October 12, 2006) and 54610 (October 16, 2006), 71 FR 62142 (October 23, 2006). 2. Statutory Basis The Exchange believes that the proposed rule change is consistent with Section 6(b) of the Act 9 in general, and furthers the objectives of Section 6(b)(5) of the Act 10 in particular, in that it is designed 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 Exchange believes that the proposed rule change is also designed to support the principles of Section 11A(a)(1) of the Act 11 in that it seeks to assure economically efficient execution of securities transactions, the practicability of brokers executing investors' orders in the best market, and an opportunity for investors' orders to be executed without the participation of a dealer. 9 15 U.S.C. 78f(b). 10 15 U.S.C. 78f(b)(5). 11 15 U.S.C. 78k-1(a)(1). B. Self-Regulatory Organization's Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others The Exchange has neither solicited nor received written comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing proposed rule change does not:
(i)Significantly affect the protection of investors or the public interest;
(ii)impose any significant burden on competition; and
(iii)by its terms, become operative for 30 days from the date on which it was filed, or such shorter time as the Commission may designate if consistent with the protection of investors and the public interest, it has become effective pursuant to Section 19(b)(3)(A) of the Act 12 and Rule 19b-4(f)(6) thereunder. 13 12 15 U.S.C. 78s(b)(3)(A). 13 17 CFR 240.19b-4(f)(6). A proposed rule change filed under Rule 19b-4(f)(6) normally may not become operative prior to 30 days after the date of filing. However, Rule 19b-4(f)(6)(iii) 14 permits the Commission to designate a shorter time if such action is consistent with the protection of investors and the public interest. The Exchange has requested that the Commission waive the 30-day operative delay and designate the proposed rule change immediately operative upon filing. The Commission believes that waiver of the 30-day operative delay is consistent with the protection of investors and the public interest. Specifically, the Commission believes that the proposal should enable floor brokers to compete with specialists in certain trades on behalf of their customers, while the Exchange is in the process of implementing the d-Quote function. Accordingly, the Commission designates the proposal to be effective and operative upon filing with the Commission until the availability of full d-Quote functionality in a particular security or February 5, 2007, whichever comes first. 15 14 17 CFR 240.19b-4(f)(6)(iii). 15 For purposes only of waiving the operative delay for this proposal, the Commission has considered the proposed rule's impact on efficiency, competition, and capital formation. *See* 15 U.S.C. 78c(f). At any time within 60 days of the filing of the proposed rule change, the Commission may summarily abrogate such proposed rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. 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-NYSE-2006-94 on the subject line. Paper Comments • Send paper comments in triplicate to Nancy M. Morris, Secretary, Securities and Exchange Commission, 100 F Street, NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-NYSE-2006-94. This file number should be included on the subject line if e-mail is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site ( *http://www.sec.gov/rules/sro.shtml* ). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for inspection and copying in the Commission's Public Reference Room. Copies of such filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-NYSE-2006-94 and should be submitted on or before November 24, 2006. For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 16 Nancy M. Morris, Secretary. 16 17 CFR 200.30-3(a)(12). [FR Doc. E6-18450 Filed 11-1-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54655; File No. SR-NYSEArca-2006-48] Self-Regulatory Organizations; NYSE Arca, Inc.; Order Approving Proposed Rule Change To Amend NYSE Arca Equities, Inc.'s Clearly Erroneous Executions Rule To Include an Appeal Fee for the NYSE Arca Marketplace (f/k/a the Archipelago Exchange) October 26, 2006. On August 11, 2006, NYSE Arca, Inc. (“NYSE Arca” or “Exchange”) filed with the Securities and Exchange Commission (“Commission”) a proposed rule change pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”) 1 and Rule 19b-4 thereunder, 2 to assess a fee associated with the appeals process of NYSE Arca Equities, Inc. (“NYSE Arca Equities”) Rule 7.10. The proposed rule change was published for comment in the **Federal Register** on September 22, 2006. 3 The Commission received no comments on the proposal. This order approves the proposed rule change. 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b-4. 3 *See* Securities Exchange Act Release No. 54466 (September 18, 2006), 71 FR 55537. NYSE Arca proposes to amend NYSE Arca Equities Rule 7.10 governing clearly erroneous executions (“CEEs”) on the NYSE Arca Marketplace (f/k/a the Archipelago Exchange), the equities trading facility of NYSE Arca Equities. Specifically, under the proposed rule change, if an Equity Trading Permit (“ETP”) Holder appeals a CEE decision made by an NYSE Arca Equities officer to the CEE Panel and the CEE Panel subsequently upholds the decision, the ETP Holder would be assessed a $500.00 fee. The Exchange believes that assessing a $500.00 fee against any ETP Holder who appeals a CEE decision that is subsequently upheld by the CEE Panel would discourage frivolous and abusive uses of the CEE appeal process. The Exchange noted that some ETP Holders have taken advantage of the appeals process by appealing all decisions in which they are involved, including decisions that involve a *de minimis* value. After careful review, 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. 4 In particular, the Commission finds that the proposed rule change is consistent with Section 6(b)(4) of the Act, 5 which requires that the rules of an exchange provide for the equitable allocation of reasonable dues, fees, and other charges among its members and issuers and other persons using its facilities, and with Section 6(b)(5) of the Act, 6 which requires that the rules of an exchange be designed to promote just and equitable principles of trade, remove impediments to and perfect the mechanism of a free and open market and a national securities system, and, in general, protect investors and the public interest. The Commission believes that the proposed fee is reasonable as a method to discourage frivolous uses by ETP Holders of the Exchange's CEE appeal process. In addition, the Commission believes that the proposal would not unduly affect the rights of an ETP Holder to appeal to the CEE Panel the decisions of NYSE Arca Equities officers with respect to transactions that are alleged to involve a clearly erroneous execution. 4 In approving this proposed rule change, the Commission has considered the proposed rule's impact on efficiency, competition, and capital formation. *See* 15 U.S.C. 78c(f). 5 15 U.S.C. 78f(b)(4). 6 15 U.S.C. 78f(b)(5). *It is therefore ordered,* pursuant to Section 19(b)(2) of the Act, 7 that the proposed rule change (SR-NYSEArca-2006-48) is approved. 7 15 U.S.C. 78s(b)(2). 8 17 CFR 200.30-3(a)(12). For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 8 Nancy M. Morris, Secretary. [FR Doc. E6-18449 Filed 11-1-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54652; International Series Release No. 1298; File No. SR-Phlx-2006-34] Self-Regulatory Organizations; Philadelphia Stock Exchange, Inc.; Notice of Filing of Proposed Rule Change and Amendments No. 1 and 2 Relating to U.S. Dollar-Settled Foreign Currency Options October 25, 2006. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934, as amended (“Act”) 1 and Rule 19b-4 thereunder, 2 notice is hereby given that on May 12, 2006, the Philadelphia Stock Exchange, Inc. (“Phlx” 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 prepared by the Exchange. On September 29, 2006, the Exchange filed Amendment No. 1, 3 and on October 20, 2006, the Exchange filed Amendment No. 2. 4 The Commission is publishing this notice to solicit comments on the proposed rule change, as amended, from interested persons. 1 15 U.S.C. 78s(b)(l). 2 17 CFR 240.19b-4. 3 *See* Form 19b-4 dated September 29, 2006 (“Amendment No. 1”). Amendment No. 1 replaced the original filing in its entirety. 4 *See* Form 19b-4 dated October 20, 2006 (“Amendment No. 2”). Amendment No. 2 replaced the Amendment No. 1 in its entirety. I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The Phlx proposes to list U.S. dollar-settled foreign currency options (“FCOs”) on the British pound and the Euro (together, the “Currencies”), and to adopt rules and rule amendments to permit the trading of U.S. dollar-settled FCOs on the Exchange's electronic trading platform for options, Phlx XL. 5 The Exchange also proposes to amend a number of existing rules relating to U.S. dollar-settled FCOs, and to amend various rules to delete outdated references to the German mark, Italian lira, Spanish peseta and the French franc. 5 *See* Securities Exchange Act Release No. 49832 (June 8, 2004), 69 FR 33442 (June 15, 2004) (SR-Phlx-2003-59). The text of the proposed rule change, as amended, is available on the Exchange's Web site at *http://www.phlx.com* , at Phlx's principal office, and at the Commission's Public Reference Room. 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 Phlx included statements concerning the purpose of, and basis for, the proposed rule change, as amended, and discussed any comments it received on the proposed rule change, as amended. The text of these statements may be examined at the places specified in Item IV below. The Phlx 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 the Statutory Basis for, the Proposed Rule Change 1. Purpose According to the Phlx, the purpose of the proposed rule change is to permit the Exchange to expand its product offerings and revitalize FCOs by listing and trading U.S. dollar-settled FCOs on the Currencies on Phlx XL. 6 The contract specifications, including certain amendments to the Exchange's existing rules applicable to U.S. dollar-settled FCOs, and the trading rules for these FCOs are discussed in detail below. 7 6 The Exchange will file a proposed rule change with the Commission prior to listing U.S. dollar-settled options on any currencies other than the British pound and the Euro. 7 Existing Phlx rules applicable to FCOs that are not proposed to be amended in this proposed rule change would remain in effect and would apply to both physical delivery FCOs and U.S. dollar-settled FCOs, unless the rule specifically provides otherwise. i. Contract Specifications and Amendments to U.S. Dollar-Settled FCO Rules *Background.* The Exchange has listed and traded physical delivery FCOs issued by The Options Clearing Corporation (“OCC”) on a number of currencies since 1982. 8 For a period of time during the 1990's the Exchange also listed and traded U.S. dollar-settled FCOs on the German mark and the Japanese yen. 9 The U.S. dollar-settled FCOs were known and marketed as “Dollar Denominated Delivery” or “3D” FCOs. The U.S. dollar-settled FCOs were cash-settled, European-style options issued by OCC that allowed holders to receive U.S. dollars representing the difference between the current foreign exchange spot price 10 and the exercise price of the option. Specifically, upon exercise of an in-the-money U.S. dollar-settled FCO structured as a call, the holder received, from OCC, U.S. dollars representing the difference between the exercise strike price and the closing settlement value of the U.S. dollar-settled FCO contract multiplied by the number of units of currency covered by the contract. 11 For a U.S. dollar-settled FCO structured as a put, the holder received U.S. dollars representing the excess of the exercise price over the closing settlement value of the U.S. dollar-settled FCO contract multiplied by the number of units of foreign currency covered by the contract. Unlike other Phlx-traded FCOs, U.S. dollar-settled FCOs that are in-the-money by any amount on the expiration date would be exercised automatically by OCC, while U.S. dollar-settled FCOs that are out-of-the-money at expiration would expire worthless. 8 Unlike U.S. dollar-settled FCOs, a physical delivery option on a foreign currency gives its owner the right to receive physical delivery (if it is a call) or to make physical delivery (if it is a put) of the underlying foreign currency when the option is exercised. 9 The Exchange traded U.S. dollar-settled options on German marks beginning in September 1994. In its order approving German mark U.S. dollar-settled options, the Commission stated that, in the future, the listing of additional cash/spot (as they were then known) FCOs based on different foreign currencies would require separate 19b-4 filings with the Commission. *See* Securities Exchange Act Release No. 33732 (March 8, 1994), 59 FR 12023 (March 15, 1994). The Exchange commenced trading of U.S. dollar-settled options on the Japanese yen on February 24, 1997. *See* Securities Exchange Act Release No. 36505, International Series Release No. 889 (November 22, 1995), 60 FR 61277 (November 29, 1995). U.S. dollar-settled German mark options were delisted on January 19, 1999. U.S. dollar-settled Japanese yen options were delisted on August 23, 1999. 10 The “spot price” with respect to an option contract on a FCO contract means the price for the sale of one foreign currency for another, quoted by various commercial banks in the interbank foreign exchange market for the sale of a single unit of such foreign currency for immediate delivery (which generally means delivery within two business days following the date on which the terms of such sale are agreed upon). *See* Phlx Rule 1000(b)(16). 11 Phlx Rule 1044, Delivery and Payment, is proposed to be amended to provide that upon exercise of an in-the-money U.S. dollar-settled FCO structured as a call, the holder receives, from OCC, U.S. dollars representing the difference between the exercise strike price and the closing settlement value of the U.S. dollar-settled FCO contract multiplied by the number of units of currency covered by the contract. Similarly, for a U.S. dollar-settled FCO structured as a put, Phlx Rule 1044 provides that the holder receives U.S. dollars representing the excess of the exercise price over the closing settlement value of the U.S. dollar-settled FCO contract multiplied by the number of units of foreign currency covered by the contract. *Proposal.* The Exchange now proposes to list and trade U.S. dollar-settled FCOs on the Currencies on Phlx XL. 12 The Exchange also proposes to amend a number of rules applicable to U.S. dollar-settled FCOs generally, including the U.S. dollar-settled FCOs on the Currencies, as well as any other U.S. dollar-settled FCOs that the Exchange may list in the future. 12 The Exchange's existing, physical delivery options on the Currencies would not be affected by this proposal and would continue to trade as they do today, by open outcry. The Exchange notes, however, that positions in the U.S. dollar-settled FCOs would be aggregated with positions in the physical delivery contracts for purposes of position and exercise limits, as discussed further below. *Contract Size.* The contract sizes of the U.S. dollar-settled FCO contracts on the Currencies would be 10,000 British pounds and 10,000 Euros. 13 13 The contract sizes for the physical delivery options on the Currencies are 31,250 British pounds and 62,500 Euros. *Expirations.* The Exchange proposes to amend Phlx Rule 1012(a) by limiting the applicability of paragraph
(ii)to physical delivery FCOs, by renumbering paragraph
(iii)as paragraph (iv), and by adding new paragraph
(iii)to provide that U.S. dollar-settled FCO contracts may be listed with expirations that are the same as the expirations permitted for equity index options pursuant to Phlx Rule 1101A with the exception of long term option series and quarterly expiring FCOs which the Exchange does not propose to list. The Exchange does not anticipate listing FLEX U.S. dollar-settled foreign currency options at this time. 14 14 Currently, trades may be executed in certain FLEX options on equities and equity indexes. *See* Phlx Rule 1079. The Exchange anticipates that, at least initially, it would list expirations at one, two, three, six, and nine months, and that the options would be on three of the months from the March, June, September, December cycle, plus two additional near term months (five months at all times). 15 The expiration date for the consecutive and cycle month options would be 11:59 p.m. Eastern Time on the Saturday immediately following the third Friday of the expiration month pursuant to Phlx Rule 1000(b)(21), “Expiration date,” as proposed to be amended. 15 By way of example, in September, the U.S. dollar-settled FCOs would have the following months listed: October, November, December, March, and June. *Trading Symbols.* The Exchange expects that the symbols for options on the British Pound and on the Euro would be as follows: British Pound Trading Symbol—XDB British Pound Wrap Symbol—BJF British Pound Settlement Value Symbol—BIJ British Pound Strike Symbol—BJR British Pound Wrap Strike Symbol—BVA Euro Trading Symbol—XDE Euro Wrap Symbol—EAE Euro Settlement Value Symbol—EDY Euro Strike Symbol—EPA Euro Wrap Strike Symbol—EAY *Trading Hours.* Phlx Rule 101, Hours of Business, would be amended to provide that U.S. dollar-settled FCOs would trade from 9:30 a.m. to 4 p.m. Eastern Time, Monday through Friday. These trading hours differ from the trading hours for the physical delivery FCO contracts because the U.S. dollar-settled FCOs would, unlike the Exchange's physical delivery FCOs, trade on Phlx XL in much the same way that stock index options currently trade. 16 The expiring U.S. dollar-settled FCO contract would cease trading at 4 p.m. on the day prior to its expiration day. 17 Unlike trading in physical delivery FCOs, trading in U.S. dollar-settled FCOs would not close on bank holidays. If Friday is an Exchange holiday, the settlement value for U.S. dollar-settled FCOs would be determined on the basis of the Noon Buying Rate 18 on the preceding trading day, which would also be the last day of trading for the expiring option. 16 Trading hours for the Exchange's physical delivery FCO contracts are from 2:30 a.m. to 2:30 p.m. Eastern Time, Monday through Friday. 17 The Exchange notes that in order to facilitate trading of the U.S. dollar-settled FCOs on Phlx XL, trading would be permitted to occur after the settlement value is announced on the day prior to expiration, as discussed below. 18 The Exchange notes that the Commission has recently approved listing standards for securities issued by a trust that represent investors' discrete identifiable and undivided beneficial ownership interests in non-U.S. currency deposited into the trust. The trust utilizes the Noon Buying Rate for the calculation of the Net Asset Value of the trust. *See* Securities Exchange Act Release No. 52843 (November 28, 2005), 70 FR 72486 (December 5, 2005) (order granting accelerated approval of SR-NYSE-2005-65). *Settlement Values.* The Exchange proposes to change the method of determining the closing settlement value for U.S. dollar-settled FCOs. Phlx Rule 1057 would be revised to provide that the closing settlement value would be the day's announced Noon Buying Rate as determined by the Federal Reserve Bank of New York on the trading day prior to the expiration date. If the Noon Buying Rate is not announced by 2 p.m. Eastern Time, the closing settlement value would be the most recently announced Noon Buying Rate, unless the Exchange determines to apply an alternative closing settlement value as a result of extraordinary circumstances. 19 The closing settlement value would not be disseminated through the Options Price Reporting Authority (“OPRA”), but would be posted on the Exchange's Web site, where it would be publicly available to all visitors to the Exchange's Web site on an equal basis, without the need to enter any kind of password to access the settlement value. The Exchange would not disclose the settlement value to any person or group of persons other than employees of the Exchange who need to know prior to posting the value on the Exchange's Web site. 19 *Id.* *Position and Exercise Limits.* For purposes of position and exercise limits, positions in U.S. dollar-settled FCO contracts would be aggregated with positions in the physical delivery contracts. The position limits and exercise limits for the U.S. dollar-settled FCOs would be the same as the position and exercise limits for the physical delivery contracts pursuant to Phlx Rules 1001 and 1002. However, Phlx Rule 1001, Position Limits, would be amended to provide that each Euro U.S. dollar-settled option contract would count as one-sixth of a contract for purposes of position and exercise limits. 20 Similarly, each British pound U.S. dollar-settled option contract would count as one-third of a contract for purposes of position and exercise limits. 21 The other aggregation principles in Phlx Rule 1001 would continue to apply. 20 According to the Exchange, each U.S. dollar-settled Euro option contract would be treated as one-sixth of a contract for position and exercise limit purposes because the cash-settled Euro option contract is roughly one-sixth of the size of the physical delivery contract. 21 The cash-settled British pound option contract is roughly one-third of the size of the physical delivery contract. *Strike Prices.* The Exchange proposes to initially list exercise strike prices for each expiration around the current spot price at half-cent ($.005) intervals up to five percent on each side. 22 Thus, if the spot price initially were at 1.0000, the Exchange would list strikes in $.005 intervals up to 1.0500 and down to .9500 for a total of twenty-one strike prices available for trading. The Exchange would not list any strike prices at intervals other than these $.005 intervals. 23 New strikes may be added during the life of the option in accordance with Phlx Rule 1012(a)(iii). 24 New Commentary Section .06 would be added to Phlx Rule 1012 to specify that strike prices on the Euro and British pound cash-settled option would be listed at half-cent intervals. Text regarding the setting of exercise prices is being moved from paragraph
(ii)to new Commentary Section .07 because it would be applicable not only to physical delivery FCOs but to U.S. dollar-settled FCOs as well. Options Floor Procedure Advice F-18, Expiration Month and Strike Prices—Selective Quoting Facility, is proposed to be amended to limit its applicability (including applicability of the Selective Quoting Facility) to physical delivery FCOs. 25 22 To determine foreign currency spot prices, the Exchange receives contributor bank quotes from a vendor in real-time and takes the average of the various quotes. 23 To facilitate trading on Phlx XL, strike prices would be expressed without reference to the first two decimal places. Minimum quoting increments and maximum quote spreads would also reflect this convention (see below for a fuller discussion of minimum increments and maximum quote spreads). For example, assuming that the actual spot value of the Euro is $1.00, a strike could be listed at $1.0050 and would be expressed as $100.50. Similarly, the minimum quoting increment would be $.0005, expressed as $.05. Bids could be made $1.0045, expressed as $100.45, $1.0040, expressed as $100.40, and so forth. Offers could be made at $1.0055, expressed as $100.55, at $1.0060, expressed as $100.60, and so forth. Maximum quote spread parameters would be $.0025, expressed as $.25. Thus, a market maker could bid $1.0030, expressed as $100.30, and offer at $1.0055, expressed as $100.55. Prior to commencement of trading of U.S. dollar-settled options on the Currencies as proposed herein, the Exchange intends to issue an informational memorandum to members and member organizations which explains this strike price and quoting convention. 24 Phlx Rule 1012(a)(iv) provides in part that “[a]dditional series of options of the same class may be opened for trading on the Exchange as the market price of the underlying stock or Exchange-Traded Fund Share or the underlying foreign currency, as the case may be, moves substantially from the initial exercise price or prices.” As the spot price for U.S. dollar settled FCO moves, the Exchange would list new strike prices that, at the time of listing, do not exceed the spot price by more than 5% and are not less than the spot price by 5%. For example, if at the time of initial listing the spot price of the Euro is at 1.0000, the strike prices the Exchange would list would be .9500 to 1.0500. If the spot price then moves to 1.0500, the Exchange may list additional strikes at the following prices: 1.0550 to 1.1000. In that event, the Exchange would delist any previously-listed series outside of the current ten percent band that have no open interest. 25 The selective quoting facility establishes criteria to determine whether the bid/ask quotation for each FCO series is eligible for transmission to OPRA for off-floor dissemination to securities data vendors. When the Exchange designates a particular foreign currency option series as a “non-update strike,” its quotes are not made available for continuous dissemination to the public throughout the trading day. *See* Phlx Rule 1012, Commentary .04. The selective quoting facility, implemented in 1994, was intended to reduce the number of strike prices continuously being updated and disseminated, thus resulting in more timely and accurate foreign currency options quote displays. As noted above, however, the selective quoting facility would be limited to physical delivery FCOs and would not apply to U.S. dollar-settled FCOs. *Bids and Offers—Premium.* Under Phlx Rule 1033, Bids and Offers—Premium, bids and offers in U.S. dollar-settled FCOs on the Currencies must be made in terms of U.S. dollars per unit of the underlying foreign currency. However, the first two decimal places would be omitted from all bid and offer quotations for the British pound and for the Euro. Therefore, for example, a bid of .50 for an option contract on the Euro would represent a bid to pay .005 per Euro— *i.e.* , a bid of $50.00—for an option contract having a unit of trading of 10,000 Euros. Phlx Rule 1034(a) would be revised to provide that the minimum increment for U.S. dollar-settled FCOs quoting under $3.00 would be $.0005 per unit of the foreign currency, expressed as .05 per unit of the foreign currency, which equals a $5.00 minimum increment per contract consisting of 10,000 Euros or 10,000 British pounds. 26 The minimum increment for U.S. dollar-settled FCOs quoting at $3.00 or higher would be $.0010 per unit of the foreign currency, expressed as .10 per unit of the foreign currency, which equals a $10.00 minimum increment per contract consisting of 10,000 Euros or 10,000 British pounds. 27 26 By way of example, if the spot price of the Euro is at $1.0255 and an investor purchases the December Euro $1.2500 (expressed as $125.00) Call at a premium of $.0075 (expressed as $.75) and then sells the December Euro $1.2500 Call at a premium of $.0095 (expressed as $.95), the investor's profit would be $.0020 per Euro. The investor's profit would be $.0020 multiplied by 10,000 Euros (the size of the contract) for a total of $20.00. 27 The Exchange has determined to set the minimum quoting increment at $.0005 (expressed as $.05) per Euro for the U.S. dollar-settled FCOs rather than at the $.0001 (expressed as $.01) per Euro minimum quoting increment that currently applies to the Exchange's physical delivery FCOs because the Phlx XL trading system would not accommodate quoting in increments of $.0001 (expressed as $.01, or otherwise). So, for example, while a bid of $.0075 per Euro in the physical delivery FCO can be improved by quoting at $.0076, a bid of $.0075 per Euro in the U.S. dollar-settled FCO can only be improved by quoting no less than $.0080. The minimum increment per contract in the physical delivery Euro option, if it were the same size as the U.S. dollar-settled Euro option, would thus be $1.00 ($.0001 multiplied by the contract size of 10,000 Euros), while the minimum increment per contract in the U.S. dollar-settled contract would be $5.00 ($.0005 multiplied by the contract size of 10,000 Euros). *Margin.* The U.S. dollar-settled FCOs would have the same customer margin requirements as are provided for the existing FCOs pursuant to Phlx Rule 722, Margin Accounts, Commentary .16. 28 The Exchange calculates the margin requirements for each foreign currency underlying U.S. dollar-settled FCO separately, rather than determining one margin level for all foreign currencies based upon the historical pricing information for all foreign currencies together. The Exchange informs members and the public of the margin levels for each currency option immediately following the quarterly reviews described in Commentary .16 to Phlx Rule 722. 28 Pursuant to Phlx Rule 722, Commentary .16, the Exchange calculates the margin requirement for customers that assume short FCO positions by adding a percentage of the current market value of the underlying foreign currency contract to the option premium price less an adjustment for the out-of-the-money amount of the option contract. On a quarterly calendar basis, the Exchange reviews five-day price changes over the preceding three-year period for each underlying currency and sets the add-on percentage at a level which would have covered those price changes at least 97.5% of the time (the “confidence level”). If the results of subsequent reviews show that the current margin level provides a confidence level below 97%, the Exchange increases the margin requirement for that individual currency up to a 98% confidence level. If the confidence level is between 97% and 97.5%, the margin level would remain the same but would be subject to monthly follow-up reviews until the confidence level exceeds 97.5% for two consecutive months. If during the course of the monthly follow-up reviews, the confidence level drops below 97%, the margin level is increased to a 98% level and if it exceeds 97.5% for two consecutive months, the currency is taken off monthly reviews and is put back on the quarterly review cycle. If the currency exceeds 98.5%, the margin level is reduced to a 98% confidence level during the most recent three year period. Finally, in order to account for large price movements outside the established margin level, if the quarterly review shows that the currency had a price movement, either positive or negative, greater than two times the margin level during the most recent three year period, the margin requirement is set at a level to meet a 99% confidence level (“Extreme Outlier Test”). ii. Phlx XL Trading Rules for U.S. Dollar-Settled FCOs As noted above, the Exchange is proposing that U.S. dollar-settled FCOs trade on Phlx XL, the Exchange's electronic trading platform for options. Currently, all Phlx equity and equity index options also trade on Phlx XL. According to the Exchange, Phlx XL enables market makers to electronically deliver streaming quotes on or off the floor, producing tighter and deeper markets. Additionally, the Exchange believes that trading U.S. dollar-settled FCOs on Phlx XL would enable the Exchange to improve electronic access for customers, broker dealers and market makers while leveraging the advantages of a floor-based environment. Options order-flow providing firms would be able to direct their U.S. dollar-settled FCO orders to the Exchange liquidity provider of their choice under the Exchange's directed order flow program. Exchange specialists, on-floor market makers known as Streaming Quote Traders (“SQTs”), 29 and remote market makers known as Remote Streaming Quote Traders (“RSQTs”) 30 who stream their U.S. dollar-settled FCO quotes to the Exchange would be eligible to participate in the directed order flow program. Specialists in U.S. dollar-settled FCOs, like specialists in equity and equity index options, would also be eligible to participate in the Exchange's enhanced specialist participation programs which provide a type of exception to the Exchange's parity rules, allocating to the specialist a greater than equal share of the portion of an order that is divided among the specialist and any “controlled accounts” ( *i.e.* , any account controlled by or under common control with a broker-dealer, such as a specialist or an SQT) that are on parity. 31 By contrast, priority and parity rules for options on physical delivery foreign currency options are set forth in Phlx Rule 1014(h), which generally is a price-time priority rule without regard to account types. Once a bid or offer in physical delivery FCOs establishes priority, no bid-offer may gain parity at that price during that trading session until at least ten percent of the size of the previous bid-offer or 100 contracts, whichever is greater, trades. 29 An SQT is an ROT who has received permission from the Exchange to generate and submit option quotations electronically through AUTOM in eligible options to which such SQT is assigned. An SQT may only submit such quotations while such SQT is physically present on the floor of the Exchange. *See* Exchange Rule 1014(b)(ii)(A). 30 An RSQT is an ROT that is a member or member organization with no physical trading floor presence who has received permission from the Exchange to generate and submit option quotations electronically through AUTOM in eligible options to which such RSQT has been assigned. An RSQT may only submit such quotations electronically from off the floor of the Exchange. *See* Exchange Rule 1014(b)(ii)(B). 31 The Exchange currently has several Enhanced Specialist Participation programs, embodied in Phlx Rule 1014(g). These programs establish specified percentages as the Enhanced Specialist Participation, depending on the category of option. Currently, the specialist in physical delivery FCOs is not entitled to a “specialist enhancement,” although such a program was once in effect. The Exchange proposes to amend a number of rules that currently govern the trading of equity and equity index options that trade as “Streaming Quote Options” on Phlx XL to extend the coverage of those rules to U.S. dollar-settled FCOs as well. 32 In general, the Exchange proposes to make the necessary rule changes to permit U.S. dollar-settled FCOs to trade much in the same manner as equity index options, which are also U.S. dollar-settled products. 33 32 Phlx Rule 1080(k) provides that the Options Committee may, on an issue-by-issue basis, determine the specific issues in which SQTs may generate and submit option quotations if such SQT is physically present on the Exchange floor, and RSQTs may generate and submit option quotations from off the floor of the Exchange, electronically. Such issues shall be known as “Streaming Quote Options.” As noted above, however, the Exchange's current physical delivery FCOs would continue to trade as they do today. They would not be migrated to Phlx XL, and the trading rules which the Exchange is proposing to amend today to govern trading of U.S. dollar-settled FCOs on Phlx XL would not apply to physical delivery FCOs. 33 In the event of system wide trading halts in equity and equity index options required by Exchange Rule 133 (the “circuit breaker” rule), Trading Halts Due to Extraordinary Market Volatility, trading in U.S. dollar-settled FCO also would be halted. Phlx Rule 1080, Philadelphia Stock Exchange Automated Options Market (AUTOM) and Automatic Execution System (AUTO-X), would be amended to include U.S. dollar-settled FCOs as a product that may be traded on Phlx XL as a Streaming Quote Option. In contrast, physical delivery FCOs have always traded on the Exchange by open outcry only, without automated order delivery or execution (as have 3D FCOs in the past). Instead, floor brokers accept and execute orders. In addition, the limit order book is manually maintained by the specialist, rather than electronically like on Phlx XL. Though physical delivery FCOs would continue to trade by open outcry, U.S. dollar-settled FCOs would now trade on Phlx XL. Like equity options and equity index options, U.S. dollar-settled FCOs would trade on Phlx XL beginning at 9:30 a.m. through the end of the trading day at 4 p.m. The text of Phlx Rule 1080 would be amended to provide that U.S. dollar-settled FCOs would generally trade in the same manner as an equity option or an index option. 34 The proposed amendments reflect that the Foreign Currency Options Committee would have decision-making authority in certain instances with respect to these new products (rather than the Options Committee, which oversees the trading of equity and equity index options on Phlx XL). Conforming changes are proposed to Options Floor Procedure Advice A-13, Auto-Execution Engagement/Disengagement Responsibility. 34 The Exchange's Equity Options AutoQuote System is an options price quote calculator and quote generator used by specialists in equity options. It incorporates pricing model data, which generate automatic pricing of option series based on a number of factors, including the value of the underlying stock. The Exchange would not provide an autoquote system for specialists in U.S. dollar-traded FCOs trading on Phlx XL. Rule 1080, Commentary .01, would be revised to reflect that the Auto-Quote system applies to equity and equity index options, but not to U.S. dollar-settled FCOs. Options Floor Procedure Advice F-17, FCO Trades to be Effected in the Pit, is proposed to be amended so that it applies only to physical delivery FCOs. Phlx Rule 1014, Obligations and Restrictions Applicable to Specialists and Registered Options Traders, would be amended to make clear that the obligations and restrictions applicable to specialists and registered options traders (“ROTs”) trading equity index options now would generally apply to specialists and ROTs in U.S. dollar-settled FCOs. 35 Currently, some of those same obligations, such as, for example, bid/ask differentials and affirmative market making obligations and restrictions, apply to the trading of physical delivery FCOs. Though specialists and ROTs in physical delivery FCOs would remain subject to these obligations and restrictions, specialists and ROTs in U.S. dollar-settled FCOs would now be subject to obligations and restrictions similar to those that apply to equity and equity index option specialists and ROTs. For example, while Phlx Rule 1014(c)(ii) prescribes bid/ask differentials for specialists and ROTs in physical delivery FCOs, Phlx Rule 1014(c)(i), as revised, would prescribe the bid/ask differentials for both equity options (in subsection (a)) and U.S. dollar-settled FCOs (in subsection (b)). The bid/ask differentials for equity options and the bid/ask differentials for U.S. dollar-settled FCOs, as expressed, would be the same. 36 The bid/ask differential rules for U.S. dollar-settled FCOs would be amended to resemble those applicable to equity options in order to facilitate trading on the Phlx XL system by the system's current users who are accustomed to the existing bid/ask differentials applicable to equity options. 35 However, Phlx Rule 1014(c)(i)(B), which provides for a maximum option price change with exceptions based upon the price of the underlying security, would not apply to U.S. dollar-settled FCOs. The Exchange does not have a maximum option price change rule that applies to physical delivery FCOs and is not proposing a maximum option price change rule for U.S. dollar-settled FCOs. 36 *See* Phlx Rule 1034, Minimum Increments, which would be amended to require the first two decimal places to be disregarded in expressing quotes for U.S. dollar-settled options on the Euro and the British pound. Like Phlx Rule 1080, Phlx Rule 1014 would be amended to reflect that the Foreign Currency Options Committee would have decision-making authority in certain instances with respect to these new products. Proposed amendments to Phlx Rule 1014 also would limit existing provisions of Phlx Rule 1014 currently applicable to FCO contracts to physical delivery FCOs. Conforming changes are proposed to Options Floor Procedure Advices B-6, Priority of Options Orders for Equity Options and Index Options by Account Type, B-7, Time Priority of Bids/Offers in Foreign Currency Options, and F-6, Option Quote Parameters. Phlx Rule 1016, Block Transactions in Foreign Currency Options, would be revised to limit block trades to physical delivery FCOs. The block trading rule currently enables market participants to execute large-size FCO orders in an orderly fashion at a price that may not be the best bid or offer for that particular FCO, but is the best price available for executing a block trade in such FCO. The procedure permits this limited exception to the existing priority and precedence rules of the Exchange while continuing to protect smaller customer orders and orders that constitute the “best market” or best bid or offer. However, in order to take advantage of the block execution procedure, Phlx Rule 1016 requires a floor broker with a block order to quote the market in a particular FCO, announce that a block quotation for a specified number of contracts over 1,000 is sought, and ascertain from the trading crowd the best price at which the entire order can be executed. Trading of U.S. dollar-settled FCOs on Phlx XL by SQTs and RSQTs which stream quotes into the system makes execution of block trades pursuant to the procedures required by Phlx Rule 1016 impractical for that product. 37 Phlx Rule 1017, Openings in Options, governs the Exchange's fully automated opening system for options traded on Phlx XL as part of the Phlx XL system. 38 Phlx Rule 1017 is proposed to be amended to reflect that U.S. dollar-settled FCOs would be opened using the automated opening system, subject to certain adjustments to current processes because FCO openings, unlike openings of equity and index options, would not depend upon the opening of trading in an underlying cash market. 39 Currently, openings in FCOs have been conducted pursuant to Phlx Rule 1047, Commentary .01, utilizing one of the types of trading rotations listed there. Specifically, in addition to consulting his pricing and quotation tools, the specialist manually checks the limit order book and with floor brokers, and then opens each FCO for trading and sends out opening quotes in each series, which may include executing opening trades. Though physical delivery FCO will continue to open in this fashion, U.S. dollar-settled FCO would now open largely in the same way as equity and equity index options. Phlx Rule 1017 would provide that Phlx XL would accept orders and quotes in U.S. dollar-settled FCOs beginning no later than one hour before market opening, and that the specialist assigned in the particular U.S. dollar-settled FCO must enter opening quotes not later than 30 seconds after market opening. 40 It would provide that in certain circumstances an anticipated opening price would be calculated if the quotes of at least two Phlx XL participants have been submitted within two minutes of market opening (or such shorter time as determined by the FCO Committee and disseminated to membership via Exchange circular), as opposed to within two minutes of the opening trade or quote on the primary market for the underlying security, as is the case for equity options. Finally, it would provide that the system would not open a series of U.S. dollar-settled FCO if the opening price is not within an acceptable range (as determined by the FCO Committee and announced to Exchange members and member organizations by way of Exchange circular). In addition, Phlx Rule 1017 would be amended to clarify its application to index options by inserting reference to “underlying securities constituting 100% of the index value.” The rule currently refers to the opening of the “underlying security,” which makes sense with respect to equity options, but not index options. Conforming changes are proposed to Options Floor Procedure Advices A-12, Opening Rotations, and A-14, Equity Option and Index Option Opening Parameters. Phlx Rule 1063, Responsibilities of Floor Brokers, is being amended to provide that the Floor Broker Management System currently employed with respect to equity and equity index options would also be required to be used for U.S. dollar-settled FCO. 41 As amended, the rule would limit the “electronic audit trail” procedures currently applicable to FCOs to physical delivery FCOs only. Conforming changes are proposed to Options Floor Procedure Advice C-2, Options Floor Broker Management System. 37 However, Phlx Rule 1033(a)(ii), which would apply to U.S. dollar-settled FCOs, provides in relevant part that “[i]n response to a floor broker's solicitation of a single bid or offer, the members of a trading crowd (including the specialist and ROTs) may discuss, negotiate and agree upon the price or prices at which an order of a size greater than the AUTO-X guarantee can be executed at that time, or the number of contracts that could be executed at a given price or prices * * *.” 38 For a description of the automated opening system, *see* Securities Exchange Act Release Nos. 52667 (October 25, 2005), 70 FR 65953 (November 1, 2005) (SR-Phlx-2005-25), and 53242 (February 7, 2006), 71 FR 7604 (February 13, 2006) (SR-Phlx-2006-11). 39 Currently, with respect to automated openings in an Industry or Market Index conducted pursuant to Phlx Rule 1017, the specialist may engage the automated opening system to open such options when underlying securities representing 50% of the current index value of all the securities underlying the index have opened for trading on the primary market. The system automatically opens all index options when underlying securities representing 100% of the current index value of all the securities underlying the index have opened for trading on the primary market. Because the spot foreign currency market, on the other hand, has no opening on a primary market, the rules for automated opening of U.S. dollar-settled FCOs would differ from those governing equity index option openings. 40 Market opening, as with equity and equity index options, is normally at 9:30 a.m. Eastern Time. 41 The Options Floor Broker Management System is a component of AUTOM designed to enable Floor Brokers and/or their employees to enter, route and report transactions stemming from options orders received on the Exchange. The Options Floor Broker Management System also is designed to establish an electronic audit trail for options orders represented and executed by Floor Brokers on the Exchange, such that the audit trial provides an accurate, time-sequenced record of electronic and other orders, quotations and transactions on the Exchange, beginning with the receipt of an order by the Exchange, and further documenting the life of the order through the process of execution, partial execution, or cancellation of that order. *See* Phlx Rule 1080, Commentary .06. Phlx Rule 1069, Customized Foreign Currency Options, is proposed to be revised to limit applicability of the rule to physical delivery FCO. U.S. dollar settled FCOs would not be eligible to trade on a customized basis. Futures on the British pound and the Euro, as well as options on such futures are traded on the CME (both exchange pit trading and GLOBEX trading). Euro Currency Trust Shares and British Pound Sterling Shares trade on NYSE and on NYSE Arca. The Exchange represented that, to the best of the Exchange's knowledge, these U.S. markets are the primary trading markets in the world for exchange-traded futures, options on futures and trust shares on these currencies. The Phlx represented that it is able to obtain information regarding trading in the Euro Currency Trust Shares, British Pound Sterling Shares, Euro and British Pound options, and Euro and British Pound futures and options on futures through Phlx members, in connection with such members' proprietary or customer trades which they effect on any relevant market. 42 The Phlx represented that it may obtain trading information via the Intermarket Surveillance Group (“ISG”) from other exchanges who are members or affiliates of the ISG. Specifically, the Phlx can obtain such information from the NYSE and NYSE Arca in connection with shares of the Euro Currency Trust and the CurrencyShares TM British Pound Sterling Trust trading on the NYSE and NYSE Arca, and from the CME and LIFFE in connection with Euro and Pound futures trading on those exchanges. 43 Additionally, pursuant to Phlx Rule 1022, Securities Accounts and Orders of Specialists and Registered Options Traders, specialists and ROTs are required to identify all accounts maintained for foreign currency trading in which the specialist or ROT engages in trading activity or over which he exercises investment discretion, and no specialist or ROT may engage in foreign currency trading in any account not reported pursuant to the rule. Further, Phlx Rule 1022 provides that every specialist and ROT must make available to the Phlx upon request all books, records and other information relating to transactions for their own account or accounts of associated persons with respect to the foreign currency underlying U.S. dollar-settled FCOs, including transactions in the cash market as well as the futures, options and options on futures markets. Phlx Rule 1022(d) is proposed to be amended to add transactions in “other foreign currency derivatives” to the list of currency related transactions with respect to which specialists and ROTs must provide information to the Exchange. 42 *See* Equity Floor Procedure Advice F-8 and Options Floor Procedure F-8, Failure to Comply with an Exchange Inquiry. 43 NYSE and NYSE Arca are members of ISG. CME and LIFFE are affiliate members of ISG. Exchange rules designed to protect public customers trading in FCOs would apply. Specifically, under paragraph
(b)of Phlx Rule 1024, “Conduct of Accounts Open for Trading,” members are prohibited from accepting a customer order to purchase or write a U.S. dollar-settled FCO unless such customer's account has been specially approved in writing by a designated Foreign Currency Options Principal of the member for transactions in FCOs. Additionally, Phlx Rule 1026, “Suitability,” is designed to ensure that options, including U.S. dollar-settled FCO, are sold only to customers capable of evaluating and bearing the risks associated with trading in the instruments. Finally, under Phlx Rule 1027, “Discretionary Accounts,” members are permitted to exercise discretionary power with respect to trading U.S. dollar-settled FCOs in a customer's account only if the member has received prior written authorization from the customer and the account has been accepted in writing by a designated Foreign Currency Options Principal. In addition, under Phlx Rule 1027, the Foreign Currency Options Principal or a Registered Options Principal must approve and initial each discretionary U.S. dollar-settled FCO on the day the order is entered. 44 Phlx Rules 1025, Supervision of Accounts, 1026, Suitability, 1028, Confirmations, and 1029, Delivery of Options Disclosure Documents, also would apply to trading in U.S. dollar-settled FCO. 44 *See supra* note 8. Finally, the Exchange represents that it has adequate systems capacity to process quotations and trades in the proposed U.S. dollar-settled FCO. iii. Deletion of Outdated References to the German Mark, the French Franc, the Spanish Peseta and the Italian Lira Finally, as a housekeeping matter, the Exchange proposes to delete outdated references to the German mark, the Italian lira, the Spanish peseta and the French franc from a number of Exchange rules regarding FCOs that were once listed on those currencies. 45 In that regard, the Exchange is proposing to amend Phlx Rule 722, Margin Accounts; Phlx Rule 1000, Applicability, Definitions and References; Phlx Rule 1001, Position Limits; Phlx Rule 1009, Criteria for Underlying Securities; Phlx Rule 1014, Obligations and Restrictions Applicable to Specialists and Registered Options Traders; Phlx Rule 1033, Bids And Offers—Premium; Phlx Rule 1034, Minimum Increments; Phlx Rule 1069, Customized Foreign Currency Options; Phlx Rule 1079, FLEX Index and Equity Options; and Options Floor Procedure Advice B-7, Time Priority of Bids/Offers in Foreign Currency Options. 45 On January 1, 1999, the European Union introduced the Euro which replaced the national currencies of a number of countries including Germany, Italy, Spain and France that qualified for inclusion in European Monetary Union. On January 1, 1999, these countries began to use the Euro along with their existing currencies (“legacy currencies”). At that point, the legacy currencies became units of the Euro and continued to constitute legal tender in their respective countries of origin until 2002. In 2002, the legacy currencies ceased to be units of the Euro, and the Euro became the sole medium of exchange of the participating member states. The Phlx began trading the Euro FCO in January 1999. *See* Securities Exchange Act Release No. 40953 (January 15, 1999), 64 FR 3734 (January 25, 1999) (SR-Phlx-99-01). 2. Statutory Basis The Exchange believes that its proposal is consistent with Section 6(b) of the Act 46 in general, and furthers the objectives of Section 6(b)(5) of the Act 47 in particular, in that it is designed to promote just and equitable principles of trade; to foster cooperation and coordination with persons engaged in regulating, clearing, settling, processing information with respect to, and 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 by providing FCO users who do not necessarily need to exchange currency at settlement with an alternative U.S. dollar-settled FCO in an electronic trading venue. 46 15 U.S.C. 78f(b). 47 15 U.S.C. 78f(b)(5). B. Self-Regulatory Organization's Statement on Burden on Competition The Exchange believes that the proposed rule change will impose no 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 comments on this proposal. 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 Exchange 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. 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-Phlx-2006-34 on the subject line. Paper Comments • Send paper comments in triplicate to Nancy M. Morris, Secretary, Securities and Exchange Commission, Station Place, 100 F Street, NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-Phlx-2006-34. This file number should be included on the subject line if e-mail is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site ( *http://www.sec.gov/rules/sro.shtml* ). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for inspection and copying in the Commission's Public Reference Room. Copies of such filing also will be available for inspection and copying at the principal office of Phlx. 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-Phlx-2006-34 and should be submitted on or before November 24, 2006. For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 48 48 17 CFR 200.30-3(a)(12). Nancy M. Morris, Secretary. [FR Doc. E6-18451 Filed 11-1-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54659; File No. SR-Phlx-2006-67] Self-Regulatory Organizations; Philadelphia Stock Exchange, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Cap Registered Options Trader and Specialist Equity Option Comparison and Transaction Charges When Certain Requirements Are Met October 27, 2006. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”) 1 and Rule 19b-4 thereunder, 2 notice is hereby given that on October 19, 2006, the Philadelphia Stock Exchange, Inc. (“Phlx” 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 prepared by the Exchange. The Phlx has designated this proposal as one establishing or changing a due, fee, or other charge imposed by a self-regulatory organization pursuant to Section 19(b)(3)(A) of the Act, 3 and Rule 19b-4(f)(2) thereunder, 4 which renders the proposal effective upon filing with the Commission. The Commission is publishing this notice to solicit comments on the proposed rule change from interested persons. 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b-4. 3 15 U.S.C. 78s(b)(3)(A). 4 17 CFR 240.19b-4(f)(2). I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The Phlx proposes to adopt a cap on Registered Options Trader (“ROT”) comparison charges and ROT and specialist transaction charges 5 in connection with non-AUTOM delivered equity option contracts 6 when an ROT or specialist executes over 14,000 contracts calculated on a daily basis in all equity options overlying the same underlying security per day (“Qualifying Option”). This proposal will apply only to transactions when an ROT or specialist is the contra-party to a customer order. Therefore, after the 14,000 non-AUTOM delivered contract level is reached in a Qualifying Option, additional comparison and transaction charges will not be assessed on subsequent option contracts in excess of 14,000 that are executed on that day in that specific Qualifying Option when the ROT or specialist is the contra-party to a customer order. 7 In addition, even when the 14,000 cap is reached, the Exchange will continue to impose a license fee of $0.10 per contract side on applicable ROTs and specialists for equity option transactions on those licensed products that carry a license fee. 8 This proposal was designated to become effective for trades settling on or after October 20, 2006. 5 The Exchange does not currently assess a comparison charge on specialist transactions. Therefore, the proposed cap will apply to ROT comparison and transaction charges combined and separately to specialist transaction charges. 6 For purposes of this fee, orders delivered via the Floor Broker Management System shall be deemed to be non-AUTOM delivered orders. *See* Phlx Rule 1063. 7 For example, if an ROT executes a total of 35,000 non-AUTOM delivered customer SPY equity option contracts (puts and calls) in a given day, the transaction and comparison charges assessed for these transactions will be capped for that day at $3,080 (14,000 contracts * ($0.19 (transaction charge) + $0.03 (comparison charge)). In this example, additional transaction and comparison charges will continue to be assessed on all other option contracts executed by that ROT, except for those executed option contracts in other options that also meet the above requirements. For orders delivered electronically and transactions that are executed with a contra party other than a customer ( *i.e.* , another ROT), comparison and transaction charges will continue to be assessed even when the contracts are in the same option ( *i.e.* , SPY) that qualified for the cap described above. 8 For a complete list of the licensed products that will be assessed a $0.10 license fee per contract side after the 14,000 equity option contract cap is reached, *see* $60,000 “Firm Related” Equity Option and Index Option Cap on the Exchange's fee schedule. The text of the proposed rule change is available on the Phlx's Web site, *http://www.phlx.com* , at the Phlx's Office of the Secretary, and at the Commission's Public Reference Room. 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 Phlx included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposal. 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 the Statutory Basis for, the Proposed Rule Change 1. Purpose The purpose of this proposal is to create an incentive for ROTs and specialists to attract additional order flow to the Exchange and also, in connection with sizeable customer transactions, to create an incentive for ROTs and specialists to execute additional contracts knowing comparison and transaction fees are capped once the 14,000 threshold is met. This proposal should also provide additional incentives for member organizations to increase liquidity and allow the Exchange to remain competitive. 2. Statutory Basis The Exchange believes that the proposed rule change is consistent with Section 6(b) of the Act 9 in general, and furthers the objectives of Section 6(b)(4) of the Act 10 in particular, in that it is an equitable allocation of reasonable fees and other charges among Exchange members. 9 15 U.S.C. 78f(b). 10 15 U.S.C. 78f(b)(4). B. Self-Regulatory Organization's Statement on Burden on Competition The Phlx believes that the proposed rule change would impose no 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 did not solicit or receive any written comments with respect to the proposal. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action The foregoing proposed rule change has been designated as a fee change pursuant to Section 19(b)(3)(A)(ii) of the Act 11 and Rule 19b-4(f)(2) 12 thereunder. Accordingly, the proposal is effective upon filing with the Commission. At any time within 60 days of the filing of the proposed rule change, the Commission may summarily abrogate such rule change if it appears to the Commission that such action is necessary or appropriate in the public interest, for the protection of investors, or otherwise in furtherance of the purposes of the Act. 11 15 U.S.C. 78s(b)(3)(A)(ii). 12 17 CFR 240.19b-4(f)(2). 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-Phlx-2006-67 on the subject line. Paper Comments • Send paper comments in triplicate to Nancy M. Morris, Secretary, Securities and Exchange Commission, Station Place, 100 F Street, NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-Phlx-2006-67. This file number should be included on the subject line if e-mail is used. To help the Commission process and review your comments more efficiently, please use only one method. The Commission will post all comments on the Commission's Internet Web site ( *http://www.sec.gov/rules/sro.shtml* ). Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for inspection and copying in the Commission's Public Reference Room. Copies of such filing 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-Phlx-2006-67 and should be submitted on or before November 24, 2006. For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 13 13 17 CFR 200.30-3(a)(12). Jill M. Peterson, Assistant Secretary. [FR Doc. E6-18484 Filed 11-1-06; 8:45 am] BILLING CODE 8011-01-P TENNESSEE VALLEY AUTHORITY No FEAR Act Notice *Summary:* 5 CFR part 724.202 requires that each Federal agency provide notice to its employees, former employees, and applicants for employment about the rights and remedies available under the Antidiscrimination Laws and Whistleblower Protection Laws applicable to them within 60 calendar days after September 18, 2006. Each agency must publish the initial notice in the **Federal Register** . No FEAR Act Notice On May 15, 2002, Congress enacted the Notification and Federal Employee Antidiscrimination and Retaliation Act of 2002, which is now known as the No FEAR Act. One purpose of the Act is to require that Federal agencies be accountable for violations of antidiscrimination and whistleblower protection laws. Public Law 107-174, Summary. In support of this purpose, Congress found that “agencies cannot be run effectively if those agencies practice or tolerate discrimination.” Pub. L. 107-174, Title I, General Provisions, section 101(1). The Act also requires this agency to provide this notice to Federal employees, former Federal employees and applicants for Federal employment to inform you of the rights and protections available to you under federal antidiscrimination and whistleblower protection laws. Antidiscrimination Laws A Federal agency cannot discriminate against an employee or applicant with respect to the terms, conditions or privileges of employment on the basis of race, color, religion, sex, national origin, age, or disability. Discrimination on these bases is prohibited by one or more of the following statutes: 5 U.S.C. 2302(b)(1), 29 U.S.C. 206(d), 29 U.S.C. 631, 29 U.S.C. 633a, 29 U.S.C. 791 and 42 U.S.C. 2000e-16. If you believe that you have been the victim of unlawful discrimination on the basis of race, color, religion, sex, national origin or disability, you must contact an Equal Employment Opportunity
(EEO)counselor within 45 calendar days of the alleged discriminatory action, or, in the case of a personnel action, within 45 calendar days of the effective date of the action, before you can file a formal complaint of discrimination with your agency. *See, e.g.* 29 CFR part 1614. If you believe that you have been the victim of unlawful discrimination on the basis of age, you must either contact an EEO counselor as noted above or give notice of intent to sue to the Equal Employment Opportunity Commission
(EEOC)within 180 calendar days of the alleged discriminatory action. Whistleblower Protection Laws A Federal employee with authority to take, direct others to take, recommend or approve any personnel action must not use that authority to take or fail to take, or threaten to take or fail to take, a personnel action against an employee or applicant because of a disclosure of information by that individual that is reasonably believed to evidence violations of law, rule or regulation; gross mismanagement; gross waste of funds; an abuse of authority; or a substantial and specific danger to public health or safety, unless disclosure of such information is specifically prohibited by law and such information is specifically required by Executive order to be kept secret in the interest of national defense or the conduct of foreign affairs. Retaliation against an employee or applicant for making a protected disclosure is prohibited by 5 U.S.C. 2302(b)(8). If you believe that you have been the victim of whistleblower retaliation, you may file a written complaint (Form OSC-11) with the U.S. Office of Special Counsel at 1730 M Street NW., Suite 218, Washington, DC 20036-4505 or online through the OSC Web site— *http://www.osc.gov* . Retaliation for Engaging in Protected Activity A Federal agency cannot retaliate against an employee or applicant because that individual exercises his or her rights under any of the Federal antidiscrimination or whistleblower protection laws listed above. If you believe that you are the victim of retaliation for engaging in protected activity, you must follow, as appropriate, the procedures described in the Antidiscrimination Laws and Whistleblower Protection Laws sections or, if applicable, the administrative or negotiated grievance procedures in order to pursue any legal remedy. Disciplinary Actions Under the existing laws, each agency retains the right, where appropriate, to discipline a Federal employee for conduct that is inconsistent with Federal Antidiscrimination and Whistleblower Protection Laws up to and including removal. If OSC has initiated an investigation under 5 U.S.C. 1214, however, according to 5 U.S.C. 1214(f), agencies must seek approval from the Special Counsel to discipline employees for, among other activities, engaging in prohibited retaliation. Nothing in the No FEAR Act alters existing laws or permits an agency to take unfounded disciplinary action against a Federal employee or to violate the procedural rights of a Federal employee who has been accused of discrimination. Additional Information For further information regarding the No FEAR Act regulations, refer to 5 CFR part 724, as well as the appropriate offices within the Tennessee Valley Authority ( *e.g.* , Equal Opportunity Compliance, Human Resources, the Office of the Inspector General, and TVA's Ombudsman). Additional information regarding Federal antidiscrimination, whistleblower protection and retaliation laws can be found at the EEOC Web site— *http://www.eeoc.gov* and the OSC Web site— *http://www.osc.gov* . Existing Rights Unchanged Pursuant to section 205 of the No FEAR Act, neither the Act nor this notice creates, expands or reduces any rights otherwise available to any employee, former employee or applicant under the laws of the United States. FOR FURTHER INFORMATION CONTACT: Linda J. Sales-Long, 865-632-2515. Dated: October 26, 2006. Linda J. Sales-Long, Director, Equal Opportunity Compliance. [FR Doc. E6-18457 Filed 11-1-06; 8:45 am] BILLING CODE 8120-08-P DEPARTMENT OF TRANSPORTATION Office of the Secretary [Docket OST-2006-26230] Disadvantaged Business Enterprise AGENCY: Office of the Secretary, DOT. ACTION: Notice and request for comments. SUMMARY: In accordance with the Paperwork Reduction Act of 1995 (44 U.S.C. Chapter 35, as amended) this notice announces the Department of Transportation's
(DOT)intention to request extension for a currently approved information collection. DATES: Comments on this notice must be received by January 2, 2007. ADDRESSES: To ensure that you do not duplicate your docket submissions, please submit them by only one of the following means to Docket OST-2006-26230:
(1)By mail to the Docket Management Facility (SVC-124), U.S. Department of Transportation, Room PL-401, 400 Seventh Street SW., Washington, DC 20590-0001. [It is important to note that because of current security procedures affecting the U.S. Mail, other means ( *e.g.* , FedEx, UPS) may be faster];
(2)By delivery to room PL-401 on the Plaza Level of the Nassif Building, 400 Seventh Street SW., Washington, DC, between 9 a.m. and 5 p.m., Monday through Friday, except Federal holidays. The telephone number is 202-366-9329.
(3)By fax to the Docket Management Facility at 202-493-2251; or
(4)By electronic means through the Web site for the Docket Management System at: *http://dms.dot.gov* . The Docket Management Facility maintains the public docket for this rulemaking. Comments to the docket will be available for inspection or copying at room PL-401 on the Plaza Level of the Nassif Building, 400 Seventh Street, SW., Washington, DC, between 9 a.m. and 5 p.m., Monday through Friday, except Federal holidays. The public may also review docketed comments electronically at: *http://dms.dot.gov.* FOR FURTHER INFORMATION CONTACT: Mr. Robert C. Ashby, Office of the Secretary, Office of Assistant General Counsel for Regulation and Enforcement, Department of Transportation, 400 Seventh St., SW., Washington, DC 20590 (202)366-9310 (voice) 202-366-9313
(fax)or at *bob.ashby@ost.dot.gov.* SUPPLEMENTARY INFORMATION: *Title:* Report of DBE Awards and Commitments. *OMB Control Number:* 2105-0510. *Type of Request:* Extension to a currently approved information collection. *Abstract:* 49 CFR part 26 establishes requirements for the Department of Transportation
(DOT)so as to comply with the mandate by statute including 1101
(b)of the Safe, Accountable, Flexible, Efficient Transportation Equity Act: A Legacy For Users (Pub. L. 109-59 and 49 U.S.C. 47113, Pub. L. 105-178. The key part of the collection is a requirement that state and local governments subject to the DBE program report to the Secretary of Transportation on DBE participation, as well as maintain a directory of DBE firms and report to the Secretary concerning the composition of the directory. If these reporting requirements were not available, firms controlled by minorities would not achieve the appropriate participation in DOT programs, and the Department would not be able to identify its recipients and evaluate the extent to which financial assistance recipients have been awarded a reasonable amount of contracting dollars to DBEs. In order to minimize the burden on DOT recipients the Department has limited its informational request and reporting frequency to that necessary to meet its program and administrative monitoring requirements. The information request consists of 17 data items on one page and one attachment, to be completed on a semi-annual basis (for FHWA and FTA programs) or an annual basis (for FAA programs). *Respondents:* DOT financially-assisted state and local transportation agencies. *Estimated Number of Respondents:* 1,057. *Estimated Total Burden on Respondents:* 1,311,000. The information collection is available for inspection in the DOT Dockets Management System (DMS), 400 Seventh St., Washington, DC 20590 (202)366-9310. *Comments are Invited on:*
(a)Whether the collection of information is necessary for the proper performance of the functions of the Department, including whether the information will have practical utility;
(b)the accuracy of the Department's estimate of the burden of the proposed information collection;
(c)ways to enhance the quality, utility and clarity of the information to be collected; and
(d)ways to minimize the burden of the collection of information on respondents, including the use of automated collection techniques or other forms of information technology. All responses to this notice will be summarized and included in the request for OMB approval. All comments will also become a matter of public record. Issued in Washington, DC on October 27, 2006. Robert C. Ashby, Deputy Assistant General Counsel for Regulation and Enforcement. [FR Doc. E6-18475 Filed 11-1-06; 8:45 am] BILLING CODE 4910-9X-P DEPARTMENT OF TRANSPORTATION Federal Aviation Administration Agency Information Collection Activity Seeking OMB Approval AGENCY: Federal Aviation Administration (FAA), DOT. ACTION: Notice. SUMMARY: The FAA invites public comments about our intention to request the Office of Management and Budget's
(OMB)revision of a current information collection. The **Federal Register** notice with a 60-day comment period soliciting comments on the following collection of information was published on June 28, 2006, vol. 71, no. 124, page 36869. The FAA Aviation Research and Development Grants Program establishes uniform policies and procedures for the award and administration of research grants to colleges, universities, and not for profit organizations. DATES: Please submit comments by December 4, 2006. FOR FURTHER INFORMATION CONTACT: Carla Mauney at *Carla.Mauney@faa.gov.* SUPPLEMENTARY INFORMATION: Federal Aviation Administration
(FAA)*Title:* FAA Research and Development Grants. *Type of Request:* Revision of a currently approved collection. *OMB Control Number:* 2120-0559. *Form(s):* 9550-5, SF-424, SF-3881, SF-269, SF-270, SF-272. *Affected Public:* An estimated 100 Respondents. *Frequency:* This information is collected on occasion. *Estimated Average Burden per Response:* Approximately 9.25 hours per response. *Estimated Annual Burden Hours:* An estimated 925 hours annually. *Abstract:* The FAA Aviation Research and Development Grants Program establishes uniform policies and procedures for the award and administration of research grants to colleges, universities, and not for profit organizations. This program implements OMB Circular A-110, Pub. L. 101-508 Section 9205 and 9208. ADDRESSES: Interested persons are invited to submit written comments on the proposed information collection to the Office of Information and Regulatory Affairs, Office of Management and Budget. Comments should be addressed to Nathan Lesser, Desk Officer, Department of Transportation/FAA, and sent via electronic mail to *oira_submission@omb.eop.gov* or faxed to
(202)395-694. Comments are invited on: Whether the proposed collection of information is necessary for the proper performance of the functions of the Department, including whether the information will have practical utility; the accuracy of the Department's estimates of the burden of the proposed information collection; ways to enhance the quality, utility, and clarity of the information to be collected; and ways to minimize the burden of the collection of information on respondents, including the use of automated collection techniques or other forms of information technology. Issued in Washington, DC, on October 26, 2006. Carla Mauney, FAA Information Collection Clearance Officer, Information Systems and Technology Services Staff, ABA-20. [FR Doc. 06-9024 Filed 11-1-06; 8:45 am]
Connectionstraces to 27
Traces to 27 documents
17 references not yet in our index
  • 28 CFR 505
  • 5 CFR 1320.5(b)(2)(C)
  • 45 CFR 671
  • Pub. L. 95-541
  • 10 CFR 54
  • 10 CFR 51
  • 10 CFR 2
  • 17 CFR 240.19
  • 17 CFR 19
  • 5 CFR 724.202
  • Pub. L. 107-174
  • 29 CFR 1614
  • 5 CFR 724
  • 49 CFR 26
  • Pub. L. 109-59
  • Pub. L. 105-178
  • Pub. L. 101-508
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Notices
Notice
U.S.C.§ 3501
C.F.R.§ 54.19
C.F.R.§ 54.29
C.F.R.§ 2.335
C.F.R.§ 2.309
C.F.R.§ 51.29
C.F.R.§ 51.95
C.F.R.§ 51.26
C.F.R.§ 800.8
Cite28 CFR 505
Cite5 CFR 1320.5(b)(2)(C)
Cite45 CFR 671
Cites 44 · showing 12Cited by 0 across 0 sources
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