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Code · REGISTER · 2006-12-29 · NATIONAL SCIENCE FOUNDATION · Notices

Notices. Notice of Availability

49,283 words·~224 min read·/register/2006/12/29/06-9866

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

BILLING CODE 4410-11-M NATIONAL SCIENCE FOUNDATION National Science Board Commission on 21st Century Education in Science, Technology, Engineering, and Mathematics; Notice of Meeting In accordance with the Federal Advisory Committee Act (Pub. L. 92-463, as amended), the National Science Board announces the following meeting: *Date and Time:* Wednesday, January 10, 2007, 11 a.m.-12:30 p.m. EST (teleconference meeting) *Place:* National Science Foundation, Room 545, Stafford II Building, 4121 Wilson Blvd., Arlington, VA 22230 will be available to the public to listen to this teleconference meeting.
Visitors must first sign in at the National Science Foundation reception desk at 4201 Wilson Blvd., Arlington, VA 22230. *Type of Meeting:* Open. *Contact Person:* Dr. Elizabeth Strickland, Commission Executive Secretary, National Science Board Office, National Science Foundation, 4201 Wilson Blvd., Arlington, VA 22230. Telephone: 703-292-4527. E-mail: *estrickl@nsf.gov.* *Purpose of Meeting:* To discuss preliminary draft recommendations of the Commission. *Agenda:* Discussion of preliminary draft recommendations of the Commission. *Reason for Late Notice:* Time and date of meeting were not established until December 22, 2006.
Russell Moy, Attorney-Advisor. [FR Doc. E6-22333 Filed 12-28-06; 8:45 am] BILLING CODE 7555-01-P NUCLEAR REGULATORY COMMISSION [Docket No. 50-498] STP Nuclear Operating Company, South Texas Project, Unit 1; Notice of Consideration of Issuance of Amendment to Facility Operating License, Proposed No Significant Hazards Consideration Determination, and Opportunity for a Hearing The U.S. Nuclear Regulatory Commission (the Commission) is considering issuance of an amendment to Facility Operating License No.
NPF-76, issued to STP Nuclear Operating Company (STPNOC/the licensee), for operation of the South Texas Project, Unit 1, located in Matagorda County, Texas. The proposed amendment, for a one-time exigent change, would revise Technical Specification
(TS)3.3.2 requirements for loss of power
(LOP)instrumentation (Functional Unit 8). TS 3.3.2, Table 3.3-3 ACTION 20 applies to the LOP instrumentation. Since the LOP instrumentation channels do not have an installed bypass capability, STPNOC proposes to add a note to ACTION 20 to establish a one-time provision for corrective maintenance on the Unit 1 Train A channel. Exigent Approval of the proposed TS change is justified because the failure that caused the inoperable channel could not reasonably have been anticipated. In addition, STPNOC has requested a one-time change because it has included the LOP instrumentation in its broad-scope risk-managed TS application, which will be the permanent TS resolution. STPNOC has promptly prepared and submitted this proposed amendment to the Unit 1 TS. Before issuance of the proposed license amendment, the Commission will have made findings required by the Atomic Energy Act of 1954, as amended (the Act) and the Commission's regulations. Pursuant to 10 CFR 50.91(a)(6) for amendments to be granted under exigent circumstances, the NRC staff must determine that the amendment request involves no significant hazards consideration. Under the Commission's regulations in 10 CFR 50.92, this means that operation of the facility in accordance with the proposed amendment would not
(1)involve a significant increase in the probability or consequences of an accident previously evaluated; or
(2)create the possibility of a new or different kind of accident from any accident previously evaluated; or
(3)involve a significant reduction in a margin of safety. As required by 10 CFR 50.91(a), the licensee has provided its analysis of the issue of no significant hazards consideration, which is presented below:
(1)*Does the proposed change involve a significant increase in the probability or consequences of an accident previously evaluated?* Response: No. The proposed change to add a note to ACTION 20 for a one-time change to allow corrective maintenance on the Unit 1 Train A loss of power instrumentation does not change the plant design basis, system configuration or operation, and does not add or affect any accident initiator. Therefore, STPNOC concludes that there is no significant increase in the probability or consequences of an accident previously evaluated.
(2)*Does the proposed change create the possibility of a new or different kind of accident from any accident previously evaluated?* Response: No. The proposed change does not change the plant design basis, system configuration or operation, and does not add or affect any accident initiator. Therefore, STPNOC concludes the proposed change does not create the possibility of a new or different kind of accident from any accident previously evaluated.
(3)*Does the proposed change involve a significant reduction in a margin of safety? * Response: No. No actual plant equipment or accident analyses will be affected by the proposed change. Additionally, the proposed changes will not relax any criteria used to establish safety limits, will not relax any safety systems settings, and will not relax the bases for any limiting conditions of operation. Therefore, STPNOC concludes the proposed changes do not involve a significant reduction in the margin of safety. The NRC staff has reviewed the licensee's analysis and, based on this review, it appears that the three standards of 10 CFR 50.92(c) are satisfied. Therefore, the NRC staff proposes to determine that the amendment request involves no significant hazards consideration. The Commission is seeking public comments on this proposed determination. Any comments received within 14 days after the date of publication of this notice will be considered in making any final determination. Normally, the Commission will not issue the amendment until the expiration of the 14-day notice period. However, should circumstances change during the notice period, such that failure to act in a timely way would result, for example, in derating or shutdown of the facility, the Commission may issue the license amendment before the expiration of the 14-day notice period, provided that its final determination is that the amendment involves no significant hazards consideration. The final determination will consider all public and State comments received. Should the Commission take this action, it will publish in the **Federal Register** a notice of issuance. The Commission expe cts that the need to take this action will occur very infrequently. Written comments may be submitted by mail to the Chief, Rulemaking, Directives and Editing Branch, Division of Administrative Services, Office of Administration, U.S. Nuclear Regulatory Commission, Washington, DC 20555-0001, and should cite the publication date and page number of this **Federal Register** notice. Written comments may also be delivered to Room 6D59, Two White Flint North, 11545 Rockville Pike, Rockville, Maryland, from 7:30 a.m. to 4:15 p.m. Federal workdays. Documents may be examined, and/or copied for a fee, at the NRC's Public Document Room, located at One White Flint North, Public File Area O1 F21, 11555 Rockville Pike (first floor), Rockville, Maryland. The filing of requests for hearing and petitions for leave to intervene is discussed below. Within 60 days after the date of publication of this notice, the licensee may file a request for a hearing with respect to issuance of the amendment to the subject facility operating license 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. 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 and Issuance of Orders” in 10 CFR Part 2. Interested persons should consult a current copy of 10 CFR 2.309, which is available at the Commission's PDR, located at One White Flint North, Public File Area O1 F21, 11555 Rockville Pike (first floor), Rockville, Maryland. Publicly available records will be accessible from the Agencywide Documents Access and Management System's (ADAMS) Public Electronic Reading Room on the Internet at the NRC Web site, *http://www.nrc.gov/reading-rm/doc-collections/cfr/.* If a request for a hearing or petition for leave to intervene is filed by the above date, 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 and/or 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. 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. The petition should specifically explain the reasons why intervention should be permitted with particular reference to the following general requirements:
(1)The name, address and telephone number of the requestor or petitioner;
(2)the nature of the requestor's/petitioner's right under the Act to be made a party to the proceeding;
(3)the nature and extent of the requestor's/petitioner's property, financial, or other interest in the proceeding; and
(4)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 identify 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 petitioner/requestor shall provide a brief explanation of the bases for the contention and a concise statement of the alleged facts or expert opinion which support the contention and on which the petitioner intends to rely in proving the contention at the hearing. The petitioner/requestor must also provide references to those specific sources and documents of which the petitioner/requestor is aware and on which the petitioner/requestor intends to rely to establish those facts or expert opinion. The petitioner/requestor must provide sufficient information to show that a genuine dispute exists with the applicant on a material issue of law or fact. Contentions shall be limited to matters within the scope of the amendment under consideration. The contention must be one which, if proven, would entitle the petitioner/requestor to relief. A petitioner/requestor who fails to satisfy these requirements with respect to at least one contention will not be permitted to participate as a party. 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. If a hearing is requested, the Commission will make a final determination on the issue of no significant hazards consideration. The final determination will serve to decide when the hearing is held. If the final determination is that the amendment request involves no significant hazards consideration, the Commission may issue the amendment and make it immediately effective, notwithstanding the request for a hearing. Any hearing held would take place after issuance of the amendment. If the final determination is that the amendment request involves a significant hazards consideration, any hearing held would take place before the issuance of any amendment. Nontimely requests and/or petitions and contentions will not be entertained absent a determination by the Commission or the presiding officer of the Atomic Safety and Licensing Board that the petition, request and/or the contentions should be granted based on a balancing of the factors specified in 10 CFR 2.309(c)(1)(i)-(viii). 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. A copy of the request for hearing and petition for leave to intervene should 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 A. H. Gutterman, Esq., Morgan, Lewis & Bockius, 1111 Pennsylvania Avenue, NW., Washington, DC 20004, attorney for the licensee. For further details with respect to this action, see the application for amendment dated December 20, 2006, which is available for public inspection at the Commission's Public Document Room (PDR), located at One White Flint North, Public File Area O1 F21, 11555 Rockville Pike (first floor), Rockville, Maryland. Publicly available records will be accessible electronically from the Agencywide Documents Access and Management System's (ADAMS) Public Electronic Reading Room on the Internet at the NRC web site *http://www.nrc.gov/reading-rm.html.* Persons who do not have access to ADAMS or who encounter problems in accessing the documents located in ADAMS should contact the NRC PDR Reference staff by telephone at 1-800-397-4209, or 301-415-4737, or by e-mail to *pdr@nrc.gov.* Dated at Rockville, Maryland, this 22nd day of December 2006. For the Nuclear Regulatory Commission. Mohan C. Thadani, Senior Project Manager, Plant Licensing Branch IV, Division of Operating Reactor Licensing, Office of Nuclear Reactor Regulation. [FR Doc. E6-22390 Filed 12-28-06; 8:45 am] BILLING CODE 7590-01-P NUCLEAR REGULATORY COMMISSION Advisory Committee on Reactor Safeguards; Meeting Notice In accordance with the purposes of Sections 29 and 182b. of the Atomic Energy Act (42 U.S.C. 2039, 2232b), the Advisory Committee on Reactor Safeguards
(ACRS)will hold a meeting on February 1-3, 2007, 11545 Rockville Pike, Rockville, Maryland. The date of this meeting was previously published in the **Federal Register** on Wednesday, November 15, 2006 (71 FR 66561). Thursday, February 1, 2007, Conference Room T-2B3, Two White Flint North, Rockville, Maryland *8:30 A.M.-8:35 A.M.: Opening Remarks by the ACRS Chairman* (Open)—The ACRS Chairman will make opening remarks regarding the conduct of the meeting. *8:35 A.M.-11:15 A.M.: Final Review of the Power Uprate Application for the Browns Ferry Nuclear Plant, Unit 1* (Open/Closed)—The Committee will hear presentations by and hold discussions with representatives of the NRC staff and Tennessee Valley Authority
(TVA)regarding the 5% power uprate application for Browns Ferry Nuclear Plant, Unit 1 and the associated NRC staff's final Safety Evaluation. [Note: A portion of this session will be closed to protect information that is proprietary to General Electric, TVA, and their contractors pursuant to 5 U.S.C. 552b(c)(4).] *12:45 P.M.-3:30 P.M.: Final Review of the License Renewal Application for the Oyster Creek Generating Station* (Open)—The Committee will hear presentations by and hold discussions with representatives of the NRC staff and AmerGen Energy Company, LLC. regarding the license renewal application for the Oyster Creek Generating Station and the associated NRC staff's final Safety Evaluation Report. *3:45 P.M.-5:15 P.M.: Development of TRACE Thermal-Hydraulic Code* (Open)—The Committee will hear presentations by and hold discussions with representatives of the NRC staff regarding the progress made by the staff in developing the TRACE thermal-hydraulic system analysis code and related matters. *5:30 P.M.-7 P.M.: Preparation of ACRS Reports* (Open)—The Committee will discuss proposed ACRS reports on matters considered during this meeting. Friday, February 2, 2007, Conference Room T-2B3, Two White Flint North, Rockville, Maryland *8:30 A.M.-8:35 A.M.: Opening Remarks by the ACRS Chairman* (Open)—The ACRS Chairman will make opening remarks regarding the conduct of the meeting. *8:35 A.M.-10 A.M.: Proposed Revision to 10 CFR 50.46 LOCA Criteria for Fuel Cladding Materials* (Open)—The Committee will hear presentations by and hold discussions with representatives of the NRC staff regarding proposed revision to 10 CFR 50.46 loss-of-coolant accident
(LOCA)criteria for fuel cladding materials. *10:15 A.M.-11:15 A.M.: Draft Final Revision 1 to Regulatory Guide 1.189 (DG-1170), “Fire Protection for Nuclear Power Plants,” and SRP Section 9.5.1, “Fire Protection Program”* (Open)—The Committee will hear presentations by and hold discussions with representatives of the NRC staff regarding draft final revision 1 to Regulatory Guide 1.189 (DG-1170) and Standard Review Plan
(SRP)Section 9.5.1, as well as resolution of public comments. *11:15 A.M.-11:30 A.M.: Subcommittee Report* (Open)—Report by and discussions with the Chairman of the ACRS Subcommittee on Reliability and Probabilistic Risk Assessment
(PRA)regarding the Economic Simplified Boiling Water Reactor (ESBWR) PRA that was discussed during a meeting on December 14, 2006. *1 P.M.-2 P.M.: Wolf Creek Pressurizer Weld Flaws* (Open)—The Committee will hear presentations by and hold discussions with representatives of the NRC staff regarding the Wolf Creek Pressurizer Weld Flaws, including description, current status, and future actions. *2 P.M.-2:30 P.M.: Proposed Revisions to Regulatory Guides and SRP Sections in Support of New Reactor Licensing* (Open)—The Committee will consider proposed revisions to Regulatory Guides and SRP Sections that are being made in support of new reactor licensing. *2:45 P.M.-3:30 P.M.: Future ACRS Activities/Report of the Planning and Procedures Subcommittee* (Open)—The Committee will discuss the recommendations of the Planning and Procedures Subcommittee regarding items proposed for consideration by the full Committee during future meetings. Also, it will hear a report of the Planning and Procedures Subcommittee on matters related to the conduct of ACRS business, including anticipated workload and member assignments. *3:30 P.M.-3:45 P.M.: Reconciliation of ACRS Comments and Recommendations* (Open)—The Committee will discuss the responses from the NRC Executive Director for Operations to comments and recommendations included in recent ACRS reports and letters. *4 P.M.-7 P.M.: Preparation of ACRS Reports* (Open)—The Committee will discuss proposed ACRS reports. Saturday, February 3, 2007, Conference Room T-2B3, Two White Flint North, Rockville, Maryland *8:30 A.M.-12:30 P.M.: Preparation of ACRS Reports* (Open)—The Committee will continue discussion of proposed ACRS reports. *12:30 P.M.-1 P.M.: Miscellaneous* (Open)—The Committee will discuss matters related to the conduct of Committee activities and matters and specific issues that were not completed during previous meetings, as time and availability of information permit. Procedures for the conduct of and participation in ACRS meetings were published in the **Federal Register** on October 2, 2006 (71 FR 58015). In accordance with those procedures, oral or written views may be presented by members of the public, including representatives of the nuclear industry. Electronic recordings will be permitted only during the open portions of the meeting. Persons desiring to make oral statements should notify the cognizant ACRS staff named below five days before the meeting, if possible, so that appropriate arrangements can be made to allow necessary time during the meeting for such statements. Use of still, motion picture, and television cameras during the meeting may be limited to selected portions of the meeting as determined by the Chairman. Information regarding the time to be set aside for this purpose may be obtained by contacting the cognizant ACRS staff prior to the meeting. In view of the possibility that the schedule for ACRS meetings may be adjusted by the Chairman as necessary to facilitate the conduct of the meeting, persons planning to attend should check with the cognizant ACRS staff if such rescheduling would result in major inconvenience. In accordance with Subsection 10(d) of the Government in the Sunshine Act, I have determined that it will be necessary to close a portion of this meeting noted above to discuss information that is proprietary to General Electric, the Tennessee Valley Authority, and their contractors pursuant to 5 U.S.C. 552b(c)(4). Further information regarding topics to be discussed, whether the meeting has been canceled or rescheduled, as well as the Chairman's ruling on requests for the opportunity to present oral statements and the time allotted therefor can be obtained by contacting Mr. Sam Duraiswamy, cognizant ACRS staff (301-415-7364), between 7:30 a.m. and 4 p.m., (ET). ACRS meeting agenda, meeting transcripts, and letter reports are available through the NRC Public Document Room at *pdr@nrc.gov,* or by calling the PDR at 1-800-397-4209, or from the Publicly Available Records System
(PARS)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 meeting schedules/agendas). Videoteleconferencing service is available for observing open sessions of ACRS meetings. Those wishing to use this service for observing ACRS meetings should contact Mr. Theron Brown, ACRS Audio Visual 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 videoteleconferencing link. The availability of video-teleconferencing services is not guaranteed. Dated: December 22, 2006. Andrew L. Bates, Advisory Committee Management Officer. [FR Doc. E6-22383 Filed 12-28-06; 8:45 am] BILLING CODE 7590-01-P NUCLEAR REGULATORY COMMISSION Technical Specification Improvement to Remove the Main Steam and Main Feedwater Valve Isolation Time From Technical Specifications Using the Consolidated Line Item Improvement Process AGENCY: Nuclear Regulatory Commission. ACTION: Notice of Availability. SUMMARY: Notice is hereby given that the staff of the Nuclear Regulatory Commission
(NRC)has prepared a model Application related to changes to the Standard Technical Specifications (STS), Section 3.7.2, “Main Steam Isolation Valves (MSIVs)” and Section 3.7.3 “Main Feedwater Isolation Valves (MFIVs), Main Feedwater Regulation Valves (MFRVs), and [associated bypass valves].” The changes remove the specific isolation time for the isolation valves from the associated STS Surveillance Requirements (SRs). The bracketed isolation time in the STS SRs is replaced with the requirement to verify the valve isolation time is within limits. The specific isolation time required to meet the STS surveillances would be located outside of the technical specifications in a document subject to control by the 10 CFR 50.59 process. The NRC staff has also prepared a model safety evaluation
(SE)and no significant hazards consideration
(NSHC)determination relating to this matter. The purpose of these models is to permit the NRC to efficiently process amendments that propose to adopt the associated changes into plant-specific technical specifications (TS). Licensees of nuclear power reactors to which the models apply may request amendments confirming the applicability of the SE and NSHC determination to their reactors. DATES: The NRC staff issued a **Federal Register** Notice (71 FR 193, October 5, 2006) that provided a model SE and a model NSHC determination relating to the removal of the specific isolation time for the isolation valves from the associated STS SRs. The NRC staff hereby announces that the model SE and NSHC determination may be referenced in plant-specific applications to adopt the changes. The staff has posted a model application on the NRC Web site to assist licensees in using the consolidated line item improvement process (CLIIP) to revise the Standard Technical Specifications (STS), Section 3.7.2, “Main Steam Isolation Valves (MSIVs)” and Section 3.7.3 “Main Feedwater Isolation Valves (MFIVs), Main Feedwater Regulation Valves (MFRVs), and [associated bypass valves].” The NRC staff can most efficiently consider applications based upon the model application if the application is submitted within one year of this **Federal Register** Notice. FOR FURTHER INFORMATION CONTACT: Peter C. Hearn, Mail Stop: O12H2, Division of Inspection and Regional Support, Office of Nuclear Reactor Regulation, U.S. Nuclear Regulatory Commission, Washington, DC 20555-0001, telephone 301-415-1189. SUPPLEMENTARY INFORMATION: Regulatory Issue Summary 2000-06, “Consolidated Line Item Improvement Process for Adopting Standard Technical Specification Changes for Power Reactors,” was issued on March 20, 2000. The CLIIP includes an opportunity for the public to comment on proposed changes to operating licenses, including the technical specifications (TS), after a preliminary assessment by the NRC staff and a finding that the change will likely be offered for adoption by licensees. The CLIIP directs the NRC staff to evaluate any comments received for a proposed generic change to operating licenses and to either reconsider the change or issue the announcement of availability for the change proposed for adoption by licensees. Those licensees opting to apply for the subject change to operating licenses are responsible for reviewing the NRC staff's evaluation, referencing the applicable technical justifications, and providing any necessary plant-specific information. Each amendment application made in response to the notice of availability will be processed and noticed in accordance with applicable rules and NRC procedures. This notice involves removal of the specific isolation time for the isolation valves from the associated STS SRs. *Applicability:* This proposed change to the standard technical specifications
(STS)was submitted by the Technical Specifications Task Force
(TSTF)in TSTF-491, Revision 2, “Removal of Main Steam and Main Feedwater Valve Isolation Times from Technical Specifications.” This proposal to modify technical specification requirements by the adoption of TSTF-491 is applicable to all licensees of Combustion Engineering, Babcock & Wilcox, and Westinghouse Pressurized Water Reactors who have adopted or will adopt in conjunction with the change, technical specification requirements for a Bases Control Program consistent with the TS Bases Control Program described in Section 5.5 of the STS. Licensees that have not adopted requirements for a Bases Control Program by converting to the improved STS or by other means, are requested to include the requirements for a Bases Control Program consistent with the STS in their application for the change. The need for a Bases Control Program stems from the need for adequate regulatory control of some key elements of the proposal that are contained in the Bases upon adoption of TSTF-491. The staff is requesting that the Bases changes be included with the proposed license amendments consistent with the Bases in TSTF-491. To ensure that the overall change, including the Bases, includes appropriate regulatory controls, the staff plans to condition the issuance of each license amendment on the licensee's incorporation of the changes into the Bases document and on requiring the licensee to control the changes in accordance with the Bases Control Program. To efficiently process the incoming license amendment applications, the NRC staff requests that each licensee applying for the changes addressed in TSTF-491 use the CLIIP to submit an application that adheres to the following model. Any deviations from the model application should be explained in the licensee's submittal. The CLIIP does not prevent licensees from requesting an alternate approach or proposing changes other than those proposed in TSTF-491. Variations from the approach recommended in this notice may, however, require additional review by the NRC staff and may increase the time and resources needed for the review. Significant variations from the approach, or inclusion of additional changes to the license, will result in staff rejection of the submittal. Instead, licensees desiring significant variations and/or additional changes should submit a LAR that does not claim to adopt TSTF-491. *Public Notices:* In a **Federal Register** Notice dated October 5, 2006 (71 FR 193), the NRC staff requested comment on the use of the CLIIP to process requests to adopt the TSTF-491 changes. In addition, there have been multiple notices published for plant-specific amendment requests to adopt changes similar to those described in this notice. The NRC staff's model SE and model application may be examined, and/or copied for a fee, at the NRC's Public Document Room, located at One White Flint North, 11555 Rockville Pike (first floor), Rockville, Maryland. Publicly available records are accessible electronically from the Agencywide Documents Access and Management System (ADAMS) Public Library component on the NRC Web site, (the Electronic Reading Room). The NRC staff received no responses following the notice published October 5, 2006 (71 FR 193), soliciting comments on the model SE and NSHC determination related to the TSTF-491 changes. The NRC staff finds that the previously published models remain appropriate references and has chosen not to republish the model SE and model NSHC determination in this notice. As described in the model application prepared by the NRC staff, licensees may reference in their plant-specific applications to adopt the TSTF-491 changes, the model SE, NSHC determination, and environmental assessment previously published in the **Federal Register** (71 FR 193; October 5, 2006). Dated at Rockville, Maryland, this 20th day of December 2006. For the Nuclear Regulatory Commission. Timothy J. Kobetz, Chief, Technical Specifications Branch, Division of Inspection and Regional Support, Office of Nuclear Reactor Regulation. FOR INCLUSION ON THE TECHNICAL SPECIFICATION WEB PAGE, THE FOLLOWING EXAMPLE OF AN APPLICATION WAS PREPARED BY THE NRC STAFF TO FACILITATE USE OF THE CONSOLIDATED LINE ITEM IMPROVEMENT PROCESS (CLIIP). THE MODEL PROVIDES THE EXPECTED LEVEL OF DETAIL AND CONTENT FOR AN APPLICATION TO ADOPT TSTF-491, REVISION 2, REMOVAL OF THE MAIN STEAM AND MAIN FEEDWATER VALVE ISOLATION TIME FROM TECHNICAL SPECIFICATIONS USING CLIIP. LICENSEES REMAIN RESPONSIBLE FOR ENSURING THAT THEIR ACTUAL APPLICATION FULFILLS THEIR ADMINISTRATIVE REQUIREMENTS AS WELL AS NUCLEAR REGULATORY COMMISSION REGULATIONS. U. S. Nuclear Regulatory Commission Document Control Desk Washington, DC 20555 SUBJECT: PLANT NAME DOCKET NO. 50- APPLICATION FOR TECHNICAL SPECIFICATION CHANGE TSTF-491, REMOVAL OF THE MAIN STEAM AND MAIN FEEDWATER VALVE ISOLATION TIME FROM TECHNICAL SPECIFICATIONS USING CONSOLIDATED LINE ITEM IMPROVEMENT PROCESS Gentlemen: In accordance with the provisions of 10 CFR 50.90 [LICENSEE] is submitting a request for an amendment to the technical specifications
(TS)for [PLANT NAME, UNIT NOS.]. The proposed amendment would modify the TS by removing the specific isolation time for the isolation valves from the associated STS Surveillance Requirements (SRs). Enclosure 1 provides a description of the proposed change, the requested confirmation of applicability, and plant-specific verifications. Enclosure 2 provides the existing TS pages marked up to show the proposed change. Enclosure 3 provides revised (clean) TS pages. Enclosure 4 provides the existing TS Bases pages marked up to show the proposed change ( *for information only* ). [LICENSEE] requests approval of the proposed license amendment by [DATE], with the amendment being implemented [BY DATE OR WITHIN X DAYS]. In accordance with 10 CFR 50.91, a copy of this application, with enclosures, is being provided to the designated [STATE] Official. I declare under penalty of perjury under the laws of the United States of America that I am authorized by [LICENSEE] to make this request and that the foregoing is true and correct. (Note that request may be notarized in lieu of using this oath or affirmation statement). If you should have any questions regarding this submittal, please contact [NAME, TELEPHONE NUMBER] Sincerely, [Name, Title] Enclosures: 1. Description and Assessment 2. Proposed Technical Specification Changes 3. Revised Technical Specification Pages 4. Marked up Existing TS Bases Changes cc: NRC Project Manager NRC Regional Office NRC Resident Inspector State Contact Enclosure 1 Description and Assessment 1.0 DESCRIPTION The proposed amendment would modify technical specifications by removing the specific isolation time for the isolation valves from the associated STS Surveillance Requirements (SRs). 1 1 [In conjunction with the proposed change, technical specifications
(TS)requirements for a Bases Control Program, consistent with the TS Bases Control Program described in Section 5.5 of the applicable vendor's standard TS (STS), shall be incorporated into the licensee's TS, if not already in the TS.] The changes are consistent with Nuclear Regulatory Commission
(NRC)approved Industry/Technical Specification Task Force
(TSTF)TSTF-491 Revision 2. The availability of this TS improvement was published in the **Federal Register** on [DATE] as part of the consolidated line item improvement process (CLIIP). 2.0 ASSESSMENT 2.1 Applicability of TSTF-491, and Published Safety Evaluation [LICENSEE] has reviewed TSTF-491 (Reference 1), and the NRC model safety evaluation
(SE)(Reference 2) as part of the CLIIP. [LICENSEE] has concluded that the information in TSTF-491, as well as the SE prepared by the NRC staff are applicable to [PLANT, UNIT NOS.] and justify this amendment for the incorporation of the changes to the [PLANT] TS. [NOTE: Only those changes proposed in TSTF-491 are addressed in the model SE. The model SE addresses the entire fleet of Combustion Engineering, Babcock & Wilcox, and Westinghouse Pressurized Water Reactors. The plants adopting TSTF-491 must confirm the applicability of the changes to their plant.] 2.2 Optional Changes and Variations [LICENSEE] is not proposing any variations or deviations from the TS changes described in TSTF-491 or the NRC staff's model safety evaluation dated [DATE]. [NOTE: The CLIIP does not prevent licensees from requesting an alternate approach or proposing changes without the requested Bases or Bases control program. However, deviations from the approach recommended in this notice may require additional review by the NRC staff and may increase the time and resources needed for the review. Significant variations from the approach, or inclusion of additional changes to the license, will result in staff rejection of the submittal. Instead, licensees desiring significant variations and/or additional changes should submit a LAR that does not claim to adopt TSTF-491.] 3.0 REGULATORY ANALYSIS 3.1 No Significant Hazards Consideration Determination [LICENSEE] has reviewed the proposed no significant hazards consideration determination (NSHCD) published in the **Federal Register** as part of the CLIIP. [LICENSEE] has concluded that the proposed NSHCD presented in the **Federal Register** notice is applicable to [PLANT] and is hereby incorporated by reference to satisfy the requirements of 10 CFR 50.91(a). 3.2 Verification and Commitments As discussed in the notice of availability published in the **Federal Register** on [DATE] for this TS improvement, plant-specific verifications were performed as follows: In addition, [LICENSEE] has proposed TS Bases consistent with TSTF-491 which provide guidance and details on how to implement the new requirements. Finally, [LICENSEE] has a Bases Control Program consistent with Section 5.5 of the Standard Technical Specifications (STS). 4.0 ENVIRONMENTAL EVALUATION The amendment changes requirements with respect to the installation or use of a facility component located within the restricted area as defined in 10 CFR Part 20. The NRC staff has determined that the amendment adopting TSTF-491, Rev 2, involves no significant increase in the amounts and no significant change in the types of any effluents that may be released offsite, and that there is no significant increase in individual or cumulative occupational radiation exposure. The Commission has previously issued a proposed finding that TSTF-491, Rev 2, involves no significant hazards considerations, and there has been no public comment on the finding in **Federal Register** Notice 71 FR 193, October 5, 2006. Accordingly, the amendment meets the eligibility criteria for categorical exclusion set forth in 10 CFR 51.22(c)(9). Pursuant to 10 CFR 51.22(b), no environmental impact statement or environmental assessment need be prepared in connection with the issuance of the amendment. 5.0 REFERENCES 1. TSTF-491, Revision 2, “Removal of Main Steam and Main Feedwater Valve Isolation Times from Technical Specifications.” 2. NRC Model Safety Evaluation Report Enclosure 2 PROPOSED TECHNICAL SPECIFICATION CHANGES (MARK-UP) Enclosure 3 PROPOSED TECHNICAL SPECIFICATION PAGES [Clean copies of Licensee specific Technical Specification
(TS)pages, corresponding to the TS pages changed by MaTSTF-491, Rev 0, are to be included in Enclosure 3] Enclosure 4 PROPOSED CHANGES TO TECHNICAL SPECIFICATION BASES PAGES [FR Doc. E6-22391 Filed 12-28-06; 8:45 am] BILLING CODE 7590-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54995; File No. SR-Amex-2006-77] Self-Regulatory Organizations; American Stock Exchange, LLC; Notice of Filing of Proposed Rule Change and Amendment No. 1 Thereto To Amend Rules 918 and 918—Ante Regarding Trading Rotations, Halts and Suspensions December 21, 2006. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”) 1 and Rule 19b-4 thereunder, 2 notice is hereby given that on August 16, 2006, the American Stock Exchange LLC (“Amex” or “Exchange”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I, II, and III below, which Items have been substantially prepared by the Exchange. On December 5, 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. 31 In Amendment No. 1, Amex made clarifying changes to the purpose section and made technical changes to the proposed rule text. I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to amend Amex Rules 918 and 918—ANTE regarding trading rotations, halts and suspensions. The text of the proposed rule change is available on Amex's Web site ( *http://www.amex.com* ), at Amex'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, Amex 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. 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 eliminate reference to “primary market” set forth in Amex Rules 918(a) and 918—ANTE(a) and to amend the reference to “primary market” in Amex Rules 918(b) and 918—ANTE(b). The Exchange proposes to amend Amex Rules 918(a) and 918—ANTE(a) to delete the requirement that the opening of the trading rotation is dependent on the opening of the underlying security in the primary market. Currently, Amex Rules 918 and 918—ANTE(a) provide that a trading rotation shall be employed at the opening of each business day following the opening of the underlying security in the primary market. “Primary market” is defined in Amex Rules 900(b)(26) and 900—ANTE(b)(26) as
(i)the principal exchange market in which the underlying security is traded so long as the underlying is principally traded on a national securities exchange, and
(ii)the market reflected by the National Association of Securities Dealers Automated Quotation System (the “NASDAQ”) if it is equity securities principally traded over-the-counter, or the market reflected by any widely recognized quotation dissemination system if it is any other type of security. As a result of the trading of underlying securities on multiple trading venues or markets (largely due to the introduction of Electronic Communication Networks or “ECNs”), it has become increasingly difficult to determine, for purposes of Amex Rules 918(a) and 918—ANTE(a), which marketplace is the “primary market.” As an example, the Options Clearing Corporation (“OCC”) in connection with its methodology for obtaining underlying security prices at expiration changed to composite pricing. 4 As a result of the number of securities exchanges and ECNs trading a particular underlying security, the Exchange submits that the analysis for determining the primary market has become overly burdensome and uncertain, subjecting Exchange staff to instances of “second guessing” due to the varying degrees of interpretation. Accordingly, for market certainty, the Exchange submits that trading in an option should start once the underlying security has opened for trading regardless of the particular market. 4 A “composite” security price is defined as the last reported sale price from any primary listing market ( *i.e.* , Amex, NYSE and Nasdaq), participating regional exchanges or other markets. *See* OCC Memo to Members #18930 (May 29, 2003) and Securities Exchange Act Release No. 49045 (January 8, 2004), 69 FR 2377 (January 15, 2004). Amex Rules 918(b) and 918—ANTE(b) provide that trading on any Exchange option contract may be halted or suspended whenever the Exchange deems such action appropriate. Included in these rules is a list of factors that the Exchange may use to determine if a trading halt or suspension is warranted. Pursuant to Amex Rules 918(b)(1) and 918—ANTE(b)(1), the Exchange may consider to halt or suspend trading in an option contract if the underlying security has been halted or suspended in the primary market. Similarly, the Exchange may also consider, pursuant to Amex Rules 918(b)(2) and 918—ANTE(b)(2), halting or suspending trading in an option contract if the opening of such underlying stock in the primary market has been delayed due to unusual circumstances. As set forth above, the Exchange submits that the use of the term “primary market” is ambiguous and subject to varying degrees of interpretation. However, unlike openings, trading halts and suspensions should not directly correspond to a halt or suspension in the underlying in any market because such standard is too low for halting or suspending trading in an option. Accordingly, the Exchange proposes to implement trading halts and suspensions in any options contract if, with respect to Amex Rules 918(b)(1) and 918—ANTE(b)(1), the underlying security is subject to a trading halt or suspension across several markets or in the primary listed market. Similarly, a trading halt or suspension may also be implemented, with respect to Amex Rules 918(b)(2) and 918—ANTE(b)(2), if the opening of such underlying stock across several markets or in the primary listed market has been delayed due to unusual circumstances. The Exchange proposes to eliminate reference to “primary market” set forth in Amex Rule 918(a) and Rule 918—ANTE(a) and to amend the reference to “primary market” in Amex Rule 918(b) and Rule 918—ANTE(b). In addition, the Exchange also proposes to make clarifying changes to these rules so that trading rotations, halts and suspensions apply to any options on a stock, exchange traded fund and trust issued receipt. In Amendment No. 1, the Exchange noted that adding references to “exchange traded fund and trust issued receipt” to the proposed rule text is intended to codify an existing practice on the Exchange. 2. Statutory Basis The Exchange believes that the proposed rule change is consistent with Section 6 of the Act 5 in general and furthers the objectives of Section 6(b)(5) 6 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 regulating, clearing, settling, processing information with respect to, and facilitating transactions in securities, and 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. 5 15 U.S.C. 78f(b). 6 15 U.S.C. 78f(b)(5). B. Self-Regulatory Organization's Statement on Burden on Competition The proposed rule change does not 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 No written comments were solicited or received with respect to the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 35 days of the date of publication of this notice in the **Federal Register** or within such longer period
(i)as the Commission may designate up to 90 days of such date if it finds such longer period to be appropriate and publishes its reasons for so finding or
(ii)as to which Amex consents, the Commission will:
(A)By order approve such proposed rule change, as amended, 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-Amex 2006-77 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 2006-77. 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 Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-Amex 2006-77 and should be submitted on or before January 19, 2007. For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 7 7 17 CFR 200.30-3(a)(12). Florence E. Harmon, Deputy Secretary. [FR Doc. E6-22398 Filed 12-28-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54983; File No. SR-Amex-2006-87] Self-Regulatory Organizations; American Stock Exchange LLC; Notice of Filing and Order Granting Accelerated Approval of a Proposed Rule Change and Amendment Nos. 1 and 2 Thereto Relating to Criteria for Securities That Underline Options Traded on the Exchange December 20, 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 13, 2006, the American Stock Exchange LLC (“Amex” or “Exchange”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I and II below, which Items have been substantially prepared by the Exchange. The Exchange filed Amendment No. 1 to the proposed rule change on November 22, 2006. 3 The Exchange filed Amendment No. 2 to the proposed rule change on December 14, 2006. 4 This order provides notice of the proposed rule change as modified by Amendment Nos. 1 and 2 and approved the proposed rule change as amended on an accelerated basis. 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b-4. 3 Amendment No. 1 replaced and superseded the proposed rule change as originally filed in its entirety. 4 In Amendment No. 2, which supplemented the filing as amended by Amendment No. 1, the Exchange corrected typographical errors and made non-substantive, technical changes to the proposed rule text contained in Exhibits 4 and 5 of Amendment No. 1 to the proposed rule change, and also made a minor clarifying change to Section I of the 19b-4. I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to amend Amex Rules 3, 915, 916, and 957 to enable the listing and trading on the Exchange of options on Exchange-Traded Fund Shares that hold a specified non-U.S. currency or currencies. The text of the proposed rule change is available at the Amex, the Commission's Public Reference Room, and on the Amex's Web site at *http://www.amex.com* . II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of those statements may be examined at the places specified in Item III below. The Exchange has prepared summaries, set forth in Sections A, B, and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization's Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change 1. Purpose The purpose of the proposed rule change is to amend Amex Rules 3, 915, 916, and 957 to enable the listing and trading on the Exchange of options on Exchange-Traded Fund Shares that hold a specified non-U.S. currency or currencies. Amex Rule 915, Commentary .06, currently provides that securities deemed appropriate for options trading shall include shares or other securities (“Exchange-Traded Fund Shares” or “ETFs”) that are principally traded on a national securities exchange or through the facilities of a registered national securities association, and are defined as an NMS Stock. Commentary .06 further states that these shares or securities must also represent an interest in a registered investment company organized as an open-end management investment company, a unit investment trust or a similar entity which holds securities constituting or otherwise based on or representing an investment in an index or portfolio of securities. The Exchange proposes to amend Commentary .06 to Rule 915 to expand the type of options to include options on ETFs that represent an interest in a trust or other similar entity that holds specified non-U.S. currency or currencies deposited with the trust or similar entity. The Exchange is also proposing to require that for Funds that hold a specified non-U.S. currency or currencies deposited with the trust, the Exchange will have entered into a comprehensive surveillance sharing agreement with the marketplace or marketplaces with last sale reporting that represent(s) the highest volume in derivatives (options or futures) on the specified non-U.S. currency or currencies, which are utilized by the national securities exchange where the underlying Funds are listed and traded. 5 5 *See* proposed Amex Rule 915, Commentary .06(b)(iv). The proposed amendment to Amex Rule 915 would permit the Exchange to list options on, for example, the Euro Currency Trust (“Trust”). 6 The Trust issues Euro Shares (“Shares”) that represent units of fractional undivided beneficial interest in, and ownership of, the Trust. PADCO Advisors II, Inc., d/b/a Rydex Investments, is the sponsor of the Trust (“Sponsor”) 7 and may be deemed the “issuer” of the Shares pursuant to Section 2(a)(4) of the Securities Act of 1933, as amended. The Bank of New York is the trustee of the Trust (“Trustee”), JPMorgan Chase Bank, N.A., London Branch, is the depository for the Trust, and Rydex Distributors, Inc. is the distributor for the Trust. The Trust intends to issue additional Shares on a continuous basis through the Trustee. 6 *See* Securities Exchange Act Release No. 53059 (January 5, 2006), 71 FR 2072 (January 12, 2006) (SR-Amex-2005-128). 7 The Sponsor maintains a public Web site on behalf of the Trust, *http://www.currencyshares.com* , which contains information about the Trust and the Shares. As stated in the Trust's registration statement, the investment objective of the Trust is for the Shares to reflect the price of the euro. 8 The Shares may be purchased from the Trust only in one or more blocks of 50,000 Shares, as described in the prospectus under “Creation and Redemption of Shares.” A block of 50,000 shares is called a Basket. The Trust issues Shares in Baskets on a continuous basis to certain authorized participants (“Authorized Participants”). Each Basket, when created, is offered and sold to an Authorized Participant at a price in euro equal to the net asset value (“NAV”) for 50,000 Shares on the day that the order to create the Basket is accepted by the Trustee. On December 12, 2005, the Shares were sold to the public by Authorized Participants at varying prices in dollars by reference to, among other things, the market price of euro and the trading price of the Shares on the New York Stock Exchange LLC (“NYSE”) at the time of each sale. The Shares trade on the NYSE under the symbol “FXE.” The Shares may also trade in other markets. 8 *See* Registration No. 333-125581. The Exchange notes that the Trust is not a registered investment company under the Investment Company Act of 1940 (the “1940 Act”) and is not required to register under the 1940 Act. The Exchange believes that permitting options on foreign currency-based Exchange-Traded Fund Shares to trade on the Exchange is consistent with the Commission's approval order of a rule change filed by the NYSE to list and trade shares of the Trust. 9 This proposed rule change to the Exchange's listing criteria for Exchange-Traded Fund Shares is intended to provide appropriate listing standards for options on shares of these and similar types of foreign currency-based Exchange-Traded Fund Shares that may be listed in the future. 9 *See* Securities Exchange Act Release No. 52843 (November 28, 2005), 70 FR 72486 (December 5, 2005) (SR-NYSE-2005-65). For options trading, Exchange-Traded Fund Shares will continue to need to satisfy the listing standards in Commentary .06 to Amex Rule 915. Specifically, the Exchange-Traded Fund Shares must be traded on a national securities exchange or through the facilities of a registered national securities association and must be an “NMS Stock” as defined under Rule 600 of Regulation NMS. 10 The Exchange-Traded Fund Shares must also either:
(1)Meet the criteria and guidelines under Amex Rule 915 (Criteria for Underlying Securities); or
(2)be available for creation or redemption each business day in cash or in-kind from the investment company, issuing trust, or other entity at a price related to the net asset value, and the investment company, issuing trust, or other entity shall provide that Exchange-Traded Fund Shares may be created even though some or all of the securities required to be deposited have not been received by the unit investment trust or the management investment company, provided the authorized creation participant has undertaken to deliver the shares as soon as possible and such undertaking has been secured by the delivery and maintenance of collateral consisting of cash or cash equivalents satisfactory to the fund which underlies the option as described in the fund or unit trust prospectus. 10 In light of the implementation of certain aspects of Regulation NMS, the Exchange hereby seeks to amend Commentary .06 to Amex Rule 915 to reflect that Exchange-Traded Fund Shares must be NMS Stocks as defined under Rule 600 of Regulation NMS instead of “national market” securities. Under the applicable continued listing criteria in Commentary .07 to Amex Rule 916, the Exchange-Traded Fund Shares may be subject to delisting as follows:
(1)Following the initial twelve-month period beginning upon the commencement of trading of the Exchange-Traded Fund Shares, there are fewer than 50 record and/or beneficial holders of the Exchange-Traded Fund Shares for 30 or more consecutive trading days;
(2)the value of the euro is no longer calculated or available; 11 or
(3)such other event occurs or condition exists that in the opinion of the Exchange makes further dealing on the Exchange inadvisable. Additionally, the Exchange-Traded Fund Shares shall not be deemed to meet the requirements for continued approval, and the Exchange shall not open for trading any additional series of option contracts of the class covering such Exchange-Traded Fund Shares, if trading in the shares is halted or suspended on their primary market, or if the Exchange-Traded Fund Shares are delisted in accordance with the terms of Amex Rule 916. 11 The Exchange states that euro pricing information based on the euro spot price is available to investors on a 24-hour basis from numerous financial information service providers, and there are a variety of other public Web sites proving information on foreign currency and euro, including Bloomberg, CBS MarketWatch, and Yahoo! Finance. The Exchange represents that the expansion of the types of investments that may be held by an Exchange-Traded Fund Share under Amex rules will not have any effect on the rules pertaining to position and exercise limits 12 or margin. 13 12 *See* Amex Rules 904 and 905. 13 *See* Amex Rule 462. The Exchange is proposing to amend Amex Rule 957 to ensure that Specialists and Registered Traders handling Exchange-Traded Fund Shares provide the Exchange with all necessary information relating to their trading in the applicable non-U.S. currency, non-U.S. currency options, futures or options on futures on such currency, or any other derivatives based on such currency. In addition, the revision to Amex Rule 957 will prohibit a specialist or registered trader from engaging in trading in non-U.S. currency, non-U.S. currency options, futures, options on futures or non-U.S. currency and other derivatives based on such currency from trading in an account which has not been reported to the Exchange. Finally, the Exchange is proposing to amend Amex Rule 3 to require members and member organizations to establish, maintain, and enforce written policies and procedures to prevent the misuse of material nonpublic information in connection with trading in securities issued by, among others, currency trust shares or similar entities, or in any related securities or related options or other derivative securities, or in any related non-U.S. currency, non-U.S. currency options, futures or options on futures on such currency, or any other derivatives based on such currency while in possession of material nonpublic information concerning that currency trust share or similar entity. The Exchange further proposes to require such procedures to prevent the trading of any of the foregoing securities while in possession of knowledge concerning imminent transactions of the same securities. Finally, the Exchange proposes to require procedures to prevent the disclosure of material nonpublic information involving the foregoing to another person. The Exchange represents that it has an adequate surveillance program in place for options on Exchange-Traded Fund Shares based on the value of a non-U.S. currency or currencies. In addition, the Exchange may obtain trading information via the Intermarket Surveillance Group (“ISG”) from other exchanges who are members or affiliates of the ISG. Specifically, the Amex can obtain such information from the Philadelphia Stock Exchange (“Phlx”) in connection with euro options trading on the Phlx and from the Chicago Mercantile Exchange (“CME”) and the London International Financial Futures Exchange (“LIFFE”) in connection with euro futures trading on those exchanges. 14 14 The Amex and PHLX are members of the ISG. CME and LIFFE are affiliate members of the ISG. 2. Statutory Basis The proposed rule change is consistent with Section 6(b) 15 of the Act, in general, and furthers the objectives of Section 6(b)(5), 16 in particular, in that it is designed to prevent fraudulent and manipulative acts and practices, promote just and equitable principles of trade, remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, protect investors and the public interest. 15 15 U.S.C. 78f(b). 16 15 U.S.C. 78f(b)(5). B. Self-Regulatory Organization's Statement on Burden on Competition The proposed rule change does not 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 No written comments were solicited or received with respect to the proposed rule change by the Exchange. III. Solicitation of Comments Interested persons are invited to submit written data, views and arguments concerning the foregoing, including whether the proposed rule change, as amended, is consistent with the Act. Comments may be submitted by any of the following methods: Electronic Comments • Use the Commission's Internet comment form ( *http://www.sec.gov/rules/sro.shtml* ); or • Send an e-mail to *rule-comments@sec.gov* . Please include File Number SR-Amex-2006-87 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-2006-87. 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 at *http://www.sec.gov/rules/sro.shtml* . Copies of the submission, all subsequent amendments, all written statements with respect to the proposed rule change that are filed with the Commission, and all written communications relating to the proposed rule change between the Commission and any person, other than those that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be available for inspection and copying in the Commission's Public Reference Room. Copies of the filing also will be available for inspection and copying at the principal office of the Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File No. SR-Amex-2006-87 and should be submitted on or before January 19, 2007. IV. Commission's Findings and Order Granting Accelerated Approval of the Proposed Rule Change Amex has asked the Commission to approve its proposal on an accelerated basis to accommodate its timetable for listing options on Exchange-Traded Fund Shares, as described above. After careful consideration, the Commission finds that the proposed rule change is consistent with the requirements of the Act and the rules and regulations thereunder applicable to a national securities exchange. 17 In particular, the Commission finds that the proposed rule change is consistent with the requirements of Section 6(b)(5) of the Act, which requires, among other things, that the rules of an exchange be designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. 18 Further, the Commission finds that the Exchange's proposal is substantially similar to one it recently approved for the International Securities Exchange LLC (“ISE”). 19 17 In approving this proposed rule change, the Commission has considered the proposed rule's impact on efficiency, competition, and capital formation. 15 U.S.C. 78c(f). 18 15 U.S.C. 78f(b)(5). 19 *See* Securities Exchange Act Release No. 54087 (June 30, 2006), 71 FR 38918 (July 10, 2006) (SR-ISE-2005-60). The Amex stated that it based its proposed rule change on the ISE filing. Currently, Amex's rules permit it to list options on Exchange-Traded Fund Shares that represent an interest in a registered investment company organized as an open-end management investment company, a unit investment trust or a similar entity which holds securities constituting or otherwise based on or representing an investment in an index or portfolio of securities. 20 The Exchange's proposal would allow it to list and trade options on Exchange-Traded Fund Shares whose investment assets consist of a specified non-U.S. currency or currencies deposited with a trust or similar entity. For example, the proposed rule change would allow the Exchange to list options on the Euro Currency Trust. 20 *See* Amex Rule 915, Commentary .06. The underlying Exchange-Traded Fund Shares would continue to need to satisfy the listing standards in Amex Rule 915. To accommodate the listing and trading of options on Exchange-Traded Fund Shares investing primarily in non-U.S. currency, the Exchange proposes to amend Amex Rule 3 to require a member or member organization to establish, maintain, and enforce written policies and procedures designed to prevent the misuse of any material nonpublic information it might have or receive in a related security, option, or derivative security or in the applicable non-U.S. currency, non-U.S. currency options, futures or options on futures on such currency, or any other derivatives based on such currency. In addition, the Exchange proposes to amend Amex Rule 957 to require that Specialists and Registered Traders handling Exchange-Traded Fund Shares provide the Exchange with all necessary information relating to their trading in the applicable non-U.S. currency, non-U.S. currency options, futures or options on futures on such currency, or any other derivatives based on such currency. Each Specialist and Registered Trader also would be obligated to conduct all trading in the Exchange-Traded Fund Shares in account(s) which have been reported to the Exchange. The Commission believes that these requirements are designed to minimize the potential for manipulating the underlying currency held by the Exchange-Traded Fund Shares. As proposed, the Exchange-Traded Fund Shares must be traded on a national securities exchange or through the facilities of a registered national securities association and must be an “NMS stock” as defined under Rule 600 of Regulation NMS. 21 The Exchange-Traded Fund Shares must also either:
(1)Meet the criteria and guidelines under Amex Rule 915, Commentary .01; or
(2)be available for creation or redemption each business day from and through the investment company, issuing trust, or other entity in cash or in-kind at a price related to net asset value, and the investment company, issuing trust, or other entity shall provide that shares may be created even though some or all of the investments required to be deposited have not been received by the unit investment trust or the management investment company, provided that the person obligated to deposit the investments has undertaken to deliver the investment assets as soon as possible and such undertaking has been secured by the delivery and maintenance of collateral consisting of cash or cash equivalents satisfactory to the fund which underlies the option, as described in the fund or unit trust prospectus. Furthermore, the Commission notes that the Exchange has represented that the expansion of the types of investments that may be held by Exchange-Traded Fund Shares under Amex rules will not have any effect on the rules pertaining to position and exercise limits or margin. 21 17 CFR 242.600(b)(47). Finally, under the proposed change to Amex Rule 916, Commentary .07, Exchange-Traded Fund Shares would not be deemed to meet the requirements for continued approval, and the Exchange would not open for trading any additional series of option contracts of the class covering such Exchange-Traded Fund Shares, if the Exchange-Traded Fund Shares are delisted in accordance with Commentary .01(5) of Amex Rule 916 or trading in the shares are halted or suspended in their primary market. Additionally, as proposed, the Exchange will consider the suspension of opening transactions in any series of options covering Exchange-Traded Fund Shares if the value of the non-U.S. currency on which the Exchange-Traded Fund Shares are based is no longer calculated or available. The Commission believes that the proposed change to Amex Rule 916 with respect to withdrawal of approval is consistent with the protection of investors and the public interest. The Commission notes that the Exchange has represented that it has an adequate surveillance program in place for options on Exchange-Traded Fund Shares, including those funds that are based on the value of a non-U.S. currency. In addition, the Exchange has represented that it is able to obtain currency-related trading information via the ISG from other exchanges who are members or affiliates of the ISG, as discussed above, in connection with options and futures trading on those exchanges. The Commission finds good cause for approving the proposed rule change, as amended, prior to the thirtieth day after the date of publication of the notice of filing thereof in the **Federal Register** . The Exchange has requested accelerated approval because this proposed rule change is based on, and is substantially similar to, a proposal by the ISE that the Commission recently approved. 22 Accordingly, this proposal raises no new or novel regulatory issues that have not been previously considered by the Commission. In addition, the Commission notes that it did not receive any comments on the ISE's proposal. The Commission believes that expanding Amex Rule 915 to encompass options on Exchange-Traded Fund Shares that represent interests in a trust that holds non-U.S. currency deposited with the trust will provide investors with an additional investment choice and that accelerated approval of the proposal will allow investors to begin trading these products promptly. Additionally, the proposal contains measures that are designed to minimize the potential for manipulation of the underlying currency held by the Exchange-Traded Fund Shares. Therefore, the Commission finds good cause, consistent with Section 19(b)(2) of the Act, 23 to approve the amended proposal on an accelerated basis. 22 *See* Securities Exchange Act Release No. 54087 (June 30, 2006), 71 FR 38918 (July 10, 2006) (SR-ISE-2005-60). 23 15 U.S.C. 78s(b)(2). V. Conclusion *It is therefore ordered* , pursuant to Section 19(b)(2) of the Act, 24 that the proposed rule change (SR-Amex-2006-87), as modified by Amendment Nos. 1 and 2, be, and it hereby is, approved on an accelerated basis. 24 15 U.S.C. 78s(b)(2). For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 25 25 17 CFR 200.30-3(a)(12). Florence E. Harmon, Deputy Secretary. [FR Doc. E6-22400 Filed 12-28-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-55000; File No. SR-BSE-2006-47] Self-Regulatory Organizations; Boston Stock Exchange, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change and Amendment No. 1 Thereto to Eliminate Fees on Certain Exchange Traded Funds and to Establish Fees on Certain Options on Indexes December 21, 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 November 14, 2006, the Boston Stock Exchange, Inc. (“BSE” or “Exchange”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I, II, and III below, which Items have been substantially prepared by the BSE. On December 20, 2006, BSE filed Amendment No. 1 to the proposed rule change. 3 The BSE has designated this proposal as one establishing or changing a due, fee, or other charge applicable only to a member 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 In Amendment No. 1, the Exchange, among other things:
(1)Clarified that the proposed rule change establishes fees applicable only to members for transactions in options on indices effected by members;
(2)made additional amendments to correct certain errors and omissions; and
(3)corrected certain errors in the purpose section of the proposed rule change. Changes made in Amendment No. 1 have been incorporated into this notice. 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 BSE is proposing to amend the Fee Schedule of the Boston Options Exchange (“BOX”) to remove the surcharge fee for certain Exchange Traded Funds (“ETFs”) and to establish fees applicable only to members for transactions in options on indices effected by members. The BOX Fee Schedule is available at the Exchange, the Commission's Public Reference Room, and *http://www.bostonoptions.com.* II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the BSE 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 BSE 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 BSE is proposing to amend the BOX Fee Schedule to remove the surcharge fee for transactions in options on the ETF Nasdaq 100 (“QQQQs”), the Standard & Poor's (“S&P”) Depository Receipts (“SPY”), the iShares Nasdaq Biotechnology Index Fund (“IBB”), iShares Russell 2000 Index Fund (“IWM”), iShares Russell 2000 Growth Index Fund (“IWO”), the S&P Energy Select Sector SPDR Fund (“XLE”) and the S&P Financial Select Sector SPDR Fund (“XLF”). The Exchange is proposing to remove the surcharge from its Fee Schedule because it no longer pays a licensing fee on such ETFs. The Exchange is also proposing to establish a fifteen
(15)cent surcharge fee for transactions in options on the Russell 2000® Index (“RUT”), 6 the full value Nasdaq-100® Index (“NDX”), 7 and the reduced value Nasdaq-100® Index (Mini-NDX® Index (“MNX”)) 8 effected by members for broker-dealer proprietary accounts. 9 The Exchange represents that these fees will only be charged to BOX members and shall apply to Linkage Orders 10 under a pilot program that is set to expire on July 31, 2007. The Exchange believes that the proposed rule change will further the Exchange's goal of introducing new products to the marketplace that are competitively priced. BOX began trading options on RUT, NDX, and MNX on November 13, 2006 but did not begin charging fees for transactions in the above-referenced products until November 14, 2006, the date SR-BSE-2006-47 was filed with the Commission. 6 Russell 2000®is a trademark and service mark of the Frank Russell Company, used under license. Neither Frank Russell Company's Publication of the Russell Indexes nor its licensing of its trademarks for use in connection with securities or other financial products derived from a Russell Index in any way suggests or implies a representation or opinion by Frank Russell Company as to the attractiveness of investment in any securities or other financial products based upon or derived from any Russell Index. Frank Russell Company is not the issuer of any such securities or other financial products and makes no express or implied warranties or merchantability or fitness for any particular purpose with respect to any Russell Index or any data included or reflected therein, nor as to results to be obtained by any person or any entity from the use of the Russell Index or any data included or reflected therein. Options on RUT are currently listed for trading on the American Stock Exchange (“AMEX”), BOX, the Chicago Board Options Exchange, Inc. (“CBOE”), and the International Securities Exchange, LLC (“ISE”). *See* Securities Exchange Act Release No. 53968 (June 9, 2006), 71 FR 34971 (June 16, 2006) (approving Amex listing); Securities Exchange Act Release No. 54397 (August 31, 2006), 71 FR 53142 (September 8, 2006) (approving BOX listing); Securities Exchange Act Release No. 51749 (May 26, 2005), 70 FR 34510 (June 14, 2005) (approving CBOE listing); Securities Exchange Act Release No. 51858 (June 16, 2005), 70 FR 36218 (June 22, 2005) (approving ISE listing). 7 Nasdaq®, Nasdaq-100® and Nasdaq-100 Index® are registered trademarks of The Nasdaq Stock Market, Inc. (which with its affiliates are the “Corporations”) and are licensed for use by the Boston Options Exchange Group in connection with the trading of options products based on the Nasdaq-100 Index®. The product(s) have not been passed on by the Corporations as to their legality or suitability. The product(s) are not issued, endorsed, sold, or promoted by the Corporations. The Corporations make no warranties and bear no liability with respect to the product(s). The Corporations do not guarantee the accuracy and/or uninterrupted calculation of the Nasdaq-100 Index® or any data included therein. The Corporations make no warranty, express or implied, as to results to be obtained by licensee, owners of the product(s), or any other person or entity from the use of the Nasdaq-100 Index® or any data included therein. The Corporations make no express or implied warranties, and expressly disclaim all warranties of merchantability or fitness for a particular purpose or use with respect to the Nasdaq-100 Index® or any data included therein. Without limiting any of the foregoing, in no event shall the Corporations have any liability for any lost profits or special, incidental, punitive, indirect or consequential damages, even if notified of the possibility of such damages. 8 Options on NDX and MNX are currently listed for trading on Amex, BOX, CBOE, and ISE. *See* Securities Exchange Act Release No. 45163 (December 18, 2001), 66 FR 66958 (December 27, 2001) (imposing licensing fees for transactions in options on the NDX and MNX, among other things); Securities Exchange Act Release No. 51884 (June 20, 2005), 70 FR 36973 (June 27, 2005) (correcting Amex's failure to file a proposed rule change with respect to its listing of NDX and MNX); Securities Exchange Act Release No. 54397 (August 31, 2006), 71 FR 53142 (September 8, 2006) (approving BOX NDX and MNX listing); Securities Exchange Act Release No. 51351 (March 9, 2005), 70 FR 12917 (March 16, 2005) (approving CBOE NDX and MNX listing); Securities Exchange Release No. 51397 (March 18, 2005), 70 FR 15372 (March 25, 2005) (approving ISE NDX and MNX listing). 9 The Exchange notes that the fees that are the subject of this proposed rule change do not apply to public customer orders. 10 *See* BOX Rules Chapter XII, Section 1(defining Linkage Orders). The Exchange has entered into licensing agreements to use various indexes and trademarks in connection with the listing and trading of index options on the Russell® 2000 Index, Nasdaq-100® Index and the Mini-NDX® Index. As with certain other licensed options, the Exchange is adopting a surcharge fee for trading in these options to defray the licensing costs. The Exchange believes that charging BOX Options Participants 11 that trade these instruments is the most equitable means of recovering the licensing costs. 11 *See* BOX Rules, Chapter 1, Section 1(a)(40) (defining Options Participants). 2. Statutory Basis The Exchanges believes that the proposal is consistent with the requirement of Section 6(b) of the Act, 12 in general, and Section 6(b)(4) of the Act, 13 in particular, in that it provides for the equitable allocation of reasonable dues, fees and other charges among its members and other persons using its facilities. 12 15 U.S.C. 78f(b). 13 15 U.S.C. 78f(b)(4). B. Self-Regulatory Organization's Statement on Burden on Competition The Exchange believes that the proposed rule change, as amended, does not 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 not solicited nor received comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Because the foregoing rule change, as amended, establishes or changes a due, fee, or other charge applicable only to a member, it has become effective pursuant to Section 19(b)(3)(A)(ii) of the Act 14 and Rule 19b-4(f)(2) 15 thereunder. At any time within 60 days of the filing of such amended 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. 16 14 15 U.S.C. 78s(b)(3)(A)(ii). 15 17 CFR 19b-4(f)(2). 16 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 December 20, 2006, the date on which the BSE submitted 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-BSE-2006-47 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-BSE-2006-47. 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 BSE. 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-BSE-2006-47 and should be submitted on or before January 19, 2007. For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 17 17 17 CFR 200.30-3(a)(12). Florence E. Harmon, Deputy Secretary. [FR Doc. E6-22395 Filed 12-28-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54987; File No. SR-CBOE-2006-107] Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing of Proposed Rule Change Regarding a Permit Program for CBSX December 20, 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 December 18, 2006, the Chicago Board Options Exchange, Incorporated (“CBOE” or “Exchange”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I, II and III below, which Items have been substantially prepared by the CBOE. 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. I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The Exchange proposes to modify its rules relating to the establishment of a permit program for the Exchange's proposed stock-trading facility CBSX. The text of the proposed rule change is available at CBOE, the Commission's Public Reference Room, and *http://www.cboe.com* . II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the CBOE 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 CBOE 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 CBSX will be a facility of the Exchange and will serve as the Exchange's vehicle for trading non-option securities. The Exchange (via a separate rule filing) is proposing to modify Chapters 50-55 of the CBOE Rules in connection with the establishment of the CBSX. CBSX is a separate legal entity (a Delaware Limited Liability Company) that is owned by the Exchange and several strategic partners. The Exchange is also submitting a rule filing proposing to establish CBSX as a facility of the Exchange. The purpose of this filing is to modify the Exchange's Constitution and Rules to establish a CBSX Permit Program that will allow non-CBOE seat holders access to CBSX. The Exchange believes that expanding access to CBSX beyond CBOE's options user base will enhance liquidity on CBSX and make it a more attractive stock trading venue. The salient features of the Permit Program are summarized below. • The permits may only be used for trading stock on CBSX. A Permit does not entitle the holder to trade options on CBOE or to physically enter an option trading post on the trading floor. • Up to 100 permits may be issued. • The Permit Program could be terminated by the Exchange via a rule filing approved by the Commission. This provision is incorporated in the Constitution so that the Permit Program could be terminated with a rule change filing but without a corresponding membership vote ( *i.e.* , in approving this Constitutional change, the membership is approving the notion that a future termination of the Permit Program could occur without another membership vote). • Permit holders would be deemed statutory members of CBOE. Accordingly, they would have the same petition and voting rights as regular members except for matters relating to Exchange ownership (specifically, matters relating to demutualization, mergers, consolidations, dissolution, liquidation, transfer, or conversion of assets of the Exchange), and except matters relating the Chicago Board of Trade exercise right. • Permit holders would have no interest in the assets or property of CBOE and would have no right to share in any distribution by the Exchange. • Permit holders (or an executive officer of a Permit holder) would be eligible to run for an at-large director position and a Nominating Committee position. • Permit holders would have to be registered broker-dealers. • Permits would not be transferable. • All Permits would expire every October and would be eligible for renewal. In connection with the Permit application process, if there are fewer available CBSX Permits than qualified applicants, the Exchange will determine which of the applicants to approve by lot. Applicants that are affiliated shall be deemed one applicant in cases where there are fewer available CBSX Permits than qualified applicants. A CBSX Permit holder and its associated persons shall comply with and be subject to CBOE Rules to the same extent that Exchange members and their associated persons are obligated to comply with and are subject to Exchange Rules. Further, a CBSX Permit holder and its associated persons shall be subject to the disciplinary, appeals, and arbitration jurisdiction and rules of the Exchange and entitled to the procedural rights under those rules to the same extent that Exchange members and their associated persons are subject to such jurisdiction and rules and entitled to such procedural rights. The rule filing also eliminates outdated references in the Constitution to the New York Stock Exchange Options Permit Program which no longer exists. Lastly, the Exchange notes that on December 14, 2006, the Exchange held a special meeting of the membership for purposes of voting on the Permit Program. The membership voted in favor of adopting the Permit Program. 2. Statutory Basis The Exchange believes that the proposed rule change is consistent with the provisions of Section 6(b) of the Act, 3 in general, and with Section 6(b)(5) of the Act, 4 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 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 because it will expand the user base for CBSX and enhance liquidity. 3 15 U.S.C. 78f(b). 4 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 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 did not solicit or receive any written comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 35 days of the date of publication of this notice in the **Federal Register** or within such longer period
(i)as the Commission may designate up to 90 days of such date if it finds such longer period to be appropriate and publishes its reasons for so finding or
(ii)as to which the self-regulatory organization consents, the Commission will: A. by order approve such proposed rule change; or B. institute proceedings to determine whether the proposed rule change should be disapproved. 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-CBOE-2006-107 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-CBOE-2006-107. 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-CBOE-2006-107 and should be submitted on or before January 19, 2007. For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 5 5 17 CFR 200.30-3(a)(12). Florence E. Harmon, Deputy Secretary. [FR Doc. E6-22392 Filed 12-28-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54992; File No. SR-NYSE-2006-75] Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing of Proposed Rule Change and Amendment No. 1 Thereto to List and Trade Four iShares® GS® Commodity Indexed Trusts December 21, 2006. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”), 1 and Rule 19b-4 thereunder, 2 notice is hereby given that on September 22, 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, II, and III below, which items have been substantially prepared by the NYSE. On November 22, 2006, the Exchange 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 replaced and superseded the original filing in its entirety. I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The NYSE proposes to list and trade under NYSE Rules 1300B, *et seq.* (“Commodity Trust Shares”) four iShares® GS Commodity Indexed Trusts, or the Trusts, which will issue units of beneficial interest representing fractional undivided beneficial interests in the net assets of the Trusts. 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 NYSE 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. 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 list and trade under Rules 1300B *et seq.* (“Commodity Trust Shares”) shares of the following (“Shares”): iShares GS Commodity Light Energy Indexed Trust; iShares GS Commodity Industrial Metals Indexed Trust; iShares GS Commodity Livestock Indexed Trust; and iShares GS Commodity Non Energy Indexed Trust (the “Trusts”). The objective of each Trust is for the performance of the Shares to correspond generally to the performance of the following indexes, respectively, before payment of the Trust's and the Investing Pool's expenses and liabilities: Goldman Sachs Industrial Metals Total Return Index; Goldman Sachs Light Energy Total Return Index; Goldman Sachs Livestock Total Return Index, and Goldman Sachs Non Energy Total Return Index (the “Total Return Indexes”). 4 4 The Sponsor, on behalf of the Trusts, filed Form S-1 for each Trust (the “Registration Statements”) on August 31, 2006. *See* Registration Nos. 333-135823 through 333-135826. Each of the Total Return Indexes is comprised of a group of commodities included in the Goldman Sachs Commodity Index (“GSCI®”) 5 , which is a production-weighted index of the prices of a diversified group of futures contracts on physical commodities. Each Total Return Index reflects the return of the corresponding Goldman Sachs Excess Return Index, described below, together with the return on specified U.S. Treasury securities that are deemed to have been held to collateralize a hypothetical long position in the futures contracts comprising the corresponding index. 5 The Commission has previously approved listing on the Exchange of the iShares GSCI Commodity Indexed Trust. *See* Securities Exchange Act Release No. 54013, June 16, 2006, 71 FR 36372, June 26, 2006 (SR-NYSE-2006-17). Each Goldman Sachs Excess Return Index is calculated based on the same commodities as those in the respective Total Return Index, and GS Index (defined below), and reflects the returns that are potentially available through a rolling uncollateralized investment in the contracts comprising the applicable GS Index, as described below. A Goldman Sachs Excess Return Index does not reflect the return on U.S. Treasury securities used to collateralize positions in futures contracts comprising that index. Each Trust will attempt to track its respective Total Return Index by holding interests in an Investing Pool (described below), which, in turn, holds futures contracts (referred to as CERFs) on the corresponding Excess Return Index, together with cash or other short-term securities used to collateralize the futures positions. *The Trusts and Investing Pools.* Each Trust is a Delaware statutory trust that will issue units of beneficial interest called Shares, representing fractional undivided beneficial interests in its net assets. Substantially all of the assets of each Trust consists of holdings of the limited liability company interests of a specified commodity pool (“Investing Pool Interests”), which are the only securities in which the Trust may invest. Specifically, the Trusts will hold interests in the following commodity pools, respectively: iShares GS Commodity Industrial Metals Indexed Investing Pool LLC. iShares GS Commodity Light Energy Indexed Investing Pool LLC. iShares GS Commodity Livestock Indexed Investing Pool LLC. iShares GS Commodity Non Energy Indexed Investing Pool LLC (collectively, “Investing Pools”). Each commodity pool holds long positions in futures contracts on the following indexes, respectively, (collectively, the “Excess Return Indexes”) and will post margin in the form of cash or short-term securities to collateralize these futures positions: Goldman Sachs Industrial Metals Excess Return Index (“GS Industrial Metals-ER”); Goldman Sachs Light Energy Excess Return Index (GSLE-ER”); Goldman Sachs Livestock Excess Return Index (“GS-Livestock-ER”); and Goldman Sachs Non Energy Excess Return Index (“GSNE-ER”). These futures contracts, which are called CERFs, are to be listed on the Chicago Mercantile Exchange (“CME”), and will commence trading on the CME by the time trading in the Shares commences on the Exchange. The Trusts and the Investing Pools are each commodity pools managed by a commodity pool operator registered as such with the Commodity Futures Trading Commission (“CFTC”). According to the Registration Statements, neither the Trusts nor the Investing Pools are investment companies registered under the Investment Company Act of 1940. According to the Registration Statements, the Shares are intended to constitute a relatively cost-effective means of achieving investment exposure to the performance of the respective Total Return Indexes, which are intended to reflect the performance of a specified group of commodities. Although the Shares will not be the exact equivalent of an investment in the underlying futures contracts and Treasury securities represented by the Total Return Indexes, the Shares are intended to provide investors with an alternative way of participating in the commodities market. *The Sponsor and Trustee.* The Sponsor of the Trusts is Barclays Global Investors International, Inc. The Sponsor's primary business function is to act as Sponsor and commodity pool operator of the Trusts and Manager of the Investing Pools, as discussed below. 6 The Advisor to the Investing Pools is Barclays Global Fund Advisors, a California corporation and an indirect subsidiary of Barclays Bank PLC. 6 Barclays Global Investors International, Inc. is a commodity pool operator registered with the CFTC. Barclays Global Investors International, Inc. will also serve as the Manager of the Investing Pools, in which capacity it will serve as commodity pool operator of the Investing Pools and be responsible for their administration. The Manager will arrange for and pay the costs of organizing the Investing Pools. The Manager has delegated some of its responsibilities for administering the Investing Pools to the Administrator, Investors Bank & Trust Company which, in turn, has employed the Investing Pool Administrator and the Tax Administrator (Pricewaterhouse Coopers) to maintain various records on behalf of the Investing Pools. The Trustee is Barclays Global Investors, N.A., a national banking association affiliated with the Sponsor. The Trustee is responsible for the day-to-day administration of the Trusts. Day-to-day administration includes
(1)processing orders for the creation and redemption of Baskets (each Basket an aggregation of 50,000 Shares),
(2)coordinating with the Manager of the Investing Pools the receipt and delivery of consideration transferred to, or by, the Trusts in connection with each issuance and redemption of Baskets, and
(3)calculating the net asset value of the Trusts on each Business Day. 7 The Trustee has delegated these responsibilities to the Trust Administrator, Investors Bank & Trust Company, a banking corporation that is not affiliated with the Sponsor or the Trustee. 8 7 The Trusts' Registration Statements define “Business Day” as any day
(1)on which none of the following occurs:
(a)the NYSE is closed for regular trading,
(b)the CME is closed for regular trading or
(c)the Federal Reserve transfer system is closed for cash wire transfers, or
(2)the Trustee determines that it is able to conduct business. 8 Except as otherwise specifically noted, the information provided in this Rule 19b-4 filing relating to the Trusts and the Shares, commodities markets, and related information is based entirely on information included in the Registration Statements. *The Investing Pools.* The Investing Pools will hold long positions in CERFs, which are cash-settled futures contracts listed on the CME that have a term of approximately five years after listing and whose settlement at expiration is based on the value of the respective Excess Return Indexes at that time. The Investing Pools will also earn interest on the assets used to collateralize its holdings of CERFs. Trading on the CME Globex electronic trading platform of CERFs based on the GSCI-ER Index commenced effective March 12, 2006 for trade date March 13, 2006. Trading in CERFs based on the Excess Return Indexes is expected to begin shortly before the initial sale of the Shares to the public. *The GS Total Return Indexes.* The Goldman Sachs Light Energy Total Return Index is intended to reflect the performance of the same group of commodities included in the GSCI but with a reduced weighting for energy commodities. The GSLE-ER is designed to reflect the positive or negative return over time resulting from an uncollateralized long position in the futures contracts in the Goldman Sachs Light Energy Index (“GSLE”). The GSLE, in turn, is comprised of the same group of futures contracts on physical commodities included in the GSCI. The GSCI is a production-weighted index of the prices of a diversified group of futures contracts with each commodity having a weighting determined by reference to world production statistics. The GSLE, however, has a reduced weighting for energy commodities as compared to the GSCI. Specifically, only one quarter of the GSCI contract production weights for the energy components (currently including crude oil, unleaded gasoline, heating oil, gas oil and natural gas) of the GSCI are used in calculating the GSLE and as a result, relative weights of non-energy components (currently industrial metals, precious metals, agriculture and livestock components) of the GSCI are proportionately increased. The Goldman Sachs Industrial Metals Total Return Index is intended to reflect the performance of a group of commodities comprising the industrial metals component of the GSCI (currently including copper, aluminum, zinc, nickel and lead). The GS Industrial Metals-ER is designed to reflect the positive or negative return over time resulting from an uncollateralized long position in the futures contracts in the GS Industrial Metals. The GS Industrial Metals, in turn, is comprised of futures contracts on physical commodities comprising the industrial metals component (currently including copper, aluminum, zinc, nickel and lead) of the GSCI, with each commodity having a weighting determined by reference to world production statistics. The Goldman Sachs Livestock Total Return Index, is intended to reflect the performance of a group of commodities comprising the livestock component of the GSCI (currently including live cattle, live hogs and feeder cattle). The GS Livestock-ER is designed to reflect the positive or negative return over time resulting from an uncollateralized long position in the futures contracts in the GS Livestock. The GS Livestock, in turn, is comprised of futures contracts on physical commodities comprising the livestock component (currently including live cattle, live hogs and feeder cattle) of the GSCI, with each commodity having a weighting determined by reference to world production statistics. The Goldman Sachs Non Energy Total Return Index is intended to reflect the performance of a group of commodities comprising the non-energy components of the GSCI. The GSNE-ER is designed to reflect the positive or negative return over time resulting from an uncollateralized long position in the futures contracts in the GSNE. The GSNE, in turn, is comprised of futures contracts on physical commodities comprising the non-energy components of the GSCI (currently including 18 physical commodities in the industrial metals, precious metals, agriculture and livestock sectors), with each commodity having a weighting determined by reference to world production statistics. The GSCI is administered, calculated and published by Goldman, Sachs & Co. (the “Index Sponsor”), a subsidiary of The Goldman Sachs Group Inc. The Excess Return Indexes reflect the return of an uncollateralized investment in the contracts comprising the GSLE, GS Industrial Metals, GS Livestock, and GSNE (collectively, the “GS Indexes”), and in addition incorporate the economic effect of “rolling” the contracts included in the GS Indexes as they near expiration. “Rolling” a futures contract means closing out a position in an expiring futures contract and establishing an equivalent position in the contract on the same commodity with the next expiration date. If Goldman, Sachs & Co. (“Goldman Sachs”) ceases to maintain the Total Return Indexes, the Trusts, through the Investing Pools, may seek investment results that correspond generally to the performance of a fully-collateralized investment in a successor, or, in the opinion of the Manager, reasonably similar indexes to the Total Return Indexes. Each Trust, through its respective Investing Pool, will be a passive investor in CERFs and the cash or Short-Term Securities 9 posted as margin to collateralize the Investing Pool's CERF positions. Neither such Trust nor the respective Investing Pool will engage in any activities designed to obtain a profit from, or to ameliorate losses caused by, changes in the value of CERFs or securities posted as margin. Each Investing Pool, and some other types of market participants, will be required to deposit margin with a value equal to 100% of the value of each CERF position at the time it is established. Those market participants not subject to the 100% margin requirement are required to deposit margin generally with a value of 3% to 5% of the established position. Interest paid on the collateral deposited as margin, net of expenses, will be reinvested by the Investing Pool or, at the Trustee's discretion, may be distributed from time to time to the Shareholders. The Investing Pool's profit or loss on its CERF positions should correlate with increases and decreases in the value of the applicable Excess Return Index, although this correlation will not be exact. The interest on the collateral deposited by the Investing Pool as margin, together with the returns corresponding to the performance of the applicable Excess Return Index, is expected to result in a total return for the Investing Pool that corresponds generally, but is not identical, to the applicable Index. Differences between the returns of the Investing Pool and the applicable Index may be based on, among other factors, any differences between the return on the assets used by the Investing Pool to collateralize its CERF positions and the U.S. Treasury rate used to calculate the return component of the Index, timing differences, differences between the weighting of the Investing Pool's proportion of assets invested in CERFs versus the Index, and the payment of expenses and liabilities by the Investing Pool. Each Trust's net asset value will reflect the performance of the applicable Investing Pool, such Trust's sole investment. 9 “Short-Term Securities” means U.S. Treasury Securities or other short-term securities and similar securities, in each case that are eligible as margin deposits under the rules of the CME. The Investing Pools will be managed by the Advisor, which will invest all of the Investing Pools' assets in long positions in respective CERFs and post margin in the form of cash or Short-Term Securities to collateralize the CERF positions. Any cash that the Investing Pool accepts as consideration from the Trusts for Investing Pool Interests will be used to purchase additional CERFs, in an amount that the Advisor determines will enable the Investing Pools to achieve investment results that correspond with the applicable Index, and to collateralize the CERFs. According to the Registration Statements, the Advisor will not engage in any activities designed to obtain a profit from, or to ameliorate losses caused by, changes in value of any of the commodities represented by the GS Indexes or the positions or other assets held by the Investing Pool. *Futures Contracts on the Excess Return Indexes.* The assets of the Investing Pools will consist of CERFs and cash or Short-Term Securities posted as margin to collateralize the Investing Pools' CERF positions. Futures contracts and options on futures contracts on the GSCI, which does not reflect the excess return embedded in the GSCI-ER, have been traded on the CME since 1992. CERFs are listed and traded separately from the GSCI futures contracts and options on futures contracts. CERFs on the Excess Return Indexes will trade on the CME by the time trading in Shares begins on the Exchange. CERFs trading is subject to the rules of the CME. According to the Registration Statements, CERFs trade on GLOBEX, the CME's electronic trading system, and do not trade through open outcry on the floor of the CME. 10 Transactions in CERFs are cleared through the CME clearing house by the trader's futures commission merchant acting as its agent. Under these clearing arrangements, the CME clearing house becomes the buyer to each member futures commission merchant representing a seller of the contract and the seller to each member futures commission merchant representing a buyer of the contract. As a result of these clearing arrangements, each trader holding a position in CERFs is subject to the credit risk of the CME clearing house and the futures commission merchant carrying its position in CERFs. 10 Trading hours for CERFs on GLOBEX will be as follows: Sunday, 6 p.m. to 2:40 p.m. (next day) (New York Time); Monday to Thursday, 6 p.m. to 2:40 p.m. (next day) and 3 p.m. to 5 p.m. (New York Time). Each CERF is a contract that provides for cash settlement, at expiration, based upon the final settlement value of the applicable Excess Return Index at the expiration of the contract, multiplied by a fixed dollar multiplier. On a daily basis, most market participants with positions in CERFs are obligated to pay, or entitled to receive, cash (known as “variation margin”) in an amount equal to the change in the daily settlement level of the CERF from the preceding trading day's settlement level (or, initially, the contract price at which the position was entered into). Specifically, if the daily settlement price of the contract increases over the previous day's price, the seller of the contract must pay the difference to the buyer, and if the daily settlement price is less than the previous day's price, the buyer of the contract must pay the difference to the seller. Futures contracts also typically require deposits of initial margin as well as payments of daily variation margin as the value of the contracts fluctuate. For most market participants, the initial margin requirement for CERFs is generally expected to be 3% to 5%. Certain market participants (known as “100% margin participants”), however, will be required to deposit with their futures commission merchant initial margin in an amount equal to 100% of the value of the CERF on the date the position is established. The futures commission merchant, in turn, will be required to deliver to the CME clearing house initial margin in a specified amount and pledge to the clearing house, pursuant to a separate custody arrangement, an amount equal to the remainder of the 100% margin amount posted by 100% margin participants, either from amounts posted by those 100% margin participants or from its own assets. The separate custody arrangement will be either an account with the FCM or a third party custody account. As a result of these arrangements, a 100% margin participant buying a CERF will be subject to substantially greater initial margin requirements than other market participants, but will not be required to pay any additional amounts to its futures commission merchant as variation margin if the value of the CERFs declines. Instead, the futures commission merchant will be obligated to make variation margin payments to the clearinghouse in respect of CERFs held by 100% margin participants, which it will withdraw from the separate custody account (and, in turn, from the 100% margin posted by those participants). If the daily settlement price increases, the futures commission merchant will receive variation margin from the clearinghouse for the account of the 100% margin participant, which it will hold in the separate custody account for the benefit of 100% margin participants. The buyer will not, however, be entitled to receive this variation margin from its futures commission merchant (until the liquidation or final settlement of its CERF position). The buyer will be entitled to receive interest or other income on the assets it has deposited as margin or that are credited to the custody account on its behalf from time to time. Upon liquidation or settlement of a CERF, a 100% margin participant will receive from its futures commission merchant its initial margin deposit, adjusted for variation margin paid or received by the futures commission merchant with respect to the contract during the time it was held by the participant (or the proceeds from liquidation of any investments made with such funds for the benefit of the participant under the terms of its custody arrangement with the carrying futures commission merchant). The 100% margin participants will include any market participant that is
(1)an investment company registered under the Investment Company Act or
(2)an investment fund, commodity pool, or other similar type of pooled trading vehicle (other than a pension plan or fund) that is offered to the public pursuant to an effective registration statement filed under the Securities Act of 1933, regardless of whether it is also registered under the Investment Company Act, and that has its principal place of business in the United States. The Investing Pools will be a 100% margin participants. The Investing Pools will satisfy the 100% margin requirement by depositing with the Clearing FCM cash or Short-Term Securities with a value equal to 100% of the value of each long position in CERFs. According to the Registration Statements, CERFs also differ from traditional futures contracts in another significant respect. In contrast to other types of futures contracts, which are typically listed with monthly, bimonthly or quarterly expirations, CERFs will be listed only with approximately five-year expirations. A buyer or seller of CERFs will be able to trade CERFs on the market maintained by the CME and will consequently be able to liquidate its position at any time, subject to the existence of a liquid market. If a party to a CERF wishes to hold its position to expiration, however, it will be necessary to maintain the position for up to five years. According to the Registration Statements, as a CERF nears expiration, it is anticipated, but there can be no assurance, that the CME will list an additional CERF with an approximately five-year expiration. *The GSCI and GS Indexes.* The GSCI itself is an index on a production-weighted basket of principal physical commodities that satisfy specified criteria. The GSCI reflects the level of commodity prices at a given time and is designed to be a measure of the performance over time of the markets for these commodities. The commodities represented in the GSCI are those physical commodities on which active and liquid contracts are traded on trading facilities in major industrialized countries. The commodities included in the GSCI are weighted, on a production basis, to reflect the relative significance (in the view of the Index Sponsor, in consultation with its Policy Committee described below) of those commodities to the world economy. The fluctuations in the level of the GSCI are intended generally to correlate with changes in the prices of those physical commodities in global markets. The Index Sponsor makes the official calculations of the value of each GS Index. At present, this calculation is performed continuously and is reported on Reuters Pages GSCO (for GS Industrial Metals); GSCE (for GSLE); GSCL (for GS Livestock); and GSCN (for GSNE), and is updated on Reuters at least every fifteen seconds during NYSE trading hours for the Trust and during business hours on each Business Day on which the offices of Goldman, Sachs in New York City are open for business. The calculation for each applicable Index is also updated on Reuters at least every fifteen seconds. The settlement price for each Excess Return Index is also reported on Reuters Pages GSCO (for GS Industrial Metals); GSCE (for GSLE); GSCL (for GS Livestock); and GSCN (for GSNE), at the end of each GSCI Business Day, and on Bloomberg pages GSCINER<index> (for GS Industrial Metals); GSLEER<index> (for GSLE); GSLVER<index> (for GS Livestock); and GSNEER<index> (for GSNE). If Reuters ceases to publish the value of the GSCI or the settlement price of the GSCI-ER, Goldman, Sachs has undertaken to use commercially reasonable efforts to ensure that a comparable reporting service publishes the applicable GS Index so long as any Shares are outstanding. *The Policy Committee.* The Index Sponsor has established a Policy Committee to assist it with the operation of the GSCI. The principal purpose of the Policy Committee is to advise the Index Sponsor with respect to, among other things, the calculation of the GSCI, the effectiveness of the GSCI as a measure of commodity futures market performance and the need for changes in the composition or the methodology of the GSCI. The Policy Committee acts solely in an advisory and consultative capacity. All decisions with respect to the composition, calculation and operation of the GSCI are made by the Index Sponsor. 11 11 The Index Sponsor, Goldman, Sachs & Co., is a broker dealer. Therefore, appropriate firewalls must exist around the personnel who have access to information concerning changes and adjustments to an index and the trading personnel of the broker-dealer. Prior to commencement of trading of the Shares on the Exchange, the Index Sponsor will represent to the Exchange that it
(1)has implemented and maintained procedures reasonably designed to prevent the use and dissemination by personnel of the Index Sponsor, in violation of applicable laws, rules and regulations, of material non-public information relating to changes in the composition or method of computation or calculation of the Total Return Indexes; and
(2)periodically checks the application of such procedures as they relate to such personnel of the Index Sponsor directly responsible for such changes. In addition, the Policy Committee members are subject to written policies with respect to material, non-public information. The Policy Committee generally meets in October of each year. Prior to the meeting, the Index Sponsor determines the commodities to be included in the GSCI for the following calendar year and the weighting factors for each commodity. The Policy Committee's members receive the proposed composition of the GSCI in advance of the meeting and discuss the composition at the meeting. The Index Sponsor also consults the Policy Committee on any other significant matters with respect to the calculation and operation of the GSCI. The Policy Committee may, if necessary or practicable, meet at other times during the year as issues arise that warrant its consideration. The Policy Committee currently consists of eight persons, three of whom are employees of the Index Sponsor or its affiliates and five of whom are not affiliated with the Index Sponsor. *Composition of the GSCI.* In order to be included in the GSCI, a contract must satisfy the following eligibility criteria:
(1)The contract must:
(a)Be in respect of a physical commodity and not a financial commodity;
(b)Have a specified expiration or term, or provide in some other manner for delivery or settlement at a specified time, or within a specified period, in the future; and
(c)Be available, at any given point in time, for trading at least five months prior to its expiration or such other date or time period specified for delivery or settlement.
(2)The commodity must be the subject of a contract that:
(a)Is denominated in U.S. dollars;
(b)Is traded on or through an exchange, facility or other platform, referred to as a “trading facility”, that has its principal place of business or operations in a country that is a member of the Organization for Economic Cooperation and Development and:
(i)Makes price quotations generally available to its members or participants (and, if the Index Sponsor is not such a member or participant, to the Index Sponsor) in a manner and with a frequency that is sufficient to provide reasonably reliable indications of the level of the relevant market at any given point in time;
(ii)Makes reliable trading volume information available to the Index Sponsor with at least the frequency required by the Index Sponsor to make the monthly determinations;
(iii)Accepts bids and offers from multiple participants or price providers; and
(iv)Is accessible by a sufficiently broad range of participants.
(3)The price of the relevant contract that is used as a reference or benchmark by market participants, referred to as the “daily contract reference price”, generally must have been available on a continuous basis for at least two years prior to the proposed date of inclusion in the GSCI. In appropriate circumstances, however, the Index Sponsor, in consultation with its Policy Committee, may determine that a shorter time period is sufficient or that historical daily contract reference prices for that contract may be derived from daily contract reference prices for a similar or related contract. The daily contract reference price may be (but is not required to be) the settlement price or other similar price published by the relevant trading facility for purposes of margining transactions or for other purposes.
(4)At and after the time a contract is included in the GSCI, the daily contract reference price for that contract must be published between 10:00 a.m. and 4:00 p.m., New York Time, on each Business Day relating to that contract by the trading facility on or through which it is traded and must generally be available to all members of, or participants in, that trading facility (and, if the Index Sponsor is not such a member or participant, to the Index Sponsor) on the same day from the trading facility or through a recognized third-party data vendor. Such publication must include, at all times, daily contract reference prices for at least one expiration or settlement date that is five months or more from the date the determination is made, as well as for all expiration or settlement dates during that five-month period.
(5)Volume data with respect to the contract must be available for at least the three months immediately preceding the date on which the determination is made.
(6)A contract that is not included in the GSCI at the time of determination and that is based on a commodity that is not represented in the GSCI at that time must, in order to be added to the GSCI at that time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least $15 billion. The total dollar value traded is the dollar value of the total quantity of the commodity underlying transactions in the relevant contract over the period for which the calculation is made, based on the average of the daily contract reference prices on the last day of each month during the period.
(7)A contract that is already included in the GSCI at the time of determination and that is the only contract on the relevant commodity included in the GSCI must, in order to continue to be included in the GSCI after that time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least $5 billion and at least $10 billion during at least one of the three most recent annual periods used in making the determination.
(8)A contract that is not included in the GSCI at the time of determination and that is based on a commodity on which there are one or more contracts already included in the GSCI at that time must, in order to be added to the GSCI at that time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least $30 billion.
(9)A contract that is already included in the GSCI at the time of determination and that is based on a commodity on which there are one or more contracts already included in the GSCI at that time must, in order to continue to be included in the GSCI after that time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least $10 billion and at least $20 billion during at least one of the three most recent annual periods used in making the determination.
(10)A contract that is:
(a)Already included in the GSCI at the time of determination must, in order to continue to be included after that time, have a reference percentage dollar weight of at least 0.10%. The “reference percentage dollar weight” of a contract represents the current value of the quantity of the underlying commodity that is included in the Index at a given time. This figure is determined by multiplying the contract production weight of a contract, or “CPW”, by the average of its daily contract reference prices on the last day of each month during the relevant period. These amounts are summed for all contracts included in the GSCI and each contract's percentage of the total is then determined. The CPW of a contract is its weight in the Index.
(b)Not included in the GSCI at the time of determination must, in order to be added to the GSCI at that time, have a reference percentage dollar weight of at least 0.75%.
(11)In the event that two or more contracts on the same commodity satisfy the eligibility criteria:
(a)Such contracts will be included in the GSCI in the order of their respective total quantity traded during the relevant period (determined as the total quantity of the commodity underlying transactions in the relevant contract), with the contract having the highest total quantity traded being included first, provided that no further contracts will be included if such inclusion would result in the portion of the GSCI attributable to that commodity exceeding a particular level.
(b)If additional contracts could be included with respect to several commodities at the same time, that procedure is first applied with respect to the commodity that has the smallest portion of the GSCI attributable to it at the time of determination. Subject to the other eligibility criteria described above, the contract with the highest total quantity traded on that commodity will be included. Before any additional contracts on the same commodity or on any other commodity are included, the portion of the GSCI attributable to all commodities is recalculated. The selection procedure described above is then repeated with respect to the contracts on the commodity that then has the smallest portion of the GSCI attributable to it. Beginning in 2007, in order for a contract to be included in the GSCI,
(1)the trading facility in which the contract is traded must allow market participants to execute spread transactions, through a single order entry, between the pairs of contract expirations included in the GSCI that at any given point in time will be involved in the rolls to be effected in the next three roll periods and
(2)a contract that is not included in the GSCI at the time of determination must, in order to be added to the GSCI at that time, have a reference percentage dollar weight of at least 1.00%. The contracts currently included in the GSCI are all futures contracts traded on the New York Mercantile Exchange, Inc. (“NYM”), the ICE Futures (“ICE”), the CME, the Chicago Board of Trade (“CBT”), the Coffee, Sugar & Cocoa Exchange, Inc. (“CSC”), the New York Cotton Exchange (“NYC”), the Kansas City Board of Trade (“KBT”), the COMEX Division of the New York Mercantile Exchange, Inc. (“CMX”) and the London Metal Exchange (“LME”). The futures contracts currently included in the GS Industrial Metals, their percentage dollar weights, their market symbols and the exchanges on which they are traded are as follows: Commodity Weight June 2006 (percent) Market symbol Trading facility Copper 43.44 IC LME. Aluminum 33.10 IA LME. Zinc 11.39 IZ LME. Nickel 9.53 IN LME. Lead 2.54 IL LME. The GSLE represents the same contracts in the GSCI, as determined by the Index Sponsor. The futures contracts currently included in the GSLE, their percentage dollar weights, their market symbols and the exchanges on which they are traded are as follows: Commodity Weight June 2006 (percent) Market symbol Trading facility WTI Crude Oil 17.74 CL NYM. Brent Crude Oil 8.42 LCO IPE. Unleaded Gas 4.92 NG NYM. Heating Oil 4.63 HO NYM. Natural Gas 3.58 HU NYM. Gas Oil 2.58 LGO IPE. Copper 9.03 IC LME. Aluminum 6.88 IA LME. Wheat 5.20 W CBT. Live Cattle 4.90 LC CME. Corn 4.80 C CBT. Gold 4.16 GC CMX. Sugar 3.97 SB CSC. Live Hogs 3.36 LH CME. Soybeans 3.13 S CBT. Zinc 2.37 IZ LME. Kansas Wheat 2.30 KW KBT. Nickel 1.98 IN LME. Cotton 1.84 CT NYC. Feeder Cattle 1.44 FC CME. Coffee 1.30 KC CSC. Lead 0.53 IL LME. Silver 0.51 SI CMX. Cocoa 0.43 CC CSC. The Index Sponsor has announced that, in August 2006, a portion of the unleaded gasoline component of the GSCI was replaced with the reformulated gasoline blendstock for oxygen blending futures contract (market symbol “RB”) traded on the NYM, due to the fact that the unleaded gasoline contract will no longer be listed after January 2007. The Index Sponsor has also announced that, in September 2006, no additional portions of the unleaded gasoline component of the GSCI will be rolled into the RB contract, and that the remainder of the unleaded gasoline component will be allocated across other contracts in the petroleum product complex of the GSCI. The Index Sponsor has not yet announced whether, or the extent to which, any further portions of the unleaded gasoline component of the GSCI will be rolled into the RB contract in the future. The GS Livestock represents the contracts in the GSCI that are in the livestock sector, as determined by the Index Sponsor. The futures contracts currently included in the GS Livestock, their percentage dollar weights, their market symbols and the exchanges on which they are traded are as follows: Commodity Weight June 2006 (percent) Market symbol Trading facility Live Cattle 50.53 LC CME. Live Hogs 34.58 LH CME. Feeder Cattle 14.88 FC CME. The GSNE represents the contracts in the GSCI® other than those in the energy sector, as determined by the Index Sponsor. The futures contracts currently included in the GSNE, their percentage dollar weights, their market symbols and the exchanges on which they are traded are as follows: Commodity Weight June 2006 Market symbol Trading facility Copper 15.53 IC LME. Aluminum 11.84 IA LME. Wheat 8.94 W CBT. Live Cattle 8.44 LC CME. Corn 8.26 C CBT. Gold 7.16 GC CMX. Sugar 6.83 SB CSC. Live Hogs 5.77 LH CME. Soybeans 5.39 S CBT. Zinc 4.07 IZ LME. Kansas Wheat 3.95 KW KBT. Nickel 3.41 IN LME. Cotton 3.16 CT NYC. Feeder Cattle 2.49 FC CME. Coffee 2.24 KC CSC. Lead 0.91 IL LME. Silver 0.88 SI CMX. Cocoa 0.73 CC CSC. The futures contracts currently included in the GSCI, their percentage dollar weights (as of January 20, 2006), their market symbols and the exchanges on which they are traded, trading hours (New York Time), Average Daily Trading Volume (“ADTV”) for 2005, and units per contract are as follows: PDW Commoditysymbol 1/20/06 (percent) Market facility Trading (contracts) ADTV (per contract) Units Crude Oil 30.05 CL NYM 237,535 1,000 bbls. Brent Crude Oil 13.81 LCO ICE 114,628 1,000 gal. Natural Gas 10.30 NG NYM 76,139 10,000 gal. Heating Oil 8.16 HO NYM 52,211 42,000 gal. Gasoline 7.84 HU NYM 52,406 42,000 gal. Gas Oil 4.41 LGO ICE 41,561 100 Mtons. Live Cattle 2.88 LC CME 23,173 40,000 lbs. Wheat 2.47 W CBT 38,838 5,000 bushels. Aluminum 2.88 IA LME 120,586 25 Mtons. Corn 2.46 C CBT 101,308 5,000 bushels. Copper 2.37 IC LME 76,116 25 Mtons. Soybeans 1.77 S CBT 73,957 5,000 bushels. Lean Hogs 2.00 LH CME 16,449 40,000 1bs. Gold 1.73 GC CMX 63,232 100 oz. Sugar 1.30 SB CSC 51,822 112,000 lbs. Cotton 0.99 CT NYC 15,335 50,000 lbs. Red Wheat 0.90 KW KBT 14,613 5,000 bushels. Coffee 0.80 KC CSC 15,888 37,500 lbs. Standard Lead 0.29 IL LME 16,128 25 Mtons. Feeder Cattle 0.78 FC CME 4,042 40,000 lbs. Zinc 0.54 IZ LME 42,070 25 Mtons. Primary Nickel 0.82 IN LME 13,812 6 Mtons. Cocoa 0.23 CC CSC 10,291 10 Mtons. Silver 0.20 SI CMX 22,017 5,000 oz. The hours of trading (New York Time) of the commodities in the chart above are as follows: Commodity Trading facility Trading hours (NY Time) Crude Oil NYM 10:00 am-2:30 pm. Brent Crude Oil (next day) ICE 8:00 pm-5:00 pm. Natural Gas NYM 10:00 am-2:30 pm. Heating Oil NYM 10:05 am-2:30 pm. Gasoline NYM 10:05 am-2:30 pm. Gas Oil (next day) ICE 8:00 pm-5:00 pm. Live Cattle CME 10:05 am-2:00 pm. Wheat CBT 10:30 am-2:15 pm. Aluminum LME 6:55 am-12:00 pm. Corn CBT 10:30 am-2:15 pm. Copper LME 7:00 am-12:00 pm. Soybeans CBT 10:30 am-2:15 pm. Lean Hogs CME 9:10 am-1:00 pm. Gold CMX 8:20 am-1:30 pm. Sugar CSC 9:00 am-12:00 pm. Cotton NYC 10:30 am-2:15 pm. Red Wheat KBT 10:30 am-2:15 pm. Coffee CSC 9:15 am-12:30 pm. Standard Lead LME 7:05 am-11:50 am. Feeder Cattle CME 10:05 am-2:00 pm. Zinc LME 7:10 am-11:55 am. Primary Nickel LME 7:10 am-11:55 am. Cocoa CSC 8:00 am-11:50 am. Silver CMX 8:25 am-1:25 pm. The quantity of each of the contracts included in the GSCI is determined on the basis of a five-year average, referred to as the “world production average,” of the production quantity of the underlying commodity as published by the United Nations Statistical Yearbook, the Industrial Commodity Statistics Yearbook and other official sources. However, if a commodity is primarily a regional commodity, based on its production, use, pricing, transportation or other factors, the Index Sponsor, in consultation with its Policy Committee, may calculate the weight of that commodity based on regional, rather than world, production data. At present, natural gas is the only commodity the weights of which are calculated on the basis of regional production data, with the relevant region defined as North America. The five-year moving average is updated annually for each commodity included in the GSCI, based on the most recent five-year period (ending approximately two years prior to the date of calculation and moving backwards) for which complete data for all commodities is available. The CPWs used in calculating the GSCI are derived from world or regional production averages, as applicable, of the relevant commodities, and are calculated based on the total quantity traded for the relevant contract and the world or regional production average, as applicable, of the underlying commodity. However, if the volume of trading in the relevant contract, as a multiple of the production levels of the commodity, is below specified thresholds, the CPW of the contract is reduced until the threshold is satisfied. This is designed to ensure that trading in each contract is sufficiently liquid relative to the production of the commodity. In addition, the Index Sponsor performs this calculation on a monthly basis and, if the multiple of any contract is below the prescribed threshold, the composition of the GSCI is reevaluated, based on the criteria and weighting procedure described above. This procedure is undertaken to allow the GSCI to shift from contracts that have lost substantial liquidity into more liquid contracts during the course of a given year. As a result, it is possible that the composition or weighting of the GSCI will change on one or more of these monthly evaluation dates. The likely circumstances under which the Index Sponsor would be expected to change the composition of the Index during a given year, however, are
(1)a substantial shift of liquidity away from a contract included in the Index as described above, or
(2)an emergency, such as a natural disaster or act of war or terrorism, that causes trading in a particular contract to cease permanently or for an extended period of time. In either event, the Index Sponsor will consult with the Policy Committee in connection with the changes to be made and will publish the nature of the changes, through Web sites, news media or other outlets, with as much prior notice to market participants as is reasonably practicable. Moreover, regardless of whether any changes have occurred during the year, the Index Sponsor reevaluates the composition of the GSCI, in consultation with its Policy Committee, at the conclusion of each year, based on the above criteria. Other commodities that satisfy that criteria, if any, will be added to the GSCI. Commodities included in the GSCI that no longer satisfy that criteria, if any, will be deleted. The Index Sponsor, in consultation with its Policy Committee, also determines whether modifications in the selection criteria or the methodology for determining the composition and weights of and for calculating the GSCI are necessary or appropriate in order to assure that the GSCI represents a measure of commodity market performance. The Index Sponsor has the discretion to make any such modifications, in consultation with its Policy Committee. *Total Dollar Weight of the GS Indexes.* The total dollar weight of each GS Index is the sum of the dollar weight of each of the underlying commodities. The dollar weight of each such commodity on any given day is equal to: • The daily contract reference price; • Multiplied by the appropriate CPW; and • During a roll period, the appropriate “roll weights”(discussed below). The daily contract reference price used in calculating the dollar weight of each commodity on any given day is the most recent daily contract reference price made available by the relevant trading facility, except that the daily contract reference price for the most recent prior day will be used if the exchange is closed or otherwise fails to publish a daily contract reference price on that day. In addition, if the trading facility fails to make a daily contract reference price available or publishes a daily contract reference price that, in the reasonable judgment of the Index Sponsor, reflects manifest error, the relevant calculation will be delayed until the price is made available or corrected; provided, that, if the price is not made available or corrected by 4 p.m. New York Time, the Index Sponsor may, if it deems that action to be appropriate under the circumstances, determine the appropriate daily contract reference price for the applicable futures contract in its reasonable judgment for purposes of the relevant GS Index calculation. *Calculation of Total Return Indexes.* The Total Return Indexes to which the performance of the Shares is linked, were established in May, 1991, with the exception of the Goldman Sachs Light Energy Total Return Index, which was established in April, 2004. Each Total Return Index reflects the return of the applicable Excess Return Index, together with the return on specified U.S. Treasury securities that are deemed to have been held to collateralize a hypothetical long position in the futures contracts comprising the applicable GS Index. *Calculation of the Excess Return Indexes.* The Excess Return Indexes, to which the performance of the applicable CERFs held by the Investing Pool are linked, were established in May, 1991, with the exception of GSLE-ER, which was established in April, 2004. Because futures contracts have scheduled expirations, or delivery months, as one contract nears expiration it becomes necessary to close out the position in that delivery month and establish a position in the next available delivery month. This process is referred to as “rolling” the position forward. Each Excess Return Index is designed to reflect the return from rolling each contract included in the applicable GS Index in this manner into the next available delivery month as it nears expiration. This is accomplished by selling the position in the first delivery month and purchasing a position of equivalent value in the second delivery month. If the price of the second contract is lower than the price of the first contract, the “rolling” process results in a greater quantity of the second contract being acquired for the same value. Conversely, if the price of the second contract is higher than the price of the first contract, the “rolling” process results in a smaller quantity of the second contract being acquired for the same value. The value of each Excess Return Index on any GSCI® Business Day is equal to the product of
(1)the value of the applicable Excess Return Index on the immediately preceding GSCI® Business Day multiplied by
(2)one plus the contract daily return on the GSCI® Business Day on which the calculation is made. The value of each Total Return Index on any GSCI® Business Day is equal to the product of
(1)the value of the Index on the immediately preceding GSCI® Business Day multiplied by
(2)one plus the sum of the contract daily return 12 and the Treasury bill return on the GSCI® Business Day on which the calculation is made, multiplied by
(3)one plus the Treasury bill return for each non-GSCI® Business Day since the immediately preceding GSCI® Business Day. The Treasury bill return is the return on a hypothetical investment at a rate equal to the interest rate on a specified U.S. Treasury bill. 12 The contract daily return on any given day is equal to the sum, for each of the commodities included in the applicable GS Index, of the applicable daily contract reference price on the relevant contract multiplied by the appropriate CPW and the appropriate “roll weight,” divided by the total dollar weight of the such GS Index on the preceding day, minus one. The “roll weight” of each commodity reflects the fact that the positions in contracts must be liquidated or rolled forward into more distant contract expirations as they near expiration. If actual positions in the relevant markets were rolled forward, the roll would likely need to take place over a period of days. Since the GS Indexes are designed to replicate the performance of actual investments in the underlying contracts, the rolling process incorporated in the GS Indexes also takes place over a period of days at the beginning of each month, referred to as the “roll period”. On each day of the roll period, the “roll weights” of the first nearby contract expirations on a particular commodity and the more distant contract expiration into which it is rolled are adjusted, so that the hypothetical position in the contract on the commodity that is included in the applicable GS Index is gradually shifted from the first nearby contract expiration to the more distant contract expiration. The Index Sponsor began calculating and publishing the GS Industrial Metals Index on Reuters Page GSCO in May 1991. The value of that Index has been normalized such that its hypothetical level on January 3, 1978 was 93.50. The Index Sponsor began calculating and publishing the GSLE on Reuters Page GSCE in April 2004. The value of the GSLE has been normalized such that its hypothetical level on January 5, 1970 was 100.06. The Index Sponsor began calculating and publishing the GS Livestock Index on Reuters Page GSCL in May 1991. The value of that Index has been normalized such that its hypothetical level on January 5, 1970 was 100.77. The Index Sponsor began calculating and publishing the GS Non-Energy Index on Reuters Page GSCN in May 1991. The value of the Index has been normalized such that its hypothetical level on January 5, 1970 was 100.06. *Valuation of CERFs; Computation of Trust's Net Asset Value.* On each Business Day on which the NYSE is open for regular trading, as soon as practicable after the close of regular trading of the Shares on the NYSE (normally, 4:15 p.m., New York Time), the Trustee will determine the net asset value of the Trusts and the NAV as of that time. The Trustee will value the Trusts' assets based upon the determination by the Manager, which may act through the Investing Pool Administrator, of the net asset value of the Investing Pool. The Manager will determine the net asset value of the Investing Pool as of the same time that the Trustee determines the net asset value of the Trusts. The Manager will value the Investing Pools' long position in CERFs on the basis of that day's announced CME settlement price for the CERFs. The value of the Investing Pools' CERF position (including any related margin) will equal the product of
(a)the number of CERF contracts owned by the particular Investing Pool and
(b)the settlement price on the date of calculation. If there is no announced CME settlement price for the CERF on a Business Day, the Manager will use the most recently announced CME settlement price unless the Manager determines that that price is inappropriate as a basis for evaluation. 13 The daily settlement price for the CERF is established by the CME shortly after the close of trading in Chicago on each trading day. 13 The Manager's use of a price that is not the most recently announced CME settlement price, other than on a temporary basis based on extraordinary circumstances, would require Commission approval of an Exchange proposed rule change pursuant to Rule 19b-4. Once the value of the CERFs and interest earned on any assets posted as margin and any other assets of the Investing Pool has been determined, the Manager will subtract all accrued expenses and liabilities of each Investing Pool as of the time of calculation in order to calculate the net asset value of the Investing Pool. The Manager, or the Investing Pool Administrator on its behalf, will then calculate the value of the applicable Trust's Investing Pool Interest and provide this information to the Trustee. Once the value of the Trusts' Investing Pool Interests have been determined and provided to the Trustee, the Trustee will subtract all accrued expenses and other liabilities of each Trust from the total value of the assets of the Trust, in each case as of the calculation time. The resulting amount is the net asset value of the Trust. The Trustee will determine the NAV by dividing the net asset value of the Trust by the number of Shares outstanding at the time the calculation is made. The NAV for each Business Day on which the NYSE is open for regular trading will be distributed through major market data vendors and will be published online at *http://www.ishares.com,* or any successor thereto. The Trusts will update the NAV as soon as practicable after each subsequent NAV is calculated. *Creations and Redemptions of Baskets.* *Creations of Baskets.* According to the Registration Statements, creation and redemption of interests in the Trusts, and the corresponding creation and redemption of interests in the respective Investing Pools, will generally be effected through transactions in “exchanges of futures for physicals”, or “EFPs.” EFPs involve contemporaneous transactions in futures contracts and the underlying cash commodity or a closely related commodity. In a typical EFP, the buyer of the futures contract sells the underlying commodity to the seller of the futures contract in exchange for a cash payment reflecting the value of the commodity and the relationship between the price of the commodity and the related futures contract. According to the Registration Statements, in the context of CERFs, CME rules permit the execution of EFPs consisting of simultaneous purchases (sales) of CERFs and sales (purchases) of Shares. This mechanism will generally be used by the Trusts in connection with the creation and redemption of Baskets. Specifically, it is anticipated that an Authorized Participant requesting the creation of additional Baskets typically will transfer CERFs and cash (or, in the discretion of the Trustee, Short-Term Securities in lieu of cash) to the Trusts in return for Shares. The Trusts will simultaneously contribute to the Investing Pools the CERFs (and any cash or securities) received from the Authorized Participant in return for an increase in its Investing Pool Interests. If an EFP is executed in connection with the redemption of one or more Baskets, an Authorized Participant will transfer to the applicable Trust the interests being redeemed and the Trust will transfer to the Authorized Participant CERFs, cash or Short-Term Securities. In order to obtain the CERFs, cash or Short-Term Securities to be transferred to the Authorized Participant, the Trust will redeem an equivalent portion of its interest in the Investing Pool Interests. The Trusts will offer Shares on a continuous basis on each Business Day, but only in Baskets consisting of 50,000 Shares. Baskets will be typically issued only in exchange for an amount of CERFs and cash (or, in the discretion of the Trustee, Short-Term Securities in lieu of cash) equal to the Basket Amount for the Business Day on which the creation order was received by the Trustee. The Basket Amount for a Business Day will have a per Share value equal to the NAV as of such day. However, orders received by the Trustee after 2:40 p.m., New York Time, will be treated as received on the next following Business Day. The Trustee will notify the Authorized Participants of the Basket Amount on each Business Day. Before the Trusts will issue any Baskets to an Authorized Participant, that Authorized Participant must deliver to the Trustee a creation order indicating the number of Baskets it intends to purchase and providing other details with respect to the procedures by which the Baskets will be transferred. The Trustee will acknowledge the creation order unless it or the Sponsor decides to refuse the order as described in the prospectus. Upon the transfer of
(1)the required consideration of CERFs and cash (or, in the discretion of the Trustee, Short-Term Securities in lieu of cash) in the amounts, and to the accounts, specified by the Trustee, and
(2)the Trustee's transaction fee per Basket (described below), the Trustee will deliver the appropriate number of Baskets to the DTC account of the Authorized Participant. In limited circumstances and with the approval of the Trustee, Baskets may be created for cash, in which case the Authorized Participant will be required to pay any additional issuance costs, including the costs to the applicable Investing Pool of establishing the corresponding CERF position. Only Authorized Participants can transfer the required consideration and receive Baskets in exchange. Authorized Participants may act for their own accounts or as agents for broker-dealers, custodians and other securities market participants that wish to create or redeem Baskets. An Authorized Participant will have no obligation to create or redeem Baskets for itself or on behalf of other persons. An order for one or more baskets may be placed by an Authorized Participant on behalf of multiple clients. The Sponsor and the Trustee will maintain a current list of Authorized Participants. No Shares will be issued unless and until the Trustee receives confirmation that
(1)the required consideration has been received in the account or accounts specified by the Trustee and
(2)the Manager confirms that Investing Pool Interests with an initial value equal to the consideration received for the Shares have been issued to the Trust. It is expected that delivery of the Shares will be made against transfer of consideration on the next Business Day (T+1) following the Business Day on which the creation order is received by the Trustee. If the Trustee has not received the required consideration for the Shares to be delivered on the delivery date, by 11 a.m., New York Time, the Trustee may cancel the creation order. 14 14 The price at which the Shares trade should be disciplined by arbitrage opportunities created by the ability to purchase or redeem shares of the Trust in Basket size. This should help ensure that the Shares will not trade at a material discount or premium to their net asset value or redemption value. *Redemptions of Baskets.* Authorized Participants may typically surrender Baskets in exchange only for an amount of CERFs and cash (or, in the discretion of the Trustee, Short-Term Securities in lieu of cash) equal to the Basket Amount on the Business Day the redemption request is received by the Trustee. However, redemption requests received by the Trustee after 2:40 p.m., New York Time (or, on any day on which the CME is scheduled to close early, after the close of trading of CERFs on the CME on such day), will be treated as received on the next following Business Day. Holders of Baskets who are not Authorized Participants will be able to redeem their Baskets only through an Authorized Participant. It is expected that Authorized Participants may redeem Baskets for their own accounts or on behalf of Shareholders who are not Authorized Participants, but they are under no obligation to do so. Before surrendering Baskets for redemption, an Authorized Participant must deliver to the Trustee a written request indicating the number of Baskets it intends to redeem and providing other details with respect to the procedures by which the required Basket Amount will be transferred. The Trustee will acknowledge the redemption order unless it or the Sponsor decides to refuse the redemption order as described in the Trusts' prospectuses. After the delivery by the Authorized Participant to the Trustee's DTC account of the total number of Shares to be redeemed by an Authorized Participant, the Trustee will deliver to the order of the redeeming Authorized Participant redemption proceeds consisting of CERFs and cash (or, in the discretion of the Trustee, Short-term Securities in lieu of cash). In connection with a redemption order, the redeeming Authorized Participant authorizes the Trustee to deduct from the proceeds of redemption a transaction fee per Basket (described below). In limited circumstances and with the approval of the Trustee, Baskets may be redeemed for cash, in which case the Authorized Participants will be required to pay any additional redemption costs, including the costs to the Investing Pool of liquidating the corresponding CERF position. The Trust will receive these redemption proceeds pursuant to the Trust's contemporaneous redemption of Investing Pool Interests of corresponding value. Shares can be surrendered for redemption only in Baskets consisting of 50,000 Shares each. It is expected that delivery of the CERFs, cash or Short-term Securities to the redeeming Shareholder will be made against transfer of the Baskets on the next Business Day following the Business Day on which the redemption request is received by the Trustee. If the Trustee's DTC account has not been credited with the total number of Shares to be redeemed pursuant to the redemption order by 11 a.m., New York Time, on the delivery date, the Trustee may cancel the redemption order. DTC will accept the Shares for settlement through its book-entry settlement system. Shares do not have any voting rights. *Fees and Expenses of the Trustee.* Each order for the creation of Baskets must be accompanied by a payment to the Trustee of a transaction fee per Basket of $6.50 multiplied by the number of CERFs included in the Basket Amount. For redemption orders, the redeeming Authorized Participant will authorize the Trustee to deduct from the proceeds of the redemption a transaction fee per Basket equal to $6.50 multiplied by the number of CERFs included in the Basket Amount, plus any expenses, taxes or charges (such as stamp taxes or stock transfer taxes or fees) related to the creation or surrender for redemption. The creation and redemption transaction fee per basket is subject to modification from time to time. The Trustee will be entitled to reimburse itself from the assets of the Trusts for all expenses and disbursements incurred by it for extraordinary services it may provide to the Trusts or in connection with any discretionary action the Trustee may take to protect the Trusts or the interests of the holders to the extent not paid by the Sponsor. *Dissemination of Information Relating to the Shares.* The Web site for the Trusts ( *http://www.ishares.com* ), which will be publicly accessible at no charge, will contain the following information:
(a)The prior Business Day's NAV and the reported closing price;
(b)the mid-point of the bid-ask price 15 in relation to the NAV as of the time the NAV is calculated (the “Bid-Ask Price”);
(c)calculation of the premium or discount of such price against such NAV;
(d)data in chart form displaying the frequency distribution of discounts and premiums of the Bid-Ask Price against the NAV, within appropriate ranges for each of the four previous calendar quarters;
(e)the prospectus;
(f)the holdings of the Trusts, including CERFs, cash and Treasury securities;
(g)the Basket Amount, and
(h)other applicable quantitative information. The Exchange on its Web site at *http://www.nyse.com* will include a hyperlink to the Trusts' Web site at *http://www.ishares.com.* 15 The bid-ask price of Shares is determined using the highest bid and lowest offer as of the time of calculation of the NAV. As described above, the NAV for the Fund will be calculated and disseminated daily. The NYSE also intends to disseminate, during NYSE trading hours for the Trusts on a daily basis by means of CTA/CQ High Speed Lines information with respect to the Indicative Value (as discussed below), recent NAV, and Shares outstanding. The Exchange will also make available on *http://www.nyse.com* daily trading volume, closing prices, and the NAV. The Sponsor for the Trusts (Barclays Global Investors International, Inc.) has represented to the Exchange that the Trustee for the Trusts will make the net asset value (“NAV”) for the Trust available to all market participants at the same time. At present, official calculation by the Index Sponsor of the value of each GS Index is performed continuously and is updated on Reuters at least every fifteen seconds during NYSE trading hours for the Shares and during business hours on each Business Day (as defined above) on which the offices of Goldman Sachs in New York City are open for business. In the event that the Exchange is open for business on a day that is not a GSCI Business Day, the Exchange will not permit trading of the Shares on that day. In addition, values updated at least every fifteen seconds are disseminated on Reuters for the Total Return Indexes during Exchange trading hours. Daily settlement values for the GS Indexes, Total Return Indexes and Excess Return Indexes are also widely disseminated. If the relevant trading facility fails to make a daily contract reference price available or publishes a daily contract reference price that, in the reasonable judgment of the Index Sponsor, reflects manifest error, the relevant calculation will be delayed until the price is made available or corrected; provided, that, if the price is not made available or corrected by 4 p.m. New York Time, the Index Sponsor may, if it deems that action to be appropriate under the circumstances, determine the appropriate daily contract reference price for the applicable futures contract in its reasonable judgment for purposes of the relevant GSCI calculation. If such actions by the Index Sponsor are implemented on more than a temporary basis, the Exchange will contact the Commission Staff and, as necessary, make an appropriate filing under Rule 19b-4. Various data vendors and news publications publish futures prices and data. Futures quotes and last sale information for the commodities underlying the Index are widely disseminated through a variety of market data vendors worldwide, including Bloomberg and Reuters. In addition, complete real-time data for such futures is available by subscription from Reuters and Bloomberg. The futures exchanges or which the underlying commodities and CERFs trade also provide delayed futures information on current and past trading sessions and market news generally free of charge on their respective Web sites. The specific contract specifications for the futures contracts are also available from the futures exchanges on their Web sites as well as other financial informational sources. *Indicative Value.* In order to provide updated information relating to the Trusts for use by investors, professionals, and other persons, the Exchange will disseminate through the facilities of CTA an updated Indicative Value on a per Share basis as calculated by Bloomberg. The Indicative Value will be disseminated at least every 15 seconds from 9:30 a.m. to 4:15 p.m. New York Time. The Indicative Value will be calculated based on the cash and collateral in a Basket Amount divided by 50,000, adjusted to reflect the market value of the investments held by the applicable Investing Pool, *i.e.* CERFs. The Indicative Value will not reflect price changes to the price of an underlying commodity between the close of trading of the futures contract at the relevant futures exchange and the close of trading on the NYSE at 4:15 p.m. New York Time. The value of a Share may accordingly be influenced by non-concurrent trading hours between the NYSE and the various futures exchanges on which the futures contracts based on the Index commodities are traded. While the Shares will trade on the NYSE from 9:30 a.m. to 4:15 p.m. New York Time, the table above lists the trading hours for each of the Index commodities underlying the futures contracts. When the market for futures trading for each of the Index commodities is open, the Indicative Value can be expected to closely approximate the value per Share of the Basket Amount. However, during NYSE trading hours when the futures contracts have ceased trading, spreads and resulting premiums or discounts may widen, and, therefore, increase the difference between the price of the Shares and the NAV of the Shares. Indicative Value on a per Share basis disseminated during NYSE trading hours should not be viewed as a real time update of the NAV, which is calculated only once a day. The Exchange believes that dissemination of the Indicative Value provides additional information that is not otherwise available to the public and is useful to professionals and investors in connection with the Shares trading on the Exchange or creation or redemption of the Shares. Other Characteristics of the Shares *General Information.* A minimum of two Baskets, representing 100,000 Shares, will be outstanding for each Trust at the commencement of trading on the Exchange. Trading in Shares on the Exchange will be effected normally from 9:30 a.m. until 4:15 p.m. each day on which the Exchange is open for trading. The minimum trading increment for Shares on the Exchange will be $0.01. *Fees.* The Exchange original listing fee applicable to the listing of each Trust will be $5,000. The annual continued listing fee for each Trust will be $2,000. *Continued Listing Criteria.* Under the applicable continued listing criteria, the Shares may be delisted as follows:
(1)Following the initial twelve-month period beginning upon the commencement of trading of the Shares, there are fewer than 50 record and/or beneficial holders of the Shares for 30 or more consecutive trading days;
(2)the value of the Total Return Indexes cease to be calculated by or available from a major market data vendor on at least a 15-second basis from a source unaffiliated with the Sponsor, the Trust or the Trustee;
(3)the Indicative Value ceases to be available on at least a 15-second delayed basis from a major market data vendor; or
(4)such other event shall occur or condition exist that, in the opinion of the Exchange, makes further dealings on the Exchange inadvisable. The Exchange will remove Shares from listing and trading upon termination of the Trust. In addition, the Exchange will file a proposed change pursuant to Rule 19b-4 under the Act 16 seeking approval to continue trading the Shares and, unless approved, the Exchange will commence delisting the Shares, if:
(1)The Index Sponsor substantially changes either the applicable Index component selection methodology or the weighting methodology;
(2)a new component is added to the Index (or pricing information is used for a new or existing component) that constitutes more than 10% of the weight of the Index with whose principal trading market the Exchange does not have a comprehensive surveillance sharing agreement;
(3)the Manager uses a price to value the Investing Pool's long position in CERFs based on a price other than the most recently announced CME settlement price, other than on a temporary basis based on extraordinary circumstances; or
(4)a successor or substitute index is used in connection with the Shares. With respect to the successor or substitute index, the Rule 19b-4 filing will address, among other things, the listing and trading characteristics of such index and the Exchange's surveillance procedures applicable thereto. 16 15 U.S.C. 78a. *Exchange Trading Rules and Policies.* The Shares are considered “securities” pursuant to NYSE Rule 3 and are subject to all applicable trading rules. The Trust is exempt from corporate governance requirements in Section 303A of the NYSE Listed Company Manual, including the Exchange's audit committee requirements in Section 303A.06. 17 17 See Rule 10A-3(c)(7), 17 CFR 240.10A-3(c)(7) (stating that a listed issuer is not subject to the requirements of Rule 10A-3 if the issuer is organized as a trust or other unincorporated association that does not have a board of directors and the activities of the issuer are limited to passively owning or holding securities or other assets on behalf of or for the benefit of the holders of the listed securities). *See also* Securities Exchange Act Release Nos. 48745, November 4, 2003; 68 FR 64154, November 12, 2003 (SR-NYSE-2002-33, SR-NASD-2002-77, et al.) (specifically noting that the corporate governance standards will not apply to, among others, passive business organizations in the form of trusts); and 47654, April 25, 2003; 68 FR 18788, April 16, 2003 (noting in Section II(F)(3)(c) that “SROs may exclude from Exchange Act Rule 10A-3's requirements issuers that are organized as trusts or other unincorporated associations that do not have a board of directors or persons acting in a similar capacity and whose activities are limited to passively owning or holding (as well as administering and distributing amounts in respect of) securities, rights, collateral or other assets on behalf of or for the benefit of the holders of the listed securities”). The Exchange has adopted Rules 1300B (“Commodity Trust Shares”) to deal with issues related to the trading of the Shares. Specifically, for purposes of Rules 13 (“Definitions of Orders”), 36.30 (“Communications Between Exchange and Members” Offices”), 98 (“Restrictions on Approved Person Associated with a Specialist's Member Organization), 104 (“Dealings by Specialists”), 105(m) (“Guidelines for Specialists” Specialty Stock Option Transactions Pursuant to Rule 105”), 460.10 (“Specialists Participating in Contests”), 1002 (“Availability of Automatic Feature”), and 1005 (“Order May Not Be Broken Into Smaller Accounts”), the Shares will be treated similar to Investment Company Units. 18 18 In particular, Rule 1300B provides that Rule 105(m) is deemed to prohibit an equity specialist, his member organization, other member, allied member or approved person in such member organization or officer or employee thereof from acting as a market maker or functioning in any capacity involving market-making responsibilities in the applicable futures contracts, except as otherwise provided therein. When these Rules discuss Investment Company Units, references to the word index (or derivative or similar words) are deemed to be references to the applicable commodity or commodity index price and reference to the word security (or derivative or similar words) are deemed to be references to Commodity Trust Shares. The Exchange does not currently intend to exempt Commodity Trust Shares from the Exchange's “Market-on-Close/Limit-on-Close/Pre-Opening Price Indications” Policy, although the Exchange may do so by means of a rule change in the future if, after having experience with the trading of the Shares, the Exchange believes such an exemption is appropriate. As a general matter, the Exchange has regulatory jurisdiction over its member organizations and any person or entity controlling a member organization. The Exchange also has regulatory jurisdiction over a subsidiary or affiliate of a member organization that is in the securities business. A member organization subsidiary or affiliate that does business only in commodities would not be subject to NYSE jurisdiction, but the Exchange could obtain certain information regarding the activities of such subsidiary or affiliate through reciprocal agreements with regulatory organizations of which such subsidiary or affiliate is a member. Surveillance The Exchange represents that its surveillance procedures are adequate to properly monitor the trading of the Shares and the Index components. The Exchange will rely upon existing NYSE surveillance procedures governing equities with respect to surveillance of the Shares. The Exchange believes that these procedures are adequate to monitor Exchange trading of the Shares, to detect violations of Exchange rules, consequently deterring manipulation. In this regard, the Exchange currently has the authority under NYSE Rule 476 to request the Exchange specialist in the Shares to provide NYSE Regulation with information that the specialist uses in connection with pricing the Shares on the Exchange, including specialist proprietary or other information regarding securities, commodities, futures, options on futures or other derivative instruments. The Exchange believes it also has authority to request any other information from its members—including floor brokers, specialists and “upstairs” firms—to fulfill its regulatory obligations. With regard to the Index components, the Exchange can obtain market surveillance information, including customer identity information, with respect to transactions occurring on the New York Mercantile Exchange, the Kansas City Board of Trade, ICE and the LME, pursuant to its comprehensive information sharing agreements with each of those exchanges. All of the other trading venues on which current components of the Total Return Indexes and CERFs are traded are members of the Intermarket Surveillance Group (“ISG”) and the Exchange therefore has access to all relevant trading information with respect to those contracts without any further action being required on the part of the Exchange. Trading Halts With respect to trading halts, the Exchange may consider all relevant factors in exercising its discretion to halt or suspend trading in the Shares. Trading on the Exchange in the Shares may be halted because of market conditions or for reasons that, in the view of the Exchange, make trading in the Shares inadvisable. These may include
(1)the extent to which trading is not occurring in the underlying commodities or
(2)whether other unusual conditions or circumstances detrimental to the maintenance of a fair and orderly market are present. In addition, trading in Shares is subject to trading halts caused by extraordinary market volatility pursuant to Exchange's “circuit breaker” rule. 19 If the value of the Total Return Index associated with a Trust's Shares or the applicable Indicative Value is not being disseminated on at least a 15 second basis during the hours the Shares trade on the Exchange, the Exchange may halt trading during the day in which the interruption to the dissemination of the Indicative Value or the Index value occurs. If the interruption to the dissemination of the Indicative Value or the Index value persists past the trading day in which it occurred, the Exchange will halt trading no later than the beginning of the trading day following the interruption. 19 *See* NYSE Rule 80B. Due Diligence Before a member, member organization, allied member or employee thereof recommends a transaction in the Shares, such person must exercise due diligence to learn the essential facts relative to the customer pursuant to Exchange Rule 405, and must determine that the recommendation complies with all other applicable Exchange and Federal rules and regulations. A person making such recommendation should have a reasonable basis for believing, at the time of making the recommendation, that the customer has sufficient knowledge and experience in financial matters that he or she may reasonably be expected to be capable of evaluating the risks and any special characteristics of the recommended transaction, and is financially able to bear the risks of the recommended transaction. Information Memo The Exchange will distribute an Information Memo to its members in connection with the trading in the Shares. The Memo will discuss the special characteristics and risks of trading this type of security. Specifically, the Memo, among other things, will discuss what the Shares are, that Shares are not individually redeemable but are redeemable only in Baskets of 50,000 shares or multiples thereof, how a Basket is created and redeemed, applicable Exchange rules, the Indicative Value, dissemination information, trading information and the applicability of suitability rules, and exemptive relief granted by the Commission from certain rules under the Act. 20 The Memo will also reference that the Trusts are subject to various fees and expenses described in the Registration Statements. Finally, the Memo will also note to members language in the Registration Statements regarding prospectus delivery requirements for the Shares. The Memo will also reference the fact that there is no regulated source of last sale information regarding physical commodities and that the Commission has no jurisdiction over the trading of physical commodities or the futures contracts on which the value of the shares is based. 20 The applicable rules are: Rule 10a-1; Rule 200(g) of Regulation SHO, Section 11(d)(1) and Rule 11d1-2, and Rules 101 and 102 of Regulation M under the Act. 2. Statutory Basis The Exchange believes that the basis under the Act for this proposed rule change is the requirement under Section 6(b)(5) 21 that an exchange have rules that are designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to remove impediments to, and perfect the mechanism of a free and open market and, in general, to protect investors and the public interest. 21 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 will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Exchange 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 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, as amended, 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, 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-NYSE-2006-75 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-NYSE-2006-75. 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-2006-75 and should be submitted on or before January 16, 2007. For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 22 22 17 CFR 200.30-3(a)(12). J. Lynn Taylor, Assistant Secretary. [FR Doc. E6-22394 Filed 12-28-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54998; File No. SR-NYSE-2006-98] Self-Regulatory Organizations; New York Stock Exchange LLC.; Order Approving Proposed Rule Change and Notice of filing and Order Granting Accelerated Approval to Amendment No. 1 Thereto, Regarding the Amendment of NYSE Rule 300 Relating to Trading Licenses and the Deletion of NYSE Rule 300T December 21, 2006. I. Introduction On November 3, 2006, the New York Stock Exchange LLC (“NYSE” or “Exchange”) filed with the Securities and Exchange Commission (“Commission”), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”) 1 and Rule 19b-4 thereunder, 2 a proposed rule change to amend NYSE Rule 300 to eliminate the modified Dutch auction process for the pricing and issuance of annual trading licenses and to impose a fixed, annual price of $50,000 for trading licenses issued for calendar year 2007. The Exchange also proposed to increase the fee relating to the approval of any new member or pre-qualified substitute, as well as to delete NYSE Rule 300T that pertained only to the initial issuance of trading licenses for calendar year 2006. The proposed rule change was published for comment in the **Federal Register** on November 14, 2006. 3 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b-4. 3 *See* Securities Exchange Act Release No. 54713 (November 6, 2006), 71 FR 66359. The Commission received three comments on the proposed rule change. 4 On November 28, 2006, NYSE submitted Amendment No. 1 to the proposed rule change. In Amendment No. 1, the Exchange proposed to remove the deposit and termination fee requirements associated with the issuance of trading licenses. On December 18, 2006, NYSE filed a response to two of the comment letters (“NYSE Response”). 4 November 28, 2006 letter from Junius W. Peake, Professor, University of Northern Colorado (“First Peake Letter”); December 5, 2006 letter from Frank Lipari, President, and Andrew W. Strobel, Chief Compliance Officer, Lipari Partners, Inc. (“Lipari Letter”); and December 18, 2006 letter from Junius W. Peake, Professor, University of Northern Colorado (“Second Peake Letter”). This order approves the proposed rule change. Simultaneously, the Commission provides notice of filing of Amendment No. 1 and grants accelerated approval of Amendment No. 1. II. Summary of Comments and NYSE's Response The Commission received three letters from two commenters on the proposed rule change. 5 Both commenters objected to the proposed fixed fee and favored retaining the Dutch auction process for pricing trading licenses. The Lipari Letter asserted that the 2006 trading license fee should be the reference point for an auction to establish the price of the trading licenses for 2007. The Lipari Letter noted that, because price discovery is a feature of trading on the floor of NYSE, it should also be employed in the pricing of trading licenses. 5 *See id.* The First Peake Letter argued that, in the commenter's view, the value of a NYSE floor trading license has diminished as a result of the Exchange's merger with Archipelago Holdings, Inc. (“Archipelago”). The commenter further argued that a reduced presence of firms on the NYSE floor might further reduce the demand for trading licenses, particularly as Regulation NMS is implemented. The First Peake Letter also contended that the NYSE is in a quasi-monopolistic position on account of its market share and that the proposal is anticompetitive. The Second Peake Letter commented on the Commission's approval process with respect to the proposed rule change. In response to the Lipari Letter and the First Peake Letter, the Exchange noted that the proposal to eliminate the Dutch auction process was made in response to comments it received from many of its member organizations about the undesirability of using this auction process to price trading licenses. The Exchange noted that the price for trading licenses for 2006 was $49,290 (not $42,290, as was stated in the Lipari Letter). The Exchange asserted that the proposed fixed trading license price of $50,000 for 2007 represents a minimal, incremental increase over the trading license price for 2006. The Exchange also argued that, when the effects of inflation are taken into account, the $50,000 trading license price for 2007 is actually lower than the 2006 trading license price. The Exchange disagreed with the Liparti Letter's assertion that the Exchange is incapable of setting a fair price because of profit motives. The Exchange pointed out that it has other valuable sources of revenue from activity on the Exchange and that imposing an unreasonably high trading license price would likely reduce access to, and activity on, its trading facilities, thus diminishing the overall profitability of the Exchange. In response to the First Peake Letter, the Exchange noted that the trading license application process for the 2007 trading licenses, which is already in progress, has demonstrated a robust demand for trading licenses at the proposed fixed price of $50,000. The Exchange noted that the reduction in physical presence on its floor is attributable to the roll-out of its Hybrid-Market initiative, which enables electronic execution on the Exchange. The Exchange asserted that, in the event that the price of access to its market (in this case $50,000 for a trading license) is too high or unfair, market participants have demonstrated their ability to use other venues for order execution. III. Discussion and Commission Findings The Commission has reviewed carefully the proposed rule change, the comment letters, and the NYSE's response to the comments, and finds that the proposed rule change, as amended, is consistent with the requirements of the Act and the rules and regulations thereunder applicable to a national securities exchange 6 and, in particular, the requirements of Section 6(b)(4) of the Act. 7 Section 6(b)(4) requires, among other things, that the rules of an exchange provide for the equitable allocation of reasonable dues, fees, and other charges among its members and users and other persons using its facilities. The Commission believes that the Exchange's proposal to eliminate the annual Dutch auction process to determine the price of trading licenses and to establish a fixed fee of $50,000 per trading license is reasonable. In the Commission's view, the fixed fee removes uncertainty in the process for establishing the price of trading licenses and helps to simplify the process for the issuance of trading licenses. While both commenters on the proposal believe that the Dutch auction process is a fairer means of establishing the price for trading licenses for members, the Commission notes that the Exchange has stated that the proposed rule change was based on comments it received from many of its member organizations about the undesirability of the Dutch auction process. The Exchange also stated that moving to a fixed price would simplify the process for member organizations to obtain trading licenses. 6 In approving this proposed rule change, the Commission notes that it has considered the proposed rule's impact on efficiency, competition, and capital formation. 15 U.S.C. 78c(f). 7 15 U.S.C. 78f(b)(4). The Commission also believes that the increased fee for the approval of any new member or pre-qualified substitute is reasonable. The Exchange has represented that the new fee is necessary to defray the administrative expenses associated with this process and that it is equivalent to the fee for transfers of memberships charged by the Exchange prior to its merger with Archipelago. The Commission also believes that the proposals to eliminate the deposit fee and termination fee requirements associated with the issuance of trading licenses and to remove NYSE Rule 300T are appropriate. The Commission finds good cause for approving Amendment No. 1 before the 30th day after the date of publication of notice of filing thereof in the **Federal Register.** Amendment No. 1 would eliminate the deposit and termination fee requirements associated with the purchase of trading licenses. Because the changes set forth in Amendment No. 1 involve a reduction in fees and do not appear to raise any issues of regulatory concern, the Commission finds good cause for accelerating approval of Amendment No. 1. IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning the foregoing, including whether the Amendment No. 1 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-2006-98 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-2006-98. 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 NYSE. 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-2006-98 and should be submitted on or before January 19, 2007. V. Conclusion It is therefore ordered, pursuant to Section 19(b)(2) of the Act, 8 that the proposed rule change (SR-NYSE-2006-98) be, and it hereby is, approved, and that Amendment No. 1 to the proposed rule change be, and hereby is, approved on an accelerated basis. 8 15 U.S.C. 78s(b)(2). For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 9 9 17 CFR 200.30-3(a)(12); 17 CFR 200.30-3(a)(44). Florence E. Harmon, Deputy Secretary. [FR Doc. E6-22397 Filed 12-28-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 55003; File No. SR-NYSE-2006-109] Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing of Proposed Rule Change Relating to NYSE Regulation, Inc. Policies Regarding Exercise of Power to Fine NYSE Member Organizations and Use of Money Collected as Fines December 22, 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 December 6, 2006, the New York Stock Exchange LLC (“Exchange” or “NYSE”) 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 substantially by the Exchange. 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. I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change NYSE Regulation, Inc. (“NYSE Regulation”) proposed to adopt internal procedures to assure the proper exercise by NYSE Regulation of its power to fine member organizations of the Exchange and the proper use by NYSE Regulation of the funds so collected. The text of the proposed rule change is available at the Exchange, the Commission's Public Reference Room, and *http://www.nyse.com.* II. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange included statements concerning the purpose of and basis for the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in Sections A, B, and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization's Statement of the Purpose of, and the Statutory Basis for, the Proposed Rule Change 1. Purpose In conversation with the staff of the Commission, prior to Commission approval of rule changes related to the merger of the New York Stock Exchange, Inc. with Archipelago Holdings, Inc., the Exchange undertook to subsequently file with the Commission a proposed rule change regarding NYSE Regulation's use of fines collected from member organizations following disciplinary action by NYSE Regulation against such member organizations. 3 3 *See* Securities Exchange Act Release No. 53382 (February 27, 2006), 71 FR 11251 (March 6, 2006) (SR-NYSE-2005-77), at note 231 (“Approval Order”). The purpose of this proposed rule change is to provide increased transparency regarding the processes which NYSE Regulation has in place to insure that the power of the Exchange, through NYSE Regulation, to impose fines on its members for disciplinary violations is exercised appropriately, and particularly to guard against the possibility that fines may be assessed to respond to budgetary needs rather than to serve a disciplinary purpose. The process proposed by NYSE Regulation is a combination of specific limits on the use of fine income coupled with active and ongoing board review of how income from fines is used by NYSE Regulation. Important to an understanding of this issue is the specific corporate governance arrangements which have already been put in place with Commission approval to insure the independence of NYSE Regulation, the subsidiary to which the Exchange has delegated the performance of its regulatory functions. This not-for-profit wholly-owned subsidiary of the Exchange is governed by a board of directors all of whom meet the independence policy applied to the board of NYSE Group, Inc. (“NYSE Group”), and a majority of whom do not serve on any other board within the NYSE Group (“non-affiliated directors”). This arrangement assures that the non-affiliated directors remain completely free from any suggestion that their interests in serving NYSE Regulation might at times conflict with a duty to NYSE Group or one of its other affiliates. The chief executive officer of NYSE Regulation, Richard Ketchum, reports only to the board of NYSE Regulation, and not to the chief executive or any other officer of NYSE Group. In addition, NYSE Regulation has its own compensation committee and nominating and governance committee, both of which must be comprised of a majority of non-affiliated directors. None of the employees of NYSE Regulation are entitled to own the stock of NYSE Group. The Exchange has the authority under the Act 4 to assess its members to cover its costs of regulation, and the Exchange has delegated this authority to NYSE Regulation with respect to regulatory and certain other fees. Subject to the requirement to file fees with the Commission, NYSE Regulation determines, assesses, collects and retains examination, access, registration, qualification, continuing education, arbitration, dispute resolution and other regulatory fees. NYSE Regulation funds its examination programs for assuring financial responsibility and compliance with sales practice rules, testing, and continuing education through fees assessed directly on member organizations. 4 15 U.S.C. 78a, *et seq.* NYSE Regulation also receives funding from markets for which it provides regulatory services; at this time, the Exchange and NYSE Arca, Inc. There is also an explicit agreement among NYSE Group, the Exchange, NYSE Market, Inc. and NYSE Regulation to provide adequate funding to NYSE Regulation. Finally, the Exchange's Operating Agreement specifies that the Exchange, as the owner of NYSE Regulation, “shall not use any assets of, or any regulatory fees, fines or penalties collected by, [NYSE Regulation] for commercial purposes or distribute such assets, fees, fines or penalties to [NYSE Group] or any other entity other than NYSE Regulation.” Notwithstanding all the foregoing, subsequent to the Approval Order and to comply with the undertaking made to the Commission staff and referenced in the Approval Order, NYSE Regulation has adopted the following additional internal procedures to assure the proper exercise of its power to fine member organizations and the proper use of the funds so collected. a. Fines will play no role in the annual NYSE Regulation budget process. As in any corporate entity, NYSE Regulation prepares an operating budget in advance of each fiscal year. Beginning this year with the preparation of the 2007 operating budget, fines will be budgeted at zero, that is, budgeted expenses of NYSE Regulation will be offset entirely by budgeted income that does not include any anticipated income from fines. Among other things, this means that fines will not offset amounts budgeted for compensation of NYSE Regulation employees or directors. During the course of a year, income from fines will be considered as available to fund non-compensation expenses of NYSE Regulation, which expenses were not anticipated in the budget process or which could not be included in the budget prepared in advance of the fiscal year because NYSE Regulation was unable to budget sufficient income from sources other than fines to offset the expenses. b. The use of fine income by NYSE Regulation will be subject to specific review and approval by the NYSE Regulation board of directors. On a quarterly basis, the staff of NYSE Regulation will provide to the board a report on the amount of fine income received to date during the year and recommendations regarding its proposed use to fund regulatory expenses as above described. The use of the fine income will be subject to board approval. Following each year, the staff of NYSE Regulation will provide the board a report reprising the fines imposed and the utilization of fine income by NYSE Regulation during that year. This report will analyze fines imposed by NYSE Regulation for consistency with precedent from both other NYSE disciplinary cases as well as publicly available disciplinary cases adjudicated by the National Association of Securities Dealers, Inc. and the Commission. Each year the board will also consider whether unused fine income has accumulated beyond a level reasonably necessary for future contingencies, and may determine to utilize any such excess to fund one or more special projects of NYSE Regulation, to reduce fees charged by NYSE Regulation to its member organizations or the markets that it serves, or for a charitable purpose. 2. Statutory Basis The basis under the Exchange Act for this proposed rule change is the requirement under Section 6(b)(5) 5 that an exchange have rules that are designed to prevent fraudulent and manipulative acts and practices, to promote just and equitable principles of trade, to remove impediments to, and perfect the mechanism of a free and open market and, in general, to protect investors and the public interest. 5 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 will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants, or Others The Exchange has neither solicited nor received written comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 35 days of the date of publication of this notice in the **Federal Register** or within such longer period
(i)as the Commission may designate up to 90 days of such date if it finds such longer period to be appropriate and publishes its reasons for so finding or
(ii)as to which 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-NYSE-2006-109 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-NYSE-2006-109. 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-2006-109 and should be submitted on or before January 19, 2007. For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 6 6 17 CFR 200.30-3(a)(12). Florence E. Harmon, Deputy Secretary. [FR Doc. E6-22399 Filed 12-28-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54982; File No. SR-NYSE-2006-61] Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing of Proposed Changes and Amendment No. 1 thereto to Rules 601, 607, 612 and 629 Relating to Single Arbitrators for Claims not Exceeding $200,000 December 20, 2006. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (the “Act”), 1 and Rule 19b-4 2 thereunder, notice is hereby given that on July 13, 2006, the New York Stock Exchange LLC (“NYSE” or the “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 NYSE. On December 19, 2006, the NYSE filed Amendment No. 1 to the proposed rule change (“Amendment No. 1”). 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 In Amendment No. 1, which supplemented the original filing, the Exchange provided more information regarding the proposed amendments to certain arbitration fees and hearing deposits, and clarified certain aspects of the rule filing. I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change Under the proposed rule change, matters in controversy involving customer or non-member claims not exceeding $200,000 (excluding costs and interest) would be decided by one public arbitrator, unless the customer or non-member requests that the matter be decided by one securities industry arbitrator. 4 In addition, the proposed rule change would reduce several customers' fees and hearing deposits for matters involving one arbitrator. The text of the proposed rule change, as amended, is available on the NYSE's Web site ( *http://www.NYSE.com* ), at the NYSE's principal office, and at the Commission's Public Reference Room. 4 NYSE stated that approximately one-third of NYSE arbitration matters since 2002 have involved claims of less than $200,000. Telephone conversation among Karen Kupersmith, Director of Arbitration, NYSE; Lourdes Gonzalez, Assistant Chief Counsel—Sales Practices, Commission; and Michael Hershaft, Special Counsel, Commission (Dec. 20, 2006). 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 NYSE included statements concerning the purpose of and basis for the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The NYSE has prepared summaries, set forth in Sections A, B, and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The NYSE is proposing to amend Rules 601 (Simplified Arbitration), 607 (Appointment of Arbitrators), 612 (Initiation of Proceedings), and 629 (Schedule of Fees). As described in more detail below, the proposed amendments would provide that all arbitration matters involving customers or non-members not exceeding $25,000 would be resolved on the papers ( *i.e.* , without a hearing) by one public arbitrator or, upon request of the customer or non-member, by one securities industry arbitrator. The customer or non-member also could demand or consent to a hearing for matters not exceeding $25,000. In addition, all arbitration matters involving customers or non-members exceeding $25,000, but not exceeding $200,000 (excluding costs and interest), would be heard by one public arbitrator at a hearing, unless the customer or non-member requests that the matter be heard by one securities industry arbitrator. The proposed amendments would clarify that, to the extent the rules provide for a choice in panel composition or method of arbitrator appointment, the customer's choice prevails. 5 Finally, the proposed amendments also would reduce several fees and hearing deposits for matters heard by one arbitrator. 5 In arbitration matters involving non-members and members, but not customers, the non-member's choice prevails. See NYSE Rules 607(a)(1) and 607(c)(2)(i)(a)-(b). Simplified Arbitration NYSE Rule 601 currently provides that any dispute, claim or controversy between a customer and an associated person or a member not exceeding $25,000 is resolved by one public arbitrator on the papers, unless the customer requests or consents to a hearing, or the arbitrator calls a hearing. 6 If the respondent files a related counterclaim exceeding $25,000, the arbitrator may refer the claim, counterclaim and/or a third-party claim to a panel of three arbitrators. 7 The arbitrator also may dismiss the counterclaim and/or third-party claim, without prejudice to the counterclaimants and/or third-party claimants pursuing their claims in a separate proceeding. 6 NYSE Rule 601(f). 7 NYSE Rule 601(d). The proposal would amend NYSE Rules 601(a) and 601(f) to provide that all arbitration matters involving customers or non-members not exceeding $25,000 would be resolved by one public arbitrator on the papers, unless the customer or non-member demands or consents to a hearing, or the arbitrator calls a hearing. The proposed amendments to NYSE Rule 601(f) also would clarify that the customer or non-member may request that the matter be resolved by one securities industry arbitrator. The proposal also would amend NYSE Rule 601(d)(2) to provide that if the respondent files a related counterclaim or third-party claim exceeding $25,000 but not exceeding $200,000, any party or the arbitrator may request a hearing before one arbitrator. If the respondent files a related counterclaim or third-party claim exceeding $200,000, the proposed amendments to NYSE Rule 601(d)(2) would provide that the arbitrator may refer the claim, counterclaim and/or third-party claim to a panel of three arbitrators pursuant to NYSE Rule 607. Under the proposed amendments to Rule 601(d)(2), the arbitrator also may dismiss the counterclaim and/or third-party claim, without prejudice to the counterclaimants and/or third-party claimants pursuing their claims in a separate proceeding. The proposed amendments to the “Fees for Simplified Arbitration, Industry as Claimant” Schedule in NYSE Rule 601 would reduce the hearing deposit that members, member firms, member corporations, or allied members and non-members pay for claims not exceeding $25,000. Specifically, the proposed amendments would reduce the hearing deposit from $600 to $450 when the industry is a claimant and the decision is made after a hearing. The filing fee ($500) and fee for a decision on the papers ($300) would not be changed under the proposal. Appointment of Arbitrators NYSE Rule 607(a)(1) currently provides that in all matters involving customers or non-members where the matter in controversy exceeds $25,000 or where the matter in controversy does not involve or disclose a money claim, the Director of Arbitration appoints a panel of three arbitrators, a majority of whom are public, unless the customer or non-member requests that a majority be from the securities industry. The proposed amendments to NYSE Rule 607(a)(1)(i) would provide that all arbitration matters involving customers or non-members where the matter in controversy exceeds $25,000, but does not exceed $200,000 (excluding costs and interest), would be heard by one public arbitrator, unless the customer or non-member requests a securities industry arbitrator. Under the proposed amendments to NYSE Rule 607(a)(1)(ii), all arbitration matters involving customers or non-members where the matter in controversy exceeds $200,000 would be heard by three arbitrators, a majority of whom would be public, unless the customer or non-member requests that a majority be from the securities industry. The proposed amendments also would add a new paragraph
(2)to NYSE Rule 607(b) which would clarify that, in all arbitration matters involving customers or non-members, to the extent the NYSE arbitration rules provide for a choice in panel composition or method of arbitrator appointment, the customer's choice would prevail. 8 8 *See* footnote 5. Initiation of Proceedings Current NYSE Rule 612 sets forth the procedures for initiating a customer or non-member arbitration proceeding that is not being filed under NYSE Rule 601, which governs Simplified Arbitration. The proposed amendments to NYSE Rule 612 are intended to conform that rule with the proposed changes to NYSE Rules 601 and 607. In particular, the proposed amendments to NYSE Rule 612(c)(1) would provide that in matters exceeding $25,000, but not exceeding $200,000, if the respondent(s) files a related counterclaim, third-party claim, or cross-claim exceeding $200,000, the arbitrator may refer the claim, counterclaim, third-party claim, and/or cross-claim, to a panel of three arbitrators in accordance with Rule 607. The arbitrator also may dismiss the counterclaim, third-party claim, and/or cross-claim without prejudice to the counterclaimants, third-party claimants, and/or cross-claimants pursuing their claims in a separate proceeding pursuant to the proposed amendments to NYSE Rule 612(c)(1). Schedule of Fees NYSE Rule 629 sets forth the required fees and hearing deposits for arbitrations in the NYSE arbitration forum. The proposed amendments to NYSE Rule 629 would reduce the fees and hearing deposits that customers, members, and non-members pay for claims exceeding $25,000 and not exceeding $200,000, to reflect the reduced costs associated with a hearing by one arbitrator, rather than three. The proposed amendments to the schedules contained in NYSE Rules 629(c)(1)-(2) and 629(i) would reduce the hearing deposits to $450 from a maximum of $750 under the existing rule. In Amendment No. 1, the NYSE stated that it is proposing to reduce fees and hearing deposits because the costs of administering an arbitration matter with one arbitrator is less than the costs associated with three arbitrators. In cases with one arbitrator, the proposed fees and hearing deposits are based on either the current hearing deposit or the fee charged for a pre-hearing conference with one arbitrator, whichever is less. The NYSE also notes in Amendment No. 1 that the costs associated with a pre-hearing conference, generally conducted either on the papers submitted or by telephone, are less than those associated with an in-person hearing. In Amendment No. 1, the NYSE stated that the proposed fees and hearing deposits are intended to permit the NYSE to recover some of its direct, actual costs of administering arbitration cases. The NYSE further stated that those direct, actual costs are attributable in part to arbitrator compensation and travel expenses, court reporters and (when a hearing takes place outside New York) conference rooms. The NYSE also stated in Amendment No. 1 that under the proposed rule changes, the actual costs it bears for administering arbitration hearings involving a single arbitrator would remain greater than fees paid by customers or non-members. Statutory Basis The NYSE stated that it believes that the proposed rule change is consistent with Section 6(b)(4) 9 of the Act requiring exchanges to have rules that provide for the equitable allocation of reasonable dues, fees, and other charges among its members and other persons using its facilities, and Section 6(b)(5) 10 of the Act requiring exchanges to have rules designed to protect investors and the public interest. 9 15 U.S.C. 78f(b)(4). 10 15 U.S.C. 78f(b)(5). B. Self-Regulatory Organization's Statement on Burden on Competition The NYSE 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 NYSE has neither solicited nor received written comments on the proposed rule change. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 35 days of the date of publication of this notice in the **Federal Register** or within such longer period
(i)as the Commission may designate up to 90 days of such date if it finds such longer period to be appropriate and publishes its reasons for so finding or
(ii)as to which the self-regulatory organization consents, the Commission will:
(A)By order approve the 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, as amended, is consistent with the Act. The proposed rule change, as amended, is based on, but not identical to, the Uniform Code of Arbitration (“SICA Uniform Code”) adopted by the Securities Industry Conference on Arbitration (“SICA”). The Commission requests comments on the differences between the NYSE proposal and the SICA Uniform Code. In particular, under SICA Uniform Code Section 16(a), one arbitrator hears claims up to $100,000; whereas the NYSE proposes that one arbitrator would hear claims not exceeding $200,000. Should NYSE's proposed rule be consistent with the SICA Uniform Code and only permit matters to be resolved by one arbitrator if they involve claims of $100,000 or less? In the alternative, should customers or non-members be able to request one arbitrator for claims exceeding $200,000? In addition, the SICA Uniform Code does not contain provisions similar to the amendments proposed to NYSE Rules 601(d)(2) and 612(c)(1), as discussed above 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 e-mail to *rule-comments@sec.gov.* Please include File Number SR-NYSE-2006-61 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-2006-61. 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 NYSE. 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-2006-61 and should be submitted on or before January 19, 2007. For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 11 11 17 CFR 200.30-3(a)(12). Florence E. Harmon, Deputy Secretary. [FR Doc. E6-22401 Filed 12-28-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54997; File No. SR-NYSEArca-2006-77] Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of Proposed Rule Change To Reflect the Trading Sessions and Trading Halt Procedures for Certain Securities Trading on NYSE Arca, LLC December 21, 2006. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”) 1 and Rule 19b-4 thereunder, 2 notice is hereby given that on December 20, 2006, NYSE Arca, Inc. (“NYSE Arca” or “Exchange”) through its wholly owned subsidiary NYSE Arca Equities, Inc. (“NYSE Arca Equities”), filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I and II below, which Items have been substantially prepared by the Exchange. The Exchange filed the proposal pursuant to Section 19(b)(3)(A) of the Act 3 and Rule 19b-4(f)(6) thereunder, 4 which renders the proposal effective upon filing with the Commission. 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 The Exchange, through NYSE Arca Equities, is proposing to amend NYSE Arca Equities Rule 7.34 to reflect the trading sessions during which certain securities are eligible to trade on NYSE Arca, LLC (“NYSE Arca Marketplace”), the equities facility of NYSE Arca Equities, and to provide that the Exchange shall maintain a list on its Internet Web site that identifies all securities traded on the NYSE Arca Marketplace that do not trade for the duration of each of the three trading sessions specified in this rule. The text of the proposed rule change is available on the Exchange's Web site ( *http://www.nysearca.com/regulations/rules* ), at the principal office of the Exchange, 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 Exchange included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item III below. The Exchange has prepared summaries, set forth in Sections A, B, and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose NYSE Arca Equities Rule 7.34 currently provides, in part, that the NYSE Arca Marketplace shall have three trading sessions each day: an Opening Session (1 a.m. Pacific Time to 6:30 a.m. Pacific Time), a Core Trading Session (6:30 a.m. Pacific Time to 1 p.m. Pacific Time), and a Late Trading Session (1 p.m. Pacific Time to 5 p.m. Pacific Time), and that the Core Trading Session for Exchange Traded Funds defined in NYSE Arca Equities Rules 5.1(b)(13), 5.2(j)(3), and 8.100 shall conclude at 1:15 p.m. Pacific Time. 5 5 NYSE Arca Equities Rules 5.1(b)(13), 5.2(j)(3), and 8.100 relate to Unit Investment Trusts, Investment Company Units, and Portfolio Depositary Receipts, respectively. This filing proposes that the Core Trading Session, for the securities described in NYSE Arca Equities Rules, 8.200, 8.201, 8.202, 8.203, and 8.300 shall conclude at 1:15 p.m. Pacific Time to reflect the recent adoption of these rules. 6 This is in addition to securities described in NYSE Arca Equities Rules 5.1(b)(13), 5.2(j)(3), and 8.100. In addition, this filing proposes to add securities described in NYSE Arca Equities Rule 5.1(b)(18) (defining “Exchange-Traded Funds”) to securities traded in the Core Trading Session. 6 NYSE Arca Equities Rules 8.200, 8.201, 8.202, 8.203, and 8.300 relate to Trust Issued Receipts, Commodity-Based Trust Shares, Currency Trust Shares, Commodity Index Trust Shares, and Partnership Units, respectively. The Exchange also proposes to include in Rule 7.34 a list of those securities which are eligible to trade in one or more, but not all three, of these trading sessions, and to maintain on its Internet Web site ( *http://www.nysearca.com* ) a list that identifies all securities traded on the NYSE Arca Marketplace that do not trade for the duration of each of the three sessions specified in Rule 7.34. 7 The purpose of this proposed rule change is to provide transparency with respect to the trading hours eligibility of certain derivative securities products. 7 The Exchange currently disseminates on *http://www.nysearca.com* a list of derivative securities products that trade only in the Core Trading Session and those that also trade in the Opening Session and/or the Late Trading Session. Finally, the Exchange proposes to add trading halt procedures applicable to trading the securities described in NYSE Arca Equities Rules 5.1(b)(13), 5.1(b)(18), 5.2(j)(3), 8.100, 8.200, 8.201, 8.202, 8.203, and 8.300 (each referred to in proposed Rule 7.34 as “Derivative Securities Product”) on an unlisted trading privileges (“UTP”) basis in the Opening, Core, and Late Trading Sessions. The proposed amendment to Rule 7.34 provides that, in the Opening Session, if a Derivative Securities Product begins UTP trading on the NYSE Arca Marketplace in the Opening Session and subsequently a temporary interruption occurs in the calculation or wide dissemination of the Intraday Indicative Value (“IIV”) or the value of the underlying index, as applicable, to such product, by a major market data vendor, NYSE Arca may continue to trade such product for the remainder of the Opening Session. During the Core Trading Session, if a temporary interruption occurs in the calculation or wide dissemination of the applicable IIV or value of the underlying index by a major market data vendor and the listing market halts trading in the product, NYSE Arca, upon notification by the listing market of such halt due to such temporary interruption, also shall immediately halt trading in the Derivative Securities Product on the NYSE Arca Marketplace. If the IIV or the value of the underlying index continues not to be calculated or widely available after the close of the Core Trading Session, NYSE Arca may trade the Derivative Securities Product in the Late Trading Session only if the listing market traded such securities until the close of its regular trading session without a halt. Finally, if the IIV or the value of the underlying index continues not to be calculated or widely available as of the commencement of the Opening Session on the next business day, NYSE Arca shall not commence trading of the Derivative Securities Product in the Opening Session that day. If an interruption in the calculation or wide dissemination of the IIV or the value of the underlying index continues, NYSE Arca may resume trading in the product only if calculation and wide dissemination of the IIV or the value of the underlying index resumes or trading in the product resumes in the listing market. 2. Statutory Basis The proposal is consistent with Section 6(b) of the Act 8 in general and Section 6(b)(5) of the Act 9 in particular in that it is designed to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in facilitating transactions in securities, to remove impediments to and perfect the mechanisms of a free and open market, and to protect investors and the public interest. 8 15 U.S.C. 78s(b). 9 15 U.S.C. 78s(b)(5). B. Self-Regulatory Organization's Statement on Burden on Competition The Exchange does not believe that the proposed rule change will impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others Written comments on the proposed rule change were neither solicited nor received. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action 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)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 10 and Rule 19b-4(f)(6) thereunder. 11 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. 10 15 U.S.C. 78s(b)(3)(A). 11 17 CFR 240.19b-4(f)(6). A proposed rule change filed under Rule 19b-4(f)(6) 12 normally does not become operative prior to 30 days after the date of filing. However, pursuant to Rule 19b-4(f)(6)(iii), the Commission may designate a shorter time if such action is consistent with the protection of investors and the public interest. The Exchange has asked the Commission to waive the 30-day operative delay. 13 The Commission believes that such waiver is consistent with the protection of investors and the public interest because the proposed rule change should provide transparency and more clarity with respect to the trading hours eligibility of certain derivative securities products and should promote consistency in the trading halts of derivative securities. For these reasons, the Commission designates the proposed rule change as operative immediately. 14 12 *Id.* 13 17 CFR 240.19b-4(f)(6)(iii). In addition, Rule 19b-4(f)(6) requires an exchange to give the Commission written notice of its intent to file the proposed rule change, along with a brief description and text of the proposed rule change at least five days prior to the date of filing of the proposed rule change, or such shorter time as designated by the Commission. The Commission has determined to waive the five-day pre-filing notice requirement in this case. 14 For purposes only of accelerating the operative date of this proposal, the Commission has considered the rule's impact on efficiency, competition and capital formation. *See* 15 U.S.C. 78c(f). 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 e-mail to *rule-comments@sec.gov.* Please include File Number SR-NYSEArca-2006-77 on the subject line. *Paper Comments* • Send paper comments in triplicate to Nancy M. Morris, Secretary, Securities and Exchange Commission, 100 F Street NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-NYSEArca-2006-77. 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 offices of the Exchange. All comments received will be posted without change; the Commission does not edit personal identifying information from submissions. You should submit only information that you wish to make available publicly. All submissions should refer to File Number SR-NYSEArca-2006-77 and should be submitted on or before January 19, 2007. For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 15 15 17 CFR 200.30-3(a)(12). Florence E. Harmon, Deputy Secretary. [FR Doc. E6-22396 Filed 12-28-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-55002; File No. SR-NYSEArca-2006-32] Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Order Granting Accelerated Approval of Proposed Rule Change to Trade Various iShares® MSCI Index Funds Pursuant to Unlisted Trading Privileges December 21, 2006. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (“Act”) 1 and Rule 19b-4 thereunder, 2 notice is hereby given that on October 18, 2006, NYSE Arca, Inc. (“NYSE Arca” or “Exchange”) filed with the Securities and Exchange Commission (“Commission”) the proposed rule change as described in Items I and II below, which Items have been substantially prepared by the Exchange. The Commission is publishing this notice and order to solicit comments on the proposed rule change from interested persons and to approve the proposed rule change on an accelerated basis. 1 15 U.S.C. 78s(b)(1). 2 17 CFR 240.19b-4. I. Self-Regulatory Organization's Statement of the Terms of Substance of the Proposed Rule Change The Exchange, through its wholly owned subsidiary NYSE Arca Equities, Inc. (“NYSE Arca Equities”), proposes to trade shares (“Shares”) of the following Index Funds (“Funds”) pursuant to unlisted trading privileges (“UTP”) based on NYSE Arca Rule 5.2(j)(3): • iShares MSCI Brazil (Symbol: EWZ) • iShares MSCI South Africa
(EZA)• iShares MSCI South Korea
(EWY)• iShares MSCI Taiwan
(EWT)The text of the proposed rule change is available on the Exchange's Web site ( *http://www.nysearca.com* ), at the principal office of the Exchange, 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 Exchange included statements concerning the purpose of, and basis for, the proposed rule change and discussed any comments it received on the proposed rule change. The text of these statements may be examined at the places specified in Item III below. The Exchange has prepared summaries, set forth in Sections A, B, and C below, of the most significant aspects of such statements. A. Self-Regulatory Organization's Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The Exchange is proposing to trade the Shares of the Funds pursuant to UTP. Each Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the applicable underlying index (“Index”). Each Index is calculated by Morgan Stanley Capital Investment (“MSCI”) for each trading day based on official closing prices of the Index components in the applicable foreign markets. Each Index consists of stocks traded primarily on the respective country's stock exchange. Each Fund utilizes a passive or indexing investment approach, which attempts to approximate the investment performance of its benchmark index through quantitative analytical procedures. MSCI generally seeks to have 60% of the capitalization of a country's stock market reflected in the MSCI Index for such country. The Commission previously approved the original listing and trading of the Shares of the Funds on the American Stock Exchange, LLC. (“Amex”). 3 The Funds, with the exception of iShares MSCI South Africa, were subsequently listed on The New York Stock Exchange (“NYSE”). 4 The Exchange deems the Shares to be equity securities, thus rendering trading in the Shares subject to the Exchange's existing rules governing the trading of equity securities. Trading hours on the Exchange for the Shares are the same as those set forth in NYSE Arca Equities Rule 7.34, except that the Shares issued by MSCI Brazil and iShares MSCI South Africa will not trade in the Opening Session (4 a.m. to 9:30 a.m. Eastern Time) unless the Indicative Optimized Portfolio Value (“IOPV”) is calculated and disseminated during that time. The iShares MSCI South Korea Index Fund and iShares MSCI Taiwan Index Fund will trade during the Opening Session, and there is no overlap in trading hours of the Opening Session and the foreign markets trading the MSCI South Korea Index and MSCI Taiwan Index securities. The last calculated IOPV is available to investors during the Opening Session by means of the consolidated tape or major market data vendors. The IOPV for these two Funds is unchanged during the Opening Session from its last calculated value. 3 *See* Securities Exchange Act Release No. 42748 (May 2, 2000), 65 FR 30155 (May 10, 2000) (SR-AMEX-98-49). The Funds were formerly known as World Equity Benchmark Shares or WEBS. 4 *See* Securities Exchange Act Release No. 52761 (November 10, 2005), 70 FR 70010 (November 18, 2005) (SR-NYSE-2005-76). Quotations for and last sale information regarding the Funds are disseminated through the Consolidated Quotation System. The Index on which each Fund is based is calculated by MSCI for each trading day in the applicable foreign market based on official closing prices of the Index components in such markets. The Indexes are reported periodically in major financial publications, and the intra-day value of each Index is disseminated every 15 seconds throughout the trading day by organizations authorized by MSCI. The net asset value (“NAV”) of each Fund is calculated and disseminated each business day, normally at the close of regular trading of the NYSE. To provide updated information relating to each Fund for use by investors, professionals, and persons wishing to create or redeem the proposed Funds, the IOPV for each Fund as calculated by Bloomberg, L.P. is disseminated through the facilities of the Consolidated Tape Association. The IOPV is disseminated on a per-share basis every 15 seconds during regular NYSE trading hours of 9:30 a.m. to 4:15 p.m. Eastern Time, or, for iShares MSCI South Africa (listed on Amex), 9:30 a.m. to 4 p.m. or 4:15 p.m., depending on the time Amex specifies for the trading of such Fund's Shares. The IOPV may not reflect the value of all securities included in the applicable Index. In addition, the IOPV does not necessarily reflect the precise composition of the current portfolio of securities held by each Fund at a particular point in time. Therefore, the IOPV on a per-share basis disseminated during NYSE's or Amex's regular trading hours should not be viewed as a real-time update of the NAV of a particular Fund, which is calculated only once a day. The IOPV is intended to closely approximate the value per share of the portfolio of securities for the Fund and provide for a close proxy of the NAV at a greater frequency for investors. For the iShares MSCI South Korea Index and MSCI Taiwan Index Funds, there is no overlap in trading hours between the foreign markets and NYSE. Therefore, for these Funds, the IOPV is calculated based on closing prices in the principal foreign market for securities in each Fund's portfolio, which are then converted from the applicable foreign currency to U.S. dollars. This IOPV is updated every 15 seconds during NYSE regular trading hours of 9:30 a.m. to 4:15 p.m. E.T. to reflect changes in currency exchange rates between the U.S. dollar and the applicable foreign currency. The iShares MSCI Brazil and South Africa Index Funds include companies trading in markets with trading hours overlapping regular NYSE or Amex trading hours. For each of these Funds, the IOPV calculator updates the IOPV during the overlap period every 15 seconds to reflect price changes in the principal foreign market and converts such prices into U.S. dollars based on the current currency exchange rate. When the foreign market or markets are closed but NYSE or Amex is open for trading, the IOPV is updated every 15 seconds to reflect changes in currency exchange rates. The Commission has granted each Fund an exemption from certain prospectus delivery requirements under Section 24(d) of the Investment Company Act of 1940 (“1940 Act”). 5 Any product description used in reliance on the Section 24(d) exemptive order will comply with all representations made and all conditions contained in the Funds' application for orders under the 1940 Act. 6 5 15 U.S.C. 80a-24(d). 6 *See In the Matter of iShares, Inc.* , *et al.* , Investment Company Act Release No. 25623 (June 25, 2002). In connection with the trading of each Fund, the Exchange would inform ETP Holders in an Information Circular of the special characteristics and risks associated with trading Shares of such Fund, including how the Fund Shares are created and redeemed, the prospectus or product description delivery requirements applicable to the Fund, applicable Exchange rules, how information about the value of the underlying index is disseminated, and trading information. The Information Circular will disclose that the NAV is determined for Brazil, South Korea, or Taiwan at different times than other MSCI Index Series. Further, the Information Circular will disclose the possible market impact of the Fund buying or selling securities in Brazil, South Korea, or Taiwan prior to the calculation of the NAV. In addition, before an ETP Holder recommends a transaction in the Shares, the ETP Holder must determine the Shares are suitable for the customer, as required by NYSE Arca Equities Rule 9.2(a)-(b). The Exchange intends to utilize its existing surveillance procedures applicable to derivative products to monitor trading in the Shares. The Exchange represents that these procedures are adequate to monitor Exchange trading of the Shares. 2. Statutory Basis The Exchange believes that the proposed rule change is consistent with Section 6(b) of the Act 7 in general and Section 6(b)(5) of the Act 8 in particular in that it is designed to promote just and equitable principles of trade, to foster cooperation and coordination with persons engaged in facilitating transactions in securities, to remove impediments and perfect the mechanisms of a free and open market, and to protect investors and the public interest. In addition, the Exchange believes that the proposal is consistent with Rule 12f-5 under the Act 9 because it deems the Shares to be equity securities, thus rendering trading in the Shares subject to the Exchange's existing rules governing the trading of equity securities. 7 15 U.S.C. 78s(b). 87 15 U.S.C. 78s(b)(5). 9 17 CFR 240.12f-5. B. Self-Regulatory Organization's Statement on Burden on Competition The Exchange does not believe that the proposed rule change would impose any burden on competition that is not necessary or appropriate in furtherance of the purposes of the Act. C. Self-Regulatory Organization's Statement on Comments on the Proposed Rule Change Received From Members, Participants or Others Written comments on the proposed rule change were neither solicited nor received. III. 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-NYSEArca-2006-32 on the subject line. Paper Comments • Send paper comments in triplicate to Nancy M. Morris, Secretary, Securities and Exchange Commission, 100 F Street, NE., Washington, DC 20549-1090. All submissions should refer to File Number SR-NYSEArca-2006-32. 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-NYSEArca-2006-32 and should be submitted on or before January 19, 2007. IV. Commission's Findings and Order Granting Accelerated Approval of the Proposed Rule Change 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. 10 In particular, the Commission finds that the proposed rule change is consistent with Section 6(b)(5) of the Act, 11 which requires that an exchange have rules designed, among other things, to promote just and equitable principles of trade, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and in general to protect investors and the public interest. The Commission believes that this proposal should benefit investors by increasing competition among markets that trade the Shares. 10 In approving this rule change, the Commission notes that it has considered the proposed rule's impact on efficiency, competition, and capital formation. *See* 15 U.S.C. 78c(f). 11 15 U.S.C. 78f(b)(5). In addition, the Commission finds that the proposal is consistent with Section 12(f) of the Act, 12 which permits an exchange to trade, pursuant to UTP, a security that is listed and registered on another exchange. 13 The Commission notes that it previously approved the listing and trading of the Shares on Amex and, with the exception of iShares MSCI South Africa, subsequently NYSE. 14 The Commission also finds that the proposal is consistent with Rule 12f-5 under the Act, 15 which provides that an exchange shall not extend UTP to a security unless the exchange has in effect a rule or rules providing for transactions in the class or type of security to which the exchange extends UTP. The Exchange has represented that it meets this requirement because it deems the Shares to be equity securities, thus rendering trading in the Shares subject to the Exchange's existing rules governing the trading of equity securities. 12 15 U.S.C. 78 *l* (f). 13 Section 12(a) of the Act, 15 U.S.C. 78 *l* (a), generally prohibits a broker-dealer from trading a security on a national securities exchange unless the security is registered on that exchange pursuant to Section 12 of the Act. Section 12(f) of the Act excludes from this restriction trading in any security to which an exchange “extends UTP.” When an exchange extends UTP to a security, it allows its members to trade the security as if it were listed and registered on the exchange even though it is not so listed and registered. 14 *See* *supra notes* 3 and 4. 15 17 CFR 240.12f-5. The Commission further believes that the proposal is consistent with Section 11A(a)(1)(C)(iii) of the Act, 16 which sets forth Congress' finding that it is in the public interest and appropriate for the protection of investors and the maintenance of fair and orderly markets to assure the availability to brokers, dealers, and investors of information with respect to quotations for and transactions in securities. Quotations for and last sale information regarding the Shares are disseminated through the Consolidated Quotation System. Furthermore, MSCI updates the applicable IOPV every 15 seconds to reflect price changes of the Index components in the principal foreign markets, and converts such prices into U.S. dollars based on the current currency exchange rate. When the foreign market or markets are closed but Amex or NYSE is open for trading, the IOPV will be updated every 15 seconds to reflect changes in currency exchange rates. NYSE Arca Rule 7.34 describes the situations when the Exchange would halt trading when the IOPV or the value of the Index underlying one of the Funds is not calculated or widely available. 16 15 U.S.C. 78k-1(a)(1)(C)(iii). The Commission notes that, if the Shares of any of the Funds should be delisted by the listing exchange, the Exchange would no longer have authority to trade the Shares pursuant to this order. In support of this proposal, the Exchange has made the following representations: 1. The Exchange's surveillance procedures are adequate to monitor the trading of the Shares. 2. In connection with the trading of the Shares, the Exchange would inform ETP Holders in an Information Circular of the special characteristics and risks associated with trading the Shares. 3. The Information Circular would inform participants of the prospectus or product delivery requirements applicable to the Shares. This approval order is conditioned on the Exchange's adherence to these representations. The Commission finds good cause for approving this proposal before the thirtieth day after the publication of notice thereof in the **Federal Register** . As noted previously, the Commission previously found that the listing and trading of the iShares MSCI South Africa on Amex and the others Shares on NYSE is consistent with the Act. The Commission presently is not aware of any regulatory issue that should cause it to revisit these earlier findings or would preclude the trading of the Shares on the Exchange pursuant to UTP. Therefore, accelerating approval of this proposal should benefit investors by creating, without undue delay, additional competition in the market for the Shares. V. Conclusion *It is therefore ordered* , pursuant to Section 19(b)(2) of the Act, 17 that the proposed rule change (SR-NYSEArca-2006-32) is approved on an accelerated basis. 17 15 U.S.C. 78s(b)(2). For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 18 18 17 CFR 200.30-3(a)(12). Jill M. Peterson, Assistant Secretary. [FR Doc. E6-22402 Filed 12-28-06; 8:45 am] BILLING CODE 8011-01-P SECURITIES AND EXCHANGE COMMISSION [Release No. 34-54989; International Series Release No. 1299; File No. SR-Phlx-2006-34] Self-Regulatory Organizations; Philadelphia Stock Exchange, Inc.; Notice of Filing and Order Granting Accelerated Approval to Proposed Rule Change as Modified by Amendments No. 1, 2, and 3 Thereto Relating to U.S. Dollar-Settled Foreign Currency Options December 21, 2006. I. Introduction On May 12, 2006, the Philadelphia Stock Exchange, Inc. (“Phlx” or “Exchange”) filed with the Securities and Exchange Commission (“Commission”), pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934, as amended (“Act”) 1 and Rule 19b-4 thereunder, 2 a proposed rule change relating to the listing and trading of U.S. dollar-settled foreign currency options (“FCOs”) on the British pound and the Euro (together, the “Currencies”). On September 29, 2006, the Exchange filed Amendment No. 1, 3 and on October 20, 2006, the Exchange filed Amendment No. 2. 4 The proposed rule change, as amended, was published for comment in the **Federal Register** on November 2, 2006. 5 The Commission received no comments on the proposal. On December 15, 2006, the Phlx filed Amendment No. 3 to the proposed rule change. 6 This order provides notice of the proposed rule change as modified by Amendments No. 1, 2, and 3 and approves the proposed rule change as amended on an accelerated basis. 7 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. 5 *See* Securities Exchange Act Release No. 54652 (October 25, 2006), 71 FR 64597 (“Notice”). 6 *See* Partial Amendment dated December 15, 2006 (“Amendment No. 3”). 7 This order specifically approves the listing and trading of U.S. dollar-settled FCOs on the British pound and the Euro. The listing and trading of additional U.S. dollar-settled FCOs on other foreign currencies will require the Exchange to file additional proposed rule changes on Form 19b-4. II. Description of the Proposal The Exchange proposes to list U.S. dollar-settled FCOs 8 on 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. 9 The Exchange also proposes to amend a number of other rules applicable to U.S. dollar-settled FCOs, and to delete outdated references to the German mark, Italian lira, Spanish peseta, and the French franc. 10 8 The Exchange previously traded U.S. dollar-settled options on the German mark and the Japanese yen beginning in September 1994 and February 1997, respectively. See Securities Exchange Act Release Nos. 33732 (March 8, 1994), 59 FR 12023 (March 15, 1994) and 36505 (November 22, 1995), 60 FR 61277 (November 29, 1995). U.S. dollar-settled German mark options and Japanese yen options were delisted on January 19, 1999 and August 23, 1999, respectively. 9 *See* Securities Exchange Act Release No. 49832 (June 8, 2004), 69 FR 33442 (June 15, 2004) (SR-Phlx-2003-59) (approving Phlx XL). 10 *See* Phlx Rules 722, 1000, 1001, 1009, 1014, 1033, 1034, 1069, 1079; and Options Floor Procedure Advice B-7. A. Contract Specifications and Amendments to FCO Rules *Background.* U.S. dollar-settled FCOs are cash-settled, European-style options issued by The Options Clearing Corporation (“OCC”) that allow holders to receive U.S. dollars representing the difference between the current foreign exchange spot price and the exercise price of the option. In contrast, a physical delivery option on a foreign currency, which the Exchange currently lists and trades, 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. 11 In addition, unlike other Phlx-traded FCOs, U.S. dollar-settled FCOs will be deemed to be exercised at expiration if the exercise settlement value is at least $1.00 per contract unless the clearing member instructs OCC not to exercise it. 12 11 The Exchange has listed and traded physical delivery FCOs issued by OCC on a number of currencies since 1982. 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. 12 However, the normal expiration date exercise procedures do not apply in circumstances in which the fixing of the exercise settlement amount is delayed beyond the last trading day before expiration. *See* OCC Rule 2302 (setting forth the expiration date exercise procedures), and Securities Exchange Act Release No. 54395 (December 13, 2006) (order approving SR-OCC-2006-10). *Delivery and Payment.* Upon exercise of an in-the-money U.S. dollar-settled FCO structured as a call, the holder would receive, 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, the holder would receive 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. 13 13 *See* Phlx Rule 1044. *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. 14 14 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 permit U.S. dollar-settled FCO contracts to 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. 15 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). 16 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. 17 15 *See* Phlx Rule 1012(a). The Exchange stated that it does not anticipate listing FLEX U.S. dollar-settled foreign currency options at this time. Currently, trades may be executed in certain FLEX options on equities and equity indexes. *See* Phlx Rule 1079. 16 By way of example, in September, the U.S. dollar-settled FCOs would have the following months listed: October, November, December, March, and June. 17 *See* Phlx Rule 1000(b)(21). *Trading Hours.* The Exchange proposes to trade U.S. dollar-settled FCOs from 9:30 a.m. to 4 p.m. Eastern Time, Monday through Friday. 18 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. 19 An expiring U.S. dollar-settled FCO contract would cease trading at 4:00 p.m. on the day prior to its expiration day. 20 Unlike trading in physical delivery FCOs, trading in U.S. dollar-settled FCOs would not close on bank holidays. 18 *See* Phlx Rule 101. 19 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. Beginning December 1, 2006, the trading hours for physical delivery FCOs on the Exchange will be from 7:30 a.m. to 2:30 p.m. Eastern Time, Monday through Friday. *See* Securities Exchange Act Release No. 54802 (November 21, 2006), 71 FR 8875 (November 28, 2006) (Notice of Filing and Immediate Effectiveness of SR-Phlx-2006-72). 20 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. *Settlement Values; Dissemination of Information.* The closing settlement value would be the day's announced Noon Buying Rate, 21 as determined by the Federal Reserve Bank of New York on the trading day prior to the expiration date. 22 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. 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. The Exchange has represented that it will 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. 21 *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). 22 *See* Phlx Rule 1057. If Friday is an Exchange holiday, the closing settlement value for U.S. dollar-settled FCOs would be determined on the basis of the Noon Buying Rate on the preceding trading day, which would also be the last day of trading for the expiring option. *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. In addition, position 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, each Euro U.S. dollar-settled option contract would count as one-sixth of a contract for purposes of position and exercise limits. 23 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. 24 The other aggregation principles in Phlx Rule 1001 would continue to apply. 23 *See* Phlx Rule 1001. 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. 24 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. 25 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. 26 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. In addition, new strikes may be added during the life of the option in accordance with Phlx Rule 1012. 27 25 According to the Exchange, the Exchange receives contributor bank quotes from a vendor in real-time and takes the average of the various quotes, to determine the foreign currency spot price. 26 *See* proposed Commentary Section .06 to Phlx Rule 1012. 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, as reflected in note 28, *infra* , and accompanying text. 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), if the bid is less than $.0300 (expressed as $3.00), or $.0010 (expressed as $.10), if the bid equals or exceeds $.0300 (expressed as $3.00). Bids could be made at $.0330 (expressed as $3.30), at $.0340 (expressed as $3.40), and so forth. Offers could be made at $.0350 (expressed as $3.50), at $.0360 (expressed as $ 3.60), and so forth. Maximum quote spread parameters for bids and offers made in open outcry would range from $.0025 (expressed as $.25), to $.0100 (expressed as $1.00), depending upon the size of the prevailing bid. Thus, a market maker could bid $.0330 (expressed as $3.30) and offer $.0370 (expressed as $ 3.70). (Following open rotation, however, quotes may be made electronically with a difference not to exceed $.0500 (expressed as $5.00) between the bid and the offer regardless of the price of the bid). *See* Amendment No. 3, *supra* note 6, and *infra* note 28. Prior to commencement of trading of U.S. dollar-settled options on the Currencies, the Exchange intends to issue an informational memorandum to members and member organizations which explains this strike price and quoting convention. 27 *See* Phlx 1012(a)(iv). *Bids and Offers—Premium.* Under Phlx Rule 1033, 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. The minimum increment for U.S. dollar-settled FCOs quoting under $.0300 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. The minimum increment for U.S. dollar-settled FCOs quoting at $.0300 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. 28 28 *See* Phlx Rule 1034(a). By way of example, if the spot price of the Euro is at $1.2550 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 total profit would be $.0020 per Euro multiplied by 10,000 Euros (the size of the contract) for a total of $20.00. Amendment No. 3 corrected a technical error in the use of the quoting convention in Phlx Rule 1034(a). Amendment No. 3 also revised an example in note 23 of the Notice to:
(1)Reflect that the minimum increment when the bid equals or exceeds $.0300 (expressed as $3.00) is $.0010 (expressed as 10 cents), not $.0005 (expressed as 5 cents), as the example erroneously implied as originally drafted,
(2)reduce the size of the bid in the example from an unrealistic $1.00 (expressed as $100.00) range to a more realistic $.0300 (expressed as $3.00) range while continuing to illustrate the same underlying concepts, and
(3)note that the maximum quote spread parameters do vary depending on the size of the prevailing bid and whether the bid/offer is made on Phlx XL as opposed to open outcry. *See* Amendment No. 3, *supra* note 6. *Margin Requirements.* 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, Commentary .16. 29 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 Phlx Rule 722, Commentary .16. 29 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. B. Surveillance The Phlx will integrate U.S. dollar-settled FCOs into existing Phlx market surveillance programs for equity and index options, as well as for physical delivery foreign currency options, and intends to apply those same program procedures to the U.S. dollar-settled FCOs. The Exchange represents that these surveillance programs for U.S. dollar-settled FCOs will be adequate to monitor exchange trading of U.S. dollar settled FCOs and detect violation of exchange rules, thereby deterring manipulation. 30 30 *See* Amendment No. 3, *supra* notes 6 and 28. Futures on the British pound and the Euro, as well as options on such futures are traded on the Chicago Mercantile Exchange (“CME”) (both exchange pit trading and GLOBEX trading). Euro Currency Trust Shares and British Pound Sterling Shares trade on the New York Stock Exchange (“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 Exchange also 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 London International Financial Futures Exchange (“LIFFE”) in connection with Euro and Pound futures trading on those exchanges. 31 31 NYSE and NYSE Arca are members of ISG. CME and LIFFE are affiliate members of ISG. In addition, 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. 32 Pursuant to Phlx Rule 1022, specialists and Registered Options Traders (“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. Phlx Rule 1022 also requires every specialist and ROT to 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. An amendment to Phlx Rule 1022(d) would also 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. 32 *See* Equity Floor Procedure Advice F-8 and Options Floor Procedure F-8, Failure to Comply with an Exchange Inquiry. C. Trading on Phlx XL The Exchange proposes that U.S. dollar-settled FCOs trade on Phlx XL, the Exchange's electronic trading platform for options. In this regard, 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 and to include U.S. dollar-settled FCOs as a product that may be traded on Phlx XL as a Streaming Quote Option. 33 Exchange specialists, on-floor market makers known as Streaming Quote Traders (“SQTs”), 34 and remote market makers known as Remote Streaming Quote Traders (“RSQTs”) 35 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, also would be eligible to participate in the Exchange's enhanced specialist participation programs. 36 33 *See* Phlx Rule 1080. 34 *See* Phlx Rule 1014(b)(ii)(A). 35 *See* Phlx Rule 1014(b)(ii)(B). 36 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. *Obligations and Restrictions.* U.S. dollar-settled FCOs would trade in the same general manner as equity index options, 37 which are also U.S. dollar-settled products. 38 In this regard, Phlx Rule 1014 is being amended to make clear that the obligations and restrictions applicable to specialists and ROTs trading equity index options now generally would apply to specialists and ROTs in U.S. dollar-settled FCOs. 39 In addition, under the amendments to Phlx Rule 1014, specialists and ROTs in U.S. dollar-settled FCOs, like specialists in physical delivery FCOs, would be subject to rules relating to bid/ask differentials and other affirmative market making obligations and restrictions 40 but those rules with respect to U.S. dollar-settled FCOs would track rules currently 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. 41 37 However, Phlx Rule 1080, Commentary .01, is being revised to reflect that the Auto-Quote system applies to equity and equity index options, but not to U.S. dollar-settled FCOs. The Exchange's Auto-Quote system incorporates pricing model data, which generate automatic pricing of option series based on a number of factors, including the value of the underlying stock. 38 *See* Phlx Rules 1014 and 1080. Conforming changes are being made 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. 39 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. 40 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. 41 Other amendments to Phlx Rule 1014 would make clear that current provisions on priority/parity and bid/ask differentials that apply to FCO contracts would be limited to physical delivery FCOs. *See* paragraphs (c)(ii) and (h), and Commentary .16 of Phlx Rule 1014. Similarly, options Floor Procedure Advice F-17, relating to trades to be effected in the trading pit, is being amended so that it applies only to physical delivery FCOs, because U.S. dollar-settled FCOs will trade on Phlx XL. In addition, the Exchange proposes to amend Phlx Rule 1063 and Options Floor Procedure Advice C-2 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 FCOs. 42 42 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. *See* Phlx Rule 1080, Commentary .06. *Openings.* Phlx Rule 1017 governs the Exchange's fully automated opening system for options traded on Phlx XL. 43 Phlx Rule 1017 is being 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. 44 More specifically, 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. 45 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). Finally, it would provide that the system would not open a series of U.S. dollar-settled FCOs 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). 43 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). The Exchange also is making a technical change to clarify the application of Phlx Rule 1017 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. 44 *See* Phlx Rule 1017. In addition, the Exchange is making conforming changes to Options Floor Procedure Advices A-12 and A-14. 45 Market opening, as with equity and equity index options, is normally at 9:30 a.m. Eastern Time. *Block Trades.* In addition, the block trade procedures in Phlx Rule 1016 are limited to physical delivery FCOs. According to the Exchange, 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. 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. The Exchange believes that trading of U.S. dollar-settled FCOs on Phlx XL by SQTs and RSQTs who stream quotes into the system makes execution of block trades pursuant to the procedures required by Phlx Rule 1016 impractical. *Customized Foreign Currency Options.* Phlx Rule 1069 is being amended to limit the applicability of the rule to physical delivery FCOs so that U.S. dollar-settled FCOs would not be eligible to trade on a customized basis. *Foreign Currency Options Committee.* Phlx Rules 1014 and 1080 and Options Floor Procedure Advice A-13 is being amended to provide that the Foreign Currency Options Committee would have decision-making authority in certain instances with respect to U.S. dollar-settled FCOs (rather than the Options Committee, which oversees the trading of equity and equity index options on Phlx XL). In addition, the Phlx is deleting the words “on-floor” from the term “on-floor Governor” in Phlx Rule 1014(g), because the “on-floor Governor” category has previously been eliminated from the Exchange's by-laws. 46 46 *See* Amendment No. 3, *supra* notes 6 and 28. D. Customer Protection Exchange rules designed to protect public customers trading in FCOs would apply to U.S. dollar-settled FCOs on the Currencies. Specifically, Phlx Rule 1024(b) prohibits members 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 is designed to ensure that options, including U.S. dollar-settled FCOs, are sold only to customers capable of evaluating and bearing the risks associated with trading in the instruments. Finally, under Phlx Rule 1027, 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, 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. 47 Phlx Rule 1025 relating to the supervision of accounts, Phlx Rule 1028 relating to confirmations, and Phlx Rule 1029 relating to delivery of options disclosure documents also would apply to trading in U.S. dollar-settled FCOs. 47 *See* Phlx Rule 1027. III. Commission Finding and Conclusions After careful consideration, the Commission finds that the proposed rule change, as amended, is consistent with the requirements of the Act and the rules and regulations thereunder applicable to a national securities exchange. 48 In particular, the Commission finds that the proposed rule change is consistent with Section 6(b)(5) of the Act, 49 which requires that an exchange have rules designed, among other things, to promote just and equitable principles of trade, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general, to protect investors and the public interest. 48 In approving this rule change, the Commission notes that it has considered the proposed rule's impact on efficiency, competition, and capital formation. *See* 15 U.S.C. 78c(f). 49 15 U.S.C. 78f(b)(5). A. Settlement Value and Dissemination of Information The Commission believes that sufficient venues exist for obtaining reliable information on the Currencies so that investors in U.S. dollar-settled FCOs can monitor the underlying spot market in the Currencies. The Commission also believes that the Phlx's procedures and the competitive nature of the spot market for the Currencies should help to ensure that the settlement values for U.S. dollar-settled FCO contracts will accurately reflect the spot price for foreign currencies. Finally, the closing settlement value, which will be the Noon Buying Rate on the trading day prior to expiration, 50 would be posted on the Exchange's Web site, where it would be publicly available to all visitors on an equal basis, without the need to enter any kind of password. 50 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. B. Customer Protection The Commission believes that a regulatory system designed to protect public customers must be in place before the trading of sophisticated financial instruments, such as U.S. dollar-settled FCOs on the Currencies, can commence on a national securities exchange. The Commission believes this goal has been satisfied by the application of Phlx customer protection rules for FCOs to U.S. dollar-settled FCOs. C. Surveillance The Commission notes that the Phlx will integrate U.S. dollar-settled FCOs into existing Phlx market surveillance market programs for equity and index options, as well as for physical delivery foreign currency options, and that the Phlx intends to apply those same program procedures to the U.S. dollar-settled FCOs. The Commission also notes that Phlx Rule 1022, Equity Floor Procedure Advice F-8, and Options Floor Procedure F-8, as amended to include transactions in “other foreign currency derivatives,” provide Phlx with the authority 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. In addition, the Phlx may obtain trading information via the 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 <sup>TM</sup> 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. The Commission believes that these rules provide the Phlx with the tools necessary to adequately surveil trading in the Securities. D. Position and Exercise Limits As noted above, U.S. dollar-settled FCO contracts will be aggregated with physical delivery contracts for position and exercise limit purposes. The Commission believes that aggregation of U.S. dollar-settled FCOs with the physical delivery contracts for position and exercise limit purposes is prudent and minimizes concerns regarding manipulations or disruptions of the markets for U.S. dollar-settled FCO contracts and physical delivery contracts. E. Trading on Phlx XL The Commission believes that the trading of U.S. dollar-settled FCOs on Phlx XL is consistent with the Act. The rules that currently govern the trading of equity and equity index options that trade as “Streaming Quote Options” on Phlx would be extended to include U.S. dollar-settled FCOs. 51 51 *See supra* notes 33 to 42 and accompanying text. F. Other Rules The Commission believes that the other rule changes proposed by the Phlx to accommodate the trading of U.S. dollar-settled FCOs are consistent with the Act. First, the Commission believes it is reasonable for the Phlx to initially list exercise strike prices for each expiration around the current spot price at half-cent ($0.005) intervals up to five percent on each side. 52 The Commission notes that the Phlx has represented that it has the system capacity to support the additional quotations and messages that will result from listing options on U.S. dollar settled FCOs. 53 52 When listing additional strikes, the Commission expects the Exchange to consider whether the listing of such strikes will be consistent with the maintenance of a fair and orderly market. 53 *See* Letter, dated October 11, 2006, from Thomas A. Whitman, Senior Vice President, Phlx, to Elizabeth King, Associate Director, Division of Market Regulation (“Division”), Commission, Heather Seidel, Senior Special Counsel, Division, Commission, and David Hsu, Special Counsel, Division, Commission. Finally, the Commission believes that it is consistent with the Act for the Exchange to establish the minimum trading increment for U.S. dollar-settled FCOs at $.0005 (expressed as $.05) per unit of the foreign currency for U.S. dollar-settled FCOs quoted at less than $.0300 (expressed as $3.00), and at $.0010 (expressed as $.10) per unit of the foreign currency for U.S. dollar-settled FCOs quoted at $.0300 (expressed as $3.00) or higher. G. Accelerated Approval Pursuant to Section 19(b)(2) of the Act, the Commission finds good cause to approve the proposal, as amended, prior to the thirtieth day after the amended proposal is published for comment in the **Federal Register.** Amendment No. 3 clarifies the proposed rule change with respect to the Phlx quoting convention, deletes outdated references to “on-floor Governor” in Phlx Rule 1014, and contains Phlx representations with regard to the Phlx surveillance procedures. Accordingly, the Commission finds good cause to accelerate approval of the amended proposal prior to the thirtieth day after publication in the **Federal Register.** IV. Solicitation of Comments Interested persons are invited to submit written data, views, and arguments concerning Amendment No. 3, including whether Amendment No. 3 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 January 19, 2007. V. Conclusion *It is therefore ordered,* pursuant to Section 19(b)(2) of the Act, 54 that the proposed rule change (SR-Phlx-2006-34), as modified by Amendments No. 1, 2, and 3, be, and it hereby is, approved on an accelerated basis. 54 15 U.S.C. 78s(b)(2). For the Commission, by the Division of Market Regulation, pursuant to delegated authority. 55 55 17 CFR 200.30-3(a)(12). Florence E. Harmon, Deputy Secretary. [FR Doc. E6-22404 Filed 12-28-06; 8:45 am] BILLING CODE 8011-01-P SOCIAL SECURITY ADMINISTRATION [Document No. SSA-2006-0110] The Ticket to Work and Work Incentives Advisory Panel Meeting AGENCY: Social Security Administration (SSA). ACTION: Notice of teleconference. DATES: January 10, 2007—2 p.m. to 4 p.m. Eastern Daylight Savings Time. Ticket to Work and Work Incentives Advisory Panel Conference Call. Call-in number: 1-888-790-4158. Pass code: PANEL TELECONFERENCE. Leader/Host: Berthy De la Rosa-Aponte. SUPPLEMENTARY INFORMATION: Type of meeting: On January 10, 2007, the Ticket to Work and Work Incentives Advisory Panel (the “Panel”) will hold a teleconference. This teleconference meeting is open to the public. Purpose: In accordance with section 10(a)(2) of the Federal Advisory Committee Act, the Social Security Administration
(SSA)announces this teleconference meeting of the Ticket to Work and Work Incentives Advisory Panel. Section 101(f) of Public Law 106-170 establishes the Panel to advise the President, the Congress, and the Commissioner of SSA on issues related to work incentive programs, planning, and assistance for individuals with disabilities as provided under section 101(f)(2)(A) of the Act. The Panel is also to advise the Commissioner on matters specified in section 101(f)(2)(B) of that Act, including certain issues related to the Ticket to Work and Self-Sufficiency Program established under section 101(a). The interested public is invited to listen to the teleconference by calling the phone number listed above. Public testimony will be taken from 3:30 p.m. until 4 p.m. Eastern Standard Time. You must be registered to give public comment. Contact information is given at the end of this notice. Agenda: The full agenda for the meeting will be posted on the Internet at *http://www.ssa.gov/work/panel* at least one week before the starting date or can be received, in advance, electronically or by fax upon request. Contact Information: Records are kept of all proceedings and will be available for public inspection by appointment at the Panel office. Anyone requiring information regarding the Panel should contact the staff by: • Mail addressed to the Social Security Administration, Ticket to Work and Work Incentives Advisory Panel Staff, 400 Virginia Avenue, SW., Suite 700, Washington, DC 20024. Telephone contact with Tinya White-Taylor at
(202)358-6430. • Fax at
(202)358-6440. • Email to *TWWIIAPanel@ssa.gov* . • To register for the public comment portion of the meeting please contact Tinya White-Taylor by calling
(202)358-6430 or by e-mail to *tinya.white-taylor@ssa.gov* . Dated: December 18, 2006. Chris Silanskis, Designated Federal Officer. [FR Doc. E6-22433 Filed 12-28-06; 8:45 am] BILLING CODE 4191-02-P DEPARTMENT OF TRANSPORTATION National Highway Traffic Safety Administration [Docket No. NHTSA 2006-25903; Notice 2] BMW of North America, LLC, Grant of Petition for Decision of Inconsequential Noncompliance BMW of North America, LLC
(BMW)has determined that certain vehicles that it produced in 2005 and 2006 do not comply with S4.5.1(b)(3) and S4.5.1(e)(3) of 49 CFR 571.208, Federal Motor Vehicle Safety Standard (FMVSS) No. 208, “Occupant crash protection.” Pursuant to 49 U.S.C. 30118(d) and 30120(h), BMW has petitioned for a determination that this noncompliance is inconsequential to motor vehicle safety and has filed an appropriate report pursuant to 49 CFR Part 573, “Defect and Noncompliance Reports.” Notice of receipt of a petition was published, with a 30-day comment period, on October 2, 2006, in the **Federal Register** (71 FR 58048). NHTSA received no comments. Affected are a total of approximately 27,975 model year 2006 BMW X5 vehicles produced between September 1, 2005 and June 28, 2006. The affected vehicles were produced according to FMVSS No. 208 S14, the advanced air bag requirements including air bag suppression and telltale. However, the affected vehicles were not equipped with the corresponding warning labels, specifically the FMVSS No. 208 S4.5.1(b)(3) sun visor label identified in Figure 11, and the S4.5.1(e)(3) removable label on dash identified in Figure 12. Instead, the affected vehicles were equipped with the “pre-advanced” air bag warning labels, specifically the FMVSS No. 208 S4.5.1(b)(1) sun visor label identified in Figure 6a, and the S4.5.1(e)(1) removable label on dash identified in Figure 7. This is shown as follows: SUN VISOR LABEL Required Label: S4.5.1(b)(3) Figure 11 Noncompliant Label: S4.5.1(b)(1) Fig. 6a. WARNING—EVEN WITH ADVANCED AIR BAGS WARNING—DEATH or SERIOUS INJURY can occur. Children can be killed or seriously injured by the air bag Children 12 and under can be killed by the air bag. The back seat is the safest place for children The BACK SEAT is the SAFEST place for children. Never put a rear-facing child seat in front NEVER put a rear-facing child seat in front. Always use seat belts and child restraints ALWAYS use SEAT BELTS and CHILD RESTRAINTS. See owner's manual for more information about air bags Sit as far back as possible from the air bag. REMOVABLE LABEL ON DASH Required Label: S4.5.1(e)(3) Figure 12 Noncompliant Label: S4.5.1(e)(2) Figure 7. This Vehicle is Equipped with Advanced Air Bags WARNING. Even with Advanced Air Bags Children can be killed or seriously injured by the air bag Children Can be KILLED or INJURED by Passenger Air Bag The back seat is the safest place for children The back seat is the safest place for children 12 and under. Never put a rear-facing child seat in the front Always use seat belts and child restraints Make sure all children use seat belts or child seats. See owner's manual for more information about air bags. BMW has corrected the problem that caused these errors so that they will not be repeated in future production. BMW believes that the noncompliance is inconsequential to motor vehicle safety and that no corrective action is warranted. BMW states that the labels it actually used are “more stringent” and “more emphatic, which would lead a consumer to act in a more cautious manner, and not in a less safe manner.” BMW says, The difference in the warning message texts between the labels clearly indicates that the warning message on the affected vehicles' labels is stricter when compared to the advanced air bag labels. Therefore, even though the labels are incorrect, they would not result in a decrease in the safety message. Rather, they provide an increased emphasis. BMW further states that the vehicles are equipped with passenger air bag telltale lamps, and therefore the owners will know from these lamps that the vehicles are equipped with an advanced air bag system. BMW also says, * * * [T]he Owners Manual of the affected vehicles contains a description of the advanced air bag system including a description of the passenger air bag system telltale lamp. Owners who consult the Owners Manual will be able to read a description of the advanced air bag system along with a description of the passenger air bag system telltale lamp. Therefore, owners will know from their Owners Manual that their vehicle is equipped with a FMVSS 208 advanced air bag system. BMW states that it has no record that customers contacted the company with inquiries, complaints, or comments on the air bag warning labels. NHTSA agrees with BMW that the noncompliance is inconsequential to motor vehicle safety. The noncompliant labels lack a statement that the vehicle is equipped with advanced airbags. However, as BMW points out in its petition, both the passenger air bag telltale lamp and the owner's manual indicate the presence of advanced airbags. Except for indicating that the vehicle is equipped with advanced airbags, the noncompliant permanent sun visor label contains virtually the same information as required by S4.5.1(b)(3). Therefore, there is no degradation of safety resulting from the sun visor label. The noncompliant removable dash label contains similar information to that required by S4.5.1(e)(3) other than the statement, “Never put a rear-facing child seat in the front.” However, this label does state that “The back seat is the safest place for children 12 and under,” and this label is a removable label which most likely will not stay on the vehicle once it is purchased. The statement, “Never put a rear-facing child seat in the front” is present on the permanent sun visor label, and thus is permanently visible to the vehicle user. Therefore, NHTSA agrees with BMW that this noncompliance will not result in decreased safety. In consideration of the foregoing, NHTSA has decided that the petitioner has met its burden of persuasion that the noncompliance described is inconsequential to motor vehicle safety. Accordingly, BMW's petition is granted and the petitioner is exempted from the obligation of providing notification of, and a remedy for, the noncompliance. (Authority: 49 U.S.C. 30118, 30120; delegations of authority at CFR 1.50 and 501.8) Issued on: December 26, 2006. Daniel C. Smith, Associate Administrator for Enforcement. [FR Doc. E6-22429 Filed 12-28-06; 8:45 am] BILLING CODE 4910-59-P DEPARTMENT OF TRANSPORTATION Surface Transportation Board [STB Docket No. MC-F-21019] Fenway Partners Capital Fund III, L.P., et al. -Control-Coach America Holdings, Inc., et al. AGENCY: Surface Transportation Board. ACTION: Notice Tentatively Approving Finance Transaction. SUMMARY: Fenway Partners Capital Fund III, L.P. (Fenway Partners), a noncarrier, and various subsidiary entities of Fenway Partners (collectively, applicants), have filed an application under 49 U.S.C. 14303 to acquire control of noncarrier Coach America Holdings, Inc. (Coach America), and 30 Coach America-controlled motor passenger carriers. Coach America currently controls through intermediate subsidiaries the following federally regulated motor carriers of passengers: America Charters Ltd.; American Coach Lines of Atlanta, Inc.; American Coach Lines of Jacksonville, Inc.; American Coach Lines of Miami, Inc.; American Coach Lines of Orlando, Inc.; CUSA LLC; CUSA ASL, LLC d/b/a Arrow Stage Lines; CUSA AT, LLC d/b/a Americoach Tours; CUSA AWC, LLC d/b/a All West Coachlines; CUSA BCCAE, LLC d/b/a Blackhawk-Central City Ace Express; CUSA CC, LLC d/b/a Coach USA Los Angeles; CUSA CSS, LLC d/b/a Crew Shuttle Services; CUSA EE, LLC d/b/a El Expreso; CUSA ELKO, LLC d/b/a K-T Contract Services Elko; CUSA ES, LLC d/b/a Express Shuttle; CUSA FL, LLC d/b/a Franciscan Lines; CUSA FTT, LLC d/b/a Fun Time Tours; CUSA GCBS, LLC d/b/a Goodall's Charter Bus Service; CUSA GCT, LLC d/b/a Gulf Coast Transportation; CUSA KBC, LLC d/b/a Kerrville Bus Company; CUSA K-TCS, LLC d/b/a Coach USA and d/b/a Gray Line Airport Shuttle; CUSA K-TCS, LLC d/b/a Arizona Charters; CUSA PCSTC, LLC d/b/a Pacific Coast Sightseeing Tours & Charters; CUSA PRTS, LLC d/b/a Powder River Transportation Services; CUSA RAZ, LLC d/b/a Raz Transportation Company; Dillon's Bus Service Inc.; Florida Cruise Connection, Inc. d/b/a Cruise Connection; Midnight Sun Tours, Inc.; Southern Coach Company; and Southern Tours, Inc. 1 Persons wishing to oppose this application must follow the rules at 49 CFR 1182.5 and 1182.8. The Board has tentatively approved the transaction, and, if no opposing comments are timely filed, this notice will be the final Board action. 1 The application, as originally filed, also sought authority to control CUSA NC, LLC d/b/a Nevada Charters (Nevada Charters). Applicants subsequently advised the Board that Nevada Charters has voluntarily surrendered its interstate operating authority and that applicants no longer seek authority to control Nevada Charters. DATES: Comments must be filed by February 12, 2007. Applicants may file a reply by February 27, 2007. If no comments are filed by February 12, 2007, this notice is effective on that date. ADDRESSES: Send an original and 10 copies of any comments referring to STB Docket No. MC-F-21019 to: Surface Transportation Board, 1925 K Street, NW., Washington, DC 20423-0001. In addition, send one copy of comments to the applicants' representative: Richard H. Streeter, Barnes & Thornburg LLP, 750 17th Street, NW., Washington, DC 20006-4675. FOR FURTHER INFORMATION CONTACT: Eric S. Davis,
(202)565-1608 [Federal Information Relay Service
(FIRS)for the hearing impaired: 1-800-877-8339]. SUPPLEMENTARY INFORMATION: Fenway Partners is a Delaware limited partnership organized in 2005 by Fenway Partners, Inc. (Fenway), a private equity firm that invests in numerous different businesses, including other transportation-related entities, through various limited partnerships and other investment entities. Fenway has $1.6 billion under management. Fenway Partners owns all of the outstanding stock of Coach Am Holdings Corp. (Coach Am Holdings), a Delaware corporation organized to consummate this transaction. Coach Am Holdings in turn owns all of the stock of Coach Am Acquisition Corp. (Coach Am Acquisition), another Delaware corporation set up for purposes of this transaction. Coach Am Acquisition will be merged into Coach America, with Coach America left as the surviving company. Following the merger, Coach America will be wholly owned by Coach Am Holdings, and, indirectly, by Coach Am Holdings' parent, Fenway Partners. No operating authorities will be transferred as a result of the transaction. Coach America, a Delaware corporation, controls the previously named federally regulated motor carriers through its subsidiaries Coach America Group, Inc., and KBUS Holdings, LLC. The motor carriers controlled by Coach America had gross operating revenues for the 12-month period ending October 31, 2006, greater than the $2 million threshold required for Board jurisdiction (gross revenues of approximately $330 million in 2005). Under 49 U.S.C. 14303(b), the Board must approve and authorize a transaction found to be consistent with the public interest, taking into consideration at least:
(1)The effect of the transaction on the adequacy of transportation to the public;
(2)the total fixed charges that result; and
(3)the interest of affected carrier employees. Applicants have submitted information, as required by 49 CFR 1182.2, including the information to demonstrate that the proposed transaction is consistent with the public interest under 49 U.S.C. 14303(b). They state that the proposed transaction will have no impact on the adequacy of transportation services available to the public, that the proposed transaction will not have an adverse effect on total fixed charges, and that there will be no material adverse impact on the employees of the Coach America-controlled carriers. Additional information, including a copy of the application, may be obtained from the applicants' representative. On the basis of the application, we find that the proposed acquisition of control is consistent with the public interest and should be authorized. If any opposing comments are timely filed, this finding will be deemed vacated, and unless a final decision can be made on the record as developed, a procedural schedule will be adopted to reconsider the application. *See* 49 CFR 1182.6(c). If no opposing comments are filed by the expiration of the comment period, this notice will take effect automatically and will be the final Board action. Board decisions and notices are available on our Web site at *http://www.stb.dot.gov* . This decision will not significantly affect either the quality of the human environment or the conservation of energy resources. *It is ordered:* 1. The proposed finance transaction is approved and authorized, subject to the filing of opposing comments. 2. If timely opposing comments are filed, the findings made in this notice will be deemed as having been vacated. 3. This notice will be effective February 12, 2007, unless timely opposing comments are filed. 4. A copy of this notice will be served on:
(1)the U.S. Department of Transportation, Federal Motor Carrier Safety Administration, 400 7th Street, SW., Room 8214, Washington, DC 20590;
(2)the U.S. Department of Justice, Antitrust Division, 10th Street & Pennsylvania Avenue, NW., Washington, DC 20530; and
(3)the U.S. Department of Transportation, Office of the General Counsel, 400 7th Street, SW., Washington, DC 20590. Decided: December 22, 2006. By the Board, Chairman Nottingham, Vice Chairman Mulvey, and Commissioner Buttrey. Vernon A. Williams, Secretary. [FR Doc. E6-22307 Filed 12-27-06; 8:45 am] BILLING CODE 4915-01-P DEPARTMENT OF THE TREASURY Fiscal Service Renegotiation Board Interest Rate; Prompt Interest Rate; Contract Disputes Act AGENCY: Bureau of the Public Debt, Fiscal Service, Treasury. ACTION: Notice. SUMMARY: For the period beginning January 1, 2007, and ending on June 30, 2007, the prompt payment interest rate is 5 1/4 per centum per annum. DATES: This notice announces the applicable interest rate for the January 1, 2007, to June 30, 2007, period. ADDRESSES: Comments or inquiries may be mailed to Crystal Hanna, Senior Advisor, Borrowings Accounting Team, Division of Accounting Operations, Office of Public Debt Accounting, Bureau of the Public Debt, Parkersburg, West Virginia, 26106-1328. A copy of this Notice will be available to download from *http://www.publicdebt.treas.gov.* FOR FURTHER INFORMATION CONTACT: Stephanie Brown, Director, Division of Accounting Operations, Office of Public Debt Accounting, Bureau of the Public Debt, Parkersburg, West Virginia, 26106-1328,
(304)480-5181; Crystal Hanna, Senior Advisor, Borrowings Accounting Team, Division of Accounting Operations, Office of Public Debt Accounting, Bureau of the Public Debt, Parkersburg, West Virginia, 26106-1328,
(304)480-7488; Amy Mertz Brown, Deputy Chief Counsel, Office of the Chief Counsel, Bureau of the Public Debt,
(202)504-3715; or Brenda L. Hoffman, Attorney-Adviser, Office of the Chief Counsel, Bureau of the Public Debt,
(202)504-3706. SUPPLEMENTARY INFORMATION: Although the Renegotiation Board is no longer in existence, other Federal Agencies are required to use interest rates computed under the criteria established by the Renegotiation Act of 1971 Sec. 2, Pub. L. 92-41, 85 Stat. 97. For example, the Contract Disputes Act of 1978, Sec. 12, Pub. L. 95-563, 92 Stat. 2389, and, indirectly, the Prompt Payment Act of 1982, 31 U.S.C. 3902(a), provide for the calculation of interest due on claims at a rate established by the Secretary of the Treasury for the Renegotiation Board under Pub. L. 92-41. Therefore, notice is given that the Secretary of the Treasury has determined that the rate of interest applicable, for the period beginning January 1, 2007, and ending on June 30, 2007, at 5 1/4 per centum per annum. This rate is determined pursuant to the above-mentioned sections for the purpose of said sections. Dated: December 21, 2006. Donald V. Hammond, Fiscal Assistant Secretary. [FR Doc. 06-9866 Filed 12-21-06; 10:32 am]
Connectionstraces to 22
Traces to 22 documents
17 references not yet in our index
  • Pub. L. 92-463
  • 10 CFR 2
  • 10 CFR 20
  • 17 CFR 240.19
  • 17 CFR 19
  • 17 CFR 240.10
  • 17 CFR 240.12
  • 15 USC 78
  • Pub. L. 106-170
  • 49 CFR 571.208
  • 49 CFR 573
  • 49 CFR 1182.5
  • 49 CFR 1182.2
  • 49 CFR 1182.6(c)
  • Pub. L. 92-41
  • Pub. L. 95-563
  • 92 Stat. 2389
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Notice of Availability
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C.F.R.§ 50.92
C.F.R.§ 2.309
U.S.C.§ 2039
U.S.C.§ 552b
C.F.R.§ 50.46
C.F.R.§ 50.59
C.F.R.§ 50.90
C.F.R.§ 51.22
Pub. L.Pub. L. 92-463
Cite10 CFR 2
Cite10 CFR 20
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