Professional Documents
Culture Documents
forth in Sections A, B, and C below, of separate ‘‘Master Fund’’). Each Master Fund is one
the most significant aspects of such series of the Master Trust.
5 E-mail from Candice Fordin, Assistant General
statements. Counsel, Amex, to Edward Cho, Special Counsel,
Division of Market Regulation, Commission, dated
1 15 U.S.C. 78s(b)(1). September 18, 2007 (clarifying the modifications to
2 17 CFR 240.19b–4. the names of the Funds) (‘‘Amex Confirmation’’).
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55844 Federal Register / Vol. 72, No. 189 / Monday, October 1, 2007 / Notices
Funds are the only changes proposed for are expected to be highly correlated to objective and name. The Funds’
each of the Funds.6 the specified multiple of each proposal will become effective upon the
Currently, the investment objective of applicable Underlying Index and affirmative vote of a majority of the
the Funds and the Master Funds is to investment objective (0.85 or greater).9 shareholders, excluding the Shares held
reflect the performance of the In each case, the Funds are expected to by the Managing Owner and its
corresponding Underlying Index, less have a daily tracking error of less than affiliates.10 The Managing Owner will,
any expenses of the operations of such 5% (500 basis points) relative to the within a reasonable time thereafter,
Fund and the related Master Fund. specified multiple of the performance of distribute a prospectus supplement
Pursuant to this proposal, each Fund’s the relevant Underlying Index. indicating the change in name and
investment objective would be revised In addition, the Managing Owner in investment objective to purchasers and
to seek investment results that connection with the management of the current holders of the Funds.11 Based on
correspond, before fees and expenses, to Master Funds generally will seek to each Fund’s and each Master Fund’s
twice (200%) the daily performance of maintain positions in futures contracts assets under management and trading
the respective Underlying Index. The with an aggregate notional value equal volume of the Shares, as well as
revised investment objective would to double the value of the Master Fund’s competing products in the market, the
make the Funds and Master Funds holdings of U.S Treasury securities and Managing Owner believes that each
‘‘Leveraged Funds.’’ Each of the Funds, other high-credit-quality, short-term Fund should better serve the needs of
if successful in meeting its objective, fixed-income securities. As a result, the current and future investors if the
should gain, on a percentage basis, Funds generally will have a leverage respective Master Fund provides
approximately twice as much as the ratio of 2:1. The leverage ratio of the investors with an exposure to changes
Fund’s Underlying Index when the Master Fund will vary based on changes in the Underlying Index of twice or
prices of the futures contracts in the prices of the futures contracts 200%, whether positive or negative.
comprising such Underlying Index held by the Master Fund. If the Master Upon approval of the shareholders of
increase on a given day, and should lose Fund’s leverage ratio moves below 1.8:1 the Funds, the Exchange will, in an
approximately twice as much when or above 2.2:1, then the Master Fund Information Circular to Exchange
such prices decline on a given day. The will rebalance its futures contracts to members and member organizations
modification of the investment objective return to a 2:1 leverage ratio. The prior to the commencement of trading,
is expected to provide Fund leverage ratio of the Master Fund will be inform members and member
shareholders with a leveraged exposure calculated on each business day after organizations of the change in names
to a Fund’s Underlying Index, but will the close of trading on Amex based on and investment objective to the Funds.12
also result in the Master Fund becoming the settlement prices of the futures The Information Circular will further
twice as volatile as the performance of contracts held by the Master Fund. The inform members and member
the Underlying Index. This revised Managing Owner believes that organizations of the prospectus
investment objective for each Fund maintaining each Master Fund’s supplement delivery requirements that
would create funds that are leverage ratio between 1.8:1 and 2.2:1 apply to the Funds. In addition, the
substantially similar to other leveraged will enable each Fund to achieve its Information Circular will set forth the
funds that are currently listed and investment objective. requirements relating to Commentary
traded on the Exchange.7 A special meeting of the shareholders .05 to Amex Rule 411 (Duty to Know
As a result of the modification to the of the Funds is planned to be held on and Approve Customers). Specifically,
investment objective of the Funds, the October 9, 2007 to vote on the proposal the Information Circular will remind
Exchange represents that, while DB to revise each Funds’ investment members of their obligations in
Commodity Services LLC (the recommending transactions in the
‘‘Managing Owner’’) will attempt to may be increased by high portfolio turnover) and Shares so that members have a
the cost of the investment techniques employed by
minimize any ‘‘tracking error’’ between that Fund; (2) less than all of the securities in the
reasonable basis to believe that (1) the
the investment results of a particular benchmark Underlying Index being held by a Fund recommendation is suitable for a
Fund and the performance (and and securities not included in the benchmark customer given reasonable inquiry
specified multiple thereof) of its Underlying Index being held by a Fund; (3) an concerning the customer’s investment
imperfect correlation between the performance of
Underlying Index, certain factors may instruments held by a Fund, such as futures
objectives, financial situation, needs,
tend to cause the investment results of contracts, and the performance of the underlying and any other information known by
a Fund to vary from the performance of securities in the cash market; (4) bid-ask spreads such member, and (2) that the customer
the relevant Underlying Index or (the effect of which may be increased by portfolio can evaluate the special characteristics,
turnover); (5) holding instruments traded in a
specified multiple thereof.8 The Funds market that has become illiquid or disrupted; (6) a
and is able to bear the financial risks, of
Fund’s Share prices being rounded to the nearest such investment. In connection with the
6 The Exchange states that the remaining structure
cent; (7) changes to the benchmark Underlying suitability obligation, the Information
of the Funds, which is more fully described in the Index that are not disseminated in advance; (8) the Circular will also provide that members
notice and approval order for File No. SR–Amex– need to conform a Fund’s portfolio holdings to
2006–76, will remain the same. See supra note 3. comply with investment restrictions or policies or
make reasonable efforts to obtain the
7 See, e.g., Securities Exchange Act Release Nos. regulatory or tax law requirements; and (9) early following information: (a) The
55117 (January 17, 2007), 72 FR 3442 (January 25, and unanticipated closings of the markets on which customer’s financial status; (b) the
2007) (SR–Amex–2006–101) (approving the listing the holdings of a Fund trade, resulting in the customer’s tax status; (c) the customer’s
and trading of shares of funds of the ProShares inability of the Fund to execute intended portfolio
Trust); 54040 (June 23, 2006), 71 FR 37629 (June 30, transactions.
investment objectives; and (d) such
2006) (SR–Amex–2006–41) (approving the listing 9 Correlation is the strength of the relationship
10 Although the proposal of the Funds will
and trading of shares of additional funds of the between (1) the change in a Fund’s net asset value
ProShares Trust); and 52553 (October 3, 2005), 70 and (2) the change in the benchmark Underlying become effective upon the affirmative vote of a
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FR 59100 (October 11, 2005) (SR–Amex–2004–62) Index (investment objective). The statistical majority of the shareholders of such Funds, the
(approving the listing and trading of shares of funds measure of correlation is known as the ‘‘correlation Commission notes that Amex’s proposal will not
of the xtraShares Trust). coefficient.’’ A correlation coefficient of +1 become effective until the Commission has granted
8 The Exchange states that several factors may indicates a perfect positive correlation, while a its approval pursuant to Section 19(b)(2) of the Act
cause a Fund to vary from the relevant Underlying value of ¥1 indicates a perfect negative (inverse) (15 U.S.C. 78s(b)(2)).
11 See Amex Confirmation, supra note 5.
Index and investment objective including: (1) A correlation. A value of zero would mean that there
Fund’s expenses, including brokerage fees (which is no correlation between the two variables 12 See id.
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Federal Register / Vol. 72, No. 189 / Monday, October 1, 2007 / Notices 55845
other information used or considered to IV. Solicitation of Comments For the Commission, by the Division of
be reasonable by such member or Market Regulation, pursuant to delegated
registered representative in making Interested persons are invited to authority.15
recommendations to the customer. In submit written data, views, and Nancy M. Morris,
addition, the Information Circular will arguments concerning the foregoing, Secretary.
disclose that the procedures for including whether the proposed rule [FR Doc. E7–19270 Filed 9–28–07; 8:45 am]
purchases and redemptions of Shares change is consistent with the Act. BILLING CODE 8011–01–P
are described in each Fund’s prospectus Comments may be submitted by any of
and that Shares are not individually the following methods:
redeemable, but are redeemable only in SECURITIES AND EXCHANGE
Electronic Comments
prescribed aggregations or multiples COMMISSION
thereof. • Use the Commission’s Internet [Release No. 34–56506; File No. SR–Amex–
2. Statutory Basis comment form (http://www.sec.gov/ 2007–99]
rules/sro.shtml); or
The proposed rule change is Self-Regulatory Organizations;
• Send an e-mail to rule-
consistent with Section 6(b) of the American Stock Exchange LLC; Notice
comments@sec.gov. Please include File
Act,13 in general, and furthers the of Filing and Immediate Effectiveness
Number SR–Amex–2007–97 on the
objectives of Section 6(b)(5) of the Act,14 of a Proposed Rule Change Relating to
in particular, in that it is designed to subject line.
the Deletion of Certain Rules That the
prevent fraudulent and manipulative Paper Comments Amex has Determined Are Obsolete,
acts and practices, to promote just and Outdated, or Unnecessary
equitable principles of trade, to foster • Send paper comments in triplicate
cooperation and coordination with to Nancy M. Morris, Secretary, September 24, 2007.
persons engaged in facilitating Securities and Exchange Commission, Pursuant to Section 19(b)(1) of the
transactions in securities, to remove 100 F Street, NE., Washington, DC Securities Exchange Act of 1934
impediments to and perfect the 20549–1090. (‘‘Act’’) 1 and Rule 19b–4 thereunder,2
mechanism of a free and open market notice is hereby given that on
All submissions should refer to File September 14, 2007, the American Stock
and a national market system, and, in
Number SR–Amex–2007–97. This file Exchange LLC (‘‘Amex’’ or ‘‘Exchange’’)
general, to protect investors and the
number should be included on the filed with the Securities and Exchange
public interest.
subject line if e-mail is used. To help the Commission (‘‘Commission’’) the
B. Self-Regulatory Organization’s Commission process and review your proposed rule change as described in
Statement on Burden on Competition comments more efficiently, please use Items I and II below, which Items have
The Exchange believes the proposed only one method. The Commission will been prepared substantially by the
rule change will impose no burden on post all comments on the Commission’s Amex. The Amex has submitted the
competition that is not necessary or Internet Web site (http://www.sec.gov/ proposed rule change under Section
appropriate in furtherance of the rules/sro.shtml). Copies of the 19(b)(3)(A) of the Act 3 and Rule 19b–
purposes of the Act. submission, all subsequent 4(f)(6) thereunder,4 which renders the
amendments, all written statements proposal effective upon filing with the
C. Self-Regulatory Organization’s with respect to the proposed rule Commission. The Commission is
Statement on Comments on the change that are filed with the publishing this notice to solicit
Proposed Rule Change Received From Commission, and all written comments on the proposed rule change
Members, Participants or Others communications relating to the from interested persons.
The Exchange states that no written proposed rule change between the
I. Self-Regulatory Organization’s
comments were solicited or received Commission and any person, other than
Statement of the Terms of Substance of
with respect to the proposed rule those that may be withheld from the the Proposed Rule Change
change. public in accordance with the
provisions of 5 U.S.C. 552, will be The Amex proposes to delete certain
III. Date of Effectiveness of the available for inspection and copying in rules that it has determined are obsolete,
Proposed Rule Change and Timing for the Commission’s Public Reference outdated, and/or unnecessary.
Commission Action Room, 100 F Street, NE., Washington, The text of the proposed rule change
Within 35 days of the date of DC 20549, on official business days is available at http://www.amex.com,
publication of this notice in the Federal between the hours of 10 a.m. and 3 p.m. the principal offices of the Amex, and
Register or within such longer period (i) Copies of the filing also will be available the Commission’s Public Reference
as the Commission may designate up to for inspection and copying at the Room.
90 days of such date if it finds such principal office of the Exchange. All II. Self-Regulatory Organization’s
longer period to be appropriate and comments received will be posted Statement of the Purpose of, and
publishes its reasons for so finding or without change; the Commission does Statutory Basis for, the Proposed Rule
(ii) as to which Amex consents, the not edit personal identifying Change
Commission will: information from submissions. You
In its filing with the Commission, the
A. By order approve such proposed should submit only information that
Amex included statements concerning
rule change, or you wish to make available publicly. All
the purpose of and basis for the
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