[Federal Register: November 4, 2008 (Volume 73, Number 214)]
[Notices]
[Page 65709-65712]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr04no08-87]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-58873; File No. SR-NYSEArca-2008-110]
Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
and Order Granting Accelerated Approval of Proposed Rule Change
Relating to Listing Shares of the MacroShares $100 Oil Up Trust and the
MacroShares $100 Oil Down Trust
October 28, 2008.
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 15, 2008, 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 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.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
Pursuant to the provisions of Section 19(b)(1) of the Act,\3\ NYSE
Arca, through its wholly owned subsidiary NYSE Arca Equities, Inc.
(``NYSE Arca Equities''), proposes to list and trade under NYSE Arca
Equities Rule 8.400 (``Paired Trust Shares'') shares of the MacroShares
$100 Oil Up Trust (``Up Trust'') and the MacroShares $100 Oil Down
Trust (``Down Trust'', and, together with the Up Trust, the
``Trusts''). The shares of the Up Trust are referred to as the Up
MacroShares, and the shares of the Down Trust are referred to as the
Down MacroShares (collectively, the ``Shares''). The text of the
proposed rule change is available on the Exchange's Web site at http://
www.nyse.com, at the Exchange's principal office and at the Public
Reference Room of the Commission.
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\3\ 15 U.S.C. 78s(b)(1).
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II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the self-regulatory organization
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 parts 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 NYSE Arca Equities
Rule 8.400 (``Paired Trust Shares'') the Up MacroShares (symbol: UOY)
and the Down MacroShares (symbol: DOY).\4\ The Up MacroShares and the
Down MacroShares will be offered by the Up Trust and the Down Trust,
respectively, established by MACRO Securities Depositor LLC, as
depositor, under the laws of the State of New York. The Trusts are not
registered with the Commission as investment companies.\5\ The Trusts
are currently listed on NYSE Alternext US LLC (NYSE Alternext US
(formerly, the American Stock Exchange LLC (``Amex'')) and are traded
on the Exchange pursuant to unlisted trading privileges (``UTP'').\6\
Prior to listing on the Exchange, the Trusts would be required to
satisfy the applicable delisting procedures of NYSE Alternext US and
applicable statutory and regulatory requirements, including, without
limitation, Section 12 of the
[[Page 65710]]
Act,\7\ relating to listing the MacroShares Units on the Exchange.\8\
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\4\ The Commission approved trading a similar product on the
Exchange pursuant to unlisted trading privileges when it approved
NYSE Arca Equities Rule 8.400. See Securities Exchange Act Release
No. 55033 (December 29, 2006), 72 FR 1253 (January 10, 2007) (SR-
NYSEArca-2006-75) (approving UTP trading of Claymore MACROshares Oil
Up Tradeable Shares and Claymore MACROshares Oil Down Tradeable
Shares). The Commission also approved such product for listing and
trading on the American Stock Exchange LLC. See Securities Exchange
Act Release No. 54839 (November 29, 2006), 71 FR 70804 (December 6,
2006) (SR-Amex-2006-82) (approving listing and trading Claymore
MACROshares Oil Up Tradeable Shares and Claymore MACROshares Oil
Down Tradeable Shares).
\5\ The Shares are being offered by the Trusts under the
Securities Act of 1933, as amended. On April 17, 2008, the depositor
filed with the Commission a Registration Statement on Form S-1 for
both the Up MacroShares (File No. 333-150282-01) (``Up Trust
Registration Statement'') and the Down MacroShares (File No. 333-
150282-02) (``Down Trust Registration Statement'' and together with
the Up Trust Registration Statement, the ``Registration
Statements'').
\6\ See Securities Exchange Act Release No. 58057 (June 30,
2008), 73 FR 38474 (July 7, 2008) (SR-Amex-2008-36) (order approving
listing of the Trusts on the Amex) (``Amex Order''); Securities
Exchange Act Release No. 58058 (June 30, 2008), 73 FR 38484 (July 7,
2008) (SR-NYSEArca-2008-65) (order approving trading of the Trusts
on the Exchange pursuant to UTP) (``NYSE Arca Order'').
\7\ 15 U.S.C. 78(l).
\8\ See e-mail from Michael Cavalier, Chief Counsel, NYSE
Euronext, to Christopher W. Chow, Special Counsel, Commission, dated
October 16, 2008. The Exchange will seek the voluntary consent of
the issuer of the MacroShares Units to be delisted from NYSE
Alternext US and listed on the Exchange. The Exchange notes that its
approval of the Trusts' listing applications would be required prior
to listing.
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The Exchange represents that the Shares satisfy the requirements of
Rule 8.400 and thereby qualify for listing on the Exchange.
Descriptions of the Shares and of the Trusts are included in the Amex
Order. The Shares are Trading Shares as defined in Rule 8.400(b)(1)(B).
The Trusts have represented to the Exchange that they are relying
on the exemption provided for passive trusts under Rule 10A-3(c)(7) \9\
under the Act with respect to establishment of an independent audit
committee.
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\9\ 17 CFR 240.10A-3(c)(7).
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More information regarding the Shares, the Trusts, the Applicable
Reference Price of Crude Oil, quarterly distributions, final
distributions, underlying values, risks, fees and expenses, termination
triggers, and creation and redemption procedures can be found in the
Registration Statements and the Amex Order.\10\
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\10\ Terms relating to the Trusts referred to, but not defined,
herein are defined in the Registration Statements.
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Availability of Information
Intraday Indicative Values. Throughout each price determination
day, NYSE Alternext US, acting as the calculation agent for each Trust,
will calculate and disseminate, at least every 15 seconds during the
Exchange's Core Trading Session, through the facilities of the
Consolidated Tape Association (``CTA''), an estimated value (referred
to as an ``Intraday Indicative Value'' or ``IIV'') for the underlying
value per Share of both the Up MacroShares and the Down MacroShares.
The purpose of this disclosure is to promote liquidity and intraday
pricing transparency with respect to these estimated per-Share
underlying values, which can be used in connection with other related
market information. To enable this calculation, the NYSE Alternext US
will receive real time price data from the NYMEX through two major
market data vendors for the light sweet crude oil futures contract of
the designated maturity that trades on the NYMEX.
Because the NYMEX market for the light sweet crude oil futures
contract will be closed for portions of the Core Trading Session, the
IIV calculated values will become fixed and will not be updated at such
times that the NYMEX contract is not trading.\11\ Conversely, at times
when the light sweet crude oil futures contract of the designated
maturity is trading on NYMEX, those trades will be used to update the
IIV values.
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\11\ The IIV calculated during the period following the daily
opening of trading of the shares on the Exchange but prior to any
trades taking place on the NYMEX in the relevant light sweet crude
oil futures contract will be based on the final price of the futures
contract on the prior trading day.
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Availability of Other Information and Data. At the end of each
price determination day, NYSE Alternext US will also calculate the
premium or discount of the midpoint of the bid/offer for the Up
MacroShares at the close on the Exchange relative to the underlying
value of one of those Shares for that price determination day. NYSE
Alternext US will also perform the same calculation with respect to the
Down MacroShares. MacroMarkets LLC (``MacroMarkets'') will then post
these premiums/discounts, together with the end-of-day price
information for the Shares, on its Web site at http://
www.macromarkets.com and the Exchange will maintain a hyperlink on its
Web site, http://www.nyse.com, to the MacroMarkets Web site. Further,
MacroMarkets will post on its Web site the Applicable Reference Price
of Crude Oil that was reported by NYMEX for any price determination
day. The Exchange also will disseminate a variety of data with respect
to the Shares on a daily basis by means of CTA and CQ High Speed Lines,
including quotation and last sale data information.\12\
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\12\ See e-mail from Michael Cavalier, Chief Counsel, NYSE
Euronext, to Christopher W. Chow, Special Counsel, Commission, dated
October 21, 2008.
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On each price determination day, State Street Bank and Trust
Company, the trustee for the Trusts, will calculate the underlying
value of the Up Trust and the Down Trust and the per-Share underlying
value of one Up MacroShare and one Down MacroShare, based on the
Applicable Reference Price of Crude Oil established and reported by
NYMEX. The trustee will then provide such values to MacroMarkets, which
will post them on its Web site, and information posted on such Web site
will be made available to all market participants at the same time. All
investors and market participants will have access to MacroMarkets' Web
site at no charge. Information regarding secondary market prices and
volume of the Shares will be broadly available on a real-time basis
throughout the trading day on brokers' computer screens and other
electronic services. The previous day's closing price and trading
volume information will be published daily in the financial section of
newspapers.
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 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 securities; or (2)
whether other unusual conditions or circumstances detrimental to the
maintenance of a fair and orderly market are present. Rule 8.400(d)(2)
sets forth circumstances under which Shares may be halted.
If the Exchange becomes aware that the underlying value per Share
of each Up Share and Down Share is not disseminated to all market
participants at the same time, it will halt trading in the Up
MacroShares or the Down MacroShares, as the case may be, until such
time as the underlying value per share is available to all market
participants.
Trading Rules
The Exchange deems the Shares to be equity securities, thus
rendering trading in the Shares subject to the Exchange's existing
rules governing the trading of equity securities. Shares will trade on
the NYSE Arca Marketplace from 4 a.m. to 8 p.m. Eastern Time in
accordance with NYSE Arca Equities Rule 7.34 (Opening, Core, and Late
Trading Sessions). The Exchange has appropriate rules to facilitate
transactions in the Shares during all trading sessions.
Surveillance
The Exchange intends to utilize its existing surveillance
procedures applicable to derivative securities products, including
Paired Trust Shares, to monitor trading in the Shares. The Exchange
represents that these procedures are adequate to properly monitor
Exchange trading of the Shares in all trading sessions and to deter and
detect violations of Exchange rules or applicable Federal securities
laws.
The Exchange's current trading surveillance focuses on detecting
securities trading outside their normal patterns. When such situations
are detected, surveillance analysis follows and investigations are
opened, where appropriate, to review the behavior of all relevant
parties for all relevant trading violations.
[[Page 65711]]
The Exchange may obtain information via the Intermarket
Surveillance Group (``ISG'') from other exchanges who are members of
the ISG.\13\
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\13\ For a list of the current members of the ISG, see http://
www.isgportal.org.
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In addition, the Exchange also has a general policy prohibiting the
distribution of material, non-public information by its employees.
Information Bulletin
Prior to the commencement of trading, the Exchange will inform its
ETP Holders in an Information Bulletin (``Bulletin'') of the special
characteristics and risks associated with trading the Shares, including
risks inherent with trading the Shares during the Opening and Late
Trading Sessions when the updated IIV is not calculated and
disseminated. Specifically, the Bulletin will discuss the following:
(1) What the Shares are; (2) the procedures for purchases and
redemptions of Shares in MacroShares Units (and that Shares are not
individually redeemable); (3) NYSE Arca Equities Rule 9.2(a), which
imposes a duty of due diligence on its ETP Holders to learn the
essential facts relating to every customer prior to trading the Shares;
(4) the requirement that ETP Holders deliver a prospectus to investors
purchasing newly issued Shares prior to or concurrently with the
confirmation of a transaction; (5) how information regarding the IIV is
disseminated; and (6) trading information.
In addition, the Bulletin will reference that the Shares are
subject to various fees and expenses described in the Registration
Statements. The Bulletin will discuss any exemptive, no-action, and
interpretive relief granted by the Commission from any rules under the
Act.
2. Statutory Basis
The basis under the Act for this proposed rule change is the
requirement under Section 6(b)(5) \14\ 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. The
Exchange believes that the proposed rule change will allow the listing
of the Trusts on the Exchange, to the benefit of investors and the
marketplace. In addition, the listing and trading criteria set forth in
Rule 8.400 are intended to protect investors and the public interest.
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\14\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants or Others
No written comments were solicited or received with respect to the
proposed rule change.
III. Solicitation of Comments
Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:
Electronic Comments
Use the Commission's Internet comment form (http://
www.sec.gov/rules/sro.shtml); or
Send an e-mail to rule-comments@sec.gov. Please include
File Number SR-NYSEArca-2008-110 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street, NE., Washington, DC 20549-1090.
All submissions should refer to File Number SR-NYSEArca-2008-110.
This file number should be included on the subject line if e-mail is
used. To help the Commission process and review your comments more
efficiently, please use only one method. The Commission will post all
comments on the Commission's Internet Web site (http://www.sec.gov/
rules/sro.shtml). Copies of the submission, all subsequent amendments,
all written statements with respect to the proposed rule change that
are filed with the Commission, and all written communications relating
to the proposed rule change between the Commission and any person,
other than those that may be withheld from the public in accordance
with the provisions of 5 U.S.C. 552, will be available for inspection
and copying in the Commission's Public Reference Room, 100 F Street,
NE., Washington, DC 20549, on official business days between the hours
of 10 a.m. and 3 p.m. Copies of 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-NYSEArca-2008-110 and should
be submitted on or before November 25, 2008.
IV. Commission's Findings and Order Granting Accelerated Approval of
the Proposed Rule Change
After careful consideration, the Commission finds that the proposed
rule change is consistent with the requirements of the Act and the
rules and regulations thereunder applicable to a national securities
exchange.\15\ In particular, the Commission believes that the proposal
is consistent with Section 6(b)(5) of the Act,\16\ which requires,
among other things, that the rules of a national securities exchange be
designed to promote just and equitable principles of trade, to remove
impediments to and perfect the mechanism of a free and open market and
a national market system, and in general, to protect investors and the
public interest. The Commission notes that it recently approved the
listing and trading of the Shares on Amex,\17\ now known as NYSE
Alternext US, and the trading of the Shares pursuant to UTP on the
Exchange.\18\
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\15\ 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).
\16\ 15 U.S.C. 78f(b)(5).
\17\ See Amex Order, supra, note 6.
\18\ See NYSE Arca Order, supra, note 6.
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The Exchange proposes to list and trade the Shares pursuant to NYSE
Arca Equities Rule 8.400. NYSE Arca represents that the Shares will
conform to the existing initial and continued listing criteria under
such rule.
The Commission believes that the proposal to list and trade the
Shares on the Exchange is consistent with Section 11A(a)(1)(C)(iii) of
the Act,\19\ 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. The Exchange will
disseminate a variety of data with respect to the Shares on a daily
basis by means of CTA and CQ High Speed Lines, including quotation and
last-sale
[[Page 65712]]
data information. Throughout each price determination day, NYSE
Alternext U.S. will calculate and disseminate at least every 15 seconds
during the Exchange's Core Trading Session, through the facilities of
the CTA, an IIV for the underlying value per Share of both the Up
MacroShares and the Down MacroShares.\20\
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\19\ 15 U.S.C. 78k-1(a)(1)(C)(iii).
\20\ See supra note 11 and accompanying text.
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On each price determination day, the trustee will calculate the
underlying values of the Up Trust and the Down Trust, along with the
per-Share underlying value of one Up MacroShare and one Down
MacroShare, based on the Applicable Reference Price of Crude Oil
established and reported by NYMEX. The trustee then will provide such
values to MacroMarkets, which will post them on its Web site, and the
information posted on such Web site will be made available to all
market participants at the same time. All investors and market
participants will have access to MacroMarkets' Web site at no charge.
In addition, at the end of each price determination day, NYSE
Alternext U.S. will calculate the premium or discount of the midpoint
of the bid/offer for the Up MacroShares at the close on the Exchange
relative to the underlying value of one of those Shares for that price
determination day. NYSE Alternext U.S. also will perform the same
calculation with respect to the Down MacroShares. MacroMarkets will
then post these premiums/discounts, together with the end-of-day price
information for the Shares, on its Web site (http://
www.macromarkets.com) and the Exchange will maintain a hyperlink on its
Web site. Additionally, MacroMarkets will post on its Web site the
Applicable Reference Price of Crude Oil that was reported by NYMEX for
any price determination day.
Lastly, the Exchange states that information regarding secondary
market prices and volume of the Shares will be broadly available on a
real-time basis throughout the trading day on brokers' computer screens
and other electronic services. The previous day's closing price and
trading volume information will be published daily in the financial
section of newspapers.
The Commission also believes that the proposal to list and trade
the Shares is reasonably designed to promote fair disclosure of
information that may be necessary to price the Shares appropriately and
to prevent trading when a reasonable degree of transparency cannot be
assured. The Commission notes that NYSE Arca Equities Rule
8.400(d)(1)(ii) requires that the Exchange obtain a representation on
behalf of the Trusts, prior to listing, that the underlying value per
Share of each Up Trust and the Down Trust will be calculated daily and
will be made available to all market participants at the same time.
Moreover, NYSE Arca Equities Rule 8.400(d)(2)(ii) requires that the
Exchange remove the Shares from listing if the intraday value of the
Reference Price \21\ is no longer calculated or available on at least a
15-second delayed basis during the time the Shares trade on the
Exchange. Additionally, NYSE Arca Equities Rule 8.400(d)(2)(iii)
requires the Exchange to remove the Shares from listing if the IIV is
no longer made available as required. With respect to trading halts,
NYSE Arca Equities Rule 8.400(d)(2) provides that, if the intraday
value of the Reference Price or the IIV is not being disseminated as
required, the Exchange may halt trading during the day in which the
interruption to the dissemination of the applicable value occurs; if
such interruption persists past the trading day in which it occurred,
the Exchange is required to halt trading no later than the beginning of
the trading following the interruption. The Exchange further represents
that, if the Exchange becomes aware that the underlying value per Share
of each Up Trust and Down Trust is not disseminated to all market
participants at the same time, it will halt trading in the Up
MacroShares or the Down MacroShares, as the case may be, until such
time as the underlying value per share is available to all market
participants. Further, the Exchange may consider all relevant factors
in exercising its discretion to halt or suspend trading in the Shares.
Trading may be halted because of market conditions or for reasons that
make trading in the Shares inadvisable, including: (1) the extent to
which trading is not occurring in the underlying securities; or (2)
whether other unusual conditions or circumstances detrimental to the
maintenance of a fair and orderly market are present.
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\21\ See NYSE Arca Equities Rule 8.400(c). In the case of the
Shares, the Reference Price is the Applicable Reference Price of
Crude Oil.
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The Commission further believes that the trading rules and
procedures to which the Shares will be subject pursuant to this
proposal are consistent with the Act. The Exchange has represented that
the Shares are equity securities subject to NYSE Arca's rules governing
the trading of equity securities.
In support of this proposal, the Exchange has made the following
representations:
(1) The Shares satisfy the requirements of NYSE Arca Equities Rule
8.400, which includes the initial and continued listing criteria for
Paired Trust Shares.
(2) The Exchange's surveillance procedures are adequate to properly
monitor trading of the Shares in all trading sessions and to deter and
detect violations of Exchange rules or applicable federal securities
laws.
(3) The Exchange will distribute an Information Bulletin, the
contents of which are more fully described above, to ETP Holders in
connection with the trading of the Shares.
This approval order is based on the Exchange's representations.
The Commission finds good cause, pursuant to Section 19(b)(2) of
the Act,\22\ for approving the proposed rule change prior to the 30th
day after the date of publication of notice in the Federal Register.
The Commission notes that it has previously approved the listing and
trading of the Shares on Amex \23\ and believes that the Exchange's
proposal to list and trade such Shares does not appear to present any
novel or significant regulatory issues that should cause it to revisit
that previous finding. As such, the Commission believes that
accelerating approval of this proposal should benefit investors by
creating, without undue delay, additional competition in the market for
such products.
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\22\ 15 U.S.C. 78s(b)(2).
\23\ See Amex Order, supra, note 6. The Shares have also been
approved for trading on the Exchange pursuant to UTP. See NYSE Arca
Order, supra, note 6.
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V. Conclusion
It is therefore ordered, pursuant to Section 19(b)(2) of the
Act,\24\ that the proposed rule change (SR-NYSEArca-2008-110) be, and
it hereby is, approved on an accelerated basis.
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\24\ 15 U.S.C. 78s(b)(2).
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\25\
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\25\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Acting Secretary.
[FR Doc. E8-26211 Filed 11-3-08; 8:45 am]
BILLING CODE 8011-01-P