[Federal Register: April 24, 2006 (Volume 71, Number 78)]
[Notices]
[Page 21064-21074]
[DOCID:fr24ap06-109]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-53658; File No. SR-NYSE-2006-20]

Self-Regulatory Organizations; New York Stock Exchange, LLC;
Notice of Filing of Proposed Rule Change and Amendment No. 1 Thereto to
List and Trade Index-Linked Securities of Barclays Bank PLC Linked to
the Performance of the GSCI[supreg] Total Return Index

April 14, 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 March 13, 2006 the New York Stock Exchange LLC (``NYSE'' or
``Exchange'') filed with the

Securities and Exchange Commission (``Commission'' or ``SEC'') the
proposed rule change as described in Items I, II, and III below, which
Items have been prepared by the Exchange. On March 27, 2006, NYSE 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.
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    \1\ 15 U.S.C 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ In Amendment No. 1, the Exchange notes a proposed
Supplementary Material to Rule 1301B in SR-NYSE-2006-17, which sets
forth guidelines for specialists applicable to this product.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    The NYSE proposes to list and trade Index-Linked Securities (the
``Notes'') of Barclays Bank PLC (``Barclays'') linked to the
performance of the GSCI[supreg] Total Return Index (the ``Index''). The
text of the proposed rule change is available on the Exchange's Web
site (http://www.nyse.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 NYSE 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 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 the
Statutory Basis for, the Proposed Rule Change

1. Purpose
The Notes
    Under section 703.19 of the NYSE Listed Company Manual (the
``Manual''), the Exchange may approve for listing and trading
securities not otherwise covered by the criteria of sections 1 and 7 of
the Manual, provided the issue is suited for auction market trading.\4\
The Exchange proposes to list and trade, under section 703.19 of the
Manual, the Notes, which are linked to the performance of the Index.
Barclays intends to issue the Notes under the name ``iPath \SM\
Exchange-Traded Notes.'' \5\
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    \4\ See Securities Exchange Act Release No. 28217 (July 18,
1990), 55 FR 30056 (July 24, 1990) (SR-NYSE-90-30).
    \5\ Goldman, Sachs & Co. and Barclays have entered into a
license agreement granting to Barclays a non-transferable, non-
exclusive license to use the Goldman Sachs Commodity Index[supreg]
or any sub-indices (individually and collectively, the ``GSCI
[supreg]'') in connection with the Notes. Goldman, Sachs & Co. or
any of its affiliates or subsidiaries, individually or collectively,
are referred to as the ``Index Sponsor.''
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    The Exchange believes that the Notes will conform to the initial
listing standards for equity securities under section 703.19 of the
Manual, as Barclays is an affiliate of Barclays PLC,\6\ an Exchange
listed company in good standing, the Notes will have a minimum life of
one year, the minimum public market value of the Notes at the time of
issuance will exceed $4 million, there will be at least one million
Notes outstanding, and there will be at least 400 holders at the time
of issuance.
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    \6\ The issuer of the Notes, Barclays, is an affiliate of an
Exchange-listed company (Barclays PLC) and not an Exchange-listed
company itself. However, Barclays, though an affiliate of Barclays
PLC, would exceed the Exchange's earnings and minimum tangible net
worth requirements in section 102. Additionally, the Exchange states
that the Notes when combined with the original issue price of all
other Note offerings of the issuer that are listed on a national
securities exchange (or association) does not exceed 25% of the
issuer's net worth. Telephone conference between Florence E. Harmon,
Senior Special Counsel, Division of Market Regulation
(``Division''), Commission, and John Carey, Assistant General
Counsel, Exchange, on April 11, 2006 (``April 11 Telephone
Conference'').
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    The Notes are a series of medium-term debt securities of Barclays
that provide for a cash payment at maturity or upon earlier exchange at
the holder's option, based on the performance of the Index subject to
the adjustments described below. The principal amount of each Note is
expected to be $50. The Notes will trade on the Exchange's equity
trading floor, and the Exchange's existing equity trading rules will
apply to trading in the Notes. The Notes will not have a minimum
principal amount that will be repaid and, accordingly, payment on the
Notes prior to or at maturity may be less than the original issue price
of the Notes. In fact, the value of the Index must increase for the
investor to receive at least the $50 principal amount per Note at
maturity or upon exchange or redemption. If the value of the Index
decreases or does not increase sufficiently to offset the investor fee
(described below), the investor will receive less, and possibly
significantly less, than the $50 principal amount per Note. In
addition, holders of the Notes will not receive any interest payments
from the Notes. The Notes are expected to have a term of 30 years. The
Notes are not callable.\7\
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    \7\ April 11 Telephone Conference.
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    Holders who have not previously redeemed their Notes will receive a
cash payment at maturity equal to the principal amount of their Notes
times the index factor on the Final Valuation Date (as defined below)
minus the investor fee on the Final Valuation Date. The ``index
factor'' on any given day will be equal to the closing value of the
Index on that day divided by the initial index level. The index factor
on the Final Valuation Date will be equal to the final index level
divided by the initial index level. The ``initial index level'' is the
closing value of the Index on the date of issuance of the Notes (the
``Trade Date''), and the ``final index level'' is the closing value of
the Index on the Final Valuation Date. The investor fee is equal to
0.75% per year times the principal amount of a holder's Notes times the
index factor, calculated on a daily basis in the following manner: the
investor fee on the Trade Date will equal zero. On each subsequent
calendar day until maturity or early redemption, the investor fee will
increase by an amount equal to 0.75% times the principal amount of a
holder's Notes times the index factor on that day (or, if such day is
not a trading day, the index factor on the immediately preceding
trading day) divided by 365. The investor fee is the only fee holders
will be charged in connection with their ownership of the Notes.
    Prior to maturity, holders may, subject to certain restrictions,
redeem their Notes on any Redemption Date (defined below) during the
term of the Notes provided that they present at least 50,000 Notes for
redemption, or they act through a broker or other financial
intermediaries (such as a bank or other financial institution not
required to register as a broker-dealer to engage in securities
transactions) that are willing to bundle their Notes for redemption
with other investors' Notes. If a holder chooses to redeem such
holder's Notes on a Redemption Date, such holder will receive a cash
payment on such date equal to the principal amount of such holder's
Notes times the index factor on the applicable Valuation Date minus the
investor fee on the applicable Valuation Date. A ``Redemption Date'' is
the third business day following a Valuation Date (other than the Final
Valuation Date (defined below)). A ``Valuation Date'' is each Thursday
from the first Thursday after issuance of the Notes until the last
Thursday before maturity of the Notes (the ``Final Valuation Date'')
inclusive (or, if such date is not a trading day,\8\

the next succeeding trading day), unless the calculation agent
determines that a market disruption event, as described below, occurs
or is continuing on that day.\9\ In that event, the Valuation Date for
the maturity date or corresponding Redemption Date, as the case may be,
will be the first following trading day on which the calculation agent
determines that a market disruption event does not occur and is not
continuing. In no event, however, will a Valuation Date be postponed by
more than five trading days.
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    \8\ A ``trading day'' is a day on which (i) the value of the
Index is published by the Index Sponsor, (ii) trading is generally
conducted on the Exchange, and (iii) trading is generally conducted
on the markets on which the futures contracts underlying the
GSCI[supreg] are traded, in each case as determined by the
calculation agent in its sole discretion.
    \9\ Barclays will serve as the initial calculation agent.
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    Any of the following will be a market disruption event: (i) A
material limitation, suspension or disruption in the trading of any
Index component that results in a failure by the trading facility on
which the relevant contract is traded to report a daily contract
reference price (i.e., the price of the relevant contract that is used
as a reference or benchmark by market participants);\10\ (ii) the daily
contract reference price for any Index component is a ``limit price,''
which means that the daily contract reference price for such contract
has increased or decreased from the previous day's daily contract
reference price by the maximum amount permitted under the applicable
rules or procedures of the relevant trading facility; (iii) failure by
the Index Sponsor to publish the closing value of the Index or of the
applicable trading facility or other price source to announce or
publish the daily contract reference price for one or more Index
components; or (iv) any other event, if the calculation agent
determines in its sole discretion that the event materially interferes
with Barclays' ability or the ability of any of Barclays' affiliates to
unwind all or a material portion of a hedge with respect to the Notes
that Barclays or Barclays' affiliates have effected or may effect as
described herein in connection with the sale of the Notes.\11\
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    \10\ The ``daily contract reference price'' with respect to each
contract expiration and contract is the price of the relevant
contract, expressed in U.S. dollars, that is generally used by
participants in the related cash or over-the-counter market as a
benchmark for transactions related to such contract. The daily
contract reference price may, but is not required to, be the price
(i) used by such trading facility or related clearing facility to
determine the margin obligations (if any) of its members or
participants or (ii) referred to generally as the reference, closing
or settlement price of the relevant contract. If a trading facility
publishes a daily settlement price for a particular contract
expiration, such settlement price will generally serve as the daily
contract reference price for such contract expiration unless, in the
reasonable judgment of the Index Sponsor, in consultation with the
Policy Committee, such settlement price does not satisfy the
criteria set forth in this definition. The daily contract reference
price of a contract may be determined and published either by the
relevant trading facility or by one or more third parties.
    \11\ If a ``market disruption event'' is of more than a
temporary nature, the Exchange will file a proposed rule change
pursuant to Rule 19b-4 under the Act. Unless approved for continued
trading, the Exchange would commence delisting proceedings. See
``Continued Listing Criteria,'' infra. Telephone conference between
Florence Harmon, Senior Special Counsel, Division, Commission; John
Carey, Assistant General Counsel, Exchange; and Michael Cavalier,
Assistant General Counsel, Exchange, on April 10, 2006 (``April 10
Telephone Conference'').
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    If a Valuation Date is postponed by five trading days, that fifth
day will nevertheless be the date on which the value of the Index will
be determined by the calculation agent. In such an event, the
calculation agent will make a good faith estimate in its sole
discretion of the value of the Index.
    To redeem their Notes, holders must instruct their broker or other
person through whom they hold their Notes to take the following steps:
     Deliver a notice of redemption to Barclays via email by no
later than 11 a.m. New York time on the business day prior to the
applicable Valuation Date. If Barclays receives such notice by the time
specified in the preceding sentence, it will respond by sending the
holder a confirmation of redemption;
     Deliver the signed confirmation of redemption to Barclays
via facsimile in the specified form by 4 p.m. New York time on the same
day. Barclays must acknowledge receipt in order for the confirmation to
be effective; and
     Transfer such holder's book-entry interest in its Notes to
the trustee, The Bank of New York, on Barclays' behalf at or prior to
10 a.m. New York time on the applicable Redemption Date (the third
business day following the Valuation Date).\12\
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    \12\ April 10 Telephone Conference.
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    If holders elect to redeem their Notes, Barclays may request that
Barclays Capital Inc. (a broker-dealer) purchase the Notes for the cash
amount that would otherwise have been payable by Barclays upon
redemption. In this case, Barclays will remain obligated to redeem the
Notes if Barclays Capital Inc. fails to purchase the Notes. Any Notes
purchased by Barclays Capital Inc. may remain outstanding.
    If an event of default occurs and the maturity of the Notes is
accelerated Barclays will pay the default amount in respect of the
principal of the Notes at maturity. The default amount for the Notes on
any day will be an amount, determined by the calculation agent in its
sole discretion, equal to the cost of having a qualified financial
institution, of the kind and selected as described below, expressly
assume all Barclays' payment and other obligations with respect to the
Notes as of that day and as if no default or acceleration had occurred,
or to undertake other obligations providing substantially equivalent
economic value to the holders of the Notes with respect to the Notes.
That cost will equal:
     The lowest amount that a qualified financial institution
would charge to effect this assumption or undertaking, plus
     The reasonable expenses, including reasonable attorneys'
fees, incurred by the holders of the Notes in preparing any
documentation necessary for this assumption or undertaking.\13\
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    \13\ Additional information about the default provisions of the
Notes is provided in the Exchange's Form 19b-4 and Barclays Bank PLC
Registration Statement Form F-3 (333-126811), as amended by
Amendment No. 1 on September 11, 2005.
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Indicative Value
    An intraday ``Indicative Value'' meant to approximate the intrinsic
economic value of the Notes will be calculated and published via the
facilities of the Consolidated Tape Association (``CTA'') every 15
seconds throughout the NYSE trading day on each day on which the Notes
are traded on the Exchange.\14\ Additionally, Barclays or an affiliate
will calculate and publish the closing Indicative Value of the Notes on
each trading day at http://www.ipathetn.com. In connection with the Notes, the

term ``Indicative Value'' refers to the value at a given time
determined based on the following equation:
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    \14\ The Indicative Value calculation will be provided for
reference purposes only. It is not intended as a price or quotation,
or as an offer or solicitation for the purchase, sale, redemption or
termination of the Notes, nor does it reflect hedging or transaction
costs, credit considerations, market liquidity, or bid-offer
spreads. Published Index levels from the index sponsors may
occasionally be subject to delay or postponement. Any such delays or
postponements will affect the Current Index Level and therefore the
Indicative Value of the Notes. Index levels provided by the index
sponsors will not necessarily reflect the depth and liquidity of the
underlying commodities markets. For this reason and others, the
actual trading price of the Notes may be different from their
Indicative Value.

Indicative Value = Principal Amount per Unit X (Current Index Level
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Initial Index Level)--Current Investor Fee

where:

Principal Amount per Unit = $50.
Current Index Level = The most recent published level of the Index as
reported by the Index Sponsor.
Initial Index Level = The Index level on the trade date for the Notes.

Current Investor Fee = The most recent daily calculation of the
investor fee with respect to the Notes, determined as described above
(which, during any trading day, will be the investor fee determined on
the preceding calendar day).

    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 p.m. New York time.\15\ The value of the Notes 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 Notes will trade
on the NYSE from 9:30 a.m. to 4 p.m. New York time, the table below
lists the trading hours for each of the Index components.\16\
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    \15\ April 10 Telephone Conference.
    \16\ Id.

CBOT:
  Corn....................................  10:30 a.m.-2:15 p.m.
  Soybeans................................  10:30 a.m.-2:15 p.m.
  Wheat...................................  10:30 a.m.-2:15 p.m.
CME:
  Feeder Cattle...........................  10:05 a.m.-2 p.m.
  Lean Hogs...............................  10:10 a.m.-2 p.m.
  Live Cattle.............................  10:05 a.m.-2 p.m.
COMEX:
  Gold....................................  8:20 a.m.-1:30 p.m.
  Silver..................................  8:25 a.m.-1:25 p.m.
CSCE:
  Coffee..................................  9:15 a.m.-12:30 p.m.
  Cocoa...................................  8 a.m.-11:50 a.m.
  Sugar 11.......................  9 a.m.-12 p.m.
ICE Futures:
  Brent Crude Oil.........................  8 p.m.-5 p.m.
  Gas Oil.................................  8 p.m.-5 p.m.
KCBOT:
  Kansas Wheat............................  10:30 a.m.-2:15 p.m.
NYBOT:
  Cotton 2.......................  10:30 a.m.-2:15 p.m.
NYMEX:
  Heating Oil.............................  10:05 a.m.-2:30 p.m.
  Natural Gas.............................  10 a.m.-2:30 p.m.
  Unleaded Gasoline.......................  10:05 a.m.-2:30 p.m.
  WTI Crude Oil...........................  10 a.m.-2:30 p.m.
LME:
  Aluminum................................  6:55 a.m.-12 p.m.
  Copper..................................  7 a.m.-12 p.m.
  Lead....................................  7:05 a.m.-11:50 a.m.
  Nickel..................................  7:15 a.m.-11:55 a.m.
  Zinc....................................  7:10 a.m.-11:55 a.m.

    While the market for futures trading for each of the Index
commodities is open, the Indicative Value can be expected to closely
approximate the redemption value of the Notes. 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 Notes and their redemption
value. The Indicative Value disseminated during NYSE trading hours
should not be viewed as a real time update of the redemption value.
Description of the Index
    The Exchange states that all disclosure in this filing regarding
the Index and the GSCI[supreg] is derived from publicly available
information. The GSCI is a separate index from the Index; however, the
value of the Index is derived from the GSCI, as described below.\17\
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    \17\ Telephone conference between Florence E. Harmon, Senior
Special Counsel, Division, Commission, and John Carey, Assistant
General Counsel, Exchange, on April 14, 2006 (``April 14 Telephone
Conference with John Carey''). See also footnote 5, supra.
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    The Index was established in May 1991, and is designed to be a
diversified benchmark for physical commodities as an asset class. The
Index reflects the excess returns that are potentially available
through an unleveraged investment in the contracts comprising the
GSCI[supreg] plus the Treasury Bill rate of interest that could be
earned on funds committed to the trading of the underlying
contracts.\18\ The value of the Index, on any given day, reflects (i)
the price levels of the contracts included in the GSCI[supreg] (which
represents the value of the GSCI[supreg]); (ii) the ``contract daily
return,'' which is the percentage change in the total dollar weight of
the GSCI[supreg] from the previous day to the current day; and (iii)
the Treasury Bill rate of interest that could be earned on funds
committed to the trading of the underlying contracts.
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    \18\ The Treasury Bill rate of interest used for purposes of
calculating the index on any day is the 91-day auction high rate for
U.S. Treasury Bills, as reported on Telerate page 56, or any
successor page, on the most recent of the weekly auction dates prior
to such day.
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    Because the value of the Index reflects the futures contracts
included in the GSCI, the Exchange below describes the index
methodology for the GSCI. The GSCI[supreg], upon which the Index is
based, is a proprietary index on a production-weighted basket of
futures contracts on physical commodities traded on trading facilities
in major industrialized countries.\19\ The GSCI[supreg] is designed to
be a measure of the performance over time of the markets for these
commodities. The only commodities represented in the GSCI[supreg] are
those physical commodities on which active and liquid contracts are
traded on trading facilities in major industrialized countries. The
commodities represented in the GSCI[supreg] are weighted, on a
production basis, to reflect their relative significance (in the view
of the Index Sponsor, in consultation with the Policy Committee) to the
world economy. The fluctuations in the value of the GSCI[supreg] are
intended generally to correlate with changes in the prices of such
physical commodities in global markets. The value of the GSCI[supreg]
has been normalized such that its hypothetical level on January 2, 1970
was 100. Futures contracts on the GSCI[supreg], and options on such
futures contracts, are currently listed for trading on the Chicago
Mercantile Exchange.
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    \19\ Futures contracts on physical commodities and commodity
indices are traded on regulated futures exchanges. Futures exchanges
in the United States are subject to regulation by the Commodity
Futures Trading Commission (``CFTC'') and futures markets outside
the United States are generally subject to regulation by comparable
regulatory authorities.
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    The contracts to be included in the GSCI[supreg] at any given time
must satisfy several sets of eligibility criteria established by the
Index Sponsor.\20\ First, the Index Sponsor identifies those contracts
that meet the general criteria for eligibility. Second, the contract
volume and weight requirements are applied and the number of contracts
is determined, which serves to reduce the list of eligible contracts.
At that point, the list of designated contracts for the relevant period
is complete. The composition of the GSCI[supreg] is also reviewed on a
monthly basis by the Index Sponsor.\21\
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    \20\ Goldman, Sachs & Co. is the Index Sponsor for both the
Index and the GSCI. Telephone conference between Florence E. Harmon,
Senior Special Counsel, Division, Commission, and Michael Cavalier,
Assistant General Counsel, Exchange, on April 13, 2006 (``April 13
Telephone Conference'').
    \21\ The Index Sponsor, Goldman, Sachs & Co., who calculates the
GSCI and thus the Index, is a broker-dealer. The Index Sponsor has
represented to Barclays that it will (i) implement and maintain
procedures reasonably designed to prevent the use and dissemination
by officers and directors 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 Index and (ii) periodically check
the application of such procedures as they relate to officers and
directors of the Index Sponsor directly responsible for such
changes. In addition, the Policy Committee members (as described
below) are subject to written policies with respect to material,
non-public information. Telephone conversation between Florence
Harmon, Senior Special Counsel, Division, Commission; John Carey,
Assistant General Counsel, Exchange; and Michael Cavalier, Assistant
General Counsel, Exchange, on April 14, 2006 (``April 14 Telephone
Conference with John Carey and Michael Cavalier'').
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    Set forth below is a summary of the composition of and the
methodology used to calculate the GSCI[supreg] as of this date. The
methodology for determining the composition and weighting of the
GSCI[supreg] and for calculating its value is subject to modification
in a manner consistent with the purposes of the GSCI[supreg], as
described below. The Index Sponsor makes the official calculations of
the GSCI[supreg]. At present, this calculation is performed
continuously

and is reported on Reuters page GSCI[supreg] (or any successor or
replacement page) and will be updated on Reuters at least every 15
seconds during business hours on each day on which the offices of the
Index Sponsor in New York City are open for business (a ``GSCI Business
Day'').\22\ The settlement price for the Index is also reported on
Reuters page GSCI[supreg] (or any successor or replacement page) on
each GSCI Business Day between 4 p.m. and 6 p.m., New York time.
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    \22\ Additionally, the intraday index value of the Index will be
updated and disseminated at least every 15 seconds by a major market
data vendor during the time the Notes trade on the Exchange. April
13 Telephone Conference. The intraday information with respect to
the Index reported on Reuters is derived solely from trading prices
on the principal trading markets for the various Index components.
For example, the Index currently includes contracts traded on ICE
Futures (``ICE'') and the London Metal Exchange (the ``LME''), both
of which are located in London and consequently have trading days
that end several hours before those of the U.S.-based markets on
which the rest of the Index components are traded. During the
portion of the New York trading day when ICE and LME are closed, the
last reported prices for Index Components traded on ICE or LME are
used to calculate the intraday Index information disseminated on
Reuters.
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    In light of the rapid development of electronic trading platforms
and the potential for significant shifts in liquidity between
traditional exchanges and such platforms, the Index Sponsor has
undertaken a review of both the procedures for determining the
contracts to be included in the GSCI[supreg], as well as the procedures
for evaluating available liquidity on an intra-year basis in order to
provide GSCI[supreg] market participants with efficient access to new
sources of liquidity and the potential for more efficient trading. In
particular, the Index Sponsor is examining the conditions under which
an instrument traded on an electronic platform, rather than a
traditional futures contract traded on a traditional futures exchange,
should be permitted to be included in the GSCI[supreg] and how the
composition of the GSCI[supreg] should respond to rapid shifts in
liquidity between such instruments and contracts currently included in
the GSCI[supreg]. Any changes made to the GSCI[supreg] composition or
methodology as a result of this examination will be announced by the
Index Sponsor and provided in a written statement to any investor upon
request to the calculation agent. Barclays will not have any obligation
to notify holders of the Notes if the Index Sponsor changes the
composition of the GSCI[supreg], the methodology of calculating the
value of the GSCI[supreg] or any other policies of the Index Sponsor
relevant to the Index. However, the Exchange would have to file a
proposed rule change pursuant to Rule 19b-4,\23\ seeking Commission
approval to continue trading the Notes. Unless approved for continued
listing, the Exchange would commence delisting proceedings.\24\
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    \23\ 17 CFR 240.19b-4.
    \24\ See ``Continued Listing Criteria,'' infra. April 10
Telephone Conference.
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Index Disruptions
    The Index is determined, calculated and maintained solely by the
Index Sponsor. If the Index Sponsor discontinues publication of the
Index and it or any other person or entity publishes a substitute index
that the calculation agent determines is comparable to the Index and
approves as a successor index then the calculation agent will determine
the value of the Index on the applicable Valuation Date and the amount
payable at maturity or upon redemption by reference to such successor
index.
    If the calculation agent determines that the publication of the
Index is discontinued and that there is no successor index, or that the
closing value of the Index is not available because of a market
disruption event (as defined below) or for any other reason, on the
date on which the value of the Index is required to be determined, or
if for any other reason the Index is not available to Barclays or the
calculation agent on the relevant date, the calculation agent will
determine the amount payable by a computation methodology that the
calculation agent determines will as closely as reasonably possible
replicate the Index.\25\
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    \25\ In such case, the Exchange will file a proposed rule change
pursuant to Rule 19b-4 under the Act. Unless approved for continued
trading, the Exchange would commence delisting proceedings. See
``Continued Listing Criteria,'' infra. April 10 Telephone
Conference.
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    If the calculation agent determines that the Index, the Index
components or the method of calculating the Index has been changed at
any time in any respect--including any addition, deletion or
substitution and any reweighting or rebalancing of Index components,
and whether the change is made by the Index Sponsor under its existing
policies or following a modification of those policies, is due to the
publication of a successor index, is due to events affecting one or
more of the Index components, or is due to any other reason--then the
calculation agent will be permitted (but not required) to make such
adjustments to the Index or method of calculating the Index as it
believes are appropriate to ensure that the value of the Index used to
determine the amount payable on the maturity date or upon redemption is
equitable.\26\
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    \26\ Id.
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    The Exchange states that all determinations and adjustments to be
made by the calculation agent with respect to the value of the Index
and the amount payable at maturity or upon redemption or otherwise
relating to the value of the Index may be made by the calculation agent
in its sole discretion.\27\
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    \27\ Id.
---------------------------------------------------------------------------

The Policy Committee
    The Index Sponsor has established a Policy Committee to assist it
with the operation of the GSCI[supreg].\28\ The principal purpose of
the Policy Committee is to advise the Index Sponsor with respect to,
among other things, the calculation of the GSCI[supreg], the
effectiveness of the GSCI[supreg] as a measure of commodity futures
market performance and the need for changes in the composition or the
methodology of the GSCI[supreg]. The Policy Committee acts solely in an
advisory and consultative capacity. All decisions with respect to the
composition, calculation and operation of the GSCI[supreg] and the
Index are made by the Index Sponsor.
---------------------------------------------------------------------------

    \28\ The component selections for the GSCI would obviously
affect the Index. Telephone conference between Florence Harmon,
Senior Special Counsel, Division, Commission, and Michael Cavalier,
Assistant General Counsel, Exchange, on April 12, 2006 (``April 12
Telephone Conference'').
---------------------------------------------------------------------------

    The Policy Committee generally meets in October of each year. Prior
to the meeting, the Index Sponsor determines the contracts to be
included in the GSCI[supreg] for the following calendar year and the
weighting factors for each commodity. The Policy Committee's members
receive the proposed composition of the GSCI[supreg] 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[supreg]. 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.\29\
---------------------------------------------------------------------------

    \29\ The current members of the Policy Committee who are
affiliated with the Index Sponsor are Peter O'Hagan, Steven Strongin
and Laurie Ferber, each of whom is a Managing Director of Goldman,
Sachs & Co. The current non-affiliated members and their
affiliations are: Richard Redding (Chicago Mercantile Exchange),
Kenneth A. Froot (finance professor at the Harvard Business School),
Dan Kelly (Harvard Management Company), Jelle Beenen (PGGM), and
Tham Chiew Kit (GIC). As stated, the Policy Committee are subject to
written policies with respect to material, non-public information.
Telephone conference between Florence Harmon, Senior Special
Counsel, Division, Commission, and Michael Cavalier, Assistant
General Counsel, Exchange, on April 14, 2006 (``April 14 Telephone
Conference with Michael Cavalier'').

---------------------------------------------------------------------------

Composition of the GSCI[supreg]
    In order to be included in the GSCI[supreg], a contract must
satisfy the following eligibility criteria:
    (1) The contract must:
     Be in respect of a physical commodity (rather than a
financial commodity);
     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
     At any given point in time, be available 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:
     Is denominated in U.S. dollars; and
     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 which is a member of the
Organization for Economic Cooperation and Development \30\ and:
---------------------------------------------------------------------------

    \30\ The Organization for Economic Cooperation and Development
has 30 member countries: Australia, Austria, Belgium, Canada, Czech
Republic, Denmark, Finland, France, Germany, Greece, Hungary,
Iceland, Ireland, Italy, Japan, Korea, Luxembourg, Mexico,
Netherlands, New Zealand, Norway, Poland, Portugal, Slovak Republic,
Spain, Sweden, Switzerland, Turkey, United Kingdom, and the United
States.
---------------------------------------------------------------------------

     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;
     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;
     Accepts bids and offers from multiple participants or
price providers; and
     Is accessible by a sufficiently broad range of
participants.
    (3) The daily contract reference price for the relevant contract
generally must have been available on a continuous basis for at least
two years prior to the proposed date of inclusion in the GSCI[supreg].
In appropriate circumstances, however, the Index Sponsor may determine
that a shorter time period is sufficient or that historical daily
contract reference prices for such 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[supreg], the daily contract reference price for such contract must
be published between 10 a.m. and 4 p.m., New York time, on each
GSCI[supreg] Business Day relating to such contract by the trading
facility on or through which it is traded and must generally be
available to all members of, or participants in, such 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 such five-month period.
    (5) Volume data with respect to such 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[supreg] at the time
of determination and that is based on a commodity that is not
represented in the GSCI[supreg] at such time must, in order to be added
to the GSCI[supreg] at such time, have a total dollar value traded,
over the relevant period, as the case may be and annualized, of at
least U.S. $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[supreg] at the
time of determination and that is the only contract on the relevant
commodity included in the GSCI[supreg] must, in order to continue to be
included in the GSCI[supreg] after such time, have a total dollar value
traded, over the relevant period, as the case may be and annualized, of
at least U.S. $5 billion and at least U.S. $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[supreg] 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[supreg] at such time
must, in order to be added to the GSCI[supreg] at such time, have a
total dollar value traded, over the relevant period, as the case may be
and annualized, of at least U.S. $30 billion.
    (9) A contract that is already included in the GSCI[supreg] 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[supreg] at such
time must, in order to continue to be included in the GSCI[supreg]
after such time, have a total dollar value traded, over the relevant
period, as the case may be and annualized, of at least U.S. $10 billion
and at least U.S. $20 billion during at least one of the three most
recent annual periods used in making the determination.
    (10) A contract that is already included in the GSCI[supreg] at the
time of determination must, in order to continue to be included after
such time, have a reference percentage dollar weight of at least 0.10%.
The reference percentage dollar weight of a contract is determined by
multiplying the CPW (defined below) of a contract 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[supreg] and each contract's percentage of the
total is then determined.
    (11) A contract that is not included in the GSCI[supreg] at the
time of determination must, in order to be added to the GSCI[supreg] at
such time, have a reference percentage dollar weight of at least 1.00%.
    (12) In the event that two or more contracts on the same commodity
satisfy the eligibility criteria, such contracts will be included in
the GSCI[supreg] 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[supreg] attributable to such
commodity exceeding a particular level. 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[supreg] attributable to it at

the time of determination. Subject to the other eligibility criteria
set forth above, the contract with the highest total quantity traded on
such commodity will be included. Before any additional contracts on the
same commodity or on any other commodity are included, the portion of
the GSCI[supreg] 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[supreg] attributable to it.
    Currently, 24 contracts meet the eligibility requirement for
inclusion on the GSCI[supreg].

  Contracts Included in the GSCI[supreg] for 2006, as of March 2, 2006
------------------------------------------------------------------------
                                                         2006 Reference
        Trading facility               Commodity          price dollar
                                       (contract)       weight (percent)
------------------------------------------------------------------------
CBOT............................  Wheat (Chicago                    2.51
                                   Wheat).
KCBOT...........................  Wheat (Kansas                     1.00
                                   Wheat).
CBOT............................  Corn...............               2.35
CBOT............................  Soybeans...........               1.53
CSCE............................  Coffee ``C''.......               0.73
CSCE............................  Sugar 11..               2.06
CSCE............................  Cocoa..............               0.19
NYBOT...........................  Cotton 2..               0.93
CME.............................  Lean Hogs..........               1.49
CME.............................  Cattle (Live                      2.50
                                   Cattle).
CME.............................  Cattle (Feeder                     .68
                                   Cattle).
NYMEX...........................  Oil (No. 2 Heating                8.28
                                   Oil, NY).
ICE.............................  Oil (Gasoil).......               4.49
NYMEX...........................  Oil (Unleaded Reg                 7.55
                                   Gas, NY).
NYMEX...........................  Oil (WTI Crude Oil)              30.59
ICE.............................  Oil (Brent Crude                 14.79
                                   Oil).
NYMEX...........................  Natural Gas........               7.98
LME.............................  High Grade Primary                3.18
                                   Aluminum.
LME.............................  Copper--Grade A....               3.09
LME.............................  Standard Lead......               0.33
LME.............................  Primary Nickel.....               0.70
LME.............................  Special High Grade                0.88
                                   Zinc.
COMEX...........................  Gold...............               1.94
COMEX...........................  Silver.............              0.24
------------------------------------------------------------------------
Copyright 2006, The Goldman Sachs Group, Inc. Used by permission.

    The quantity of each of the contracts included in the GSCI[supreg]
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 may calculate the weight of such
commodity based on regional, rather than world, production data.
    The five-year moving average is updated annually for each commodity
included in the GSCI[supreg], 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 contract production weights (the ``CPW'') used in
calculating the GSCI[supreg] 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 such
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[supreg] is
reevaluated, based on the criteria and weighting procedure described
above. This procedure is undertaken to allow the GSCI[supreg] 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[supreg] will
change on one or more of these monthly Valuation Dates. In addition,
regardless of whether any changes have occurred during the year, the
Index Sponsor reevaluates the composition of the GSCI[supreg] at the
conclusion of each year, based on the above criteria. Other commodities
that satisfy such criteria, if any, will be added to the GSCI[supreg].
Commodities included in the GSCI[supreg] which no longer satisfy such
criteria, if any, will be deleted.
    The Index Sponsor also determines whether modifications in the
selection criteria or the methodology for determining the composition
and weights of and for calculating the GSCI[supreg] are necessary or
appropriate in order to assure that the GSCI[supreg] represents a
measure of commodity market performance. The Index Sponsor has the
discretion to make any such modifications.
Contract Expirations
    Because the GSCI[supreg] is comprised of actively traded contracts
with scheduled expirations, it can only be calculated by reference to
the prices of contracts for specified expiration, delivery or
settlement periods, referred to as ``contract expirations.'' The
contract expirations included in the GSCI[supreg] for each commodity
during a given year are designated by the Index Sponsor, provided that
each such contract must be an ``active contract.'' An ``active
contract'' for this purpose is a liquid, actively traded contract
expiration, as defined or identified by the relevant trading facility
or, if no such definition or identification is provided by the relevant
trading facility, as defined by standard custom and practice in the
industry. The relative liquidity of the various active contracts is one
of the factors that may be taken into consideration in determining
which of them the Index Sponsor includes in the GSCI (and thus the
Index).
    If a trading facility deletes one or more contract expirations, the
GSCI[supreg] will be calculated during the remainder of the year in
which such deletion occurs on the basis of the remaining contract
expirations designated by the Index Sponsor. If a trading facility
ceases trading in all contract expirations relating to a particular
contract, the Index Sponsor may designate a replacement contract on the
commodity. The replacement contract must satisfy the eligibility
criteria for inclusion in the GSCI[supreg]. To the extent practicable,
the replacement will be effected during the next monthly review of the
composition of the index. If that timing is not practicable, the Index
Sponsor will determine the date of the replacement and will consider a
number of factors, including the differences between the existing
contract and the replacement contract with respect to contractual
specifications and contract expirations.
Value of the GSCI[supreg]
    The value of the GSCI[supreg] on any given day is equal to the
total dollar weight of the GSCI[supreg] divided by a normalizing
constant that assures the continuity of the GSCI[supreg] over time. The
total dollar weight of the GSCI[supreg] is the sum of the dollar weight
of each index component. The dollar weight of each such index component
on any given day is equal to:
     The daily contract reference price,

     Multiplied by the appropriate CPWs, and
     During a roll period, the appropriate ``roll weights''
(discussed below).
    The daily contract reference price used in calculating the dollar
weight of each index component 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. However, if the price is not made
available or corrected by 4 p.m. New York time, the Index Sponsor, if
it deems such action to be appropriate under the circumstances, will
determine the appropriate daily contract reference price for the
applicable futures contract in its reasonable judgment for purposes of
the relevant GSCI[supreg] calculation.\31\
---------------------------------------------------------------------------

    \31\ 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, file a proposed rule change
pursuant to Rule 19b-4 seeking Commission approval to continue to
trade the Shares. Unless approved for continued trading, the
Exchange would commence delisting proceedings. See ``Continued
Listing Criteria,'' infra. April 10 Telephone Conference.
---------------------------------------------------------------------------

Contract Daily Return
    The contract daily return on any given day is equal to the sum, for
each of the commodities included in the GSCI[supreg], 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 GSCI[supreg] 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 approach 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 GSCI[supreg]
is designed to replicate the performance of actual investments in the
underlying contracts, the rolling process incorporated in the
GSCI[supreg] 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 GSCI[supreg] is gradually shifted from the first nearby contract
expiration to the more distant contract expiration.
    If on any day during a roll period any of the following conditions
exists, the portion of the roll that would have taken place on that day
is deferred until the next day on which such conditions do not exist:
     No daily contract reference price is available for a given
contract expiration;
     Any such price represents the maximum or minimum price for
such contract month, based on exchange price limits (referred to as a
``Limit Price'');
     The daily contract reference price published by the
relevant trading facility reflects manifest error, or such price is not
published by 4 p.m., New York time. In that event, the Index Sponsor
may, but is not required to, determine a daily contract reference price
and complete the relevant portion of the roll based on such price;
provided, that, if the trading facility publishes a price before the
opening of trading on the next day, the Index Sponsor will revise the
portion of the roll accordingly; or
     Trading in the relevant contract terminates prior to its
scheduled closing time.
    If any of these conditions exist throughout the roll period, the
roll with respect to the affected contract, will be effected in its
entirety on the next day on which such conditions no longer exist.
Value of the Index
    The Exchange now describes the value of the Index (as opposed to
the above description of the GSCI) which the Notes are designed to
track. The value of the 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 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 in the GSCI[supreg] at a rate equal to the
interest rate on a specified U.S. Treasury Bill. The initial value of
the GSCI[supreg] was normalized such that the hypothetical level of the
Index on January 2, 1970 was 100.
Historical Performance
    While the following historical performance table is based on the
selection criteria and methodology described herein, the Index was not
actually calculated and published prior to May 1, 1991. Accordingly,
the following table illustrates:
    (i) On a hypothetical basis, how the Index would have performed
from January 2, 1970 to January 2, 1991 based on the selection criteria
and methodology described above; and
    (ii) On an actual basis, how the Index has performed from January
2, 1992 onwards.

January 2, 1970..............................................     100.00
January 4, 1971..............................................     115.78
January 3, 1972..............................................     138.90
January 2, 1973..............................................     198.45
January 2, 1974..............................................     354.32
January 2, 1975..............................................     478.50
January 2, 1976..............................................     400.02
January 3, 1977..............................................     351.05
January 3, 1978..............................................     390.02
January 2, 1979..............................................     515.25
January 2, 1980..............................................     692.40
January 2, 1981..............................................     764.66
January 4, 1982..............................................     593.61
January 3, 1983..............................................     657.98
January 3, 1984..............................................     747.23
January 3, 1985..............................................     760.67
January 2, 1986..............................................     833.67
January 2, 1987..............................................     868.83
January 4, 1988..............................................   1,105.18
January 3, 1989..............................................   1,371.33
January 2, 1990..............................................   1,937.46
January 2, 1991..............................................   2,346.03
January 2, 1992..............................................   2,304.20
January 4, 1993..............................................   2,371.27
January 3, 1994..............................................   2,111.22
January 3, 1995..............................................   2,185.21
January 2, 1996..............................................   2,711.25
January 2, 1997..............................................   3,591.15
January 2, 1998..............................................   3,019.39
January 4, 1999..............................................   1,992.32
January 3, 2000..............................................   2,766.77
January 2, 2001..............................................   4,022.43
January 2, 2002..............................................   2,891.27
January 2, 2003..............................................   3,819.38
January 2, 2004..............................................   4,520.70
January 3, 2005..............................................   5,173.25
January 3, 2006..............................................   6,729.99

    The historical performance of the Index should not be taken as an
indication of future performance, and no assurance can be given that
the value of the Index will increase sufficiently to cause holders of
the Note receive a payment at maturity or upon redemption equal to or
in excess of the principal amount of such Notes.
Continued Listing Criteria
    The Exchange prohibits the initial and/or continued listing of any
security

that is not in compliance with Rule 10A-3 under the Act.\32\
---------------------------------------------------------------------------

    \32\ 17 CFR 240.10A-3; see also 15 U.S.C. 78a.
---------------------------------------------------------------------------

    The Exchange will delist the Notes:
     If, following the initial twelve month period from the
date of commencement of trading of the Notes, the Notes have more than
60 days remaining until maturity and (i) there are fewer than 50
beneficial holders of the Notes for 30 or more consecutive trading
days; (ii) if fewer than 50,000 Notes remain issued and outstanding; or
(iii) if the market value of all outstanding Notes is less than
$1,000,000;
     If the Index value ceases to be calculated or available
during the time the Notes trade on the Exchange on at least every 15
second basis through one or more major market data vendors; \33\
---------------------------------------------------------------------------

    \33\ The Exchange confirmed that the Index value (along with the
GSCI index value) will be disseminated at least every 15 seconds by
one or more major market data vendors during the time the Notes
trade on the Exchange. The Exchange also confirmed these indexes
have daily settlement values that are widely disclosed. April 13
Telephone Conference.
---------------------------------------------------------------------------

     If, during the time the Notes trade on the Exchange, the
Indicative Value ceases to be available on a 15 second delayed basis;
or
     If such other event shall occur or condition exists which
in the opinion of the Exchange makes further dealings on the Exchange
inadvisable.
    Additionally, the Exchange will file a proposed rule change
pursuant to Rule 19b-4 under the Act \34\ seeking approval to continue
trading the Notes and unless approved, the Exchange will commence
delisting the Notes if:
---------------------------------------------------------------------------

    \34\ 17 CFR 240.19b-4.
---------------------------------------------------------------------------

     The Index Sponsor substantially changes either the Index
component selection methodology or the weighting methodology;
     If 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; \35\ or
---------------------------------------------------------------------------

    \35\ April 10 Telephone Conference.
---------------------------------------------------------------------------

     If a successor or substitute index is used in connection
with the Notes. The filing will address, among other things the listing
and trading characteristics of the successor or substitute index and
the Exchange's surveillance procedures applicable thereto.

Trading Rules

    The Exchange's existing equity trading rules will apply to trading
of the Notes. The Notes will trade between the hours of 9:30 a.m. and 4
p.m. New York time and will be subject to the equity margin rules of
the Exchange.\36\
---------------------------------------------------------------------------

    \36\ See NYSE Rule 431.
---------------------------------------------------------------------------

(1) Trading Halts
    The Exchange will cease trading the Notes if there is a halt or
disruption in the dissemination of the Index value or the Indicative
Value.\37\ The Exchange will also cease trading the Notes if a ``market
disruption event'' occurs that is of more than a temporary nature.\38\
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
Notes on that day.
---------------------------------------------------------------------------

    \37\ In the event the Index value or Indicative Value is no
longer calculated or disseminated, the Exchange would immediately
contact the Commission to discuss measures that may be appropriate
under the circumstances.
    \38\ In the event a ``market disruption event'' occurs that is
of more than a temporary nature, the Exchange would immediately
contact the Commission to discuss measures that may be appropriate
under the circumstances.
---------------------------------------------------------------------------

(2) Specialist Trading Obligations
    Pursuant to new Supplementary Material .10 to NYSE Rule 1301B, the
provisions of NYSE Rules 1300B(b) and 1301B would be applied to certain
securities listed on the Exchange pursuant to section 703.19 (``Other
Securities'') of the Exchange's Manual. Specifically, NYSE Rules
1300B(b) and 1301B will apply to securities listed under section 703.19
of the Manual where the price of such securities is based in whole or
part on the price of (a) a commodity or commodities; (b) any futures
contracts or other derivatives based on a commodity or commodities; or
(c) any index based on either (a) or (b) above.
    As a result of application of NYSE Rule 1300B(b), the specialist in
the Notes, the specialist's member organization and other specified
persons will be prohibited under paragraph (m) of NYSE Rule 105
Guidelines from acting as market maker or functioning in any capacity
involving market-making responsibilities in the Index components, the
commodities underlying the Index components, or options, futures or
options on futures on the Index, or any other derivatives
(collectively, ``derivative instruments'') based on the Index or based
on any Index component or any physical commodity underlying an Index
component. If the member organization acting as specialist in the Notes
is entitled to an exemption under NYSE Rule 98 from paragraph (m) of
NYSE Rule 105 Guidelines, then that member organization could act in a
market making capacity in the Index components, the commodities
underlying the Index components, or derivative instruments based on the
Index or based on any Index component or commodity underlying an Index
component, other than as a specialist in the Notes themselves, in
another market center.
    Under NYSE Rule 1301B(a), the member organization acting as
specialist in the Notes (1) will be obligated to conduct all trading in
the Notes in its specialist account, (subject only to the ability to
have one or more investment accounts, all of which must be reported to
the Exchange), (2) will be required to file with the Exchange and keep
current a list identifying all accounts for trading in the Index
components or the physical commodities underlying the Index components,
or derivative instruments based on the Index or based on the Index
components or the physical commodities underlying the Index components,
which the member organization acting as specialist may have or over
which it may exercise investment discretion, and (3) will be prohibited
from trading in the Index components or the physical commodities
underlying the Index components, or derivative instruments based on the
Index or based on the Index components or the physical commodities
underlying the Index components, in an account in which a member
organization acting as specialist, controls trading activities which
have not been reported to the Exchange as required by NYSE Rule 1301B.
    Under NYSE Rule 1301B(b), the member organization acting as
specialist in the Notes will be required to make available to the
Exchange such books, records or other information pertaining to
transactions by the member organization and other specified persons for
its or their own accounts in the Index components or the physical
commodities underlying the Index components, or derivative instruments
based on the Index or based on the Index components or the physical
commodities underlying the Index components, as may be requested by the
Exchange. This requirement is in addition to existing obligations under
Exchange rules regarding the production of books and records.
    Under NYSE Rule 1301B(c), in connection with trading the Index
components or the physical commodities underlying the Index components,
or derivative instruments based on the Index or based on the Index
components or the physical commodities underlying the Index components,
the specialist could not use any material nonpublic information

received from any person associated with a member or employee of such
person regarding trading by such person or employee in the Index
components or the physical commodities underlying the Index components,
or derivative instruments based on the Index or based on the Index
components or the physical commodities underlying the Index components.
Surveillance
    The Exchange represents that its surveillance procedures are
adequate to properly monitor the trading of the Notes and the Index
components. The Exchange will rely upon existing NYSE surveillance
procedures governing equities with respect to surveillance of the
Notes. The Exchange believes that these procedures are adequate to
monitor Exchange trading of the Notes and 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 Notes to provide NYSE Regulation with
information that the specialist uses in connection with pricing the
Notes 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
(``NYMEX''), 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 Index
components are traded are members of the Intermarket Surveillance Group
(``ISG''), and the Exchange therefore has access to all relevant
trading information with respect to those contracts without any further
action being required on the part of the Exchange. All these
surveillance arrangements constitute comprehensive surveillance sharing
arrangements.\39\
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    \39\ April 14 Telephone Conference with John Carey.
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Suitability
    Pursuant to NYSE Rule 405, the Exchange will impose a duty of due
diligence on its members and member firms to learn the essential facts
relating to every customer prior to trading the Notes.\40\ With respect
to suitability recommendations and risks, the Exchange will require
members, member organizations and employees thereof recommending a
transaction in the Notes: (1) To determine that such transaction is
suitable for the customer, and (2) to have a reasonable basis for
believing that the customer can evaluate the special characteristics
of, and is able to bear the financial risks of, such transaction.
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    \40\ NYSE Rule 405 requires that every member, member firm or
member corporation use due diligence to learn the essential facts
relative to every customer and to every order or account accepted.
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Information Memorandum
    The Exchange will, prior to trading the Notes, distribute an
information memorandum to the membership providing guidance with regard
to member firm compliance responsibilities (including suitability
recommendations) when handling transactions in the Notes. The
information memorandum will note to members language in the prospectus
used by Barclays in connection with the sale of the Notes regarding
prospectus delivery requirements for the Notes. Specifically, in the
initial distribution of the Notes,\41\ and during any subsequent
distribution of the Notes, NYSE members will deliver a prospectus to
investors purchasing from such distributors.\42\
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    \41\ The Registration Statement reserves the right to do
subsequent distributions of these Notes.
    \42\ April 10 Telephone Conference.
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    The information memorandum will discuss the special characteristics
and risks of trading this type of security. Specifically, the
information memorandum, among other things, will discuss what the Notes
are, how the Notes are redeemed, applicable Exchange rules,
dissemination of information regarding the Index value and the
Indicative Value, trading information and applicable suitability rules.
    The information memorandum will also notify members and member
organizations about the procedures for redemptions of Notes and that
Notes are not individually redeemable but are redeemable only in
aggregations of at least 50,000 Notes.
    The information memorandum will also reference the fact that there
is no regulated source of last sale information regarding physical
commodities and that the SEC has no jurisdiction over the trading of
physical commodities such as aluminum, gold, crude oil, heating oil,
corn and wheat, or the futures contracts on which the value of the
Notes is based, and that the CFTC has no regulatory jurisdiction over
the trading of certain foreign based futures contracts.\43\
    The information memorandum will also discuss other exemptive or no-
action relief under the Act provided by the Commission staff.\44\
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    \43\ April 14 Telephone Conference with John Carey.
    \44\ April 10 Telephone Conference.
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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) \45\ 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.
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    \45\ 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, as
amended, will impose any burden on competition that is not necessary or
appropriate in furtherance of the purposes of the Act.

C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received from Members, Participants or Others

    The Exchange has neither solicited nor received written comments on
the proposed rule change.

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 NYSE 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.
    The Commission is considering granting accelerated approval of the

proposed rule change at the end of a 15-day comment period.\46\
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    \46\ The NYSE has requested accelerated approval of this
proposed rule change prior to the 30th day after the date of
publication of the notice of the filing thereof, following the
conclusion of a 15-day comment period. April 10 Telephone
Conference.
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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<EMAIL_ADDRESS>Please include

File Number SR-NYSE-2006-20 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-2006-20. 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-2006-20 and should be submitted on or before May 9,
2006.

    For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\47\
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    \47\ 17 CFR 200.30-3(a)(12).
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Nancy M. Morris,
Secretary.
[FR Doc. E6-6073 Filed 4-21-06; 8:45 am]

BILLING CODE 8010-01-P


[Federal Register Volume 87, Number 23 (Thursday, February 3, 2022)]
[Notices]
[Page 6181]
[FR Doc No: 2022-02231]

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DEPARTMENT OF HOMELAND SECURITY

Federal Emergency Management Agency

[Internal Agency Docket No. FEMA-4626-DR; Docket ID FEMA-2022-0001]

Mississippi; Amendment No. 2 to Notice of a Major Disaster
Declaration

AGENCY: Federal Emergency Management Agency, DHS.

ACTION: Notice.

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SUMMARY: This notice amends the notice of a major disaster declaration
for State of Mississippi (FEMA-4626-DR), dated October 22, 2021, and
related determinations.

DATES: This change occurred on January 14, 2022.

FOR FURTHER INFORMATION CONTACT: Dean Webster, Office of Response and
Recovery, Federal Emergency Management Agency, 500 C Street SW,
Washington, DC 20472,<PHONE_NUMBER>.

SUPPLEMENTARY INFORMATION: The Federal Emergency Management Agency
(FEMA) hereby gives notice that pursuant to the authority vested in the
Administrator, under Executive Order 12148, as amended, James R.
Stephenson, of FEMA is appointed to act as the Federal Coordinating
Officer for this disaster.
    This action terminates the appointment of Brett H. Howard as
Federal Coordinating Officer for this disaster.

    The following Catalog of Federal Domestic Assistance Numbers
(CFDA) are to be used for reporting and drawing funds: 97.030,
Community Disaster Loans; 97.031, Cora Brown Fund; 97.032, Crisis
Counseling; 97.033, Disaster Legal Services; 97.034, Disaster
Unemployment Assistance (DUA); 97.046, Fire Management Assistance
Grant; 97.048, Disaster Housing Assistance to Individuals and
Households In Presidentially Declared Disaster Areas; 97.049,
Presidentially Declared Disaster Assistance--Disaster Housing
Operations for Individuals and Households; 97.050, Presidentially
Declared Disaster Assistance to Individuals and Households--Other
Needs; 97.036, Disaster Grants--Public Assistance (Presidentially
Declared Disasters); 97.039, Hazard Mitigation Grant.

Deanne Criswell,
Administrator, Federal Emergency Management Agency.
[FR Doc. 2022-02231 Filed 2-2-22; 8:45 am]
BILLING CODE 9111-23-P