[Federal Register: November 2, 2006 (Volume 71, Number 212)]
[Notices]
[Page 64573-64590]
[DOCID:fr02no06-83]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-54658; File No. SR-Amex-2006-82]

Self-Regulatory Organizations; American Stock Exchange LLC;
Notice of Filing of Proposed Rule Change and Amendment No. 1 Thereto
Relating to MACRO Tradeable Shares

October 26, 2006.
    Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 \2\ thereunder, notice is hereby given
that on August 23, 2006, the American Stock Exchange LLC (``Amex'' or
``Exchange'') filed with the Securities and Exchange Commission
(``SEC'' or ``Commission'') the proposed rule change as described in
Items I, II, and III below, which Items have been prepared by the
Exchange. On October 20, 2006, Amex filed Amendment No. 1 to the
proposed rule change.\3\ The Commission is publishing this notice to
solicit comments on the proposed rule change, as amended, from
interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ Amendment No. 1 supersedes and replaces the original filing
in its entirety.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    The Amex proposes to list and trade under new Amex Rules 1400 et
seq. (1) Claymore MACROshares Oil Up Tradeable Shares (the ``Up-MACRO
\4\ Tradeable Shares'') and (2) Claymore MACROshares Oil Down Tradeable
Shares (the ``Down-MACRO Tradeable Shares'' and together with the Up-
MACRO Tradeable Shares, the ``MACRO Tradeable Shares'').
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    \4\ MACRO[reg] is a federally-registered servicemark of
MacroMarkets LLC (``MacroMarkets'').
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    The text of the proposed rule change, as amended, is available on
the Amex's Web site (http://www.Amex.com), at the Amex's Office of the

Secretary, and at the Commission's public reference room. The text of
Exhibit 5 to the proposed rule change, as amended, is also available on
the Commission's Web site (http://www.sec.gov/rules/sro/shtml).

II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

    In its filing with the Commission, the Amex included statements
concerning the purpose of and basis for the proposed rule change, as
amended. The text of these statements may be examined at the places
specified in Item IV below. The Amex has prepared summaries, set forth
in sections A, B, and C below, of the most significant aspects of such
statements.

A. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

1. Purpose
    The Exchange proposes to add new section 1400 et seq. for the
purpose of permitting the listing and trading of securities issued by a
pair of related trusts and based on an index or other numerical
variable (``Reference Price'') whose value reflects the value of
assets, prices, or other economic interests. In particular, the Amex
initially proposes to list securities issued by (1) the Claymore
MACROshares Oil Up Tradeable Trust (the ``Up-MACRO Tradeable Trust'')
and (2) the Claymore MACROshares Oil Down Tradeable Trust (the ``Down-
MACRO Tradeable Trust'' and together with the Up-MACRO Tradeable Trust,
the ``MACRO Tradeable Trusts''). Each of these securities represents an
undivided beneficial interest in the respective MACRO Tradeable Trust.
    The assets of the Up-MACRO Tradeable Trust will consist exclusively
of a majority of the Claymore MACROshares Oil Up Holding Shares (``Up-
MACRO Holding Shares'') issued by the Claymore MACROshares Oil Up
Holding Trust (``Up-MACRO Holding

Trust''). ``Quarterly Income Distributions,'' ``Redemption
Distributions,'' and ``Final Distributions,'' as described below, on
the Up-MACRO Holding Shares held by the Up-MACRO Tradeable Trust will
be based on the ``underlying value'' of the Up-MACRO Holding Trust on
specified dates (which underlying value will increase or decrease in
proportion to fluctuations in the ``Applicable Reference Price of Crude
Oil,'' as defined herein, above or below its starting level) and will
be passed through to the holders of the Up-MACRO Tradeable Shares. If
the Applicable Reference Price of Crude Oil rises above its starting
level, the Up-MACRO Holding Trust's underlying value will increase
proportionately to include all of its assets plus an obligation of the
Down-MACRO Holding Trust (as defined below) to transfer a portion of
its assets. Conversely, if the level of the Applicable Reference Price
of Crude Oil falls below its starting level, the Up-MACRO Holding
Trust's underlying value will decrease proportionately because an
obligation to transfer a portion of the Up-MACRO Holding Trust's assets
will be included in the calculation of the underlying value of the
Down-MACRO Holding Trust. The Applicable Reference Price of Crude Oil
is the settlement price of the NYMEX Division of the New York
Mercantile Exchange, Inc. (``NYMEX'') light sweet crude oil futures
contract of the ``designated maturity'' (as defined below), as
established and reported by NYMEX on a per barrel basis in U.S. dollars
at the end of each ``Price Determination Day'' (as defined below).
    Similarly, the assets of the Down-MACRO Tradeable Trust will
consist exclusively of a majority of the Claymore MACROshares Oil Down
Holding Shares (``Down-MACRO Holding Shares'' and together with the Up-
MACRO Holding Shares, the ``MACRO Holding Shares'') issued by the
Claymore MACROshares Oil Down Holding Trust (``Down-MACRO Holding
Trust'' and together with the Up-MACRO Holding Trust, the ``MACRO
Holding Trusts''). Quarterly Income Distributions, Redemption
Distributions and Final Distributions, as described below, on the Down-
MACRO Holding Shares held by the Down-MACRO Tradeable Trust will be
based on the ``underlying value'' of the Down-MACRO Holding Trust on
specified dates (which underlying value will increase or decrease in
proportion to fluctuations in the Applicable Reference Price of Crude
Oil above or below its starting level) and will be passed through to
the holders of the Down-MACRO Tradeable Shares. If the Applicable
Reference Price of Crude Oil rises above its starting level, the Down-
MACRO Holding Trust's underlying value will decrease proportionately
because an obligation to transfer a portion of the Down-MACRO Holding
Trust's assets will be included in the calculation of the underlying
value of the Up-MACRO Holding Trust. Conversely, if the level of the
Applicable Reference Price of Crude Oil falls below its starting level,
the Down-MACRO Holding Trust's underlying value will increase to
include all of its assets plus an obligation of the Up-MACRO Holding
Trust to transfer a portion of its assets. The underlying value of
either MACRO Holding Trust on each Price Determination Day (as defined
below) represents the aggregate amount of the assets in both of the
MACRO Holding Trusts to which that trust would be entitled if the
settlement contracts and the income distribution agreement between the
paired MACRO Holding Trusts described below were settled on that day.
    Under proposed Amex Rule 1401, the Exchange may approve for listing
and trading ``Paired Trust Shares'' based on the value of a Reference
Price, which may measure assets, prices, or other economic interests.
Consistent with this proposed rule, the Amex proposes to list for
trading Up-MACRO and Down-MACRO Tradeable Shares based on the
Applicable Reference Price of Crude Oil as the Reference Price under
proposed Amex Rule 1400 et seq. The MACRO Tradeable Shares will be the
first Paired Trust Shares to be listed and traded on the Amex. The
MACRO Holding Shares will not be listed or traded on the Amex.

Introduction

    The Exchange is proposing to adopt rules for the listing and
trading of Paired Trust Shares. Paired Trust Shares are comprised of
two distinct types of securities--``Holding Shares'' and ``Tradeable
Shares''--that are related through a two-tiered structure. The purpose
of the following paragraphs in this ``Introduction'' is to describe
Paired Trust Shares generically, not to describe a specific product.\5\
The Exchange also proposes to amend its original listing and annual
listing fees in Sections 140 and 141 of the Amex Company Guide to
include the Paired Trust Shares.
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    \5\ See, infra ``Description of the Reference Price--the
Applicable Reference Price of Crude Oil'' for the beginning of the
detailed description of the specific product that is being proposed
for approval in this filing under the proposed rules for Paired
Trust Shares.
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    The top tier of Paired Trust Shares consists of Holding Shares,
which are securities: (a) That are issued by a trust (``Holding
Trust'') that is paired with another Holding Trust and whose respective
``underlying values'' move in opposite directions as the value of the
specified Reference Price varies from its starting level; (b) that are
issued in exchange for cash; (c) a majority (but not necessarily all)
of which will be acquired and deposited in a related Tradeable Trust
(as defined herein); (d) the issuance proceeds of which are invested
and reinvested in highly rated short-term financial instruments that
mature prior to the next scheduled income distribution date and that
serve the functions of (i) securing the contractual obligations between
the two paired Holding Trusts, (ii) covering the trust's expenses, and
(iii) if any amount remains, providing periodic Income Distributions to
investors; \6\ (e) which represent a beneficial interest in the Holding
Trust that issued them; (f) the value of which is determined by the
underlying value of the related Holding Trust, which underlying value
will either (i) increase as a result of an increase in the Reference
Price and decrease as a result of a decrease in the Reference Price (in
the case of ``Up Holding Shares'' issued by an ``Up Holding Trust'') or
(ii) increase as a result of a decrease in the Reference Price and
decrease as a result of an increase in the Reference Price (in the case
of ``Down Holding Shares'' issued by the paired ``Down Holding
Trust''); (g) whose issuing Holding Trust enters into one or more
settlement contracts \7\ and an income distribution agreement \8\

with the other paired Holding Trust; (h) that, when timely aggregated
in a specified minimum number or amount of securities, along with a
specified multiple of that number or amount of securities issued by the
other paired Holding Trust (together, a ``Creation Unit'') may be
redeemed in a Redemption Distribution of cash and/or securities on
specified dates by authorized parties; and (i) that may be subject to
early mandatory redemption of all Holding Shares in connection with a
Final Distribution prior to the final scheduled termination date under
specified circumstances.
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    \6\ Such periodic distributions to investors (``Income
Distributions'') are based on the income (after expenses) received
from the financial instruments held by each Holding Trust (e.g.,
interest income from maturing U.S. Treasury securities and
repurchase agreements fully collateralized by U.S. Treasury
securities), and are made immediately following the periodic
transfer of such income between the paired Holding Trusts under the
terms of the income distribution agreement as described in clause
(g) of this paragraph.
    \7\ As described below, when Holding Shares are redeemed in a
paired optional redemption (``Redemption Distribution'') or upon
early or final termination (``Final Distribution''), the settlement
contracts between the two Holding Trusts provide for the appropriate
transfer of assets between the paired Holding Trusts so that the
Holding Shares of each Holding Trust may be redeemed in proportion
to the per share underlying value of that Holding Trust.
    \8\ As described below, the income distribution agreement
between the two Holding Trusts provides for the periodic transfer
between the paired Holding Trusts of income (after payment of
expenses) received by each Holding Trust from the financial
instruments (as described above) held by that Holding Trust, with
the amount of each periodic transfer based on the proportionate
change in the Reference Price from its starting level at one or more
points during the period following the previous periodic transfer of
such income between the paired Holding Trusts.
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    The second tier of Paired Trust Shares consists of Tradeable
Shares, which are securities: (a) That are issued by a trust
(``Tradeable Trust'') in exchange for the deposit of Holding Shares (or
cash, which cash is then used to purchase Holding Shares) into the
Tradeable Trust, with the Holding Shares that are held by the Tradeable
Trust being either Up Holding Shares (in the case of ``Up Tradeable
Shares'' issued by an ``Up Tradeable Trust'') or Down Holding Shares
(in the case of ``Down Tradeable Shares'' issued by a ``Down Tradeable
Trust''); (b) which represent an undivided beneficial interest in the
Tradeable Trust that issued them; (c) the Quarterly Income
Distributions, Redemption Distributions, and Final Distributions on
which (which are solely pass-through distributions received on the
Holding Shares that are held by the issuing Tradeable Trust) will
thereby either (i) in the case of the Up Tradeable Shares, increase as
a result of an increase in the Reference Price and decrease as a result
of a decrease in the Reference Price or (ii) in the case of the Down
Tradeable Shares, increase as a result of a decrease in the Reference
Price and decrease as a result of an increase in the Reference Price,
in each case as a result of the corresponding change in the underlying
value of the Holding Trust (as discussed in the prior paragraph); (d)
that may have an exchange feature that will allow authorized parties to
exchange such Tradeable Shares for the underlying Holding Shares that
can be redeemed for cash and/or securities (any such redemption to be
done in specified aggregations called Creation Units); and (e) that may
be subject to early mandatory redemption of all Tradeable Shares in
connection with a Final Distribution prior to the final scheduled
termination date under specified circumstances.
    For each separate and discrete Reference Price that may underlie
Paired Trust Shares, the Exchange will submit a filing pursuant to
Section 19(b) of the Act \9\ subject to Commission review and approval.
The Exchange may eventually seek to revise the proposed listing
criteria and trading rules to permit the listing and trading of Paired
Trust Shares pursuant to Rule 19b-4(e) under the Act.
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    \9\ 15 U.S.C. 78s(b).
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    Pursuant to proposed Amex Rule 1402, the Exchange seeks to list and
trade the MACRO Tradeable Shares. The MACRO Tradeable Shares will
conform to the initial and continued listing criteria under proposed
Amex Rule 1402. The MACRO Tradeable Trusts and the MACRO Holding Trusts
will be formed under four trust agreements between Investors Bank &
Trust Company, as trustee; Claymore Securities, Inc., as administrative
agent and marketing agent; and MACRO Securities Depositor, LLC, as
depositor.\10\ MacroMarkets LLC and Claymore Securities, Inc. are each
the owner of 50% of the membership interests in MACRO Securities
Depositor, LLC.
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    \10\ The issuer states that neither the MACRO Tradeable Trusts
nor the MACRO Holding Trusts will be investment companies as defined
in Section 3(a) of the Investment Company Act of 1940, as amended
(the ``1940 Act'').
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Description of the Reference Price--The Applicable Reference Price of
Crude Oil

    The economic variable whose value will serve as the Reference Price
for the first Paired Trust Shares to be listed on the Exchange is the
Applicable Reference Price of Crude Oil, which is the settlement price
of the NYMEX Division light sweet crude oil futures contract of the
``Designated Maturity'' (as defined below), as established and reported
by NYMEX on a per barrel basis in U.S. dollars at the end of each Price
Determination Day. A ``Price Determination Day'' for this purpose is
each day on which trading of the light sweet crude oil futures contract
of the Designated Maturity occurs by open outcry on the trading floor
of the NYMEX (located in New York City, New York) through the use of
verbal or hand signals, rather than through electronic or other means.
Price Determination Days are generally the same as business days--that
is, any day other than a Saturday, a Sunday, or a day on which banking
institutions and stock exchanges in New York, New York are authorized
or required by law, regulation or executive order to close. If a
substitute reference oil price is being used, the ``Price Determination
Day'' will be each day on which this price is determined by, or in
accordance with the rules of, the substitute oil price provider.
    A light sweet futures contract of the designated maturity
(``Designated Maturity'') means the contract that matures (i) during
the next succeeding calendar month if the date of determination is the
first day of the current calendar month through and including the tenth
business day of the current calendar month, and (ii) during the second
succeeding calendar month if the date of determination is the eleventh
business day through the last day of the current calendar month. For
example, from September 1 through the tenth business day in September,
the Applicable Reference Price of Crude Oil will reflect the price of
the NYMEX Division light sweet crude oil futures contract that is
scheduled to settle in October. From the eleventh business day in
September through and including September 30, the NYMEX contract of the
designated maturity will be the contract that settles in November. From
October 1 through and including the tenth business day in October, the
NYMEX contract designated month will continue to be November. The
reason for this is that around the middle of each calendar month, the
highest volume of trading in NYMEX Division light sweet crude oil
futures contracts generally moves from the contract that settles in the
following month to the contract that settles in the second following
month. Switching into the next month's contract around the eleventh
business day of each month is intended to minimize the reflection in
the Applicable Reference Price of Crude Oil of factors related to the
physical delivery of crude oil, such as physical storage and delivery
costs. If the eleventh business day of any month occurs later than the
seventeenth calendar day of that month, then the switch to the second
month's contract will be made on the preceding business day that occurs
on or prior to the seventeenth day of that calendar month.
    The underlying value of each MACRO Holding Trust on each Price
Determination Day will be determined by reference to the settlement
price on that day of the light sweet crude oil contract of the
designated maturity.\11\ At

the close of each day's regular trading session (``Regular Trading
Session''), the NYMEX ``Settlement Price Committee'' establishes the
settlement price of the light sweet crude oil futures contract for each
delivery month that trades on NYMEX. The NYMEX Settlement Price
Committee was formed and operates under NYMEX's by-laws and its rules
governing floor trading. It is generally composed of NYMEX members and
representatives of such members. Under NYMEX rules, the Exchange states
that members of the Settlement Price Committee are restricted from
using or disclosing, for any purpose other than the performance of such
member's official duties, any material non-public information obtained
as a result of such member's participation on the Settlement Price
Committee. Moreover, federal securities law prohibits the use of
material non-public information in connection with the purchase and
sale of any MACRO securities. However, the Exchange states that members
of the Settlement Price Committee are not prohibited from purchasing or
selling NYMEX light sweet crude oil futures contracts or MACRO Holding
Shares or MACRO Tradeable Shares. The Exchange states that the
settlement prices determined by the NYMEX Settlement Price Committee
for each contract month are the official prices used by the NYMEX
clearinghouse in determining net gains or losses and margin
requirements on the light sweet oil futures contracts. The
clearinghouse is a body associated with NYMEX that acts as the buyer to
all sellers and the seller to all buyers.
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    \11\ In the event that no settlement price is determined for the
light sweet crude oil contract on the NYMEX on a given Price
Determination Day and no substitute oil price provider can be
utilized, then the settlement price on the prior Price Determination
Day will be utilized as that day's settlement price on which to base
the Applicable Reference Price of Crude Oil.
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    If two specified criteria are satisfied with respect to a
particular contract month for the light sweet crude oil futures
contract, then the settlement price of that contract month will be
equal to the weighted average price (rounded to the minimum price
fluctuation of $0.01) of all outright transactions that occurred in the
closing range. The Exchange states that ``outright transactions'' means
contracts in which one of the parties has taken a position which is not
offset by the opposite position taken by that party under another
contract, thereby exposing that party to actual risk with respect to
the settlement price of the futures contract. The ``closing range'' is
defined under NYMEX rules as the last two minutes of the Regular
Trading Session or, for the final day of trading of the expiring light
sweet crude oil futures contract, the last thirty (30) minutes of the
Regular Trading Session.
    The Exchange states that the two specified criteria for each
contract month and each Price Determination Day are (1) the contract
month must have, as of the opening of business for that day, more than
10% of the total open interest for all contract months, and (2) the
contract month must represent at least 10% of the closing range volume
of all contract months traded on NYMEX on that day. For purposes of
calculating total volume, volume from limit orders placed prior to the
close in which a buyer indicates that he or she is willing to take the
settlement price will be included, but trading volume done during the
closing range on the last day of trading in an expiring contract will
be excluded. ``Open interest'' means the number of open or outstanding
contracts for which an individual or entity is obligated to NYMEX
because that individual or entity has not yet made an offsetting sale
or purchase or for which an actual contract delivery has not yet
occurred. ``Closing range volume'' is the volume of executed trades in
the light sweet crude oil futures contract for a particular contract
month that occurred on any given day of trading during the last two
minutes of the Regular Trading Session or, with respect to the last day
of trading for that contract month, during the last thirty (30) minutes
of the Regular Trading Session.
    The Exchange states that NYMEX determines the settlement prices for
delivery months of the light sweet crude oil futures contract that
represented 10% or less of the total open interest or in which less
than 10% of trading volume occurred during the closing range based upon
spread relationships determined in the judgment of the Settlement Price
Committee. ``Spread relationship'' refers to the simultaneous purchase
and sale of futures contracts with different expirations. The Exchange
states that the Settlement Price Committee determines spread
relationships by giving the greatest weight to spreads executed late in
the trading day in large volumes and lesser weight to spreads traded in
smaller volumes executed earlier in the trading day. In any
circumstance where the Settlement Price Committee is considering bids
and offers for spreads, it must consider the mid-point of the best bid
and best offer, not the actual best bid or best offer.
    On occasion, a price spike may occur in the closing range. The
Exchange states that a ``price spike'' in the closing range will be
deemed to have occurred if, in the sole discretion of the Settlement
Price Committee, a significant change in the spread relationships
between a given month, known as the ``spiked month,'' and the contract
months immediately preceding and following such month occurred during
the closing range. If a price spike in the closing range occurs in a
light sweet crude oil futures contract for a contract month with
respect to which the open interest and volume criteria are met and the
settlement price is therefore determined by weighted average price, the
Settlement Price Committee may disregard the settlement price for the
spiked month in considering spread relationships for the other months
where the open interest and volume criteria were not met.
    The Exchange states that the Settlement Price Committee may not
establish a settlement price that would be lower than the best bid or
higher than the best offer that had been posted with NYMEX and remained
available for execution and unfilled for the final fifteen minutes of
trading and was for at least 100 outright contracts in the relevant
delivery month or at least 200 spread contracts involving that delivery
month and a different delivery month.
    Finally, if any settlement price determined with respect to the
relevant delivery month, either by calculation of the weighted average
price or by reference to spread relationships, is inconsistent with
transactions that occurred during the closing range in other delivery
months of the light sweet crude oil futures contract or with market
information known to the Settlement Price Committee, the Settlement
Price Committee may, in its discretion, set the settlement price at a
level consistent with such other transactions or market information.
    The Exchange states that crude oil prices are subject to temporary
distortions due to various factors, including, but not limited to, lack
of liquidity in the markets, the participation of speculators, war,
geopolitical instability, supply decisions and policies instituted by
OPEC and other non-OPEC oil-producing countries such as Russia,
increased demand in developing countries, weather conditions, new
environmental policies, government regulation, and government
intervention. These factors may cause dramatic fluctuations, or
volatility, in the Applicable Reference Price of Crude Oil. Other
factors that impact the supply and demand for oil and, therefore, its
price, may also add to volatility in the Applicable Reference Price of
Crude Oil. The Exchange states that the demand for crude oil is driven
by the consumption of energy for transportation, industrial consumption
of power, and the demand for sources of energy to be used for

heating and cooling. Other factors that may impact demand include
taxes, environmental laws, international trade agreements, changes in
exchange rates associated with the U.S. dollar, interest rate changes
(which affect exchange rates), and technology (e.g., by enabling the
exploitation of alternative fuel sources and by providing methods to
use oil more efficiently). The Exchange states that the supply of crude
oil is driven by worldwide oil inventories, which are a function of
successful exploration, feasibility of drilling, production levels,
transportation costs, and the ability of producers to refine the crude
oil into consumable products. Other factors that may impact supply
include technological advances (e.g., by making exploration and
drilling more economically feasible), production interruptions (e.g.,
due to political instability, natural disasters, acts of war or
sabotage, labor problems, machinery failure, or human error), and
production decisions by oil-producing countries or regions, and
government programs and policies (e.g., permitting or restricting oil
drilling in given areas). The Exchange states that all of these factors
may adversely affect the Applicable Reference Price of Crude Oil and
therefore adversely affect the distributions on the MACRO Holding
Shares and the MACRO Tradeable Shares.
    Trading in the light sweet crude oil futures contract occurs by
open outcry on the trading floor at NYMEX from 10 a.m. until 2:30 p.m.
(New York City time) on each business day (the ``Regular Trading
Session''). All prices are quoted in U.S. dollars. Trading also occurs
after hours via an internet-based trading platform, but the daily
settlement price established by NYMEX for each light sweet crude oil
futures contract is based only on trading that occurs during the
Regular Trading Session.
    The Exchange states that MacroMarkets will enter into a licensing
agreement with NYMEX for the use of the settlement prices for certain
of the commodity-based futures contracts that trade on the facilities
of NYMEX, including the light sweet crude oil futures contracts. The
MACRO Holding Trusts and the MACRO Tradeable Trusts will collectively
enter into a licensing agreement with MacroMarkets that grants a
sublicense to each trust giving the trust certain rights to use NYMEX's
proprietary settlement prices for the near months of the light sweet
crude oil futures contracts. The Exchange states that the term of the
license granted by NYMEX to MacroMarkets is five years, and upon the
termination of that license agreement the aforementioned sublicense
will also expire. NYMEX has the right to terminate the license earlier
if it believes that MacroMarkets or any of its sublicensees have
misused the license. Upon termination of the NYMEX license, the
Exchange states that MacroMarkets and the depositor \12\ will seek to
negotiate a renewal of the license on terms comparable to those of the
existing license. The Exchange states that if NYMEX refuses to renew
the license on acceptable terms, an effort will be made to negotiate a
license with the Dow Jones Energy Service for use of its West Texas
intermediate crude oil spot price on terms comparable to the NYMEX
license. If such a license is obtained, this spot price will become the
new Applicable Reference Price of Crude Oil. If no license is obtained
from the Dow Jones Energy Service, the holders of the paired MACRO
Holding Shares (including the holders of the MACRO Tradeable Shares who
will be entitled to vote the underlying MACRO Holding Shares on deposit
in the MACRO Tradeable Trusts for this purpose) may vote to select a
different crude oil price provider.\13\ If the shareholders are not
able to agree unanimously on a new price provider or a license cannot
be negotiated with the provider selected by the shareholders, a
termination trigger (``Termination Trigger'') will occur, which will
result in an early redemption of the MACRO Holding Shares and the MACRO
Tradeable Shares (see Termination Triggers).
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    \12\ In addition to participating in such negotiations, the
depositor performs certain other tasks that are not performed by the
trustee or the administrative agent, such as the preparation of
filings under the Act.
    \13\ If a benchmark other than the light sweet crude oil futures
contract traded on NYMEX is selected for the determination of the
Applicable Reference Price of Crude Oil, the Amex will file with the
Commission a proposed rule change pursuant to Rule 19b-4 under the
Act seeking approval to continue trading the MACRO Trading Shares
and, unless approved, the Exchange will commence delisting the MACRO
Tradeable Shares. In the event the Exchange believes that a change
in the benchmark or pricing source for the Applicable Reference
Price of Crude Oil is only temporary, the Exchange may contact the
Commission staff to discuss the matter.
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Light Sweet Crude Oil Futures Contracts

    The NYMEX Division light sweet crude oil futures contract is traded
on the physical facilities of NYMEX. It is quoted on a per barrel basis
and traded in units of 1,000 barrels (42,000 gallons) under the trading
symbol ``CL'' followed by a reference to the month and year in which
such contract settles. Prices are quoted for delivery at Cushing,
Oklahoma, which is a major crude oil transshipment point with extensive
pipeline connections to oil producing areas and refining centers in the
southwestern United States and along the U.S. Gulf Coast. According to
NYMEX, its light sweet crude oil futures contract is used as an
international pricing benchmark for oil because of its excellent
liquidity and price transparency.
    Each light sweet crude oil futures contract traded on NYMEX has a
specific delivery month and year in which such contract is scheduled to
terminate. This month is referred to as that contract's ``delivery
month'' or ``contract month.'' For example, the Exchange states that if
one purchases the September 2006 light sweet crude oil futures
contract, the delivery month and year would be September 2006, and such
contract would obligate the seller to deliver 1,000 barrels of light
sweet crude oil to the buyer at Cushing, Oklahoma during September
2006. In order to determine the price that the buyer has to pay on
delivery, the NYMEX terminates trading in a specific contract month for
the light sweet crude futures contract on the third business day prior
to the 25th day of the preceding month or, if the 25th day is not a
business day, on the third business day prior to the business day that
precedes the 25th day of the preceding month. For example, the
September 2006 futures contract will stop trading on August 22, 2006,
which is three business days prior to August 25, 2006.
    Regardless of any prior action concerning price limits during the
Regular Trading Session, commencing fifteen (15) minutes before the
close of that session, the Exchange states that there will be no price
fluctuation limits on any contract month in the light sweet crude oil
futures contract and, accordingly, no further trading halts may occur
for the remainder of the Regular Trading Session. In addition, the
Exchange states that there will be no limitations on price fluctuations
for any contract month of the light sweet crude oil futures contract
during the final trading day for that contract. The NYMEX Board of
Directors may provide at any time that there shall be no trading during
any one business day or trading session day in any commodity for future
delivery in any specified month or months at prices more than a fixed
limit above or below the settlement price for the preceding business
day. At the discretion of the Board, any limitation so imposed by it
may be changed or suspended or temporarily modified

from time to time and without prior notice.
    The Exchange states that light sweet crude oil futures contracts
may be settled physically. Delivery must begin on or after the first
calendar day of the delivery month and must be completed by the last
calendar day of that month. All deliveries are made ratably over the
course of the month. In practice, the light sweet crude oil futures
contract is usually settled in cash by means of the futures and
clearing procedures of the NYMEX.
    Under the NYMEX's rules governing the light sweet crude oil futures
contract, only certain types of oil meeting specific quality criteria
may be delivered under the contract. The NYMEX's rules also specify the
levels of sulfur, gravity, viscosity, vapor pressure, impurity levels,
and pour points for different grades of oil that can be delivered under
the light sweet crude oil futures contract. The Exchange states that
this specificity serves as the definition of ``light sweet crude oil''
under the contract and ensures the quality of the oil to be delivered.
The following domestic grades of oil may be delivered by the seller
without any discount from the final futures price of the futures
contract: West Texas Intermediate, Low Sweet Mix, New Mexican Sweet,
North Texas Sweet, Oklahoma Sweet, and South Texas Sweet crude oil.
Several foreign grades of oil may also be delivered by a seller with a
specific discount or premium from the futures price. The Exchange
states that the primary deliverable grade of oil under the contract is
West Texas Intermediate crude oil, which is the U.S. benchmark grade of
oil.

Product Description

    On and after the closing date for the MACROs transaction, the Up-
MACRO Holding Trust and the Up-MACRO Tradeable Trust will issue Up-
MACRO Holding Shares and the Up-MACRO Tradeable Shares, respectively,
on a continuous basis, upon the direction of any ``Authorized
Participant'' (as defined herein) by delivery of an issuance order to
the administrative agent for the paired MACRO Holding Trusts on any
Price Determination Day. (See ``Paired Issuances'' below.) Up-MACRO
Holding Shares will be issued at a per share price equal to the
underlying value per share of the Up-MACRO Holding Trust on the Price
Determination Day on which an issuance order for the creation of paired
MACRO Holding Shares is received. The proceeds from each ``Paired
Issuance'' (as defined below) of the Up-MACRO Holding Shares will be
delivered to the trustee for the Up-MACRO Holding Trust. These proceeds
will be combined with the proceeds from the related Paired Issuance of
Down-MACRO Holding Shares, and an equal amount of such proceeds will be
deposited into the Up-MACRO Holding Trust and the Down-MACRO Holding
Trust.\14\ Depending upon whether the Authorized Participants who
replaced the issuance order requested holding shares and/or tradeable
shares,\15\ the trustee for the Up-MACRO Holding Trust will then
deliver all or a portion of the issued Up-MACRO Holding Shares to the
Up-MACRO Tradeable Trust and the remainder of the Up-MACRO Holding
Shares to the creating Authorized Participants, and the trustee for the
Up-MACRO Tradeable Trust will cause such trust to issue additional Up-
MACRO Tradeable Shares and deliver such shares to the creating
Authorized Participants.
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    \14\ While equal amounts from the proceeds of a Paired Issuance
are deposited in the Up-MACRO Holding Trust and the Down-MACRO
Holding Trust, the settlement contracts between the two MACRO
Holding Trusts provide an obligation for the proportional transfer
of those assets between the trusts when the contracts are settled.
    \15\ A portion of the Up-MACRO Holding Shares as well as the
Down-MACRO Holding Shares (representing less than 50% of each)
issued on any Paired Issuance date may be acquired by other
investors who are not affiliated with the MACRO Tradeable Trusts.
Such other investors must either be Authorized Participants or
``qualified institutional buyers'' (as defined in Rule 144A of the
Securities Act of 1933 (``Securities Act'').
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    The trustee for the Up-MACRO Holding Trust will then apply the net
proceeds received by the Up-MACRO Holding Trust to purchase bills,
bonds and notes issued and guaranteed by the United States Treasury,
and repurchase agreements fully collateralized by U.S. Treasury
securities \16\ (collectively, ``Treasuries'') maturing prior to the
first quarterly distribution date (e.g., three-month U.S. Treasury
securities). The allocation of funds between U.S. Treasury securities
and repurchase agreements will be based on the historical redemption
experience of the MACRO Holding Trusts. Due to the continuous
redemptions allowed by the MACRO Holding Trusts, it is desirable to
allow some funds to be invested in such repurchase agreements that
terminate overnight in order to avoid the transaction costs involved in
allocating and delivering U.S. Treasury securities to one or more
redeeming Authorized Participants. This also gives the MACRO Holding
Trusts a measure of bargaining power with securities dealers and repo
counterparties by allowing the administrative agent to choose among a
number of different dealers and to select U.S. Treasury securities of
varying maturities (although never greater than 90 days). In addition,
since MACRO Holding Trusts will hold some cash to meet their future
obligations to their shareholders as well as to each other, the MACRO
Holding Trusts can make use of such cash by investing in such
repurchase agreements to earn an additional return for their
shareholders, pending the application of the cash to satisfy these
obligations. Such returns may be used by the MACRO Holding Trusts to
pay their trust expenses as well. On each quarterly distribution date,
except for the final scheduled termination date or an early termination
date, the trustee, at the direction of the administrative agent, will
reinvest the proceeds from the maturing Treasuries that are not part of
(i) a Quarterly Income Distribution or (ii) in the case of a quarterly
distribution date that is a Redemption Date (as described below) for
the MACRO Holding Shares, a Redemption Distribution directed on that
date, in new Treasuries that will mature prior to the next distribution
date.
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    \16\ The repurchase agreements will be entered into with
counterparties that are (i) banks with at least one billion U.S.
dollars in assets or (ii) registered securities dealers that are
deemed creditworthy by the administrative agent. Such repurchase
agreements must terminate overnight, and the obligation of a
counterparty to repurchase U.S. Treasury securities from a MACRO
Holding Trust will be fully collateralized, as defined in Rule 5b-3
under the 1940 Act. None of the counterparties may be ``affiliated
persons'' (as defined in the 1940 Act) with respect to the trustee,
the administrative agent, the depositor, any of the MACRO Holding
Trusts or MACRO Tradeable Trusts, any of the Authorized
Participants, or any affiliated persons with respect to any of the
foregoing entities.
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    The Authorized Participant will offer the Up-MACRO Holding Shares
and the Up-MACRO Tradeable Shares at a per share offering price that
will vary, depending, among other things, on the current level of the
Applicable Reference Price of Crude Oil and the current market price of
the Up-MACRO Tradeable Shares on the Amex at the time of the offer. The
Authorized Participants who offer such shares, or their respective
affiliates, may receive customary compensation and brokerage fees from
investors to whom they sell Up-MACRO Holding Shares or Up-MACRO
Tradeable Shares.
    The process described in the immediately preceding paragraphs will
also be followed in connection with the related Paired Issuance of the
Down-MACRO Holding Shares and the Down-MACRO Tradeable Shares. The
proceeds from the Paired Issuance of the Down-MACRO Holding Shares will
be delivered to the trustee for the Down-MACRO Holding Trust. These
proceeds will be combined with the proceeds from the related Paired
Issuance of UP-

MACRO Holding Shares, with an equal amount \17\ of the proceeds
deposited into the Up-MACRO Holding Trust and the Down-MACRO Holding
Trust. Depending upon whether the Authorized Participants who placed
the issuance order requested holding shares and/or tradeable shares,
the trustee for the Down-MACRO Holding Trust will then deliver all or a
portion of the issued Down-MACRO Holding Shares to the Down-MACRO
Tradeable Trust and the remainder to the creating Authorized
Participants, and the trustee for the Down-MACRO Tradeable Trust will
cause such trust to issue additional Down-MACRO Tradeable Shares and
deliver such shares to the creating Authorized Participants. The net
proceeds received by the Down-MACRO Holding Trust will be applied by
the trustee for the Down-MACRO Holding Trust to purchase Treasuries on
behalf of the Down-MACRO Holding Trust.\18\
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    \17\ See supra, note 14.
    \18\ There is a similar process for paired optional redemptions
of MACRO Holding Shares by Authorized Participants and the receipt
of related Redemption Distributions consisting of cash and/or U.S.
Treasury securities. See infra, discussion under ``Redemption
Distributions and Final Distributions.''
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    Under the trust agreements (which the administrative agent is a
party to), the administrative agent will be required, among other
things, to use its commercially reasonable efforts to identify and
direct the trustee to purchase new Treasuries on each quarterly
distribution date (except for the final scheduled termination date or
an early termination date) and Paired Issuance date for each of the
MACRO Holding Trusts with the same maturities or terms, stated interest
rates (if any), and applicable discount rates in order for each trust
to be able to realize comparable amounts of income during each quarter.
Treasuries will be acquired and held in the minimum permissible
denominations in order to facilitate the maintenance of parity in the
assets held by each of the MACRO Holding Trusts. However, a portion of
the assets of a MACRO Holding Trust may from time to time be held in
the form of cash, due to mismatches between the maturity profiles of
Treasuries available for purchase and the length of time between
distribution dates. Any U.S. Treasury securities delivered in
connection with a paired optional redemption (as described below) will
be selected by the administrative agent on a ``last in, first out''
basis. The U. S. Treasury securities selected by the administrative
agent to be delivered as the Redemption Distribution in a paired
optional redemption will be distributed ratably, by type, to each
redeeming Authorized Participant.
    As described in more detail below, the Up-MACRO Holding Trust will
enter into an income distribution agreement and multiple settlement
contracts\19\ with the Down-MACRO Holding Trust. The Down-MACRO Holding
Trust will act as the counterparty to the Up-MACRO Holding Trust under
the income distribution agreement and the settlement contracts between
the two MACRO Holding Trusts, and vice-versa, and the Treasuries and
cash on deposit in each of the MACRO Holding Trusts will serve the
functions of securing the contractual obligations between the two
trusts, generating income to cover the trust's expenses and, if any
amount remains, providing Quarterly Income Distributions to investors.
In accordance with the terms of the income distribution agreement
between the paired MACRO Holding Trusts, the Up-MACRO Holding Trust
will, on each Quarterly Income Distribution date, either (i) be
entitled to receive from the Down-MACRO Holding Trust all or a portion
of that trust's available income (as defined below), or (ii) be
required to pay all or a portion of its own available income to the
Down-MACRO Holding Trust, based, in each case, on the level of the
Applicable Reference Price of Crude Oil on each day that has elapsed
since the preceding Quarterly Income Distribution date. The Up-MACRO
Holding Trust will then make a quarterly distribution of income to
holders of the Up-MACRO Holding Shares (including the Up-MACRO
Tradeable Trust) out of the available income that it holds on deposit,
if any, on each Quarterly Income Distribution date after it has made or
received a payment under the income distribution agreement between the
paired MACRO Holding Trusts.
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    \19\ The settlement contracts between the MACRO Holding Trusts
are not futures contracts traded on any commodities or stock
exchange. These contracts are individually negotiated and entered
into by or on behalf of the Up-MACRO Holding Trust and the Down-
MACRO Holding Trust.
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    Similarly, the Final Distributions and Redemption Distributions on
the Up-MACRO Holding Shares and the Down-MACRO Holding Shares will be
determined by the payments that each MACRO Holding Trust will be
required to make to, or be entitled to receive from, the other MACRO
Holding Trust under the settlement contracts between them being settled
on the final scheduled termination date, an early termination date, or
any Redemption Date, as the case may be. These settlement obligations
between the MACRO Holding Trusts will be based on the underlying value
of each MACRO Holding Trust on the appropriate date, determined by the
change in the level of the Applicable Reference Price of Crude Oil from
its starting level to its ending level on the Price Determination Day
preceding the final scheduled termination date or early termination
date or, in the case of a redemption, on the day (``Redemption Date'')
on which a redemption order is placed by an Authorized Participant. In
the case of the final scheduled termination date or an early
termination date, the applicable MACRO Holding Trust must make a final
payment to the other MACRO Holding Trust out of the proceeds of the
Treasuries that it holds on deposit on that date to settle all of the
settlement contracts between them. In the case of a Redemption Date
that occurs between Quarterly Income Distribution dates, the applicable
MACRO Holding Trust must transfer all or a portion of its cash and/or
Treasuries to the other MACRO Holding Trust in order to settle one or
more of the settlement contracts between them based on the amount
redeemed.
    The Up-MACRO Tradeable Trust will pass through to the holders of
its Up-MACRO Tradeable Shares all Quarterly Income Distributions,
Redemption Distributions, and Final Distributions that it receives on
the Up-MACRO Holding Shares that it holds, and the Down-MACRO Tradeable
Trust will do likewise to holders of its Down-MACRO Tradeable Shares
with respect to all distributions that it receives on the Down-MACRO
Holding Shares that it holds.
    Investors Bank & Trust Company, a Massachusetts trust company, will
act as trustee for each of the MACRO Holding Trusts and MACRO Tradeable
Trusts under four separate trust agreements. The trustee will be
responsible for, among other things: (i) Administering redemptions and
Paired Issuances of MACRO Holding Shares in MACRO Units or integral
multiples thereof (with a ``MACRO Unit'' being a Creation Unit
comprised of 50,000 Up-MACRO Holding Shares and 50,000 Down-MACRO
Holding Shares in combination) and administering exchanges of MACRO
Tradeable Shares; (ii) making Quarterly Income Distributions,
Redemption Distributions and Final Distributions to the holders of the
MACRO Holding Shares and passing through those distributions to the
holders of the MACRO Tradeable Shares; (iii) investing cash on deposit
in the paired MACRO Holding Trusts in Treasuries in accordance with the

directions of the administrative agent; (iv) on each Price
Determination Day, calculating the Price Level Percentage Change (as
defined below), the respective underlying values of the paired MACRO
Holding Trusts and the per share underlying value of the related MACRO
Holding Shares and MACRO Tradeable Shares, and posting these
calculations on the publicly accessible Web site maintained by the
administrative agent; (v) calculating the Price Level Percentage Change
and the respective underlying values of the paired MACRO Holding Trusts
prior to each Quarterly Income Distribution date, Redemption Date,
early termination date and the final scheduled termination date; (vi)
calculating, for each Quarterly Income Distribution date, the amount of
available income on deposit in each of the paired MACRO Holding Trusts,
the payment due under the income distribution agreement between the
MACRO Holding Trusts, and the Quarterly Income Distributions to be made
on the respective MACRO Holding Shares and passed through to the
related MACRO Tradeable Shares; (vii) calculating, for the final
scheduled termination date, an early termination date and each
Redemption Date, the final payment due under the settlement contracts
being settled between the MACRO Holding Trusts and the Final
Distribution or Redemption Distribution, as the case may be, to be made
on the respective MACRO Holding Shares and passed through to the
related MACRO Tradeable Shares; (viii) delivering any notices required
under any of the trust agreements; and (ix) notifying the depositor and
the administrative agent of the occurrence of certain of the
Termination Triggers.
    Claymore Securities, Inc., a Kansas corporation that is a
registered broker/dealer, will act as the administrative agent and a
marketing agent \20\ for each of the MACRO Holding Trusts and MACRO
Tradeable Trusts and will be a party to the trust agreement for each of
the trusts. The administrative agent will perform or oversee the
performance of a number of duties on behalf of the four trusts,
including: (i) Directing the trustee in the acquisition of new
Treasuries, including placing the purchase orders for such Treasuries,
for the paired MACRO Holding Trusts on each Quarterly Income
Distribution date and each Paired Issuance date in accordance with the
acquisition guidelines that are specified in the trust agreements for
the paired MACRO Holding Trusts; \21\ (ii) selecting U.S. Treasury
securities to be delivered in connection with the settlement of the
settlement contracts between the paired MACRO Holding Trusts and in
connection with paired optional redemptions in accordance with the
rules specified in the trust agreements; (iii) processing redemption
and creation orders for MACRO Holding Shares and MACRO Tradeable Shares
from Authorized Participants; (iv) directing the trustee in effecting
redemptions and Paired Issuances; (v) maintaining the publicly
accessible Web site that displays information regarding the MACRO
Holding Shares and MACRO Tradeable Shares; and (vi) notifying the
depositor and the trustee of the occurrence of certain Termination
Triggers.
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    \20\ MACRO Financial, LLC will act as an additional marketing
agent.
    \21\ A registered broker/dealer will perform all securities
transactions and provide all related advice with respect to buying
or selling securities.
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    The underlying values of the MACRO Holding Trusts and,
consequently, the prices of the MACRO Holding Shares and MACRO
Tradeable Shares and the distributions on the MACRO Holding Shares and
pass-through distributions to the holders of the MACRO Tradeable Shares
track the Applicable Reference Price of Crude Oil, which is based on
the futures contract that is an international pricing benchmark for
oil. The Applicable Reference Price of Crude Oil is calculated on a per
barrel basis and established by NYMEX on each Price Determination Day,
which is each day on which trading of the light sweet crude oil futures
contract of the designated maturity occurs by open outcry on the
trading floor of NYMEX. See ``Description of the Reference Price--The
Applicable Reference Price of Crude Oil'' for more information. If the
level of the Applicable Reference Price of Crude Oil increases, the
underlying value of the Up-MACRO Holding Trust will increase and that
of the Down-MACRO Holding Trust will decrease, each by an amount
proportionate to the increase in the price. Conversely, if the level of
the Applicable Reference Price of Crude Oil decreases, the underlying
value of the Up-MACRO Holding Trust will decrease and that of the Down-
MACRO Holding Trust will increase, each by an amount proportionate to
the decrease in the price.

Quarterly Income Distributions

    Each MACRO Holding Trust will make Quarterly Income Distributions
on its MACRO Holding Shares using the income realized on the Treasuries
in the paired MACRO Holding Trusts that remain available after: (i)
Each MACRO Holding Trust has deposited a ``fee deduction amount'' (as
defined below) into a fee payment account created under the trust
agreement for that MACRO Holding Trust, which amount will be applied to
pay the expenses and fees of that trust \22\ and the related MACRO
Tradeable Trust and (ii) each MACRO Holding Trust has either made or
received a payment under the income distribution agreement on that
Quarterly Income Distribution date. With respect to the latter, on
every day on which the ending level of the Applicable Reference Price
of Crude Oil exceeds the starting level on the closing date, the Up-
MACRO Holding Trust will become entitled to retain all of its
``available income accrual'' (as defined below) for that day and to
receive all or a portion of the Down-MACRO Holding Trust's ``available
income accrual'' for that day. On every day on which the ending level
of the Applicable Reference Price of Crude Oil is below the starting
level on the closing date, the Up-MACRO Holding Trust will be obligated
to pay all or a portion of its ``available income accrual'' for that
day to the Down-MACRO Holding Trust. On each day during the calculation
period that precedes each Quarterly Income Distribution date, the
result of any entitlement of the Up-MACRO Holding Trust under the
income distribution agreement as described above to retain all or a
portion of its available income accrual for that day, and to receive
all or a portion of the Down-MACRO Holding Trust's available income
accrual for that day is referred to as the Up-MACRO Holding Trust's
``earned income accrual'' for that day. On each Quarterly Income
Distribution date,\23\ the Up-MACRO Holding Trust will declare a
Quarterly Income Distribution on each outstanding Up-MACRO Holding
Share equal to the sum of all earned income accruals for that trust for
each day of the preceding calculation period plus the interest
component of the underlying value of each Up-MACRO Holding Share
created during such calculation period less any portion of the
foregoing sum already distributed in connection with paired optional
redemptions that occurred during that calculation period, divided by
the aggregate number of outstanding Up-

MACRO Holding Shares on that Quarterly Income Distribution date.\24\
The Quarterly Income Distributions of the Down-MACRO Holding Trust will
be calculated similarly, except that the Down-MACRO Holding Trust's
entitlement to earned income accruals will be inversely correlated with
the Up-MACRO Holding Trust's entitlements described above. In each
case, each holder of a MACRO Tradeable Share will then receive, on a
pass-through basis, its proportionate share of the Quarterly Income
Distribution that is paid on the MACRO Holding Shares held by the
respective MACRO Tradeable Trust. The Quarterly Income Distribution
date, record date, and distribution payment date for each MACRO
Tradeable Trust are the same dates as for the related MACRO Holding
Trust.
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    \22\ See ``Fees and Expenses'' for additional detail on the
application of funds in the fee payment account.
    \23\ This statement is not applicable with respect to the final
scheduled termination date or an early termination date or in
connection with a Redemption Distribution for which a redemption
order was placed on that Quarterly Income Distribution date.
    \24\ Each registered holder of Up-MACRO Holding Shares or Up-
MACRO Tradeable Shares on the ``record date,'' which is the last
business day of the month in which the related Quarterly Income
Distribution date occurred, will be entitled to receive the
quarterly dividend on the ``distribution payment date,'' which is
the third business day of the month immediately following the month
in which the related Quarterly Income Distribution date occurred.
The quarterly ``income distribution date'' is the second business
day prior to the record date (i.e., two business days prior to the
last business day of that month).
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    The ``available income accrual'' for a MACRO Holding Trust for each
day is (i) the sum of, for each Treasury on deposit in the applicable
trust on that day, the product of the purchase price at which the trust
acquired that Treasury and the daily yield rate applicable to that
Treasury, minus (ii) the daily fee accrual. The ``daily fee accrual''
for that MACRO Holding Trust is the ``asset amount'' \25\ for the trust
on each day multiplied by the ``daily fee accrual rate.'' \26\ The sum
of the daily fee accruals for each of the MACRO Holding Trusts for an
entire calculation period \27\ will be equal to the ``fee deduction
amount'' for that calculation period and that trust, which is paid
quarterly as described in the prior paragraph.
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    \25\ The ``asset amount'' refers to the amount of assets on
deposit in a MACRO Holding Trust, calculated as of any day of a
calculation period from a formula based on the aggregate par amount
of the MACRO Holding Shares issued by that MACRO Holding Trust plus
the available income accrual for each elapsed day of that
calculation period (not including the date of determination), with
certain adjustments for any available income accruals in connection
with paired optional redemptions and/or Paired Issuances of MACRO
Holding Shares during such calculation period prior to the date of
determination.
    \26\ The ``daily fee accrual rate'' will be equal to an annual
rate of 1.60% until the second anniversary of the closing date and
an annual rate of 1.50% for each succeeding year, divided by 365 or
366, depending on the actual number of days in the current year.
These rates represent the annual rate at which the funds of each
MACRO Holding Trust are allocated to be used for the payment of each
trust's fees and expenses.
    \27\ A ``calculation period'' is defined as the period between
Quarterly Income Distribution dates, beginning on the preceding
Quarterly Income Distribution date and ending on the day prior to
the current Quarterly Income Distribution date.
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    If available, an amount equal to the Up-MACRO aggregate par amount
\28\ or Down-MACRO aggregate par amount must be reinvested by the
trustee, at the direction of the administrative agent, in new
Treasuries on each Quarterly Income Distribution date (unless that
Quarterly Income Distribution date is the final scheduled termination
date or an early termination date), after reducing that amount by the
aggregate par amount of any Up-MACRO Holding Shares or Down-MACRO
Holding Shares being redeemed if that Quarterly Income Distribution
date is also a paired optional Redemption Date (i.e., a date on which a
redemption order has been submitted) for a portion of the MACRO Holding
Shares. If, after depositing the fee deduction amount into the fee
payment account, the funds remaining on deposit in the Up-MACRO Holding
Trust or Down-MACRO Holding Trust on any Quarterly Income Distribution
date are equal to or less than the Up-MACRO or Down-MACRO aggregate par
amount, as the case may be, then all of these remaining funds must be
reinvested in Treasuries and the trust will have no available income
with which to make a payment under the income distribution agreement to
the paired MACRO Holding Trust. If less than the Up-MACRO aggregate par
amount or the Down-MACRO aggregate par amount, as the case may be, is
invested in Treasuries on any Quarterly Income Distribution date
because the fee deduction amount of that MACRO Holding Trust exceeded
the income on its Treasuries, the deficiency in the amount that is
invested must be made up out of income received on subsequent Quarterly
Income Distribution dates until the amount invested does equal the Up-
MACRO aggregate par amount or Down-MACRO aggregate par amount.
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    \28\ The ``aggregate par amount'' is defined as the product of
the aggregate number of outstanding shares issued by the Up-MACRO
Holding Trust or the Down-MACRO Holding Trust, as the case may be,
multiplied by the stated par amount per share. The stated par amount
per share is equal to the starting level of the Applicable Reference
Price of Crude Oil.
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    If a MACRO Holding Trust does not have any available income on a
given Quarterly Income Distribution date and does not receive any
available income under the income distribution agreement from the
paired MACRO Holding Trust, it will not make any Quarterly Income
Distribution to its shareholders on that Quarterly Income Distribution
date. If a MACRO Holding Trust fails to make either (i) a payment under
the income distribution agreement or (ii) a Quarterly Income
Distribution to its shareholders on any Quarterly Income Distribution
date because it does not have any funds available for distribution, it
will not be required to make up that payment or Quarterly Income
Distribution on subsequent Quarterly Income Distribution dates, even if
it has funds available to do so.

Redemption Distributions and Final Distributions

    An Authorized Participant initiates a Redemption Distribution by
presenting paired MACRO Holding Shares in MACRO Unit multiples to the
MACRO Holding Trusts for redemption in exchange for cash and/or U.S.
Treasury securities. A Final Distribution involves the distribution of
cash in connection with the termination of the MACRO Holding Trusts. A
Redemption Distribution or Final Distribution from a MACRO Holding
Trust occurs when the MACRO Holding Trust settles some or all of the
settlement contracts entered into with its paired MACRO Holding Trust.
Each settlement contract will have a notional amount equal to the
aggregate par amount of one MACRO Unit.
    On the final scheduled termination date or early termination date
following the occurrence of a Termination Trigger, the trustee will
cause the paired MACRO Holding Trusts to settle all of the settlement
contracts between them using the funds they hold on deposit on those
dates, which will consist of all interest, discount, principal, and any
other amounts received by each trust upon the maturity of its
Treasuries immediately prior to those dates. After the settlement
contracts between the MACRO Holding Trusts have been settled, each
MACRO Holding Trust will declare a Final Distribution in redemption of
that trust's MACRO Holding Shares using all the funds it then holds on
deposit, and the trustee will pay that Final Distribution, in cash, to
shareholders on the distribution payment date that follows the final
scheduled termination date or early termination date in redemption of
those shares.
    On a Redemption Date, which may be any business day prior to the
final scheduled termination date or an early termination date, an
Authorized Participant may direct a paired optional redemption by
placing a redemption order with the trustee and the

administrative agent at least 30 minutes prior to the end of trading of
light sweet crude oil futures contracts by open outcry on the NYMEX at
2:30 p.m. (New York City time). If the Authorized Participant delivers,
by 10 a.m. on the business day following the Redemption Date, or such
other day and time as may be specified in the Participants Agreement,
MACRO Holding Shares or MACRO Tradeable Shares that in the aggregate
constitute the requisite number of MACRO Units being redeemed, plus the
applicable ``redemption cash component'' \29\ and applicable
transaction fee ($500 for each trust whose MACRO Holding Shares are
being redeemed or whose MACRO Tradeable Shares are being exchanged),
then the trustee will effect the redemption by delivering cash and/or
U.S. Treasury securities in accordance with the instructions of the
administrative agent to the redeeming Authorized Participant on the
first business day following the Redemption Date if only MACRO Holding
Shares were tendered for redemption or within such other time period as
may be specified in the Participants Agreement. The administrative
agent will select cash and/or U.S. Treasury securities for delivery in
redemptions in accordance with the following rules: (1) First, all cash
delivered in connection with Paired Issuances directed on the same day
as the Redemption Date will be used; (2) second, all cash on deposit in
the MACRO Holding Trusts from maturing repurchase agreements will be
used; and (3) if insufficient cash is available from these two sources,
the remainder of the Redemption Distribution will be delivered in the
form of U.S. Treasury securities.
---------------------------------------------------------------------------

    \29\ The ``redemption cash component'' is the cash that must be
delivered to a MACRO Holding Trust in connection with a paired
optional redemption by the redeeming Authorized Participant to
compensate the trust for the excess value that will be delivered to
such redeeming Authorized Participant in the form of U.S. Treasury
securities delivered to it as a Redemption Distribution.
---------------------------------------------------------------------------

    In the case of a partial paired optional redemption by Authorized
Participants, the number of settlement contracts that will be settled
between the paired MACRO Holding Trusts in that transaction will equal
the number of MACRO Units of paired MACRO Holding Shares that are being
redeemed. The holders of MACRO Holding Shares who are not participating
in a paired optional redemption will not receive any Redemption
Distribution on the relevant Redemption Date, unless that Redemption
Date is also a Quarterly Income Distribution date, in which case they
will receive only their Quarterly Income Distribution, if any, that is
payable to them on that date. Any Final Distribution or Redemption
Distribution on MACRO Holding Shares that were held on deposit by the
corresponding MACRO Tradeable Trust will be passed through to the
holders of the corresponding MACRO Tradeable Shares on any final
scheduled termination date, early termination date or Redemption Date,
as the case may be.
    Holders of MACRO Tradeable Shares may not participate in a paired
optional redemption. Only Authorized Participants may place an order
with the administrative agent to exchange their MACRO Tradeable Shares
for the underlying MACRO Holding Shares on deposit in the related MACRO
Tradeable Trust (even if they do not wish to then effect a paired
optional redemption).\30\ Therefore, holders of MACRO Tradeable Shares
who are not Authorized Participants must sell them to Authorized
Participants \31\ or other interested investors (e.g., on the Exchange)
in order to liquidate their investment in those shares prior to the
final scheduled termination date or any early termination date.
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    \30\ There is a related transaction fee of $500 for each such
exchange involving the MACRO Tradeable Shares of one of the MACRO
Tradeable Trusts.
    \31\ In order to be an Authorized Participant, an entity must
(1) be a registered broker-dealer and a member in good standing with
the National Association of Securities Dealers, Inc. (``NASD''), or
a participant in the securities markets such as a bank or other
financial institution that is not required to register as a broker-
dealer or be a member of the NASD in order to engage in securities
transactions; (2) be a participant in DTC or have indirect access to
the clearing facilities of DTC by virtue of a custodial relationship
with a DTC participant; (3) not be a benefit plan investor for
purposes of the Employee Retirement Income Security Act of 1974; and
(4) have entered into a ``participation agreement'' with the
depositor, the administrative agent and the trustee which specifies
procedures for the Paired Issuance and redemption of paired MACRO
Holding Shares.
---------------------------------------------------------------------------

    Alternatively, an Authorized Participant may direct a paired
optional redemption of MACRO Holding Shares by presenting to the
trustee for exchange into MACRO Holding Shares and then redemption a
combination of MACRO Tradeable Shares that will constitute, following
such exchange, one or more MACRO Units (each consisting of 50,000 Up-
MACRO Holding Shares and 50,000 Down-MACRO Holding Shares) or a
combination of MACRO Holding Shares and MACRO Tradeable Shares that
will constitute, after the Tradeable Shares are exchanged, one or more
MACRO Units. Consequently, the ability of an Authorized Participant to
direct the redemption of any MACRO Holding Shares depends on that
Authorized Participant being able to acquire and present for
simultaneous redemption MACRO Holding Shares (or MACRO Tradeable Shares
exchangeable for such MACRO Holding Shares) issued by both of the
paired MACRO Holding Trusts in sufficient quantity to form one or more
MACRO Units. The number of settlement contracts between the MACRO
Holding Trusts that will be settled in connection with a paired
optional redemption will be equal to the number of MACRO Units that are
being redeemed on a net daily basis. Following a paired optional
redemption, the trustee will record an appropriate reduction in the
aggregate number of MACRO Holding Shares that are outstanding on a net
daily basis.
    The amount of any Final Distribution or Redemption Distribution
from a MACRO Holding Trust will depend on the payments between the
paired MACRO Holding Trusts under the settlement contracts being
settled between them, which final payments will, in turn, be based on
the underlying value (as defined below) of each MACRO Holding Trust on
(i) the last Price Determination Day preceding the final scheduled
termination date or early termination date, or (ii) in the case of a
paired optional redemption, on the relevant Redemption Date. The
underlying value on the relevant day will be calculated by reference to
the ending level of the Applicable Reference Price of Crude Oil on that
date. If the level of the Applicable Reference Price of Crude Oil on
the relevant Price Determination Day is above its starting level, the
Up-MACRO Holding Trust will be entitled to receive a final payment from
the Down-MACRO Holding Trust in an amount proportional to the increase
in the level of the Applicable Reference Price of Crude Oil. If the
level of the Applicable Reference Price of Crude Oil on the relevant
Price Determination Day is below its starting level, the Up-MACRO
Holding Trust will be required to make a final payment to the Down-
MACRO Holding Trust in an amount proportional to the decrease in the
level of that price. The purpose of the final payments under the
settlement contracts is to transfer assets between the paired MACRO
Holding Trusts such that each trust has cash and Treasuries in an
amount equal to its underlying value at the time of settlement.
    The Final Distribution on each outstanding MACRO Holding Share on a
final scheduled termination date or early termination date will equal
its share of the ``underlying value'' (as defined below) of the
corresponding MACRO Holding Trust on that date. For purposes of
settling the settlement

contracts between the paired MACRO Holding Trusts and making a Final
Distribution on the final scheduled termination date or an early
termination date, underlying value will include the Up-MACRO earned
income accrual and Down-MACRO earned income accrual for the final
scheduled termination date or early termination date. Any such Final
Distribution by a MACRO Holding Trust will include the cumulative
earned income accruals that would have been distributed as a Quarterly
Income Distribution if the final scheduled termination date or early
termination date had been an ordinary Quarterly Income Distribution
date. Each MACRO Tradeable Trust will receive the Final Distribution on
each of the MACRO Holding Shares that it holds on deposit and will pass
through that Final Distribution to holders of the corresponding MACRO
Tradeable Shares, which will be considered to be redeemed.
    The amount of cash and/or U.S. Treasury securities delivered in a
paired optional redemption by Authorized Participants will always be
equal to the combined underlying values of the paired MACRO Holding
Trusts, which will consist of the sum of (i) the underlying value of
the Up-MACRO Holding Trust on the relevant Redemption Date multiplied
by the applicable ``redemption percentage'' for the Up-MACRO Holding
Shares and (ii) the underlying value of the Down-MACRO Holding Trust on
the relevant Redemption Date multiplied by the applicable ``redemption
percentage'' for the Down-MACRO Holding Shares. The ``redemption
percentage'' for these purposes is the aggregate number of MACRO
Holding Shares of the relevant MACRO Holding Trust that are being
redeemed, divided by the aggregate number of such MACRO Holding Shares
that are outstanding prior to the redemption. If the redemption order
was placed on a Quarterly Income Distribution date, the redeeming
Authorized Participant will receive cash. If there was a net increase
in the aggregate par amount of the paired MACRO Holding Trusts on any
settlement date for a paired optional redemption, because more MACRO
Units were created than redeemed, redeeming Authorized Participants
will also receive their Redemption Distribution in cash out of the
funds delivered to the trusts by the Authorized Participants who
created shares on the same date. If any ``Paired Issuances'' (as
described below) were effected on the settlement date for the
redemption, even if there was a net decrease in the aggregate par
amount of the paired MACRO Holding Trusts, redeeming Authorized
Participants will receive a portion of their Redemption Distribution in
cash out of the funds delivered by the creating Authorized
Participants, then from any cash on deposit in the MACRO Holding Trusts
from maturing repurchase agreements, and the remaining portion of that
Redemption Distribution in U.S. Treasury securities. In all other
cases, redeeming Authorized Participants will receive their Redemption
Distribution in connection with a paired optional redemption in U.S.
Treasury securities.

Paired Issuances

    At any time prior to the final scheduled termination date or an
early termination date, on any day that is a Price Determination Day,
an Authorized Participant may effect a Paired Issuance by directing the
paired MACRO Holding Trusts to issue additional shares in a minimum
number of Up-MACRO and Down-MACRO Holding Shares constituting one or
more MACRO Units. If so directed, the MACRO Holding Trusts will issue
on a net basis the additional paired MACRO Holding Shares to the
Authorized Participant who may then sell those MACRO Holding Shares
directly to qualified investors or deposit all or a portion of them
into the Up-MACRO and Down-MACRO Tradeable Trusts and direct the MACRO
Tradeable Trusts to issue the appropriate number of additional MACRO
Tradeable Shares to it in exchange for the MACRO Holding Shares. For
each additional MACRO Holding Share that is deposited into the
corresponding MACRO Tradeable Trust, the MACRO Tradeable Trust will
issue one additional MACRO Tradeable Share. To create one or more new
MACRO Units, an Authorized Participant must place a creation order with
the administrative agent at least 30 minutes before the end of trading
of light sweet crude oil futures contracts by open outcry on NYMEX at
2:30 p.m. (New York City time) on any Price Determination Day
(``Issuance Date''). Concurrently with any Paired Issuance, an
Authorized Participant may also simultaneously create MACRO Tradeable
Shares by directing the paired MACRO Holding Trusts to issue additional
paired MACRO Holding Shares for deposit into the applicable MACRO
Tradeable Trusts and directing one or both of the MACRO Tradeable
Trusts to issue MACRO Tradeable Shares.
    By 10 a.m. New York City time on the next business day after the
Issuance Date, or by such other day and time as may be specified in the
Participants Agreement, the Authorized Participant must deposit into
the paired MACRO Holding Trusts immediately available funds in an
amount equal to the combined per share underlying value of the Up-MACRO
Holding Shares and the Down-MACRO Holding Shares being created, as
measured on the Issuance Date.\32\ The Authorized Participant must also
deposit a transaction fee of $500 for each of any: (i) Up-MACRO Holding
Shares; (ii) Up-MACRO Tradeable Shares; (iii) Down-MACRO Holding
Shares; and (iv) Down-MACRO Tradeable Shares being issued (for a
maximum fee of $2,000 for any Paired Issuance). By 3 p.m. New York City
time on the next business day following the Issuance Date, or by such
other day and time as may be specified in the Participants Agreement,
the administrative agent will instruct the trustee to deliver the new
shares. The trustee will also cause the paired MACRO Holding Trusts to
enter into one new settlement contract between them for each new MACRO
Unit that is being created. If MACRO Units are being both created and
redeemed on the same day, new settlement contracts between the paired
MACRO Holding Trusts will be entered into only if there is a net
increase in the Up-MACRO and Down-MACRO aggregate par amounts, and
existing settlement contracts between the MACRO Holding Trusts will be
settled if there is a net decrease in these aggregate par amounts in
order to satisfy the requirement that one settlement contract must
always be outstanding for each outstanding MACRO Unit. Quarterly Income
Distributions on the additional MACRO Holding Shares will be governed
by the original income distribution agreement between the paired MACRO
Holding Trusts.
---------------------------------------------------------------------------

    \32\ The amount of funds deposited will reflect the income and
the expenses of each of the MACRO Holding Trusts during the current
calculation period because those amounts are included as part of the
determination of the underlying value of each MACRO Holding Trust.
---------------------------------------------------------------------------

    The proportion of the funds in the Up-MACRO Holding Trust and the
Down-MACRO Holding Trust will initially be 1:1 and this proportion will
be maintained throughout the entire transaction by virtue of the
requirement that redemptions and Paired Issuances must be done in MACRO
Units composed of an equal number of Up-MACRO and Down-MACRO Holding
Shares.

Underlying Value

    The ``underlying value'' of a MACRO Holding Trust on each Price
Determination Day represents the

aggregate amount of the assets in the paired MACRO Holding Trusts to
which that MACRO Holding Trust would be entitled if the settlement
contracts between the MACRO Holding Trusts were settled on that day.
The determination of the ``underlying value'' of a MACRO Holding Trust
on a given Price Determination Day is calculated using the following
formula, which is designed to ensure that a $1 change in the settlement
price of the Applicable Reference Price of Crude Oil will result in a
$1 change in the per share underlying value of each MACRO Holding
Share:
    If the ``ending level'' of the Applicable Reference Price of Crude
Oil established and reported by NYMEX or the applicable substitute oil
price provider on a Price Determination Day is above the starting
level, the ``underlying value'' of the Up-MACRO Holding Trust will
equal the sum of:
     The sum of the earned income accruals for that trust for
each day that has elapsed during the current calculation period, up to
and including the current Price Determination Day,
     The ``investment amount'' for that MACRO Holding Trust on
that date, and
     The product of (i) the ``investment amount'' for the other
paired MACRO Holding Trust on that date and (ii) the Price Level
Percentage Change of the Applicable Reference Price of Crude Oil.
    The same formula above will be used to calculate the ``underlying
value'' of the Down-MACRO Holding Trust if the ``ending level'' of the
Applicable Reference Price of Crude Oil on a Price Determination Day is
below the starting level.
    If the ``ending level'' of the Applicable Reference Price of Crude
Oil on a Price Determination Day is below the starting level, the
``underlying value'' of the Up-MACRO Holding Trust will be calculated
using the same formula, except that the third term in the above formula
will be subtracted from the sum of the first two terms (instead of
being added to them) and the ``investment amount'' used in that third
term will be the value for that MACRO Holding Trust (instead of the
value for the other paired MACRO Holding Trust on that date). This
version of the formula in the previous statement is also applicable to
the calculation of the ``underlying value'' of the Down-MACRO Holding
Trust if the ``ending level'' of the Applicable Reference Price of
Crude Oil on a Price Determination Day is above the starting level.
    In connection with these calculations, the ``investment amount''
will equal, on any Quarterly Income Distribution date, the amount of
cash that was actually invested on behalf of a MACRO Holding Trust in
Treasuries on that Quarterly Income Distribution date, which is
required to equal the lesser of (x) the aggregate par amount of its
outstanding shares and (y) all funds that the trust holds on deposit on
that Quarterly Income Distribution date. The ``investment amount'' on
any day during a calculation period (other than the Quarterly Income
Distribution date) will equal the aggregate par amount of the MACRO
Holding Shares of that MACRO Holding Trust that are outstanding on that
day if the amount actually invested on the preceding Quarterly Income
Distribution date was equal to the aggregate par amount on that date.
If the amount actually invested on the last Quarterly Income
Distribution date was less than the aggregate par amount, then the
``investment amount'' for that MACRO Holding Trust for each day of the
ensuing calculation period will equal the amount that was actually
invested divided by the number of MACRO Holding Shares outstanding on
that Quarterly Income Distribution date, multiplied by the number of
MACRO Holding Shares that are outstanding on the day on which the
calculation is being made. Since the trustee, under the direction of
the administrative agent, is required to invest an amount equal to the
aggregate par amount in Treasuries on each Quarterly Income
Distribution date in accordance with the directions of the
administrative agent, the ``investment amount'' for that MACRO Holding
Trust should be equal to the aggregate par amount, as increased and
decreased by redemptions and Paired Issuances, throughout the ensuing
calculation period.\33\
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    \33\ The only case in which this will not be true is if the
MACRO Holding Trust's daily fee accrual rate exceeded the daily
yield rate on its Treasuries during one or more preceding
calculation periods and the resulting deficiency was not made up
with income realized by that MACRO Holding Trust during other
preceding calculation periods following a general rise in interest
rates. If a deficiency does exist during a calculation period, this
deficiency will be reflected in the per share underlying value at
which Authorized Participants may create and redeem the MACRO
Holding Shares.
---------------------------------------------------------------------------

    The ``Price Level Percentage Change'' will equal, on any Price
Determination Day, the absolute value of (i) the ending level of the
Applicable Reference Price of Crude Oil on that Price Determination Day
minus the starting level of the Applicable Reference Price of Crude Oil
divided by (ii) the starting level. For example, if the Applicable
Reference Price of Crude Oil should double from its starting level, the
Price Level Percentage Change would be equal to 100% and the Up-MACRO
Holding Trust would be entitled to the entire ``investment amount'' in
the Down-MACRO Holding Trust if the settlement contracts between the
paired MACRO Holding Trusts were to be settled on that day. Reaching
this value (100%) would effectively ``cap'' any further upside gains
for holders of the Up-MACRO Holding Shares and Up-MACRO Tradeable
Shares based on additional increases in the Applicable Reference Price
of Crude Oil.

Arbitrage

    The Exchange states that market fluctuations in the price of a
MACRO Tradeable Share are expected to mirror fluctuations in its per
share underlying value (which will be determined by the value of the
applicable futures price of light sweet crude oil), similar to the
manner in which the price of an ETF share mirrors its net asset value.
The Exchange states that this tracking should occur due to arbitrage
opportunities that will be available to Authorized Participants if
these values should move out of line, with the additional requirement
that any arbitrage will require equal numbers of Up-MACRO Tradeable
Shares and Down-MACRO Tradeable Shares. For example, if the market
prices of the MACRO Tradeable Shares begin to trade downward away from
their combined per share underlying values, Authorized Participants
will take advantage of the resulting arbitrage opportunity by
purchasing the undervalued MACRO Tradeable Shares, exchanging them for
MACRO Holding Shares and directing a paired optional redemption at the
combined per share underlying values. Conversely, if the market prices
of the MACRO Tradeable Shares begin to trade upward away from their
combined per share underlying values, Authorized Participants will take
advantage of the resulting arbitrage opportunity by delivering cash to
the trustee in the amount of the combined per share underlying values,
receiving MACRO Holding Shares in a Paired Issuance, and depositing the
latter into the respective MACRO Tradeable Trusts in exchange for an
equal number of the overvalued MACRO Tradeable Shares, which can be
sold in the market. To the extent that an Authorized Participant should
choose to hold in inventory any MACRO Holding Shares or MACRO Tradeable
Shares in connection with arbitrage opportunities, the Exchange states
that such a position can be hedged by using the underlying light sweet
crude oil futures.
    In contrast to the procedures with respect to certain ETF products,
the MACRO Holding Trusts will not

disseminate on a daily basis the specific holdings of each trust that
correspond to the basic unit of creation--a MACRO Unit. This will not
be necessary because the creation of new MACRO Holding Shares and MACRO
Tradeable Shares by Authorized Participants is accomplished through the
deposit of cash instead of securities. Further, the Exchange states
that such disclosure is not necessary for price transparency and
independent verification of the underlying value calculation because,
unlike ETFs, the MACRO Shares are wholly synthetic in nature, and the
financial assets whose values primarily determine the underlying value
of each MACRO Holding Share and MACRO Tradeable Share (i.e., light
sweet crude oil futures contracts) are not actually acquired and held
by the MACRO Holding Trusts. The daily fluctuations in market value of
the Treasuries that are held by each MACRO Holding Trust are not part
of the calculation of underlying value. The Exchange acknowledges that
this value that is necessary for the end-of-day calculation of the
underlying value of each MACRO Holding Trust (and the portion of that
value associated with each MACRO Holding Share and MACRO Tradeable
Share) is already fully transparent--the settlement price on NYMEX of
the light sweet crude oil futures contract of the designated maturity.

Risk

    An investment in the MACRO Holding Shares or the MACRO Tradeable
Shares involves a number of risks. An investor could lose his or her
entire investment in the MACRO Holding Shares or the MACRO Tradeable
Shares, depending on the percentage movement up or down in the
Applicable Reference Price of Crude Oil. Further, there is no guarantee
as to the amount of any Quarterly Income Distribution, Redemption
Distribution, or Final Distribution, and no obligation to make up
Quarterly Income Distributions that are not paid due to lack of
available funds. The MACRO Tradeable Shares cannot be redeemed, and the
right to exchange MACRO Tradeable Shares for MACRO Holding Shares that
can be redeemed is limited to Authorized Participants. Further, MACRO
Holding Trusts may deliver U.S. Treasury securities instead of cash in
a paired optional redemption, which could decrease the income of
remaining holders of MACRO Tradeable Shares if the U.S. Treasury
securities delivered have higher yields than those remaining in the
trust. The return on the MACRO Tradeable Shares is also uncertain
because the related trusts may terminate early, and the return is
capped due to the fact that neither MACRO Holding Trust is entitled to
receive an amount greater than 100% of the assets in the other paired
MACRO Holding Trust.

Prospectus Delivery

    The Exchange states that each MACRO Tradeable Trust will be deemed
to be a statutory underwriter of the related MACRO Holding Shares under
the Securities Act and will be subject to the prospectus delivery
requirements and liability provisions of the Securities Act in
connection with its participation in a ``distribution'' of Up-MACRO
Holding Shares. In connection with any Paired Issuance, the Exchange
states that any Authorized Participant that creates a MACRO Unit will
be deemed to be a statutory underwriter of the paired MACRO Holding
Shares and the related MACRO Tradeable Shares and will be subject to
the prospectus delivery requirements and liability provisions of the
Securities Act. The Exchange states that dealers that are not
``underwriters'' but nonetheless are participating in a distribution,
and thus are dealing with MACRO Holding Shares or MACRO Tradeable
Shares that are part of an ``unsold allotment'' within the meaning of
the Securities Act, would be unable to take advantage of the prospectus
delivery exemption provided by Section 4(3) of the Securities Act. The
Exchange states that Dealers unable to rely on the Section 4(3)
prospectus delivery exemption will be subject to the prospectus
delivery requirements of the Securities Act.

Fees and Expenses

    As indicated in note 26 above, the sum of the daily fee accruals
based on a rate of 1.50% (1.60% until the second anniversary of the
closing date) per annum will cover the payment of all fees and expenses
of each MACRO Holding Trust that will be applied against invested
assets.\34\ On each Quarterly Income Distribution date, each of the
paired MACRO Holding Trusts is required to deposit the ``fee deduction
amount'' (as defined above) into the fee payment account to be applied
to the payment of the expenses and fees incurred by that MACRO Holding
Trust and the related MACRO Tradeable Trust during the preceding
calculation period. After first being used to pay the expenses of the
trusts, which will include: (i) Registration fees; (ii) prospectus
printing and delivery expenses; (iii) trust administration expenses;
and (iv) treasury settlement expenses, the remaining funds in the fee
payment account will be applied to pay the fees charged by entities
that provide services or license intellectual property to the trusts.
These fees include: (i) The fee payable to the trustee for
administering the MACRO Holding Trust and the related MACRO Tradeable
Trust; (ii) the fee payable to the administrative agent for
administrating the Treasuries held by the MACRO Holding Trust and
performing various calculations and other services on behalf of the
trusts, and to the marketing agent for its marketing and distribution
services; (iii) the fee payable to MacroMarkets for sublicensing to the
trusts the right to reference the settlement price of the light sweet
crude oil futures contract and the NYMEX name; (iv) the licensing fee
payable to MacroMarkets for the use of its intellectual property
related to the patented MACROs structure; (v) fees payable to the
independent accountants; (vi) fees payable to the Amex for acting as
listing exchange and calculation agent; and (vii) legal fees. These
expenses and fees payable by each MACRO Holding Trust will accrue
during each calculation period and will be payable in arrears on each
Quarterly Income Distribution date out of the fee deduction amount.
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    \34\ Such daily fee accruals, however, would not cover
transactional costs associated with purchase, sale, redemption and
creation of shares, and certain other potential liabilities such as,
for example, indemnities.
---------------------------------------------------------------------------

    To the extent that the remaining fee deduction amount after payment
of expenses is insufficient to pay in full all of the fees,
MacroMarkets and Claymore Securities, Inc. will reduce the fees payable
to each of them by the MACRO Holding Trust. If any deficiencies in the
payment of the fees and expenses of the trust continue to exist after
the waiver of these fees, these deficiencies will be paid by MACRO
Securities Depositor, LLC, the depositor for the trusts. If any funds
remain on deposit in the fee payment account after the fees and
expenses of the MACRO Holding Trust and related MACRO Tradeable Trust
have been paid in full on a Quarterly Income Distribution date, the
trustee will deliver these excess funds to the depositor as additional
compensation.

Periodic Dissemination of Intraday Per Share Values for MACRO Tradeable
Shares

    During each trading day, the Amex, acting as the calculation agent,
will publish to the Consolidated Tape System (``CTS''), at least every
15 seconds during the entire time that the MACRO Tradeable Shares trade
on the Amex (normally 9:30 a.m. to 4:15 p.m. each Price Determination
Day), an indicated value, referred to as an

Indicative Intraday Value (``IIV''), for the underlying value per share
of both the Up-MACRO Tradeable Shares and the Down-MACRO Tradeable
Shares. The Amex will also disseminate at least every 15 seconds the
related percentage change in the Applicable Reference Price of Crude
Oil. The Amex will also publish these values on its Web site. The
purpose of this disclosure is to promote liquidity and intraday price
transparency with respect to the underlying value per share of the
MACRO Tradeable Shares. To enable this calculation, the Amex will
receive real time price data from the NYMEX for the light sweet crude
oil futures contract that trades on the NYMEX from two major market
data vendors, from the opening of trading of the light sweet crude oil
futures contract on NYMEX at 10 a.m. to the close of trading of the
MACRO Tradeable Shares on the Amex at 4:15 p.m. (New York City time).
    Because the NYMEX market for the light sweet crude oil futures
contract will be closed for portions of the Amex trading day, the IIV
calculated values will become fixed at such time as the NYMEX contract
stops trading in the regular trading session.\35\ During such time
periods, however, if trading in the NYMEX light sweet crude oil futures
contract is occurring on the NYMEX electronic aftermarket system, then
those trades will be used to update IIV values.
---------------------------------------------------------------------------

    \35\ The IIV calculated value between the opening of trading of
the MACRO Tradeable Shares on the Amex at 9:30 a.m. and the opening
of trading of the light sweet crude oil futures contract on NYMEX at
10 a.m. (New York City time) will be based on the final price from
the prior trading day.
---------------------------------------------------------------------------

    The Amex will make available through its in-house systems, for use
by the specialist and market makers, the IIV values distributed over
the CTS. This data will also be available to Amex surveillance systems
and personnel for their purposes.

Dissemination of Other Information on Price Determination Days

    Pursuant to a separate calculation agency agreement with MACRO
Securities Depositor, LLC, MacroMarkets and the trusts, the calculation
agent will perform a number of duties for the Up-MACRO Tradeable Trust,
the Up-MACRO Holding Trust, the Down-MACRO Tradeable Trust and the
Down-MACRO Holding Trust. In addition to its periodic (at least every
15 seconds) calculation and dissemination of (1) the value of the
percentage change in the light sweet oil futures contract of the
designated maturity from the starting level of the Applicable Reference
Price of Crude Oil and (2) IIVs for the underlying value of each MACRO
Holding Trust that is allocable to each Up-MACRO Tradeable Share and
Down-MACRO Tradeable Share, the calculation agent will also post to its
Web site by 7:15 p.m. New York City time on each Price Determination
Day the following information:
     Any corrections made by NYMEX to the Applicable Reference
Price of Crude Oil reported on previous Price Determination Days; \36\
and
---------------------------------------------------------------------------

    \36\ As described above, a Price Determination Day is each day
on which trading of the light sweet crude oil futures contract of
the designated maturity occurs by open outcry on the trading floor
of the NYMEX. See supra, discussion of Price Determination Days
under ``Description of the Reference Price--the Applicable Reference
Price of Crude Oil.''
---------------------------------------------------------------------------

     The closing price of the Up-MACRO Tradeable Shares and the
Down-MACRO Tradeable Shares on the Amex.
    The administrative agent will maintain a Web site that is publicly
accessible at no charge and will contain the following information
posted by the trustee on each Price Determination Day: \37\
---------------------------------------------------------------------------

    \37\ The issuer has represented that all market participants
will have access to this data at the same time and, therefore, no
market participant will have a time advantage in using such data.
---------------------------------------------------------------------------

     The Price Level Percentage Change of the Applicable
Reference Price of Crude Oil;
     The underlying value \38\ of the Up-MACRO Holding Trust
and the per share underlying value of the Up-MACRO Holding Shares and
the Up-MACRO Tradeable Shares; and
---------------------------------------------------------------------------

    \38\ Conceptually, the ``underlying value'' per share of MACRO
Holding Shares and MACRO Tradeable Shares is similar to the ``net
asset value'' that is calculated for many other securities. For
MACRO securities, however, net asset value is not meaningful because
the respective per share values are not determined by the total
value of the assets held by each MACRO Holding Trust at any point in
time. This is because assets are not transferred daily between the
MACRO Holding Trusts to settle the contractual transfer obligations
between them. For example, transfers of ``principal'' between the
MACRO Holding Trusts only take place in connection with paired
optional redemptions or upon termination of the trusts. The
underlying value, however, takes into account the value of each
MACRO Holding Trust as if the settlement contracts between the
trusts were settled on that date by the transfer of assets,
reflecting the obligations of the trusts to each other based on the
Applicable Reference Price of Crude Oil on that date.
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     The underlying value of the Down-MACRO Holding Trust and
the per share underlying value of the Down-MACRO Holding Shares and the
Down-MACRO Tradeable Shares.

Availability of Information Regarding MACRO Tradeable Shares

    The depositor will prepare, in accordance with the requirements of
the Act, quarterly reports on Form 10-Q, annual reports on Form 10-K,
and current reports on Form 8-K, containing information about the MACRO
Holding Trusts and the MACRO Tradeable Trusts. The depositor will file
such reports with the Commission and the trustee will send copies to
Cede & Co., as nominee of the Depository Trust Company (``DTC''), any
other registered holder of the MACRO Tradeable Shares or the MACRO
Holding Shares, and such other parties as may be specified in the trust
agreements. DTC forwards these reports to its participants, and
shareholders may obtain copies by contacting their brokers. The annual
reports will include financial statements prepared in accordance with
accounting principles generally accepted in the United States of
America.
    The Form 10-Q reports will include the following information as of
each Quarterly Income Distribution date:
     The aggregate par amount of the outstanding MACRO
Tradeable Shares of each of the MACRO Tradeable Trusts;
     The aggregate par amount of the outstanding MACRO Holding
Shares of each of the MACRO Holding Trusts;
     The underlying value of each of the MACRO Holding Trusts
and the portion of that underlying value that is allocable to each of
the related MACRO Holding Shares, in each case, prior to any Quarterly
Income Distributions being made on that Quarterly Income Distribution
date;
     The amount of income realized on the Treasuries in each of
the MACRO Holding Trusts and the amount of fees accrued for each trust;
     The amount, if any, by which the aggregate par amount
exceeds the asset amount for either of the MACRO Holding Trusts;
     The available income, if any, in each of the MACRO Holding
Trusts, and the available income allocable to each related MACRO
Holding Share;
     The payments to be made by one of the MACRO Holding Trusts
under the income distribution agreement between the MACRO Holding
Trusts and the amount of cash and/or Treasuries delivered under any
settlement contracts between the MACRO Holding Trusts that were settled
since the preceding Quarterly Income Distribution date, in the
aggregate and per share;
     The number of MACRO Holding Shares issued in Paired
Issuances, and the number of MACRO Holding Shares redeemed in paired
optional redemptions during the preceding calculation period, as well
as the amount of cash and U.S. Treasury securities delivered in such
paired optional redemptions, in the aggregate and per share;

     The Quarterly Income Distribution to be made by each MACRO
Holding Trust on that Quarterly Income Distribution date, in the
aggregate and per share, for both the related MACRO Holding Shares and
the MACRO Tradeable Shares; and
     If the Quarterly Income Distribution date is the final
scheduled termination date, an early termination date, or a Redemption
Date, the Final Distribution or Redemption Distribution, as the case
may be, to be made by each MACRO Holding Trust on that Quarterly Income
Distribution date, in the aggregate and per share, for both the related
MACRO Holding Shares and the MACRO Tradeable Shares.

Termination Triggers

    On the Quarterly Income Distribution date following the occurrence
of any of the following events (``Termination Triggers''), such date
being an ``early termination date,'' the trustee will cause the MACRO
Holding Trusts to settle all of the settlement contracts between the
paired MACRO Holding Trusts and then declare a Final Distribution in
redemption of all of the outstanding MACRO Holding Shares, based on the
underlying value of each MACRO Holding Trust on the Price Determination
Day preceding the early termination date. This underlying value may be
higher or lower than the underlying value at the time when the
Termination Trigger occurred, which is one of the risks to investors of
early termination. The portion of the Final Distribution received by
each MACRO Tradeable Trust (based on the MACRO Holding Shares held by
that trust) will be passed through to the holders of the corresponding
MACRO Tradeable Shares. Following this Final Distribution, the MACRO
Holding Shares and MACRO Tradeable Shares will be considered to be
redeemed in full and will cease to be outstanding. The Termination
Triggers are:
     Any of the following circumstances persisting for five (5)
consecutive business days: (i) The Applicable Reference Price of Crude
Oil is not established by NYMEX or the substitute oil price provider;
(ii) NYMEX or such substitute oil price provider refuses to make that
price available to the administrative agent for the purpose of
calculating underlying value; or (iii) (a) NYMEX terminates the license
it has granted to MacroMarkets to use and sublicense certain of its
futures prices or does not agree to a renewal thereof after the
expiration of its initial 5-year term, and the depositor and
MacroMarkets are unable to enter into a substitute licensing agreement
with the Dow Jones Energy Service or (b) in the event that the
depositor and MacroMarkets have already entered into a substitute
licensing agreement with the Dow Jones Energy Service or another
substitute oil price provider, such substitute oil price provider
terminates that license and, in the case of either (a) or (b), the
beneficial owners of the MACRO Holding Shares do not select a
substitute oil price provider or the depositor and MacroMarkets are
unable to enter into a substitute licensing agreement with the
substitute oil price provider that was selected by these beneficial
owners;
     The Applicable Reference Price of Crude Oil rises to or
above 185% of the starting level or falls to or below 15% of the
starting level and, in either case, remains at that level for three (3)
consecutive Price Determination Days;
     A MACRO Tradeable Trust or a MACRO Holding Trust becomes
required to register as an investment company under the 1940 Act;
     A MACRO Tradeable Trust or a MACRO Holding Trust is
adjudged by a court having competent jurisdiction to be bankrupt or
insolvent; or such court grants an order for relief or approves as
properly filed a petition seeking reorganization, arrangement,
adjustment or composition under the Bankruptcy Code or any other
applicable law, or appointing a receiver, liquidator, assignee or
sequestrator of any such trust or of any substantial part of its
property, or ordering the winding up or liquidation of its affairs; or
any such trust commences a voluntary case or proceeding under the
Bankruptcy Code or any other applicable law, or an involuntary case or
proceeding is commenced against any such trust, seeking any of the
foregoing and such case or proceeding continues undismissed or unstayed
and in effect for 90 consecutive days (in which case any payments under
the income distribution agreement and the settlement contracts between
the paired MACRO Holding Trusts and any Quarterly Income Distribution,
Redemption Distribution or Final Distribution to be made by either of
the MACRO Holding Trusts, or passed through on the MACRO Tradeable
Shares by the related MACRO Tradeable Trust, may be subject to delays
pending the resolution of bankruptcy proceedings);
     A MACRO Tradeable Trust or a MACRO Holding Trust becomes a
commodities pool that is regulated under the Commodity Exchange Act;
     DTC becomes unwilling or unable to act as the depository
under the trust agreements and no suitable replacement is willing and
able to assume those duties;
     The administrative agent resigns or is unable to perform
its duties or becomes bankrupt or insolvent, and no suitable
replacement is willing and able to assume those duties;
     The depositor elects to terminate a MACRO Holding Trust,
and 66\2/3\% of the beneficial owners of both MACRO Holding Trusts,
each voting as a separate class, consent to such termination; or
     The ``investment amount'' (as defined above) for either
MACRO Holding Trust is reduced to fifty (50) million dollars or a
lesser amount after previously reaching an amount equal to two hundred
(200) million dollars or the failure to reach an amount equal to two
hundred (200) million dollars within a period of six (6) months
following the closing date and the depositor elects to terminate a
MACRO Holding Trust.
    The administrative agent will be responsible for monitoring the
occurrence of Termination Triggers that are related to a specified
increase or decrease in the Applicable Reference Price of Crude Oil and
the failure by NYMEX or the applicable oil price provider to establish
the Applicable Reference Price of Crude Oil or its refusal to make it
available to the administrative agent. The administrative agent must
notify the depositor and the trustee of any of these occurrences. The
trustee will be responsible for notifying the depositor and the
administrative agent of the occurrence of the Termination Triggers
described in the third through fifth bullet points above.

Criteria for Initial and Continued Listing

    The MACRO Tradeable Shares will be subject to the criteria in
proposed Amex Rule 1402 for initial and continued listing of Paired
Trust Shares. The proposed continued listing criteria provides for the
delisting or removal from listing of the Up-MACRO Tradeable Shares or
Down-MACRO Tradeable Shares, as the case may be, under any of the
following circumstances:
     Following the initial twelve month period from the date of
commencement of trading of the Up-MACRO Tradeable Shares or Down-MACRO
Tradeable Shares: (i) If the corresponding MACRO Tradeable Trust has
more than 60 days remaining until termination and there are fewer than
50 record and/or beneficial holders of the Up-MACRO Tradeable Shares or
Down-MACRO Tradeable Shares for 30 or more consecutive trading days;
(ii) if the corresponding MACRO Tradeable Trust

has fewer than 50,000 Up-MACRO Tradeable Shares or Down-MACRO Tradeable
Shares issued and outstanding; or (iii) if the combined market value of
all Up-MACRO Tradeable Shares and Down-MACRO Tradeable Shares together
is less than $1,000,000;
     If the intraday level of the Applicable Reference Price of
Crude Oil is no longer calculated or available on at least a 15-second
delayed basis on the Amex Web site during the time the MACRO Tradeable
Shares trade on the Amex from a source unaffiliated with the depositor,
the custodian, MacroMarkets, a MACRO Holding Trust, a MACRO Tradeable
Trust or the Exchange;
     If the underlying value of the corresponding MACRO Holding
Trust is not made available on the administrative agent's publicly
accessible Web site on a daily basis to all market participants at the
same time;
     If the intraday indicative value of the underlying value
of each Up-MACRO Tradeable Share or Down-MACRO Tradeable Share, as the
case may be, is no longer made available on at least a 15-second
delayed basis through CTS during the time the Tradeable Shares trade on
the Amex;
     If a benchmark other than the light sweet crude oil
futures contract traded on the NYMEX is selected for the determination
of the Applicable Reference Price of Crude Oil, unless the Exchange
files with the Commission a related proposed rule change pursuant to
Rule 19b-4 seeking approval to continue trading the MACRO Tradeable
Shares and such rule change is approved by the Commission; \39\ or
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    \39\ In the event the Exchange believes that a change in the
benchmark or pricing source for the Applicable Reference Price of
Crude Oil is only temporary, the Exchange may contact the Commission
staff to discuss the matter.
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     If such other event shall occur or condition exists which
in the opinion of the Exchange makes further dealings on the Exchange
inadvisable.
    It is anticipated that a minimum of 150,000 Up-MACRO Tradeable
Shares and 150,000 Down-MACRO Tradeable Shares will be required to be
outstanding at the start of trading. It is anticipated that the initial
price of an Up-MACRO Tradeable Share and a Down-MACRO Tradeable Share
will each be approximately $60 per share, or the price of a barrel of
light sweet crude oil on the last Price Determination Day prior to the
closing date. The Exchange believes that the anticipated minimum number
of MACRO Tradeable Shares outstanding at the start of trading is
sufficient to provide adequate market liquidity and to further the
objective of providing a simple and cost effective means of making an
investment that is similar to an investment in light sweet crude oil.
    The Exchange represents that it prohibits the initial and/or
continued listing of any security that is not in compliance with Rule
10A-3 under the Act.\40\
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    \40\ See Rule 10A-3(c)(7).
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Original and Annual Listing Fees

    The Amex original listing fee applicable to the listing of the
MACRO Tradeable Shares is $5,000 for the Up-MACRO Tradeable Shares and
$5,000 for the Down-MACRO Tradeable Shares. In addition, the annual
listing fee applicable under Section 141 of the Amex Company Guide will
be based upon the year-end aggregate number of shares in all series of
MACRO Tradeable Shares (including series based on other Reference
Prices) outstanding at the end of each calendar year.

Disclosure

    The Exchange, in an ``Information Circular'' (described below) to
Exchange members and member organizations, will inform members and
member organizations, prior to commencement of trading, of the
prospectus delivery requirements applicable to the MACRO Tradeable
Shares. The issuing MACRO Tradeable Trust will deliver a prospectus to
investors who purchase such newly issued MACRO Tradeable Shares.

Exchanges of MACRO Tradeable Shares; Paired Issuances and Paired
Optional Redemptions of MACRO Holding Shares in MACRO Unit Aggregations

    In the Information Circular (described below), members and member
organizations will be informed that procedures for exchanges of MACRO
Tradeable Shares for the underlying MACRO Holding Shares and for Paired
Issuances and paired optional redemptions of MACRO Holding Shares are
described in the Prospectus and that MACRO Holding Shares are issuable
and redeemable only in MACRO Units and only by Authorized Participants.

Trading Rules

    MACRO Tradeable Shares are equity securities subject to Amex Rules
governing the trading of equity securities, including, among others,
rules governing priority, parity and precedence of orders, specialist
responsibilities and account opening and customer suitability (Amex
Rule 411). Initial equity margin requirements of 50% will apply to
transactions in MACRO Tradeable Shares. MACRO Tradeable Shares will
trade on the Amex from 9:30 a.m. until 4:15 p.m. New York time each
business day and will trade in a minimum price variation of $0.01
pursuant to Amex Rule 127. Trading rules pertaining to odd-lot trading
in Amex equities (Amex Rule 205) will also apply.
    Amex Rule 154, Commentary .04(c) provides that stop and stop limit
orders to buy or sell a security (other than an option, which is
covered by Amex Rule 950(f) and Commentary thereto) the price of which
is derivatively priced based upon another security or index of
securities, may with the prior approval of a Floor Official, be elected
by a quotation, as set forth in Commentary .04(c) (i-v). The Exchange
has designated MACRO Tradeable Shares as eligible for this
treatment.\41\
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    \41\ See Securities Exchange Act Release No. 29063 (April 10,
1991), 56 FR 15652 (April 17, 1991) (SR-Amex-90-31) at note 9,
regarding the Exchange's designation of equity derivative securities
as eligible for such treatment under Amex Rule 154, Commentary
.04(c).
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    MACRO Tradeable Shares will be deemed ``Eligible Securities,'' as
defined in Amex Rule 230, for purposes of the Intermarket Trading
System Plan and therefore will be subject to the trade through
provisions of Amex Rule 236 which require that Amex members avoid
initiating trade-throughs for ITS securities. Specialist transactions
in MACRO Tradeable Shares, as an Authorized Participant, made in
connection with the creation of MACRO Tradeable Shares and the exchange
of MACRO Tradeable Shares for MACRO Holding Shares will not be subject
to the prohibitions of Amex Rule 190.\42\ Unless exemptive or no-action
relief is available, MACRO Tradeable Shares will be subject to the
short sale rules, and other rules, under the Act. If exemptive or no-
action relief is provided, the Exchange will issue a notice detailing
the terms of the exemption or relief. The MACRO Tradeable Shares will
generally be subject to the Exchange's stabilization rule, Amex Rule
170.
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    \42\ See Commentary .05 to Amex Rule 190.
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    The adoption of proposed Amex Rule 1403 relating to certain
specialist prohibitions will address potential conflicts of interest in
connection with acting as a specialist in Paired Trust Shares.
Specifically, proposed Amex Rule 1403 provides that the prohibitions in
Amex Rule 175(c) apply to a specialist in Paired Trust Shares so that
the specialist or affiliated person may not act or function as a market
maker in

an asset, commodity or other economic interest underlying the Reference
Price, options, related futures or options on futures, or any other
related derivatives. An affiliated person of the specialist consistent
with Amex Rule 193 may be afforded an exemption to act in a market
making capacity on another market center, other than as a specialist in
the asset, commodity or other economic interest underlying the
Reference Price, options, related futures or options on futures, or any
other related derivatives. In particular, proposed Amex Rule 1403
provides that an approved person of an equity specialist that has
established and obtained Exchange approval for procedures restricting
the flow of material, non-public market information between itself and
the specialist member organization, and any member, officer, or
employee associated therewith, may act in a market making capacity,
other than as a specialist in Paired Trust Shares on another market
center, in the asset, commodity or other economic interest underlying
the Reference Price, options, related futures or options on futures, or
any other related derivatives.
    Adoption of proposed Amex Rule 1404 will also ensure that
specialists handling the Paired Trust Shares provide the Exchange with
all the necessary information relating to their trading in the asset,
commodity or other economic interest underlying the Reference Price,
options, related futures or options on futures, or any other related
derivatives. As a general matter, the Exchange has regulatory
jurisdiction over its members, member organizations and approved
persons of a member organization. The Exchange also has regulatory
jurisdiction over any person or entity controlling a member
organization as well as a subsidiary or affiliate of a member
organization that is in the securities business.
    The MACRO Tradeable Shares will be registered in book entry form
through DTC in the United States or with Clearstream Banking, societe
anonyme or Euroclear Bank S.A./NV in Europe. Trading in MACRO Tradeable
Shares will be effected until 4:15 p.m. New York time each business
day. The minimum trading increment for such shares will be $.01

Trading Halts

    Prior to the commencement of trading, the Exchange will issue an
Information Circular (described below) to members informing them of,
among other things, Exchange policies regarding trading halts in MACRO
Tradeable Shares. First, the circular will advise that trading will be
halted in the event the market volatility trading halt parameters set
forth in Amex Rule 117 have been reached. Second, with respect to a
halt in trading that is not specified above, the Exchange may also
consider other relevant factors and the existence of unusual conditions
or circumstances that may be detrimental to the maintenance of a fair
and orderly market. During any trading halt in MACRO Tradeable Shares,
the underlying light sweet crude oil futures contracts are expected to