[Federal Register: February 20, 2008 (Volume 73, Number 34)]
[Notices]
[Page 9381-9395]
[DOCID:fr20fe08-131]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-57318; File No. SR-NYSEArca-2007-91]

Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing
of a Proposed Rule Change, and Amendment No. 1 Thereto, Relating to the
Listing and Trading of Six iShares[supreg] S&P GSCI\TM\ Commodity-
Indexed Trusts

February 12, 2008.
    Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that
on August 30, 2007, NYSE Arca, Inc. (``NYSE Arca'' or ``Exchange''),
through its

wholly-owned subsidiary NYSE Arca Equities, Inc. (``NYSE Arca
Equities''), filed with the Securities and Exchange Commission
(``Commission'') the proposed rule change as described in Items I, II,
and III below, which Items have been substantially prepared by the
Exchange. On February 11, 2008, the Exchange filed Amendment No. 1 to
the proposed rule change. 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.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    NYSE Arca proposes to list and trade shares of the following trusts
under NYSE Arca Equities Rule 8.203: iShares [supreg] S&P GSCI
TM Energy Commodity-Indexed Trust; iShares [supreg] S&P GSCI
TM Natural Gas Commodity-Indexed Trust; iShares [supreg] S&P
GSCI TM Industrial Metals Commodity-Indexed Trust; iShares
[supreg] S&P GSCI TM Light Energy Commodity-Indexed Trust;
iShares [supreg] S&P GSCI TM Livestock Commodity-Indexed
Trust; and iShares [supreg] S&P GSCI TM Non-Energy
Commodity-Indexed Trust.\3\ The shares will represent units of
beneficial interest representing fractional undivided beneficial
interests in the net assets of the issuing trust.
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    \3\ iShares [supreg] is a registered trademark of Barclays
Global Investors, N.A. ``S&P GSCI'' is a trademark of Standard &
Poor's, a division of The McGraw-Hill Companies, Inc.
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II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change

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

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

1. Purpose
    The Exchange proposes to list and trade, under NYSE Arca Equities
Rule 8.203, shares (``Shares'') of the following trusts: iShares
[supreg] S&P GSCI TM Energy Commodity-Indexed Trust; iShares
[supreg] S&P GSCI TM Natural Gas Commodity-Indexed Trust;
iShares [supreg] S&P GSCI TM Industrial Metals Commodity-
Indexed Trust; iShares [supreg] S&P GSCI TM Light Energy
Commodity-Indexed Trust; iShares [supreg] S&P GSCI TM
Livestock Commodity-Indexed Trust; and iShares [supreg] S&P GSCI
TM Non-Energy Commodity-Indexed Trust (collectively, the
``Trusts'').\4\ The objective of each Trust is for the performance of
the Shares to correspond generally to the performance of the following
indexes, respectively, before payment of the Trust's and the Investing
Pool's (as described below) expenses and liabilities: the S&P GSCI
TM Energy Total Return Index; S&P GSCI TM Natural
Gas Total Return Index; S&P GSCI TM Industrial Metals Total
Return Index; S&P GSCI TM Light Energy Total Return Index;
S&P GSCI TM Livestock Total Return Index; and S&P GSCI
TM Non-Energy Total Return Index (collectively, the ``Total
Return Indexes'').\5\
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    \4\ The Sponsor (defined infra) filed Form S-1 for the iShares
GS Commodity Industrial Metals Indexed Trust, iShares GS Commodity
Light Energy Indexed Trust, iShares GS Commodity Livestock Indexed
Trust and iShares GS Commodity Non-Energy Indexed Trust on August
31, 2006. See Registration Nos. 333-135823 through 135826. The
Sponsor filed Pre-Effective Amendment No 3 to the Form S-1 for the
iShares [supreg] S&P GSCI TM Industrial Metals Commodity-
Indexed Trust and iShares [supreg] S&P GSCI TM Non-Energy
Commodity-Indexed Trust on June 18, 2007. See Registration Nos. 333-
135825 and 333-135824. The Sponsor filed Form S-1 for the iShares
[supreg] S&P GSCI TM Energy Commodity-Indexed Trust and
iShares [supreg] S&P GSCI TM Natural Gas Commodity-
Indexed Trust on January 23, 2007 and Amendment No. 1 thereto on
June 18, 2007. See Registration Nos. 333-140162 and 333-140164.
These filings are referred to collectively herein as the
``Registration Statements.''
    \5\ The Commission approved for listing on the New York Stock
Exchange LLC (``NYSE'') shares of the iShares GS Commodity Light
Energy Indexed Trust, shares of the iShares GS Commodity Industrial
Metals Indexed Trust, shares of the iShares GS Commodity Livestock
Indexed Trust, and shares of the iShares GS Commodity Non-Energy
Indexed Trust. See Securities Exchange Act Release No. 55585 (April
5, 2007), 72 FR 18500 (April 12, 2007) (SR-NYSE-2006-75). None of
the Trusts, however, have commenced trading on the NYSE and,
following Commission approval of this proposed rule change, will be
listed on NYSE Arca rather than on NYSE and will not trade on NYSE.
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    The commodity component of each of the Total Return Indexes is
comprised of either one or a group of commodities included in the S&P
GSCI TM Commodity Index (``S&P GSCI TM''), which
is a production-weighted index of the prices of a diversified group of
futures contracts on physical commodities. Each Total Return Index
reflects the return of the corresponding S&P GSCI TM Excess
Return Index, described below, together with the return on specified
U.S. Treasury securities that are deemed to have been held to
collateralize a hypothetical long position in the futures contracts
comprising the corresponding index.
    Each S&P GSCI TM Excess Return Index is calculated based
on the same commodities as those in the respective Total Return Index
and S&P GS Index (defined below), and reflects the returns that are
potentially available through a rolling uncollateralized investment in
the contracts comprising the applicable S&P GS Index, as described
below. An S&P GSCI TM Excess Return Index does not reflect
the return on U.S. Treasury securities used to collateralize positions
in futures contracts comprising that index.\6\
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    \6\ S&P acquired the S&P GSCI (formerly known as the ``Goldman
Sachs Commodity Index''), the S&P GSCI-ER and the Total Return
Indexes from Goldman Sachs & Co., the prior Index Sponsor, effective
May 2007. According to the Registration Statements, S&P has
represented that it will not modify the determination methodology
for the S&P GSCI Total Return Indexes from that existing on the date
of transfer (May 9, 2007) for at least one year. Thereafter, there
can be no assurance as to whether the methodology will be changed.
To date, the Registration Statements for iShares GS Commodity Light
Energy Indexed Trust and iShares GS Commodity Livestock Indexed
Trust have not been updated to reflect S&P's index acquisitions from
Goldman Sachs. The Sponsor of the Trusts, Barclays Global Investors
International, Inc., has represented that the Registration
Statements for iShares GS Commodity Light Energy Indexed Trust and
iShares GS Commodity Livestock Indexed Trust will be updated to
reflect S&P's acquisitions prior to commencement of secondary market
trading of Shares of such Trusts.
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    Each Trust will attempt to approximate its respective Total Return
Index by holding interests in an Investing Pool (described below),
which, in turn, holds futures contracts (referred to as CERFs) on the
corresponding Excess Return Index, together with cash or other short-
term securities used to collateralize the futures positions.
a. The Trusts and Investing Pools
    Each Trust is a Delaware statutory trust that will issue units of
beneficial interest called Shares, representing fractional undivided
beneficial interests in its net assets. Substantially all of the assets
of each Trust consist of holdings of the limited liability company
interests of a specified commodity pool (``Investing Pool Interests''),
which are the only securities in which the Trust may invest.
Specifically, the Trusts will hold interests in the following commodity
pools, respectively: iShares [supreg] S&P GSCI TM Energy
Commodity-Indexed Investing Pool; iShares [supreg] S&P GSCI
TM Natural Gas Commodity-Indexed Investing Pool; iShares
[supreg] S&P GSCI TM Industrial Metals Commodity-Indexed
Investing Pool; iShares [supreg] S&P GSCI TM Light Energy
Commodity-Indexed Investing Pool;

iShares [supreg] S&P GSCI TM Livestock Commodity-Indexed
Investing Pool; and iShares [supreg] S&P GSCI TM Non-Energy
Commodity-Indexed Investing Pool (collectively, ``Investing Pools'').
    Each commodity pool holds long positions in futures contracts on
the following indexes, respectively, (collectively, the ``Excess Return
Indexes'') and will post margin in the form of cash or short-term
securities to collateralize these futures positions: S&P GSCI
TM Energy Excess Return Index (``S&P GS Energy-ER''); S&P
GSCI TM Natural Gas Excess Return Index (``S&P GS Natural
Gas-ER''); S&P GSCI TM Industrial Metals Excess Return Index
(``S&P GS Industrial Metals-ER''); S&P GSCI TM Light Energy
Excess Return Index (``S&P GSLE-ER''); S&P GSCI TM Livestock
Excess Return Index (``S&P GS-Livestock-ER''); and S&P GSCI
TM Non-Energy Excess Return Index (``S&P GSNE-ER''). Trading
on the Chicago Mercantile Exchange (``CME'') Globex electronic trading
platform of CERFs based on the GSCI Excess Return Index commenced
effective March 12, 2006 for trade date March 13, 2006. Trading in
CERFs based on the other Excess Return Indexes is expected to begin
shortly before the initial sale of the Shares to the public.
    The Trusts and the Investing Pools are each commodity pools managed
by a commodity pool operator registered as such with the Commodity
Futures Trading Commission (``CFTC''). According to the Registration
Statements, neither the Trusts nor the Investing Pools are investment
companies registered under the Investment Company Act of 1940
(``Investment Company Act'').\7\
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    \7\ 15 U.S.C. 80a et seq.
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    According to the Registration Statements, the Shares are intended
to constitute a relatively cost-effective means of achieving investment
exposure to the performance of the respective Total Return Indexes,
which are intended to reflect the performance of a specified group of
commodities. Although the Shares will not be the exact equivalent of an
investment in the underlying futures contracts and Treasury securities
represented by the Total Return Indexes, the Shares are intended to
provide investors with an alternative way of participating in the
commodities market.
b. The Sponsor and Trustee
    The Sponsor of the Trusts is Barclays Global Investors
International, Inc. The Sponsor's primary business function is to act
as Sponsor and commodity pool operator of the Trusts and Manager of the
Investing Pools, as discussed below.\8\ The Advisor to the Investing
Pools is Barclays Global Fund Advisors, a California corporation and an
indirect subsidiary of Barclays Bank PLC.
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    \8\ Barclays Global Investors International, Inc. is a commodity
pool operator registered with the CFTC.
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    Barclays Global Investors International, Inc. will also serve as
the Manager of the Investing Pools, in which capacity it will serve as
commodity pool operator of the Investing Pools and be responsible for
their administration. The Manager will arrange for and pay the costs of
organizing the Investing Pools. The Manager has delegated some of its
responsibilities for administering the Investing Pools to the
Administrator, State Street Bank and Trust Company which, in turn, has
employed the Investing Pool Administrator and the Tax Administrator
(PriceWaterhouse Coopers) to maintain various records on behalf of the
Investing Pools.
    The Trustee is Barclays Global Investors, N.A., a national banking
association affiliated with the Sponsor. The Trustee is responsible for
the day-to-day administration of the Trusts. Day-to-day administration
includes (1) processing orders for the creation and redemption of
Baskets (each Basket an aggregation of 50,000 Shares), (2) coordinating
with the Manager of the Investing Pools the receipt and delivery of
consideration transferred to, or by, the Trusts in connection with each
issuance and redemption of Baskets, and (3) calculating the net asset
value (``NAV'') of the Trusts on each Business Day.\9\ The Trustee has
delegated these responsibilities to the Trust Administrator, State
Street Bank and Trust Company, a banking corporation that is not
affiliated with the Sponsor or the Trustee.\10\ Pursuant to NYSE Arca
Equities Rule 8.203(e)(4)(ii), a change in the Trustee would require
prior notice to and approval by the Exchange.
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    \9\ The Registration Statements define ``Business Day'' as any
day (1) on which none of the following occurs: (a) the NYSE is
closed for regular trading, (b) the CME is closed for regular
trading or (c) the Federal Reserve transfer system is closed for
cash wire transfers, or (2) the Trustee determines that it is able
to conduct business.
    \10\ Except as otherwise specifically noted, the information
provided in this proposed rule change relating to the Trusts and the
Shares, commodities markets, and related information is based
entirely on information included in the Registration Statements.
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c. The Investing Pools
    The Investing Pools will hold long positions in CERFs, which are
cash-settled futures contracts listed on the CME that have a term of
approximately five years after listing and whose settlement at
expiration is based on the value of the respective Excess Return
Indexes at that time. The Investing Pools will also earn interest on
the assets used to collateralize its holdings of CERFs.
d. The Total Return Indexes
    The S&P GSCI TM Industrial Metals Total Return Index is
intended to reflect the performance of a group of industrial metal
commodities (currently including copper, aluminum, zinc, nickel and
lead). The S&P GSCI TM Light Energy Total Return Index is
intended to reflect the performance of the same group of commodities
included in the S&P GSCI[supreg], but with a reduced weighting for
energy commodities. The S&P GSCI TM Livestock Total Return
Index is intended to reflect the performance of a group of commodities
comprising the livestock component of the S&P GSCI TM
(currently including live cattle, live hogs and feeder cattle). The S&P
GSCI TM Non-Energy Total Return Index is intended to reflect
the performance of a group of non-energy commodities. The S&P GSCI
TM Energy Total Return Index is intended to reflect the
performance of a group of commodities comprising the energy component
of the S&P GSCITM. The S&P GSCI TM Natural Gas
Total Return Index is intended to reflect the performance of the
performance of natural gas included in the S&P GSCITM.
    Each relevant Index is administered, calculated and published by
Standard & Poor's (the ``Index Sponsor''). The Excess Return Indexes
reflect the return of an uncollateralized investment in the contracts
comprising the S&P GSCI\TM\ Energy Index, the S&P GSCI\TM\ Natural Gas
Index, the S&P GSCI\TM\ Industrial Metals Index, the S&P GSCI\TM\ Light
Energy Index, the S&P GSCI\TM\ Livestock Index, and the S&P GSCI\TM\
Non-Energy Index, respectively (collectively, the ``S&P GS Indexes'').
In addition, the Excess Return Indexes incorporate the economic effect
of ``rolling'' the contracts included in the S&P GS Indexes as they
near expiration. ``Rolling'' a futures contract means closing out a
position in an expiring futures contract and establishing an equivalent
position in the contract on the same commodity with the next expiration
date. If S&P ceases to maintain the Total Return Indexes, the Trusts,
through the Investing Pools, may seek investment results that
correspond generally to the performance of a fully collateralized
investment in a successor, or, in the opinion of the Manager,
reasonably similar indexes to the Total Return Indexes.
    Each Trust, through its respective Investing Pool, will be a
passive investor in CERFs and the cash or Short-

Term Securities \11\ posted as margin to collateralize the Investing
Pool's CERF positions. Neither such Trust nor the respective Investing
Pool will engage in any activities designed to obtain a profit from, or
to ameliorate losses caused by, changes in the value of CERFs or
securities posted as margin. Each Investing Pool, and some other types
of market participants, will be required to deposit margin with a value
equal to 100% of the value of each CERF position at the time it is
established. Those market participants not subject to the 100% margin
requirement are required to deposit margin generally with a value of 3%
to 5% of the established position. Interest paid on the collateral
deposited as margin, net of expenses, will be reinvested by the
Investing Pool or, at the Trustee's discretion, may be distributed from
time to time to the Shareholders. The Investing Pool's profit or loss
on its CERF positions should correlate with increases and decreases in
the value of the applicable Excess Return Index, although this
correlation will not be exact. The interest on the collateral deposited
by the Investing Pool as margin, together with the returns
corresponding to the performance of the applicable Excess Return Index,
is expected to result in a total return for the Investing Pool that
corresponds generally, but is not identical, to the applicable Index.
Differences between the returns of the Investing Pool and the
applicable Index may be based on, among other factors, any differences
between the return on the assets used by the Investing Pool to
collateralize its CERF positions and the U.S. Treasury rate used to
calculate the return component of the Index, timing differences,
differences between the weighting of the Investing Pool's proportion of
assets invested in CERFs versus the Index, and the payment of expenses
and liabilities by the Investing Pool. Each Trust's net asset value
will reflect the performance of the applicable Investing Pool, such
Trust's sole investment.
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    \11\ ``Short-Term Securities'' means U.S. Treasury Securities or
other short-term securities and similar securities, in each case
that are eligible as margin deposits under the rules of the CME.
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    The Investing Pools will be managed by the Advisor, which will
invest all of the Investing Pools' assets in long positions in
respective CERFs and post margin in the form of cash or Short-Term
Securities to collateralize the CERF positions. Any cash that the
Investing Pool accepts as consideration from the Trusts for Investing
Pool Interests will be used to purchase additional CERFs, in an amount
that the Advisor determines will enable the Investing Pools to achieve
investment results that correspond with the applicable Index, and to
collateralize the CERFs. According to the Registration Statements, the
Advisor will not engage in any activities designed to obtain a profit
from, or to ameliorate losses caused by, changes in value of any of the
commodities represented by the S&P GSCI\TM\-ER Indexes or the positions
or other assets held by the Investing Pool.
e. Futures Contracts on the Excess Return Indexes
    The assets of the Investing Pools will consist of CERFs and cash or
Short-Term Securities posted as margin to collateralize the Investing
Pools' CERF positions. Futures contracts and options on futures
contracts on the GSCI, which does not reflect the excess return
embedded in the GSCI-ER, have been traded on the CME since 1992. CERFs
are listed and traded separately from the S&P GSCI futures contracts
and options on futures contracts.
    CERFs trading is subject to the rules of the CME. According to the
Registration Statements, CERFs trade on GLOBEX, the CME's electronic
trading system, and do not trade through open outcry on the floor of
the CME.\12\ Transactions in CERFs are cleared through the CME
clearinghouse by the trader's futures commission merchant acting as its
agent. Under these clearing arrangements, the CME clearinghouse becomes
the buyer to each member futures commission merchant representing a
seller of the contract and the seller to each member futures commission
merchant representing a buyer of the contract. As a result of these
clearing arrangements, each trader holding a position in CERFs is
subject to the credit risk of the CME clearinghouse and the futures
commission merchant carrying its position in CERFs.
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    \12\ Trading hours for CERFs on GLOBEX will be as follows:
Sunday, 6 p.m. to 2:40 p.m. (next day) (New York Time); Monday to
Thursday, 6 p.m. to 2:40 p.m. (next day) and 3 p.m. to 5 p.m. (New
York Time).
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    Each CERF is a contract that provides for cash settlement, at
expiration, based upon the final settlement value of the applicable
Excess Return Index at the expiration of the contract, multiplied by a
fixed dollar multiplier. On a daily basis, most market participants
with positions in CERFs are obligated to pay, or entitled to receive,
cash (known as ``variation margin'') in an amount equal to the change
in the daily settlement level of the CERF from the preceding trading
day's settlement level (or, initially, the contract price at which the
position was entered into). Specifically, if the daily settlement price
of the contract increases over the previous day's price, the seller of
the contract must pay the difference to the buyer, and if the daily
settlement price is less than the previous day's price, the buyer of
the contract must pay the difference to the seller.
    Futures contracts also typically require deposits of initial margin
as well as payments of daily variation margin as the value of the
contracts fluctuate. For most market participants, the initial margin
requirement for CERFs is generally expected to be 3% to 5%. Certain
market participants (known as ``100% margin participants''), however,
will be required to deposit with their futures commission merchant
(``FCM'') initial margin in an amount equal to 100% of the value of the
CERF on the date the position is established. The FCM, in turn, will be
required to deliver to the CME clearinghouse initial margin in a
specified amount and pledge to the clearinghouse, pursuant to a
separate custody arrangement, an amount equal to the remainder of the
100% margin amount posted by 100% margin participants, either from
amounts posted by those 100% margin participants or from its own
assets. The separate custody arrangement will be either an account with
the FCM or a third party custody account.
    As a result of these arrangements, a 100% margin participant buying
a CERF will be subject to substantially greater initial margin
requirements than other market participants, but will not be required
to pay any additional amounts to its futures commission merchant as
variation margin if the value of the CERFs declines. Instead, the
futures commission merchant will be obligated to make variation margin
payments to the clearinghouse in respect of CERFs held by 100% margin
participants, which it will withdraw from the separate custody account
(and, in turn, from the 100% margin posted by those participants).
    If the daily settlement price increases, the futures commission
merchant will receive variation margin from the clearinghouse for the
account of the 100% margin participant, which it will hold in the
separate custody account for the benefit of 100% margin participants.
The buyer will not, however, be entitled to receive this variation
margin from its futures commission merchant (until the liquidation or
final settlement of its CERF position). The buyer will be entitled to
receive interest or other income on the assets it has deposited as

margin or that are credited to the custody account on its behalf from
time to time.
    Upon liquidation or settlement of a CERF, a 100% margin participant
will receive from its futures commission merchant its initial margin
deposit, adjusted for variation margin paid or received by the futures
commission merchant with respect to the contract during the time it was
held by the participant (or the proceeds from liquidation of any
investments made with such funds for the benefit of the participant
under the terms of its custody arrangement with the carrying futures
commission merchant).
    The 100% margin participants will include any market participant
that is (1) an investment company registered under the Investment
Company Act or (2) an investment fund, commodity pool, or other similar
type of pooled trading vehicle (other than a pension plan or fund) that
is offered to the public pursuant to an effective registration
statement filed under the Securities Act of 1933,\13\ regardless of
whether it is also registered under the Investment Company Act, and
that has its principal place of business in the United States.
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    \13\ 15 U.S.C. 77a, et seq.
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    The Investing Pools will be a 100% margin participants. The
Investing Pools will satisfy the 100% margin requirement by depositing
with the Clearing FCM \14\ cash or Short-Term Securities with a value
equal to 100% of the value of each long position in CERFs.
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    \14\ The term ``Clearing FCM'' is defined in the Registration
Statement as Goldman, Sachs & Co. or any other futures commission
merchant appointed by the Manager as clearing futures commission
merchant for the Investing Pool.
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    According to the Registration Statements, CERFs also differ from
traditional futures contracts in another significant respect. In
contrast to other types of futures contracts, which are typically
listed with monthly, bimonthly or quarterly expirations, CERFs will be
listed only with approximately five-year expirations. A buyer or seller
of CERFs will be able to trade CERFs on the market maintained by the
CME and will consequently be able to liquidate its position at any
time, subject to the existence of a liquid market. If a party to a CERF
wishes to hold its position to expiration, however, it will be
necessary to maintain the position for up to five years. According to
the Registration Statements, as a CERF nears expiration, it is
anticipated, but there can be no assurance, that the CME will list an
additional CERF with an approximately five-year expiration.
f. The S&P GSCI\TM\ and S&P GS Indexes
    The S&P GSCI\TM\ itself is an index on a production-weighted basket
of principal physical commodities that satisfy specified criteria. The
S&P GSCI\TM\ reflects the level of commodity prices at a given time and
is designed to be a measure of the performance over time of the markets
for these commodities. The commodities represented in the S&P GSCI\TM\
are those physical commodities on which active and liquid contracts are
traded on trading facilities in major industrialized countries. The
commodities included in the S&P GSCI\TM\ are weighted, on a production
basis, to reflect the relative significance (in the view of the Index
Sponsor) of those commodities to the world economy. The fluctuations in
the level of the S&P GSCI\TM\ are intended generally to correlate with
changes in the prices of those physical commodities in global markets.
    The Index Sponsor makes the official calculations of the value of
the S&P GSCI\TM\ and S&P GS Indexes. At present, these calculations are
performed continuously and are reported on Reuters Pages GSCI (for S&P
GSCI), GSNG (for S&P GS Natural Gas), GSCO (for S&P GS Industrial
Metals), GSLE (for S&P GS Light Energy), GSCL (for S&P GS Livestock),
GSCN (for S&P GS Non-Energy), and GSCP (for S&P GS Energy), and is
updated on Reuters at least every 15 seconds during NYSE Arca Core
Trading Session and during business hours on each Business Day on which
the offices of the Index Sponsor in New York City are open for
business. The calculation for each applicable Index is also updated on
Reuters at least every 15 seconds. The settlement price for each Excess
Return Index is also reported on the Reuters Pages noted above. If
Reuters ceases to publish the value of the S&P GSCI or applicable S&P
GS Index or the settlement price of the S&P GSCI\TM\-ER or the Excess
Return Indexes, the Index Sponsor has undertaken to use commercially
reasonable efforts to ensure that a comparable reporting service
publishes the S&P GSCI\TM\ or applicable S&P GS Index and the
applicable Excess Return Index so long as any Shares are outstanding.
g. The Index Committee and Index Advisory Panel
    The Index Sponsor has established an Index Committee to oversee the
daily management and operations of the S&P GSCI\TM\, and is responsible
for all analytical methods and calculations. The Index Committee is
comprised of three full-time professional members of S&P's staff and
two members of Goldman Sachs Group. At each meeting, the Index
Committee reviews any issues that may affect index constituents,
statistics comparing the composition of the indices to the market,
commodities that are being considered as candidates for addition to an
index, and any significant market events. In addition, the Index
Committee may revise index policy covering rules for selecting
commodities, or other matters.
    S&P considers information about changes to its indices and related
matters to be potentially market moving and material. Therefore, all
Index Committee discussions are confidential.
    In addition, the Index Sponsor has established an Index Advisory
Panel to assist it with the operation of the S&P GSCI\TM\. The
principal purpose of the Index Advisory Panel is to advise the Index
Sponsor with respect to, among other things, the calculation of the S&P
GSCI\TM\, the effectiveness of the S&P GSCI\TM\ as a measure of
commodity futures market performance and the need for changes in the
composition or the methodology of the S&P GSCI\TM\. The Index Advisory
Panel acts solely in an advisory and consultative capacity. All
decisions with respect to the composition, calculation and operation of
the S&P GSCI\TM\ are made by the Index Committee.
    The Index Advisory Panel generally meets in October of each year.
Prior to the meeting, the Index Sponsor determines the commodities to
be included in the S&P GSCI\TM\ for the following calendar year and the
weighting factors for each commodity. The Index Advisory Panel's
members receive the proposed composition of the S&P GSCI\TM\ in advance
of the meeting and discuss the composition at the meeting. The Index
Sponsor also consults the Index Advisory Panel on any other significant
matters with respect to the calculation and operation of the S&P
GSCI\TM\. The Index Advisory Panel may, if necessary or practicable,
meet at other times during the year as issues arise that warrant its
consideration.
h. Composition of the S&P GSCI\TM\
    In order to be included in the S&P GSCI\TM\, and the S&P GS
Indexes, a contract must satisfy the following eligibility criteria:
    (1) The contract must:
    (a) Be in respect of a physical commodity and not a financial
commodity;
    (b) have a specified expiration or term, or provide in some other
manner for delivery or settlement at a specified

time, or within a specified period, in the future; and
    (c) be available, at any given point in time, for trading at least
five months prior to its expiration or such other date or time period
specified for delivery or settlement.
    (2) The commodity must be the subject of a contract that:
    (a) Is denominated in U.S. dollars; and
    (b) Is traded on or through an exchange, facility or other
platform, referred to as a ``trading facility,'' that has its principal
place of business or operations in a country that is a member of the
Organization for Economic Cooperation and Development and:
    i. Makes price quotations generally available to its members or
participants (and, if the Index Sponsor is not such a member or
participant, to the Index Sponsor) in a manner and with a frequency
that is sufficient to provide reasonably reliable indications of the
level of the relevant market at any given point in time;
    ii. Makes reliable trading volume information available to the
Index Sponsor with at least the frequency required by the Index Sponsor
to make the monthly determinations;
    iii. Accepts bids and offers from multiple participants or price
providers; and
    iv. Is accessible by a sufficiently broad range of participants.
    (3) The price of the relevant contract that is used as a reference
or benchmark by market participants, referred to as the ``daily
contract reference price,'' generally must have been available on a
continuous basis for at least two years prior to the proposed date of
inclusion in the S&P GSCI\TM\. In appropriate circumstances, however,
the Index Sponsor may determine that a shorter time period is
sufficient or that historical daily contract reference prices for that
contract may be derived from daily contract reference prices for a
similar or related contract. The daily contract reference price may be
(but is not required to be) the settlement price or other similar price
published by the relevant trading facility for purposes of margining
transactions or for other purposes.
    (4) At and after the time a contract is included in the S&P
GSCI\TM\, the daily contract reference price for that contract must be
published between 10:00 a.m. and 4:00 p.m., New York Time, on each
Business Day relating to that contract by the trading facility on or
through which it is traded and must generally be available to all
members of, or participants in, that trading facility (and, if the
Index Sponsor is not such a member or participant, to the Index
Sponsor) on the same day from the trading facility or through a
recognized third-party data vendor. Such publication must include, at
all times, daily contract reference prices for at least one expiration
or settlement date that is five months or more from the date the
determination is made, as well as for all expiration or settlement
dates during that five-month period.
    (5) Volume data with respect to the contract must be available for
at least the three months immediately preceding the date on which the
determination is made.
    (6) A contract that is not included in the S&P GSCI\TM\ at the time
of determination and that is based on a commodity that is not
represented in the S&P GSCI\TM\ at that time must, in order to be added
to the S&P GSCI\TM\ at that time, have a total dollar value traded,
over the relevant period, as the case may be and annualized, of at
least $15 billion. The total dollar value traded is the dollar value of
the total quantity of the commodity underlying transactions in the
relevant contract over the period for which the calculation is made,
based on the average of the daily contract reference prices on the last
day of each month during the period.
    (7) A contract that is already included in the S&P GSCI\TM\ at the
time of determination and that is the only contract on the relevant
commodity included in the S&P GSCI\TM\ must, in order to continue to be
included in the S&P GSCI\TM\ after that time, have a total dollar value
traded, over the relevant period, as the case may be and annualized, of
at least $5 billion and at least $10 billion during at least one of the
three most recent annual periods used in making the determination.
    (8) A contract that is not included in the S&P GSCITM at
the time of determination and that is based on a commodity on which
there are one or more contracts already included in the S&P
GSCITM at that time must, in order to be added to the S&P
GSCITM at that time, have a total dollar value traded, over
the relevant period, as the case may be and annualized, of at least $30
billion.
    (9) A contract that is already included in the S&P
GSCITM at the time of determination and that is based on a
commodity on which there are one or more contracts already included in
the S&P GSCITM at that time must, in order to continue to be
included in the S&P GSCITM after that time, have a total
dollar value traded, over the relevant period, as the case may be and
annualized, of at least $10 billion and at least $20 billion during at
least one of the three most recent annual periods used in making the
determination.
    (10) A contract that is:
    (a) Already included in the S&P GSCITM at the time of
determination must, in order to continue to be included after that
time, have a reference percentage dollar weight of at least 0.10%. The
``reference percentage dollar weight'' of a contract represents the
current value of the quantity of the underlying commodity that is
included in the Index at a given time. This figure is determined by
multiplying the contract production weight of a contract, or ``CPW,''
by the average of its daily contract reference prices on the last day
of each month during the relevant period. These amounts are summed for
all contracts included in the S&P GSCITM and each contract's
percentage of the total is then determined. The CPW of a contract is
its weight in the Index.
    (b) not included in the S&P GSCITM at the time of
determination must, in order to be added to the S&P GSCITM
at that time, have a reference percentage dollar weight of at least
0.75%.
    (11) In the event that two or more contracts on the same commodity
satisfy the eligibility criteria:
    (a) Such contracts will be included in the S&P GSCITM in
the order of their respective total quantity traded during the relevant
period (determined as the total quantity of the commodity underlying
transactions in the relevant contract), with the contract having the
highest total quantity traded being included first, provided that no
further contracts will be included if such inclusion would result in
the portion of the S&P GSCITM attributable to that commodity
exceeding a particular level.
    (b) if additional contracts could be included with respect to
several commodities at the same time, that procedure is first applied
with respect to the commodity that has the smallest portion of the S&P
GSCITM attributable to it at the time of determination.
Subject to the other eligibility criteria described above, the contract
with the highest total quantity traded on that commodity will be
included. Before any additional contracts on the same commodity or on
any other commodity are included, the portion of the S&P
GSCITM attributable to all commodities is recalculated. The
selection procedure described above is then repeated with respect to
the contracts on the commodity that then has the smallest portion of
the S&P GSCITM attributable to it.
    Beginning in 2007, in order for a contract to be included in the
S&P

GSCITM, (1) the trading facility in which the contract is
traded must allow market participants to execute spread transactions,
through a single order entry, between the pairs of contract expirations
included in the S&P GSCITM that at any given point in time
will be involved in the rolls to be effected in the next three roll
periods and (2) a contract that is not included in the S&P
GSCITM at the time of determination must, in order to be
added to the S&P GSCITM at that time, have a reference
percentage dollar weight of at least 1.00%.
    The contracts currently included in the S&P GSCITM are
all futures contracts traded on the New York Mercantile Exchange, Inc.
(``NYM''), the ICE Futures (``ICE'') and its subsidiary, the New York
Board of Trade (``NYBOT''), the CME, the Chicago Board of Trade
(``CBT''), the Coffee, Sugar & Cocoa Exchange, Inc. (``CSC''), the New
York Cotton Exchange (``NYC''), the Kansas City Board of Trade
(``KBT''), the COMEX Division of the New York Mercantile Exchange, Inc.
(``CMX'') and the London Metal Exchange (``LME'').
    The futures contracts currently included in the S&P
GSCITM Energy Index, Average Daily Trading Volume (``ADTV'')
for January 2007 through July 2007, percentage dollar weights (as of
August 13, 2007), market symbols and the exchanges on which they are
traded are as follows:

--------------------------------------------------------------------------------------------------------------------------------------------------------
                                     Weight  8/13/       ADTV
             Commodity               07  (percent)    (contracts)       Market  symbol         Trading  facility                    Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
WTI Crude Oil.....................           51.43         200,605  CL....................  NYM...................  1,000 index points.
Brent Crude Oil...................           20.86         235,918  LCO...................  ICE...................  1,000 barrels.
Natural Gas.......................           10.23         111,548  NG....................  NYM...................  42,000 U.S. gallons.
Heating Oil.......................            8.27          70,791  HO....................  NYM...................  42,000 U.S. gallons.
Gas Oil...........................            7.39          88,417  LGO...................  ICE...................  100 metric tons.
RBOB Oil..........................            1.82          79,665  RB....................  NYM...................  50,000 X PADD.
--------------------------------------------------------------------------------------------------------------------------------------------------------

    The futures contracts currently included in the S&P
GSCITM Natural Gas Index, ADTV for January 2007 through July
2007, percentage dollar weights (as of August 13, 2007), market symbols
and the exchanges on which they are traded are as follows:

--------------------------------------------------------------------------------------------------------------------------------------------------------
                                    Weight 8/13/07       ADTV
             Commodity                 (percent)      (contracts)        Market symbol         Trading facility                     Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
Natural Gas.......................          100.00         111,548  NG....................  NYM...................  42,000 U.S. gallons.
--------------------------------------------------------------------------------------------------------------------------------------------------------

    The futures contracts currently included in the S&P
GSCITM Industrial Metals Index, ADTV for January 2007
through July 2007, percentage dollar weights (as of August 13, 2007),
market symbols and the exchanges on which they are traded are as
follows:

--------------------------------------------------------------------------------------------------------------------------------------------------------
                                    Weight 8/13/07       ADTV
             Commodity                 (percent)      (contracts)        Market symbol         Trading facility                     Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
Copper............................           40.66          14,793  MCU...................  NYM...................  25,000 lbs.
Aluminum..........................           30.14         155,886  MAL...................  LME...................  25 metric tons.
Primary Nickel....................           11.13          14,543  MNI...................  LME...................  6 metric tons.
Zinc..............................           11.05          48,483  MZN...................  LME...................  25 metric tons.
Standard Lead.....................            7.02          16,998  MPB...................  LME...................  25 metric tons.
--------------------------------------------------------------------------------------------------------------------------------------------------------

    The futures contracts currently included in the S&P
GSCITM Light Energy Index, ADTV for January 2007 through
July 2007, percentage dollar weights (as of August 13, 2007), market
symbols and the exchanges on which they are traded are as follows:

--------------------------------------------------------------------------------------------------------------------------------------------------------
                                    Weight 8/13/07       ADTV
             Commodity                 (percent)      (contracts)        Market symbol         Trading facility                     Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
WTI Crude Oil.....................           18.97         200,605  CL....................  NYM...................  1,000 index points.
Copper............................            8.56          14,793  MCU...................  NYM...................  25,000 lbs.
Chicago Wheat.....................            8.10          75,587  W.....................  CBOT..................  5,000 bushels.
Brent Crude Oil...................            7.69         235,918  LCO...................  ICE...................  1,000 barrels.
Aluminum..........................            6.35         155,886  MAL...................  LME...................  25 metric tons.
Corn..............................            6.24         244,756  C.....................  CBOT..................  5,000 bushels.
Live Cattle.......................            5.50          36,530  LC....................  CME...................  40,000 lbs.
Gold..............................            4.21          89,976  GC....................  NYM...................  100 troy ounces.
Soybeans..........................            4.17         121,036  S.....................  CBOT..................  5,000 bushels.
Natural Gas.......................            3.77         111,548  NG....................  NYM...................  42,000 U.S. gallons.
Lean Hogs.........................            3.16          30,698  LH....................  CME...................  40,000 lbs.
Heating Oil.......................           3.05%          70,791  HO....................  NYM...................  42,000 U.S. gallons.
Kansas City Wheat.................            2.76          17,238  KW....................  KCE...................  5,000 bushels.

Gas Oil...........................            2.72          88,417  LGO...................  ICE...................  100 metric tons.
Nickel............................            2.34          14,543  MNI...................  LME...................  6 metric tons.
Zinc..............................            2.33          48,483  MZN...................  LME...................  25 metric tons.
Sugar.............................            2.17          90,166  SB....................  NYBOT.................  112,000 lbs.
Cotton............................            1.91          26,092  CT....................  NYBOT.................  50,000 lbs.
Coffee............................            1.51          20,383  KC....................  NYBOT.................  37,500 lbs.
Lead..............................            1.48          16,998  MPB...................  LME...................  25 metric tons.
Feeder Cattle.....................            1.32           4,416  FC....................  CME...................  50,000 lbs.
RBOB Gas..........................            0.67          79,665  RB....................  NYM...................  50,000 X PADD.
Silver............................            0.57          24,292  SI....................  NYM...................  5,000 troy ounces.
Cocoa.............................            0.45          13,397  CC....................  NYBOT.................  10 metric tons.
--------------------------------------------------------------------------------------------------------------------------------------------------------

    The futures contracts currently included in the S&P
GSCITM Livestock Index, ADTV for January 2007 through July
2007, percentage dollar weights (as of August 13, 2007), market symbols
and the exchanges on which they are traded are as follows:

--------------------------------------------------------------------------------------------------------------------------------------------------------
                                    Weight 8/13/07       ADTV
             Commodity                 (percent)      (contracts)        Market symbol         Trading facility                     Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
Live Cattle.......................           55.08          36,530  LC....................  CME...................  40,000 lbs.
Lean Hogs.........................           31.72          30,698  LH....................  CME...................  40,000 lbs.
Feeder Cattle.....................           13.20           4,416  FC....................  CME...................  50,000 lbs.
--------------------------------------------------------------------------------------------------------------------------------------------------------

    The futures contracts currently included in the S&P
GSCITM Non-Energy Index, ADTV for January 2007 through July
2007, percentage dollar weights (as of August 13, 2007), market symbols
and the exchanges on which they are traded are as follows:

--------------------------------------------------------------------------------------------------------------------------------------------------------
                                    Weight 8/13/07       ADTV
             Commodity                 (percent)      (contracts)        Market symbol         Trading facility                     Units
--------------------------------------------------------------------------------------------------------------------------------------------------------
Copper............................           13.56          14,793  MCU...................  NYM...................  25,000 lbs.
Chicago Wheat.....................           12.83          75,587  W.....................  CBOT..................  5,000 bushels.
Aluminum..........................           10.06         155,886  MAL...................  LME...................  25 metric tons.
Corn..............................            9.89         244,756  C.....................  CBOT..................  5,000 bushels.
Live Cattle.......................            8.71          36,530  LC....................  CME...................  40,000 lbs.
Gold..............................            6.66          89,976  GC....................  NYM...................  100 troy ounces.
Soybeans..........................            6.61         121,036  S.....................  CBOT..................  5,000 bushels.
Lean Hogs.........................            5.01          30,698  LH....................  CME...................  40,000 lbs.
Kansas City Wheat.................            4.37          17,238  KW....................  KCE...................  5,000 bushels.
Nickel............................            3.71          14,543  MNI...................  LME...................  6 metric tons.
Zinc..............................            3.69          48,483  MZN...................  LME...................  25 metric tons.
Sugar.............................            3.44          90,166  SB....................  NYBOT.................  112,000 lbs.
Cotton............................            3.03          26,092  CT....................  NYBOT.................  50,000 lbs.
Coffee............................            2.39          20,383  KC....................  NYBOT.................  37,500 lbs.
Lead..............................            2.34          16,998  MPB...................  LME...................  25 metric tons.
Feeder Cattle.....................            2.09           4,416  FC....................  CME...................  50,000 lbs.
Silver............................            0.90          24,292  SI....................  NYM...................  5,000 troy ounces.
Cocoa.............................            0.71          13,397  CC....................  NYBOT.................  10 metric tons.
--------------------------------------------------------------------------------------------------------------------------------------------------------

    The hours of trading (New York Time) of the commodities in the
charts above are as follows:

----------------------------------------------------------------------------------------------------------------
               Commodity                               Trading facility                 Trading hours (NY time)
----------------------------------------------------------------------------------------------------------------
Crude Oil..............................  NYM.........................................  10 a.m.-2:30 p.m.
Brent Crude Oil........................  ICE.........................................  8 p.m.-5 p.m. (next day).
Natural Gas............................  NYM.........................................  10 a.m.-2:30 p.m.
Heating Oil............................  NYM.........................................  10:05 a.m.-2:30 p.m.
RBOB Gasoline..........................  NYM.........................................  10:05 a.m.-2:30 p.m.
Gas Oil................................  ICE.........................................  8 p.m.-5 p.m. (next day).
Live Cattle............................  CME.........................................  10:05 a.m.-2 p.m.
Wheat..................................  CBT.........................................  10:30 a.m.-2:15 p.m.
Aluminum...............................  LME.........................................  6:55 a.m.-12 p.m.

Corn...................................  CBT.........................................  10:30 a.m.-2:15 p.m.
Copper.................................  LME.........................................  7 a.m.-12 p.m.
Soybeans...............................  CBT.........................................  10:30 a.m.-2:15 p.m.
Lean Hogs..............................  CME.........................................  9:10 a.m.-1 p.m.
Gold...................................  CMX.........................................  8:20 a.m.-1:30 p.m.
Sugar..................................  CSC.........................................  9 a.m.-12 p.m.
Cotton.................................  NYC.........................................  10:30 a.m.-2:15 p.m.
Red Wheat..............................  KBT.........................................  10:30 a.m.-2:15 p.m.
Coffee.................................  CSC.........................................  9:15 a.m.-12:30 p.m.
Standard Lead..........................  LME.........................................  7:05 a.m.-11:50 a.m.
Feeder Cattle..........................  CME.........................................  10:05 a.m.- 2 p.m.
Zinc...................................  LME.........................................  7:10 a.m.-11:55 a.m.
Primary Nickel.........................  LME.........................................  7:10 a.m.-11:55 a.m.
Cocoa..................................  CSC.........................................  8 a.m.-11:50 a.m.
Silver.................................  CMX.........................................  8:25 a.m.-1:25 p.m.
----------------------------------------------------------------------------------------------------------------

    The quantity of each of the contracts included in the S&P GSCI\TM\
is determined on the basis of a five-year average, referred to as the
``world production average,'' of the production quantity of the
underlying commodity as published by the United Nations Statistical
Yearbook, the Industrial Commodity Statistics Yearbook and other
official sources. However, if a commodity is primarily a regional
commodity, based on its production, use, pricing, transportation or
other factors, the Index Sponsor, may calculate the weight of that
commodity based on regional, rather than world, production data. At
present, natural gas is the only commodity the weights of which are
calculated on the basis of regional production data, with the relevant
region defined as North America.
    The five-year moving average is updated annually for each commodity
included in the S&P GSCI\TM\, based on the most recent five-year period
(ending approximately two years prior to the date of calculation and
moving backwards) for which complete data for all commodities is
available. The CPWs used in calculating the S&P GSCI\TM\ are derived
from world or regional production averages, as applicable, of the
relevant commodities, and are calculated based on the total quantity
traded for the relevant contract and the world or regional production
average, as applicable, of the underlying commodity. However, if the
volume of trading in the relevant contract, as a multiple of the
production levels of the commodity, is below specified thresholds, the
CPW of the contract is reduced until the threshold is satisfied. This
is designed to ensure that trading in each contract is sufficiently
liquid relative to the production of the commodity.
    In addition, the Index Sponsor performs this calculation on a
monthly basis and, if the multiple of any contract is below the
prescribed threshold, the composition of the S&P GSCI\TM\ is
reevaluated, based on the criteria and weighting procedure described
above. This procedure is undertaken to allow the S&P GSCI\TM\ to shift
from contracts that have lost substantial liquidity into more liquid
contracts during the course of a given year. As a result, it is
possible that the composition or weighting of the S&P GSCI\TM\ will
change on one or more of these monthly evaluation dates. The likely
circumstances under which the Index Sponsor would be expected to change
the composition of the Index during a given year, however, are (1) a
substantial shift of liquidity away from a contract included in the
Index or its subsidiaries as described above, or (2) an emergency, such
as a natural disaster or act of war or terrorism, that causes trading
in a particular contract to cease permanently or for an extended period
of time. In either event, the Index Sponsor will consult with the Index
Committee in connection with the changes to be made and will publish
the nature of the changes, through Web sites, news media or other
outlets, with as much prior notice to market participants as is
reasonably practicable. Moreover, regardless of whether any changes
have occurred during the year, the Index Sponsor reevaluates the
composition of the S&P GSCI\TM\, in consultation with its Index
Committee, at the conclusion of each year, based on the above criteria.
Other commodities that satisfy that criteria, if any, will be added to
the S&P GSCI\TM\. Commodities included in the S&P GSCI\TM\ that no
longer satisfy that criteria, if any, will be deleted.
    The Index Sponsor also determines whether modifications in the
selection criteria or the methodology for determining the composition
and weights of and for calculating the S&P GSCI\TM\ are necessary or
appropriate in order to assure that the S&P GSCI\TM\ represents a
measure of commodity market performance. The Index Sponsor has the
discretion to make any such modifications.
i. Total Dollar Weight of the S&P GSCI and S&P GS Indexes
    The total dollar weight of the S&P GSCI\TM\ and each S&P GS Index
is the sum of the dollar weight of each of the underlying commodities.
The dollar weight of each such commodity on any given day is equal to:
     The daily contract reference price;
     Multiplied by the appropriate CPW; and
     During a roll period, the appropriate ``roll
weights''(discussed below).
    The daily contract reference price used in calculating the dollar
weight of each commodity on any given day is the most recent daily
contract reference price made available by the relevant trading
facility, except that the daily contract reference price for the most
recent prior day will be used if the exchange is closed or otherwise
fails to publish a daily contract reference price on that day. In
addition, if the trading facility fails to make a daily contract
reference price available or publishes a daily contract reference price
that, in the reasonable judgment of the Index Sponsor, reflects
manifest error, the relevant calculation will be delayed until the
price is made available or corrected; provided, that, if the price is
not made available or corrected by 4 p.m. New York Time, the Index
Sponsor may, if it deems that action to be appropriate under the
circumstances, determine the appropriate daily contract reference price
for the applicable futures contract in its reasonable judgment for
purposes of the relevant Index calculation.
j. Calculation of Total Return Indexes
    The Total Return Indexes to which the performance of the Shares is
linked

were established in May of 1991, with the exception of the S&P GSCI\TM\
Light Energy Total Return Index, which was established in April, 2004.
Each Total Return Index reflects the return of the applicable Excess
Return Index, together with the return on specified U.S. Treasury
securities that are deemed to have been held to collateralize a
hypothetical long position in the futures contracts comprising the
applicable S&P GS Index.
k. Calculation of the Excess Return Indexes
    Because futures contracts have scheduled expirations, or delivery
months, as one contract nears expiration it becomes necessary to close
out the position in that delivery month and establish a position in the
next available delivery month. This process is referred to as
``rolling'' the position forward. Each Excess Return Index is designed
to reflect the return from rolling each contract included in the S&P
GSCI\TM\ or applicable S&P GS Index in this manner into the next
available delivery month as it nears expiration. This is accomplished
by selling the position in the first delivery month and purchasing a
position of equivalent value in the second delivery month. If the price
of the second contract is lower than the price of the first contract,
the ``rolling'' process results in a greater quantity of the second
contract being acquired for the same value. Conversely, if the price of
the second contract is higher than the price of the first contract, the
``rolling'' process results in a smaller quantity of the second
contract being acquired for the same value.
    The value of each Excess Return Index on any S&P GSCI\TM\ Business
Day is equal to the product of (1) the value of the applicable Excess
Return Index on the immediately preceding S&P GSCI\TM\ Business Day
multiplied by (2) one plus the contract daily return on the S&P
GSCI\TM\ Business Day on which the calculation is made.
    The value of each Total Return Index on any S&P GSCI\TM\ Business
Day is equal to the product of (1) the value of the Index on the
immediately preceding S&P GSCI\TM\ Business Day multiplied by (2) one
plus the sum of the contract daily return \15\ and the Treasury bill
return on the S&P GSCI\TM\ Business Day on which the calculation is
made, multiplied by (3) one plus the Treasury bill return for each non-
S&P GSCI\TM\ Business Day since the immediately preceding S&P GSCI\TM\
Business Day. The Treasury bill return is the return on a hypothetical
investment at a rate equal to the interest rate on a specified U.S.
Treasury bill.
---------------------------------------------------------------------------

    \15\ The contract daily return on any given day is equal to the
sum, for each of the commodities included in the S&P GSCI\TM\ or the
applicable S&P GS Index, of the applicable daily contract reference
price on the relevant contract multiplied by the appropriate CPW and
the appropriate ``roll weight,'' divided by the total dollar weight
of the such Index on the preceding day, minus one.
    The ``roll weight'' of each commodity reflects the fact that the
positions in contracts must be liquidated or rolled forward into
more distant contract expirations as they near expiration. If actual
positions in the relevant markets were rolled forward, the roll
would likely need to take place over a period of days. Since the S&P
GSCI\TM\ and S&P GS Indexes are designed to replicate the
performance of actual investments in the underlying contracts, the
rolling process incorporated in such Indexes also takes place over a
period of days at the beginning of each month, referred to as the
``roll period.'' On each day of the roll period, the ``roll
weights'' of the first nearby contract expirations on a particular
commodity and the more distant contract expiration into which it is
rolled are adjusted, so that the hypothetical position in the
contract on the commodity that is included in the applicable Index
is gradually shifted from the first nearby contract expiration to
the more distant contract expiration.
---------------------------------------------------------------------------

2. Valuation of CERFs; Computation of Trusts' Net Asset Value
    On each Business Day on which the NYSE is open for regular trading,
as soon as practicable after the close of regular trading of the Shares
on the NYSE (normally, 4:15 p.m., New York Time), the Trustee will
determine the NAV of the Trusts as of that time.
    The Trustee will value the Trusts' assets based upon the
determination by the Manager, which may act through the Investing Pool
Administrator, of the net asset value of the Investing Pool. The
Manager will determine the net asset value of the Investing Pool as of
the same time that the Trustee determines the net asset value of the
Trusts.
    The Manager will value the Investing Pools' long position in CERFs
on the basis of that day's announced CME settlement price for the
CERFs. The value of the Investing Pools' CERF position (including any
related margin) will equal the product of (a) the number of CERF
contracts owned by the particular Investing Pool and (b) the settlement
price on the date of calculation. If there is no announced CME
settlement price for the CERF on a Business Day, the Manager will use
the most recently announced CME settlement price unless the Manager
determines that that price is inappropriate as a basis for
evaluation.\16\ The daily settlement price for the CERF is established
by the CME shortly after the close of trading in Chicago on each
trading day.
---------------------------------------------------------------------------

    \16\ The Exchange states that the Manager's use of a price that
is not the most recently announced CME settlement price, other than
on a temporary basis based on extraordinary circumstances, would
require Commission approval of an Exchange proposed rule change
pursuant to Rule 19b-4.
---------------------------------------------------------------------------

    Once the value of the CERFs and interest earned on any assets
posted as margin and any other assets of the Investing Pool has been
determined, the Manager will subtract all accrued expenses and
liabilities of each Investing Pool as of the time of calculation in
order to calculate the net asset value of the Investing Pool. The
Manager, or the Investing Pool Administrator on its behalf, will then
calculate the value of the applicable Trust's Investing Pool Interest
and provide this information to the Trustee.
    Once the value of the Trusts' Investing Pool Interests have been
determined and provided to the Trustee, the Trustee will subtract all
accrued expenses and other liabilities of each Trust from the total
value of the assets of the Trust, in each case as of the calculation
time. The resulting amount is the net asset value of the Trust. The
Trustee will determine the NAV by dividing the net asset value of the
Trust by the number of Shares outstanding at the time the calculation
is made.
    The NAV for each Business Day on which the NYSE is open for regular
trading will be distributed through major market data vendors and will
be published online at http://www.ishares.com, or any successor

thereto. The Trusts will update the NAV as soon as practicable after
each subsequent NAV is calculated.
3. Creations of Baskets
    According to the Registration Statements, creation and redemption
of interests in the Trusts, and the corresponding creation and
redemption of interests in the respective Investing Pools, will
generally be effected through transactions in ``exchanges of futures
for physicals,'' or ``EFPs.'' EFPs involve contemporaneous transactions
in futures contracts and the underlying cash commodity or a closely
related commodity. In a typical EFP, the buyer of the futures contract
sells the underlying commodity to the seller of the futures contract in
exchange for a cash payment reflecting the value of the commodity and
the relationship between the price of the commodity and the related
futures contract. According to the Registration Statements, in the
context of CERFs, CME rules permit the execution of EFPs consisting of
simultaneous purchases (sales) of CERFs and sales (purchases) of
Shares. This mechanism will generally be used by the Trusts in
connection with the creation and redemption of Baskets. Specifically,
it is anticipated that an Authorized Participant (as described

below) requesting the creation of additional Baskets typically will
transfer CERFs and cash (or, in the discretion of the Trustee, Short-
Term Securities in lieu of cash) to the Trusts in return for Shares.
Baskets may be created and redeemed only by Authorized Participants.
Each Authorized Participant must: (1) Be a registered broker-dealer
and, if required in connection with its activities, a registered
futures commission merchant; (2) be a DTC Participant; (3) have entered
into an Authorized Participant Agreement; and (4) be in a position to
transfer CERFs and the required cash or Short-Term Securities to, and
take delivery of these assets from, the Trustee through one or more
accounts.
    The Trusts will simultaneously contribute to the Investing Pools
the CERFs (and any cash or securities) received from the Authorized
Participant in return for an increase in its Investing Pool Interests.
If an EFP is executed in connection with the redemption of one or more
Baskets, an Authorized Participant will transfer to the applicable
Trust the interests being redeemed and the Trust will transfer to the
Authorized Participant CERFs, cash or Short-Term Securities. In order
to obtain the CERFs, cash or Short-Term Securities to be transferred to
the Authorized Participant, the Trust will redeem an equivalent portion
of its interest in the Investing Pool Interests.
    The Trusts will offer Shares on a continuous basis on each Business
Day, but only in Baskets consisting of 50,000 Shares. Baskets will be
typically issued only in exchange for an amount of CERFs and cash (or,
in the discretion of the Trustee, Short-Term Securities in lieu of
cash) equal to the Basket Amount \17\ for the Business Day on which the
creation order was received by the Trustee. The Basket Amount for a
Business Day will have a per Share value equal to the NAV as of such
day. However, orders received by the Trustee after 2:40 p.m., New York
Time, will be treated as received on the next following Business Day.
The Trustee will notify the Authorized Participants of the Basket
Amount on each Business Day.
---------------------------------------------------------------------------

    \17\ The Basket Amount represents the amount of CERFs and cash
(or, in the discretion of the Sponsor, Short-Term Securities in lieu
of cash), that an Authorized Participant must transfer in exchange
for one Basket, or that an Authorized Participant is entitled to
receive in exchange for each Basket surrendered for redemption. The
value of the Basket Amount will equal the product of the NAV per
Share and the number of Shares constituting a Basket, in each case
as of the time of determination.
---------------------------------------------------------------------------

    Before the Trusts will issue any Baskets to an Authorized
Participant, that Authorized Participant must deliver to the Trustee a
creation order indicating the number of Baskets it intends to purchase
and providing other details with respect to the procedures by which the
Baskets will be transferred. The Trustee will acknowledge the creation
order unless it or the Sponsor decides to refuse the order as described
in the prospectus.
    Upon the transfer of (1) the required consideration of CERFs and
cash (or, in the discretion of the Trustee, Short-Term Securities in
lieu of cash) in the amounts, and to the accounts, specified by the
Trustee, and (2) the Trustee's transaction fee per Basket (described
below), the Trustee will deliver the appropriate number of Baskets to
the Depository Trust Company (``DTC'') account of the Authorized
Participant. In limited circumstances and with the approval of the
Trustee, Baskets may be created for cash, in which case the Authorized
Participant will be required to pay any additional issuance costs,
including the costs to the applicable Investing Pool of establishing
the corresponding CERF position.
    Only Authorized Participants can transfer the required
consideration and receive Baskets in exchange. Authorized Participants
may act for their own accounts or as agents for broker-dealers,
custodians and other securities market participants that wish to create
or redeem Baskets. An Authorized Participant will have no obligation to
create or redeem Baskets for itself or on behalf of other persons. An
order for one or more baskets may be placed by an Authorized
Participant on behalf of multiple clients. The Sponsor and the Trustee
will maintain a current list of Authorized Participants.
    No Shares will be issued unless and until the Trustee receives
confirmation that (1) the required consideration has been received in
the account or accounts specified by the Trustee and (2) the Manager
confirms that Investing Pool Interests with an initial value equal to
the consideration received for the Shares have been issued to the
Trust. It is expected that delivery of the Shares will be made against
transfer of consideration on the next Business Day (T+1) following the
Business Day on which the creation order is received by the Trustee. If
the Trustee has not received the required consideration for the Shares
to be delivered on the delivery date, by 11 a.m., New York Time, the
Trustee may cancel the creation order.\18\
---------------------------------------------------------------------------

    \18\ The price at which the Shares trade should be disciplined
by arbitrage opportunities created by the ability to purchase or
redeem shares of the Trust in Basket size. This should help ensure
that the Shares will not trade at a material discount or premium to
their net asset value or redemption value.
---------------------------------------------------------------------------

4. Redemptions of Baskets
    Authorized Participants may typically surrender Baskets in exchange
only for an amount of CERFs and cash (or, in the discretion of the
Trustee, Short-Term Securities in lieu of cash) equal to the Basket
Amount on the Business Day the redemption request is received by the
Trustee. However, redemption requests received by the Trustee after
2:40 p.m., New York Time (or, on any day on which the CME is scheduled
to close early, after the close of trading of CERFs on the CME on such
day), will be treated as received on the next following Business Day.
Holders of Baskets who are not Authorized Participants will be able to
redeem their Baskets only through an Authorized Participant. It is
expected that Authorized Participants may redeem Baskets for their own
accounts or on behalf of Shareholders who are not Authorized
Participants, but they are under no obligation to do so.
    Before surrendering Baskets for redemption, an Authorized
Participant must deliver to the Trustee a written request indicating
the number of Baskets it intends to redeem and providing other details
with respect to the procedures by which the required Basket Amount will
be transferred. The Trustee will acknowledge the redemption order
unless it or the Sponsor decides to refuse the redemption order as
described in the Trusts' prospectuses.
    After the delivery by the Authorized Participant to the Trustee's
DTC account of the total number of Shares to be redeemed by an
Authorized Participant, the Trustee will deliver to the order of the
redeeming Authorized Participant redemption proceeds consisting of
CERFs and cash (or, in the discretion of the Trustee, Short-term
Securities in lieu of cash). In connection with a redemption order, the
redeeming Authorized Participant authorizes the Trustee to deduct from
the proceeds of redemption a transaction fee per Basket (described
below). In limited circumstances and with the approval of the Trustee,
Baskets may be redeemed for cash, in which case the Authorized
Participants will be required to pay any additional redemption costs,
including the costs to the Investing Pool of liquidating the
corresponding CERF position. The Trust will receive these redemption
proceeds pursuant to the Trust's contemporaneous redemption of
Investing Pool Interests of

corresponding value. Shares can be surrendered for redemption only in
Baskets consisting of 50,000 Shares each.
    It is expected that delivery of the CERFs, cash or Short-term
Securities to the redeeming Shareholder will be made against transfer
of the Baskets on the next Business Day following the Business Day on
which the redemption request is received by the Trustee. If the
Trustee's DTC account has not been credited with the total number of
Shares to be redeemed pursuant to the redemption order by 11 a.m., New
York Time, on the delivery date, the Trustee may cancel the redemption
order.
    DTC will accept the Shares for settlement through its book-entry
settlement system. Shares do not have any voting rights.
5. Fees and Expenses of the Trustee
    Each order for the creation of Baskets must be accompanied by a
payment to the Trustee of a transaction fee per Basket of $6.50
multiplied by the number of CERFs included in the Basket Amount. For
redemption orders, the redeeming Authorized Participant will authorize
the Trustee to deduct from the proceeds of the redemption a transaction
fee per Basket equal to $6.50 multiplied by the number of CERFs
included in the Basket Amount, plus any expenses, taxes or charges
(such as stamp taxes or stock transfer taxes or fees) related to the
creation or surrender for redemption. The creation and redemption
transaction fee per basket is subject to modification from time to
time.
    The Trustee will be entitled to reimburse itself from the assets of
the Trusts for all expenses and disbursements incurred by it for
extraordinary services it may provide to the Trusts or in connection
with any discretionary action the Trustee may take to protect the
Trusts or the interests of the holders to the extent not paid by the
Sponsor.
6. Dissemination of Information Relating to the Shares
    The Web site for the Trusts (http://www.ishares.com), which will be

publicly accessible at no charge, will contain the following
information: (a) The prior Business Day's NAV on a per Share basis and
the reported closing price; (b) the mid-point of the bid-ask price \19\
in relation to the NAV as of the time the NAV is calculated (the ``Bid-
Ask Price''); (c) calculation of the premium or discount of such price
against such NAV; (d) data in chart form displaying the frequency
distribution of discounts and premiums of the Bid-Ask Price against the
NAV, within appropriate ranges for each of the four previous calendar
quarters; (e) the prospectus; (f) the holdings of the Trusts, including
CERFs, cash and Treasury securities; (g) the Basket Amount, and (h)
other applicable quantitative information. The Exchange on its Web site
at http://www.nyse.com will include a hyperlink to the Trusts' Web site at http://www.ishares.com.

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

    \19\ The bid-ask price of Shares is determined using the highest
bid and lowest offer as of the time of calculation of the NAV.
---------------------------------------------------------------------------

    As described above, the NAV for the Fund will be calculated and
disseminated daily. In addition, during the NYSE Arca Core Trading
Session (9:30 a.m. to 4:15 p.m., New York Time) for the Trusts, one or
more major market data vendors will disseminate information with
respect to the Indicative Intra-day Value (as discussed below), recent
NAV, and Shares outstanding on a daily basis.
    The Sponsor for the Trusts (Barclays Global Investors
International, Inc.) has represented to the Exchange that the Trustee
for the Trusts will make the NAV per Share available to all market
participants at the same time.
    At present, official calculation by the Index Sponsor of the value
of each GS Index is performed continuously and is updated on Reuters at
least every 15 seconds during NYSE trading hours for the Shares and
during business hours on each Business Day (as defined above) on which
the offices of the Index Sponsor in New York City are open for
business. In the event that the Exchange is open for business on a day
that is not an S&P GSCI Business Day, the Exchange will not permit
trading of the Shares on that day.
    In addition, values updated at least every 15 seconds are
disseminated on Reuters for the Total Return Indexes during Exchange
trading hours. Daily settlement values for the S&P GSCI and S&P GS
Indexes, Total Return Indexes and Excess Return Indexes are also widely
disseminated.
    If the relevant trading facility fails to make a daily contract
reference price available or publishes a daily contract reference price
that, in the reasonable judgment of the Index Sponsor, reflects
manifest error, the relevant calculation will be delayed until the
price is made available or corrected; provided, that, if the price is
not made available or corrected by 4 p.m. New York Time, the Index
Sponsor may, if it deems that action to be appropriate under the
circumstances, determine the appropriate daily contract reference price
for the applicable futures contract in its reasonable judgment for
purposes of the relevant calculation. If such actions by the Index
Sponsor are implemented on more than a temporary basis, the Exchange
will contact the Commission Staff and, as necessary, make an
appropriate filing under Rule 19b-4.
    Various data vendors and news publications publish futures prices
and data. Futures quotes and last sale information for the commodities
underlying the Index are widely disseminated through a variety of
market data vendors worldwide, including Bloomberg and Reuters. In
addition, complete real-time data for such futures is available by
subscription from Reuters and Bloomberg. The futures exchanges or which
the underlying commodities and CERFs trade also provide delayed futures
information on current and past trading sessions and market news
generally free of charge on their respective Web sites. The specific
contract specifications for the futures contracts are also available
from the futures exchanges on their Web sites as well as other
financial informational sources.
7. Indicative Intra-day Value
    In order to provide updated information relating to the Trusts for
use by investors, professionals, and other persons, one or more major
market data vendors will disseminate an updated Indicative Intra-day
Value (``IIV'') on a per Share basis. The IIV will be disseminated at
least every 15 seconds from 9:30 a.m. to 4:15 p.m., New York Time. The
IIV will be calculated based on the cash and collateral in a Basket
Amount divided by 50,000, adjusted to reflect the market value of the
investments held by the applicable Investing Pool, i.e. CERFs. The IIV
will not reflect price changes to the price of an underlying commodity
between the close of trading of the futures contract at the relevant
futures exchange and the close of the Core Trading Session on NYSE Arca
at 4:15 p.m. New York Time. The value of a Share may accordingly be
influenced by non-concurrent trading hours between NYSE Arca and the
various futures exchanges on which the futures contracts based on the
Index commodities are traded. The table above lists the trading hours
for each of the Index commodities underlying the futures contracts.
    When the market for futures trading for each of the relevant Index
commodities is open, the IIV can be expected to approximate the value
per Share of the Basket Amount. IIV on a per Share basis disseminated
during the NYSE Arca Core Trading Session should

not be viewed as a real time update of the NAV, which is calculated
only once a day.
8. Other Characteristics of the Shares
    General Information. A minimum of two Baskets, representing 100,000
Shares, will be outstanding for each Trust at the commencement of
trading on the Exchange.
    The trading hours for the Shares on the Exchange are the same as
those set forth in NYSE Arca Equities Rule 7.34 (Opening, Core Trading,
and Late Trading Sessions, 4 a.m. to 8 p.m., New York Time). The
minimum trading increment for Shares on the Exchange will be $0.01.
    Continued Listing Criteria. Under the applicable continued listing
criteria, the Shares may be delisted as follows: (1) Following the
initial twelve-month period beginning upon the commencement of trading
of the Shares, there are fewer than 50 record and/or beneficial holders
of the Shares for 30 or more consecutive trading days; (2) the value of
the Total Return Indexes cease to be calculated by or available from a
major market data vendor on at least a 15-second basis from a source
unaffiliated with the Sponsor, the Trust or the Trustee; (3) the IIV
ceases to be available on at least a 15-second delayed basis from a
major market data vendor; or (4) such other event shall occur or
condition exist that, in the opinion of the Exchange, makes further
dealings on the Exchange inadvisable. The Exchange will remove Shares
from listing and trading upon termination of the Trust.
    In addition, the Exchange will file a proposed change pursuant to
Rule 19b-4 under the Act seeking approval to continue trading the
Shares and, unless approved, the Exchange will commence delisting the
Shares, if: (1) The Index Sponsor substantially changes either the
applicable Index component selection methodology or the weighting
methodology; (2) a new component is added to the Index (or pricing
information is used for a new or existing component) that constitutes
more than 10% of the weight of the Index with whose principal trading
market the Exchange does not have a comprehensive surveillance sharing
agreement; (3) the Manager uses a price to value the Investing Pool's
long position in CERFs based on a price other than the most recently
announced CME settlement price, other than on a temporary basis based
on extraordinary circumstances; or (4) a successor or substitute index
is used in connection with the Shares. With respect to the successor or
substitute index, the Rule 19b-4 filing will address, among other
things, the listing and trading characteristics of such index and the
Exchange's surveillance procedures applicable thereto.
9. Trading Rules
    The Exchange deems the Shares to be equity securities, thus
rendering trading in the Shares subject to the Exchange's existing
rules governing the trading of equity securities. Trading in the Shares
on the Exchange will occur in accordance with NYSE Arca Equities Rule
7.34(a). The Exchange has appropriate rules to facilitate transactions
in the Shares during this time.
    Further, NYSE Arca Equities Rules 8.203(g)-(i) sets forth certain
restrictions on equity trading permit holders (``ETP Holders'') acting
as registered Market Makers in Commodity Index Trust Shares to
facilitate surveillance. NYSE Arca Equities Rule 8.203(h) requires that
the ETP Holder acting as a registered Market Maker in the Shares
provide the Exchange with information relating to its trading in the
applicable physical commodities included in, or options, futures or
options on futures on, the applicable Index or any other derivatives
based on the Index. NYSE Arca Equities Rule 8.203(i) prohibits the ETP
Holder acting as a registered Market Maker in the Shares from using any
material nonpublic information received from any person associated with
an ETP Holder or employee of such person regarding trading by such
person or employee in the applicable physical commodities included in,
or options, futures or options on futures on, the Index or any other
derivatives based on the Index (including the Shares). In addition, as
stated above, NYSE Arca Equities Rule 8.203(g) prohibits the ETP Holder
acting as a registered Market Maker in the Shares from being affiliated
with a market maker in the applicable physical commodities included in,
or options, futures or options on futures on, the Index or any other
derivatives based on the Index unless adequate information barriers are
in place, as provided in NYSE Arca Equities Rule 7.26.
    With respect to trading halts, the Exchange may consider all
relevant factors in exercising its discretion to halt or suspend
trading in the Shares. Trading on the Exchange in the Shares may be
halted because of market conditions or for reasons that, in the view of
the Exchange, make trading in the Shares inadvisable. These may
include: (1) The extent to which trading is not occurring in CERFs or
the futures contracts included in the applicable Index or Indexes; or
(2) whether other unusual conditions or circumstances detrimental to
the maintenance of a fair and orderly market are present. In addition,
trading in Shares will be subject to trading halts caused by
extraordinary market volatility pursuant to the Exchange's ``circuit
breaker'' rule.\20\ If the value of the Total Return Index associated
with a Trust's Shares or the applicable IIV is not being disseminated
on at least a 15 second basis during the hours the Shares trade on the
Exchange, the Exchange may halt trading during the day in which the
interruption to the dissemination of the IIV or the Index value occurs.
If the interruption to the dissemination of the IIV or the Index value
persists past the trading day in which it occurred, the Exchange will
halt trading no later than the beginning of the trading day following
the interruption. Additionally, if the Exchange becomes aware that the
NAV is not disseminated to all market participants at the same time, it
will halt trading in the Shares until such time as the NAV is available
to all market participants.
---------------------------------------------------------------------------

    \20\ See NYSE ARCA Equities Rule 7.12.
---------------------------------------------------------------------------

    As a general matter, the Exchange has regulatory jurisdiction over
its ETP Holders and any person or entity controlling an ETP Holder. The
Exchange also has regulatory jurisdiction over a subsidiary or
affiliate of an ETP Holder that is in the securities business. A
subsidiary or affiliate of an ETP Holder that does business only in
commodities or futures contracts would not be subject to Exchange
jurisdiction, but the Exchange could obtain certain information
regarding the activities of such subsidiary or affiliate through
surveillance sharing agreements with regulatory organizations of which
such subsidiary or affiliate is a member.
10. Surveillance
    The Exchange intends to utilize its existing surveillance
procedures applicable to derivative products to monitor trading in the
Shares. The Exchange represents that these procedures are adequate to
properly monitor Exchange trading of the Shares in all trading sessions
and to deter and detect violations of Exchange rules.
    The Exchange's current trading surveillances focus on detecting
securities trading outside their normal patterns. When such situations
are detected, surveillance analysis follows and investigations are
opened, where appropriate, to review the behavior of all relevant
parties for all relevant trading violations. The Exchange is able to
obtain information regarding trading in the Shares, the physical
commodities

included in, or options, futures or options on futures on, an index
underlying an issue of Commodity Index Trust Shares or any other
derivatives based on such index, through ETP Holders, in connection
with such ETP Holders' proprietary or customer trades which they effect
on any relevant market. With regard to the Index components, the
Exchange can obtain market surveillance information, including customer
identity information, with respect to transactions occurring on the
NYM, the Kansas City Board of Trade, ICE and the LME, pursuant to its
comprehensive information sharing agreements with each of those
exchanges. All of the other trading venues on which current Index
components are traded are members of the Intermarket Surveillance Group
(``ISG'') and the Exchange therefore has access to all relevant trading
information with respect to those contracts without any further action
being required on the part of the Exchange. A list of ISG members and
affiliate members is available at http://www.isgportal.com.

    In addition, the Exchange will file a proposed change pursuant to
Rule 19b-4 under the Act seeking approval to continue trading the
Shares if the Index Sponsor adds a new component to an Index (or
pricing information is used for a new or existing component) that
constitutes more than 10% of the weight of the Index where the
principal trading market for such component is not a member or
affiliate of ISG or where the Exchange does not have a comprehensive
surveillance sharing agreement with such market.
11. Information Bulletin
    Prior to the commencement of trading, the Exchange will inform its
ETP Holders in an Information Bulletin of the special characteristics
and risks associated with trading the Shares, including risks inherent
with trading the Shares during the Opening and Late Trading Sessions
when the updated IIV is not calculated and disseminated and suitability
recommendation requirements.
    Specifically, the Information Bulletin will discuss the following:
(1) The procedures for purchases and redemptions of Shares in Baskets;
(2) NYSE Arca Equities Rule 9.2(a),\21\ which imposes a duty of due
diligence on its ETP Holders to learn the essential facts relating to
every customer prior to trading the Shares; (3) how information
regarding the IIV is disseminated; (4) the requirement that ETP Holders
deliver a prospectus to investors purchasing newly issued Shares prior
to or concurrently with the confirmation of a transaction; and (5)
trading information. For example, the Information Bulletin will advise
ETP Holders, prior to the commencement of trading, of the prospectus
delivery requirements applicable to the Trusts. The Exchange notes that
investors purchasing Shares directly from the Trusts (by delivery of
the Basket Amount) will receive a prospectus. ETP Holders purchasing
Shares from the Trusts for resale to investors will deliver a
prospectus to such investors.
---------------------------------------------------------------------------

    \21\ NYSE Arca Equities Rule 9.2(a) (``Diligence as to
Accounts'') provides that ETP Holders, before recommending a
transaction, must have reasonable grounds to believe that the
recommendation is suitable for the customer based on any facts
disclosed by the customer as to his other security holdings and as
to his financial situation and needs. Further, the rule provides,
with a limited exception, that prior to the execution of a
transaction recommended to a non-institutional customer, the ETP
Holders shall make reasonable efforts to obtain information
concerning the customer's financial status, tax status, investment
objectives, and any other information that they believe would be
useful to make a recommendation. See Securities Exchange Act Release
No. 54026 (June 21, 2006), 71 FR 36850 (June 28, 2006) (SR-PCX-2005-
115).
---------------------------------------------------------------------------

    In addition, the Information Bulletin will reference that the
Trusts are subject to various fees and expenses described in the
Registration Statements. The Information Bulletin will also reference
the fact that there is no regulated source of last sale information
regarding physical commodities, that the Commission has no jurisdiction
over the trading of physical commodities or the futures contracts on
which the value of the Shares is based.
12. Statutory Basis
    The basis under the Act for this proposed rule change is the
requirement under section 6(b)(5) \22\ that an Exchange have rules that
are designed to prevent fraudulent and manipulative acts and practices,
to promote just and equitable principles of trade, to foster
cooperation and coordination with persons engaged in facilitating
transactions in securities, to remove impediments to and perfect the
mechanism of a free and open market and a national market system and,
in general, to protect investors and the public interest.
---------------------------------------------------------------------------

    \22\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will
impose any burden on competition that is not necessary or appropriate
in furtherance of the purposes of the Act.

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

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

III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action

    Within 35 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the self-regulatory organization consents, the Commission will:
    A. By order approve such proposed rule change, or
    B. Institute proceedings to determine whether the proposed rule
change should be disapproved.

The Commission is considering granting accelerated approval of the
proposed rule change at the end of a 15-day comment period.\23\
---------------------------------------------------------------------------

    \23\ NYSE Arca requested accelerated approval of this proposed
rule change prior to the 30th day after the date of publication of
the notice of the filing thereof.
---------------------------------------------------------------------------

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and
arguments concerning the foregoing, including whether the proposed rule
change is consistent with the Act. Comments may be submitted by any of
the following methods:

Electronic Comments

     Use the Commission's Internet comment form (http://www.sec.gov/rules/sro.shtml.
); or     Send an e-mail to<EMAIL_ADDRESS>Please include

File Number SR-NYSEArca-2007-91 on the subject line.

Paper Comments

     Send paper comments in triplicate to Nancy M. Morris,
Secretary, Securities and Exchange Commission, 100 F Street, NE.,
Washington, DC 20549-1090.

All submissions should refer to File Number SR-NYSEArca-2007-91. This
file number should be included on the subject line if e-mail is used.
To help the Commission process and review your comments more
efficiently, please use only one method. The Commission will post all
comments on the Commission's Internet Web site (http://www.sec.gov/

rules/sro.shtml). Copies of the submission, all subsequent amendments,
all written statements with respect to the proposed rule change that
are filed with the Commission, and all written communications relating
to the proposed rule change between the Commission and any person,
other than those that may be withheld from the public in accordance
with the provisions of 5 U.S.C. 552, will be available for inspection
and copying in the Commission's Public Reference Room, 100 F Street,
NE., Washington, DC 20549, on official business days between the hours
of 10 a.m. and 3 p.m. Copies of such filing also will be available for
inspection and copying at the principal office of the Exchange. All
comments received will be posted without change; the Commission does
not edit personal identifying information from submissions. You should
submit only information that you wish to make available publicly. All
submissions should refer to File Number SR-NYSEArca-2007-91 and should
be submitted on or before March 6, 2008.
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    \24\ 17 CFR 200.30-3(a)(12).

    For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\24\
Florence E. Harmon,
Deputy Secretary.
 [FR Doc. E8-3042 Filed 2-19-08; 8:45 am]

BILLING CODE 8011-01-P