[Federal Register: August 29, 2006 (Volume 71, Number 167)]
[Notices]
[Page 51245-51255]
[DOCID:fr29au06-94]

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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-54351; File No. SR-Amex-2006-44]

Self-Regulatory Organizations; American Stock Exchange LLC;
Notice of Filing of a Proposed Rule Change and Amendments No. 1 and 2
Thereto Relating to the Listing and Trading of the DB Currency Index
Value Fund

August 23, 2006.
    Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934
(``Act'' or ``Exchange Act''),\1\ and Rule 19b-4 thereunder,\2\ notice
is hereby given that on May 2, 2006, the American Stock Exchange LLC
(``Amex'' or ``Exchange'') 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 prepared by Amex. On
July 31, 2006, Amex filed Amendment No. 1 to the proposed rule
change.\3\ On August 18, 2006, Amex filed Amendment No. 2 to the
proposed rule change.\4\ The Commission is publishing this notice to
solicit comments on the proposed rule change, as amended, from
interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
    \3\ In Amendment No. 1, Amex made clarifying changes to the
proposal regarding the index methodology, the structure of the Fund,
and the dissemination of information relating to the Index and Fund.
In Amendment No. 1, the Exchange also amended Commentary .02 to Amex
Rule 1200 to conform to Amex's current trading hours.
    \4\ In Amendment No. 2, Amex made additional clarifying changes
to the proposal, including among others, details regarding the
dissemination of the Index value, intraday indicative value, and net
asset value of the Investment Shares.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change

    Pursuant to Commentary .07 to Amex Rule 1202, which permits the
listing and trading of shares of trust issued receipts (``TIRs'') that
invest in shares or securities (the ``Investment Shares'') of a trust,
partnership, commodity pool or other similar entity that holds
investments comprising, or otherwise based on, any combination of
securities, futures contracts, swaps, forward contracts, options on
futures contracts, commodities or portfolios of investments, the
Exchange seeks to list and trade the DB Currency Index Value Fund (the
``Trust'' or ``Fund''). In connection with the proposal, Amex also
seeks to amend Commentary .02 to Amex Rule 1200. The text of the
proposed rule change, as amended, is below. Proposed new language is in
italics.
* * * * *

Rules of General Applicability

Amex Rule 1200
    (a) No Change.
    (b) No Change.
* * * Commentary
    .01 No Change.
    .02 Transactions in Trust Issues Receipts may be effected until 4
p.m. or 4:15 p.m. each business day.
    .03 No Change.
* * * * *

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

    In its filing with the Commission, the Amex included statements
concerning the purpose of, and basis for, the proposed rule change 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, and the most significant aspects of such statements are
set forth in Sections A, B, and C below.

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

1. Purpose
Introduction
    Pursuant to Commentary .07 to Amex Rule 1202, the Exchange may
approve for listing and trading TIRs investing in Investment Shares
that hold investments in any combination of securities, futures
contracts, options on futures contracts, swaps, forward contracts,
commodities, or portfolios of investments. The Amex proposes to list
for trading the shares of the Fund (the ``Shares''), which represent
beneficial ownership interests in the Fund's net assets, consisting
solely of the common units of beneficial interests of DB Currency Index
Value Master Fund (the ``Master Fund''). The Master Fund is a statutory
trust created under Delaware law whose investment portfolio will
consist primarily of futures contracts on the currencies comprising the
Deutsche Bank G10 Currency Future Harvest Index\TM\--Excess Return (the
``DBCHI'' or ``Index'') and securities for margin purposes. Both the
Fund and the Master Fund will be commodity pools operated by DB
Commodity Services LLC (the ``Managing Owner''). The Managing Owner is
registered as a commodity

pool operator (the ``CPO'') and commodity trading advisor (the ``CTA'')
with the Commodity Futures Trading Commission (``CFTC'') and is a
member of the National Futures Association (``NFA'').
    The Managing Owner will serve as the CPO and CTA of the Fund and
the Master Fund. For the Master Fund, the Managing Owner will manage
the futures contracts with the investment objective of tracking the
performance of the Index over time.\5\ The Master Fund will hold a
portfolio of both long and short futures contracts with a notional
value to equity ratio of approximately two to one (2:1) \6\ on the
currencies that comprise the Index (the ``Index Currencies'') and will
include cash and U.S. Treasury securities for margin purposes and other
high credit quality short-term fixed income securities. The Master Fund
will not engage in borrowing. The Managing Owner will manage the Master
Fund by making adjustments to the portfolio on a quarterly basis to
conform to periodic changes in the composition and relative weightings
of the Index Currencies. The Managing Owner may also make certain
adjustments or changes to the portfolio more frequently in the case of
significant changes in the foreign currency markets due to volatility.
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    \5\ Telephone conversation between Jeffery Burns, Associate
General Counsel, Amex, and Brian Trackman, Special Counsel, Division
of Market Regulation (``Division''), Commission, on August 22, 2006
(``August 22 Conference'').
    \6\ Such ratio is generally intended to be comparable to the
limits imposed on registered investment companies pursuant to the
asset coverage requirements of section 18(a) of the Investment
Company Act of 1940 (``1940 Act''). Even though the Master Fund is
not registered or regulated as an investment company under the 1940
Act, the Exchange represents that it is structured in a manner that
is sensitive to the capital structure limitations imposed on
registered investment companies by the 1940 Act.
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    The Exchange submits that Commentary .07 to Amex Rule 1202
accommodates the listing and trading of the Shares.
    Under Commentary .07(c) to Amex Rule 1202, the Exchange may list
and trade TIRs investing in Investment Shares such as the Shares. The
Shares will conform to the initial and continued listing criteria under
Commentary .07(d) to Amex Rule 1202. The Exchange notes that the
Commission has permitted the listing and trading of products linked to
the performance of underlying currencies and commodities.\7\
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    \7\ See Securities Exchange Act Release Nos. 53105 (January 11,
2006), 71 FR 3129 (January 19, 2006) (approving the listing and
trading of the DB Commodity Index Tracking Fund); 53059 (January 5,
2006), 71 FR 2072 (January 12, 2006) (approving the listing and
trading of the Euro Currency Trust); 51058 (January 19, 2005), 70 FR
3749 (January 26, 2005) (approving the listing and trading of the
iShares COMEX Gold Trust); 50603 (October 28, 2004), 69 FR 64614
(November 5, 2004) (approving the listing and trading of
streetTRACKS Gold Shares); 36885 (February 26, 1996), 61 FR 8315
(March 4, 1996) (approving the listing and trading of commodity
indexed preferred or debt securities linked to the value of single
commodity); and 35518 (March 21, 1995), 60 FR 15804 (March 27, 1995)
(approving the listing and trading of commodity linked notes or
COINS). See also Central Fund of Canada Limited (Registration No.
033-15180) (closed-end fund listed and traded on the Amex that
invests in gold) and Salmon Phibro Oil Trust (Registration No. 033-
33823) (trust units listed and traded on the Amex that held the
right to a forward contract for the delivery of crude oil).
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Index Description

    The Index is structured to provide a return that assumes an asset
coverage ratio of 2:1.\8\ DBCHI is intended to reflect the return from
investing assets in long currency futures positions for certain
currencies associated with relatively high yielding interest rates and
an equal amount in short currency futures positions for certain
currencies associated with relatively low yielding interest rates. The
Index is designed to exploit the trend of currencies associated with
relatively high interest rates, on average, tending to rise in value
relative to currencies associated with relatively low interest rates.
The Index exploits this trend using both long and short futures
positions, which is expected to provide more consistent and less
volatile returns than could be obtained by taking long positions only
or short positions only. This is known as the ``Interest Rate Parity''
or ``Covered Interest Arbitrage'' formula. In particular, the Fund,
which is not managed on a discretionary basis but instead seeks to
track the Index pursuant to established rules and procedures, will
reflect the composition and weightings of the Index Currencies with
adjustments made by the Managing Owner on a quarterly basis to conform
to the changes in the Index. The Managing Owner will not otherwise
effect changes to the portfolio that deviate from the Index except in
extraordinary circumstances (e.g., if the Managing Owner is unable to
enter into or close out a futures position because of a market
disruption event).\9\ Therefore, if positions in any of the one or more
Index Currencies are declining in value, the Fund will not close out
such positions, except in connection with a mandated change in the
composition or weighting of the Index. The Managing Owner will seek to
cause the NAV (as defined herein) \10\ of the Fund to track the Index
during periods in which the Index is flat or declining, as well as when
the Index is rising. In this manner, the Managing Owner believes that
the Index and the Fund will provide the advantages of market
diversification and the reduction of country-specific foreign exchange
risk (i.e., volatility).
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    \8\ See supra note 6.
    \9\ See discussion infra at ``Events Requiring Notice to and/or
Approval by the Commission'' and ``Criteria for Initial and
Continued Listing'' (describing the Exchange's obligations in the
event of a disruption in connection with the trading of the futures
contracts comprising the Index).
    \10\ See infra note 23 (defining net asset value or ``NAV'').
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    The Index, at any time, is comprised of futures positions on six
(6) currencies from The Group Ten (``G10'') countries,\11\ each of
which is traded on the Chicago Mercantile Exchange (the ``CME'').\12\
The notional amounts of each Index Currency included in the Index are
based on the Index closing level as of the Index Re-Weighting Period
(as defined herein).\13\ The Index closing level reflects an arithmetic
weighted average of the change in the futures positions on the Index
Currencies' exchange rates against the U.S. Dollar (``USD'') since
March 12, 1993.\14\ On such date, the closing Index level was $100. The
sponsor of the Index is Deutsche Bank AG London (``DB London'' or
``Index Sponsor'').
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    \11\ The G10 currencies are the United States Dollar, the Euro,
the Japanese Yen, the Canadian Dollar, the Swiss Franc, the British
Pound, the Australian Dollar, the New Zealand Dollar, the Norwegian
Krone, and the Swedish Krona (collectively, the ``Eligible Index
Currencies'').
    \12\ August 22 Conference (clarifying that the Index is
comprised of futures positions).
    \13\ See infra note 15 and accompanying text (defining and
discussing the ``Index Re-Weighting Period'').
    \14\ August 22 Conference (clarifying the Index calculation
methodology).
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    The Index is calculated by DB London on both an excess return basis
and a total return basis. The excess return index reflects the return
of the applicable underlying currencies. The total return is the sum of
the return of the applicable underlying currencies, plus the return of
three-month U.S. Treasury Bills. The Exchange states that the Fund will
trade in a manner consistent with the excess return calculation of the
Index. As described below, the Index will be calculated and
disseminated every fifteen (15) seconds on the Consolidated Tape
(``CT'') and through major market data vendors. The closing level of
the Index is calculated by DB London on the basis of closing prices on
the CME for the applicable futures contracts relating to the Index
Currencies and applying a set of rules to these values to calculate the
closing level of the Index. The CME-traded futures contract of each
applicable Index Currency that is closest to

expiration is used in the Index calculation. The futures contracts on
the Index Currencies are rolled during the period in which the Index is
re-weighted (the ``Index Re-Weighting Period'').\15\ The new futures
contract on an Index Currency that has the next closest expiration date
is selected. The calculation of the Index on an excess-return basis is
the weighted average return on the change in price of the futures
contracts relating to the Index Currencies.\16\
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    \15\ The Index Sponsor reviews and re-weights the Index on a
quarterly basis, in accordance with its rules. The futures contracts
held by the Fund are, therefore, three (3) months in duration. The
Index Re-Weighting Period takes place just prior to the third
Wednesday in each of March, June, September, and December months,
which are traditional settlement dates in the International Money
Market (the ``IMM Dates''). The futures contracts on the Index
Currencies are rolled during the Index Re-Weighting Period, which
will occur over the fourth and third business days prior to each of
the IMM Dates.
    \16\ August 22 Conference (clarifying the Index calculation
methodology).
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    In order to determine which Eligible Index Currencies to include in
the Index from time to time, the Sponsor will review the composition of
the Index on a quarterly basis. The Sponsor will review the three-month
LIBOR rate for each Eligible Index Currency, other than the Swedish
Krona and Norwegian Krone, and will review the three-month STIBOR rate
and the three-month NIBOR rate for the Swedish Krona and Norwegian
Krone, respectively.\17\ The Eligible Index Currencies are then ranked
according to yield. The three highest yielding and three lowest
yielding are selected as Index Currencies for inclusion in calculating
the Index. If two Index Currencies have the same yield, then the
previous quarter's ranking will be used. Upon re-weighting, the high
yielding Index Currencies are allocated a base weight of 33\1/3\%, and
the low yielding Index Currencies are allocated a base weight of -33\1/
3\%. These new weights are applied during the Index Re-Weighting
Period.
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    \17\ The LIBOR, STIBOR, and NIBOR rates for the Eligible Index
Currencies, as applicable, mean the London, Stockholm, and Norway
inter-bank offered rates for overnight deposits, respectively.
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    The Managing Owner represents that it will seek to arrange to have
the Index calculated and disseminated on a daily basis through a third
party if DB London ceases to calculate and disseminate the Index. If,
however, the Managing Owner is unable to arrange for the calculation
and dissemination of the Index (or another index which succeeds the
Index), the Exchange will undertake to delist the Shares.\18\
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    \18\ If the Index is discontinued or suspended, the Managing
Owner, in its sole discretion, may substitute the Index with an
index substantially similar to the discontinued or suspended Index
(the ``Successor Index''). The Successor Index may be calculated
and/or published by any other third party. See discussion infra at
``Events Requiring Notice to and/or Approval by the Commission.''
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    The composition of the Index may be adjusted in the event that the
Index Sponsor is not able to obtain information from the relevant
futures exchanges to calculate the closing prices of the futures
contracts related to the Index Currencies.\19\ In such an event, the
Index Sponsor may use a currency futures contract on the same Index
Currency from a different futures exchange, provided that, if such use
is more than of a temporary nature, the Exchange will file a proposed
rule change pursuant to Rule 19b-4 seeking Commission approval to
continue to trade the Shares. Unless approved for continued trading,
the Exchange would commence delisting proceedings.
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    \19\ See id. (describing the Exchange's obligations if
substantial changes are made by the Index Sponsor to the Index
component selection or weighting methodology). See also supra note
14.
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    If futures prices are not available as a result of a temporary
disruption of futures contracts on the Index Currencies, the Managing
Owner will typically use the prior day's futures price. In exceptional
cases (such as when a daily price limit is reached on a futures
exchange), the Managing Owner may employ a ``fair value'' price (i.e.,
the price for unwinding the futures position by dealers over-the-
counter (``OTC'')). The Exchange states that this is similar to the
case for index options when prices are unavailable or unreliable. The
Options Clearing Corporation (``OCC''), pursuant to Article XVII,
Section 4 of its By-Laws, permits options exchanges to use the prior
day's closing price to fix an index options exercise settlement value.
In addition, OCC may also use the next day's opening price, a price or
value at such other times as determined by OCC, or an average of prices
or values as determined by OCC. The Exchange represents that if the use
of a prior day's price or ``fair value'' price for an Index Currency or
Currencies is more than of a temporary nature, the Exchange will file a
proposed rule change pursuant to Rule 19b-4 under the Act seeking
Commission approval for the continued trading of the Shares. Unless
approved for continued trading, the Exchange would commence delisting
proceedings.
Investment Objective and Strategy
    The Master Fund's portfolio is managed with a view to reflect the
performance of the Index over time. The Exchange states that the Master
Fund is not traditionally ``managed,'' which typically involves
effecting changes in the composition of a portfolio on the basis of
judgments relating to economic, financial, and market considerations.
Instead, the Managing Owner seeks to maintain the relationship between
the composition and weightings of the CME futures positions in the
Index Currencies to the Master Fund's long and short currency futures
positions from time to time.\20\ The Managing Owner adjusts the
portfolio on a quarterly basis to conform to periodic changes in the
composition and relative weightings of the Index Currencies and may
make certain adjustments or changes to the portfolio more frequently in
the case of significant changes in the foreign currency markets due to
volatility.
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    \20\ August 22 Conference, supra note 12.
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    The Fund will pursue its investment objective by investing
substantially all of its assets in the Master Fund. To track the Index,
the Master Fund generally will establish long futures positions in the
three Index Currencies associated with the highest interest rates and
short futures positions in the three Index Currencies associated with
the lowest interest rates \21\ and will adjust its holdings quarterly
as the Index is adjusted. However, if the USD is among the Index
Currencies, the Master Fund will not establish a long or short futures
position (as the case may be) in USD because USD is the Fund's home
currency and, as a consequence, the Master Fund never can enjoy profit
or suffer loss from long or short futures positions in USD. When the
USD is not associated with the highest or lowest interest rates among
the Eligible Index Currencies, the aggregate notional value of the
Master Fund's futures contracts at the time they are established will
be double the value of the Master Fund's holdings of U.S. Treasury
Bills and other high credit quality short term fixed income securities,
(i.e., a ratio of 2:1).\22\
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    \21\ The use of long and short positions in the construction of
the Index causes the Index to rise as a result of any upward price
movement of Index Currencies expected to gain relative to the USD
and to rise as a result of any downward price movement of Index
Currencies expected to lose relative to the USD.
    \22\ See supra note 6.
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    If the USD is associated with the highest or lowest interest rates
among the Eligible Index Currencies, the aggregate notional value of
the Master Fund's futures contracts at the time they are established
will be approximately 1.66 times the value of the Master Fund's
holdings of U.S. Treasury Bills and other high credit quality short-
term fixed income securities (i.e., a ratio of

1.66:1). Holding futures positions with a notional amount in excess of
the Master Fund's NAV \23\ increases the potential for both trading
profits and losses, depending on the performance of the Index. The
Master Fund's ability to track the Index will not be affected by the
presence or absence of the USD among the Index Currencies. Because the
notional value of the Master Fund's futures positions can rise or fall
over time, the ratio of long and short futures positions could be
higher or lower between quarterly adjustments of the Index Currencies.
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    \23\ NAV is the total assets of the Master Fund, less total
liabilities of the Master Fund, determined on the basis of generally
accepted accounting principles. NAV per Master Fund share is the NAV
of the Master Fund divided by the number of outstanding Master Fund
shares. This will be the same for the Shares of the Fund because of
a one-to-one correlation between the Shares and the shares of the
Master Fund.
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Foreign Currency Futures
    The Exchange states that the advent of financial futures began in
the early 1970s because some commodity traders at CME established the
International Monetary Market (now a division of CME), which launched
trading in seven currency futures contracts on May 16, 1972 creating
the world's first financial futures. Whether the trading venue is open
outcry or electronic, the Exchange submits that prices for exchange
traded foreign currency products are disseminated worldwide via major
quote vendors such as Reuters, Bloomberg, and others. Electronic
trading on computerized trading systems (e.g., GLOBEX[reg] at CME)
takes place on a nearly 24-hour basis.
    The Exchange states that foreign exchange rates are influenced by
national debt levels and trade deficits, domestic and foreign inflation
rates and investors' expectations concerning inflation rates, domestic
and foreign interest rates and investors' expectations concerning
interest rates, currency exchange rates, investment and trading
activities of mutual funds, hedge funds and currency funds, and global
or regional political, economic, or financial events and situations.
Additionally, foreign exchange rates on the Index Currencies may also
be influenced by changing supply and demand for a particular Index
Currency, monetary policies of governments (including exchange control
programs, restrictions on local exchanges or markets and limitations on
foreign investment in a country or on investment by residents of a
country in other countries), changes in balances of payments and trade,
trade restrictions, currency devaluations, and currency revaluations.
Also, the Exchange states that governments from time to time intervene
in the currency markets, directly and by regulation, in order to
influence prices directly. Additionally, expectations among market
participants that a currency's value soon will change may also affect
exchange rates on the Index Currencies.
    The Exchange submits that the foreign currency market is the
largest and most liquid financial market in the world. As of April
2004, the Exchange states that the foreign currency exchange market
experienced average daily turnover of approximately $1.88 trillion,
which was a 57% increase (at current exchange rates) from 2001 daily
averages.\24\ The foreign currency market is predominantly an OTC
market, with no fixed location, and it operates 24 hours a day, seven
days a week. London, New York, and Tokyo are the principal geographic
centers of the world-wide foreign currency market, with approximately
58% of all foreign currency business executed in the United Kingdom,
United States, and Japan. Other, smaller markets include Singapore,
Zurich, and Frankfurt. The Exchange states that the primary market
participants in foreign currencies are banks (including government-
controlled central banks), investment banks, money managers,
multinational corporations, and institutional investors.
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    \24\ The Exchange, however, did not specify the foreign
currencies or types of transactions that underlie the statistics.
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    The Exchange states that there are three major kinds of
transactions in the traditional foreign currency markets: Spot
transactions, outright forwards, and foreign exchange swaps. ``Spot''
trades are foreign currency transactions that settle typically within
two business days with the counterparty to the trade. Spot transactions
account for approximately 35% of reported daily volume in the
traditional foreign currency markets. ``Forward'' trades, which are
transactions that settle on a date beyond spot, account for 12% of the
reported daily volume, and ``swap'' transactions, in which two parties
exchange two currencies on one or more specified dates over an agreed
period and exchange them again when the period ends, account for the
remaining 53% of volume. There also are transactions in currency
options, which trade both OTC and, in the United States, on the
Philadelphia Stock Exchange, Inc. (``Phlx''). Foreign currency futures
are transactions in which an institution buys or sells a standardized
amount of foreign currency on an organized exchange for delivery on one
of several specified dates. Currency futures are traded on a number of
regulated markets, including the CME, the Singapore Exchange
Derivatives Trading Limited (``SGX''), and the London International
Financial Futures Exchange (``LIFFE''). Over 85% of currency derivative
products (swaps, options, and futures) are traded OTC.\25\
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    \25\ See Bank for International Settlements, Triennial Central
Bank Survey of Foreign Exchange and Derivatives Market Activity in
April 2004, September 2004 (Tables 2 and 6).
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Futures Regulation
    The Exchange states that the CEA governs the regulation of
commodity interest transactions, markets, and intermediaries. The
Exchange states that the CFTC administers the CEA, which requires
commodity futures exchanges, such as the CME, to have rules and
procedures to prevent market manipulation, abusive trade practices, and
fraud. The CEA provides for varying degrees of regulation of commodity
interest transactions depending upon the variables of the transaction.
In general, these variables include (1) the type of instrument being
traded (e.g., contracts for future delivery, options, swaps, or spot
contracts), (2) the type of commodity underlying the instrument
(distinctions are made between instruments based on agricultural
commodities, energy and metals commodities, and financial commodities),
(3) the nature of the parties to the transaction (retail, eligible
contract participant, or eligible commercial entity), (4) whether the
transaction is entered into on a principal-to-principal or
intermediated basis, (5) the type of market on which the transaction
occurs, and (6) whether the transaction is subject to clearing through
a clearing organization.
    Among other things, the Exchange states that the CEA provides that
the trading of commodity interest contracts generally must be upon
exchanges designated as contract markets or Derivatives Transaction
Execution Facilities and that all trading on those exchanges must be
done by or through exchange members. Commodity interest trading between
sophisticated persons may be traded on a trading facility not regulated
by the CFTC. As a general matter, the Exchange states that trading in
spot contracts, forward contracts, options on forward contracts or
commodities, or swap contracts between eligible contract participants
is not within the jurisdiction of the CFTC and may therefore be
effectively unregulated.

    The Exchange submits that trading on non-U.S. exchanges may differ
from trading on U.S. exchanges in a variety of ways and, accordingly,
may subject the Fund to additional risks. Non-U.S. futures exchanges
are not subject to regulation by the CFTC, but rather are regulated by
their home country regulator. In contrast to U.S. designated contract
markets, some non-U.S. exchanges are principals' markets, where trades
remain the liability of the traders involved, and the exchange or an
affiliated clearing organization, if any, does not become substituted
for any party. Due to the absence of a clearing system, the Exchange
states that such exchanges are significantly more susceptible to
disruptions. Further, participants in such markets must often satisfy
themselves as to the individual creditworthiness of each entity with
which they enter into a trade. Trading on non-U.S. exchanges is often
in the currency of the exchange's home jurisdiction. Consequently, the
Fund may be subject to the additional risk of fluctuations in the
exchange rate between such currencies and USD and the possibility that
exchange controls could be imposed in the future.
    The Exchange states that CFTC and U.S. designated contract markets
have established limits or position accountability rules (i.e.,
speculative position limits or position limits) on the maximum net long
or net short speculative position that any person or group of persons
under common trading control (other than a hedger) may hold, own, or
control in commodity interests. Among the purposes of speculative
position limits is to prevent a corner or squeeze on a market or undue
influence on prices by any single trader or group of traders.
    The Exchange also states that most U.S. futures exchanges limit the
amount of fluctuation in some futures contract or options on futures
contract prices during a single trading session. These regulations
specify what are referred to as daily price fluctuation limits (i.e.,
daily limits). The daily limits establish the maximum amount that the
price of a futures contract or options on futures contract may vary
either up or down from the previous day's settlement price. Once the
daily limit has been reached in a particular futures contract or
options on futures contract, no trades may be made at a price beyond
the limit.
Foreign Currency Regulation
    Most trading in the global OTC foreign currency markets is
conducted by regulated financial institutions such as banks and broker-
dealers. In addition, in the United States, the Foreign Exchange
Committee of the New York Federal Reserve Bank has issued guidelines
for foreign exchange trading, and central-bank sponsored committees in
Japan and Singapore have published similar best practice guidelines. In
the United Kingdom, the Bank of England has published the Non-
Investment Products Code, which covers foreign currency trading. The
Financial Markets Association, whose members include major
international banking organizations, has also established best
practices guidelines called the ``Model Code.''
    In addition, in the United States, the Commission regulates the
trading of options on foreign currencies on Phlx, and the CFTC
regulates trading of futures, options, and options on futures on
foreign currencies on regulated futures exchanges.\26\
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    \26\ In addition to its oversight of regulated futures
exchanges, the Exchange states that the CFTC has jurisdiction over
certain foreign currency futures, options, and options on futures
transactions occurring other than on a regulated exchange and
involving retail customers.
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Structure of the Fund
    Fund. The Fund will be formed as a Delaware statutory trust
pursuant to a Certificate of Trust and a Declaration of Trust and Trust
Agreement among Wilmington Trust Company, as trustee, the Managing
Owner, and the holders of the Shares.\27\ The Fund will issue common
units of beneficial interest or shares that represent units of
fractional undivided beneficial interest in and ownership of the Fund.
The term of the Fund is perpetual (unless terminated earlier in certain
circumstances). The investment objective of the Fund is to reflect the
performance of the DBCHI, over time, less the expenses of the operation
of the Fund and the Master Fund. The Fund will pursue its investment
objective by investing substantially all of its assets in the Master
Fund. Each Share will correlate with a Master Fund share issued by the
Master Fund and held by the Fund.
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    \27\ The Exchange states that the Fund will not be subject to
registration and regulation under the 1940 Act.
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    Master Fund. The Master Fund is a statutory trust formed pursuant
to the Delaware Statutory Trust Act and will issue common units of
beneficial interest or shares that represent units of fractional
undivided beneficial interest in and ownership of the Master Fund. The
term of the Master Fund is perpetual (unless terminated earlier in
certain circumstances). The investment objective of the Master Fund is
to reflect the performance of the DBCHI, less the expenses of the
operations of the Fund and the Master Fund. The Master Fund will pursue
its investment objective by taking long positions in the three (3)
highest-yielding Index Currencies and, as reflected in the Index, will
take three (3) short positions in the lowest yielding Index Currencies.
In addition, the Master Fund will also hold cash and U.S. Treasury
securities for deposit with futures commission merchants (``FCMs'') as
margin and other high credit quality short-term fixed income
securities.
    Trustee. The Wilmington Trust Company is the trustee of the Fund
and the Master Fund. The Trustee has delegated to the Managing Owner
the power and authority to manage and operate the day-to-day affairs of
the Fund and the Master Fund.
    Managing Owner. The Managing Owner is a Delaware limited liability
company which is registered with the CFTC as a CPO and CTA and is an
affiliate of DB London. The Managing Owner will serve as the CPO and
CTA of the Fund and the Master Fund and will manage and control all
aspects of the business of both.
    Commodity Broker. Deutsche Bank Securities, Inc., the Commodity
Broker, is an affiliate of the Managing Owner and is registered with
the CFTC as a FCM. The Commodity Broker will execute and clear each of
the Master Fund's futures contract transactions and will perform
certain administrative services for the Master Fund.
    Administrator. The Bank of New York is the administrator for both
the Fund and the Master Fund (the ``Administrator''). The Administrator
will perform or supervise the performance of services necessary for the
operation and administration of the Fund and the Master Fund (other
than making investment decisions), including NAV calculations,
accounting, and other administrative services. The Administrator will
retain certain financial books and records, including: Financial
accounting records, ledgers with respect to assets, liabilities,
capital, income and expenses, the register, transfer journals and
related details, and trading and related documents received from FCMs.
    Distributor. ALPS Distributors, Inc. is the distributor for both
the Fund and the Master Fund (the ``Distributor''). The Distributor
will assist the Managing Owner and the Administrator with certain
functions and duties relating to the creation and redemption of Baskets
(as defined below), including receiving and processing orders from
Authorized Participants (as defined below) to create and redeem
Baskets, coordinating the

processing of such orders and related functions and duties. The
Distributor will also retain all marketing materials and Basket
creation and redemption books and records.
Product Description
A. Creation and Redemption of Shares
    Issuances of the Shares will be made only in one or more blocks of
200,000 Shares (the ``Basket''). The Fund will issue and redeem the
Shares on a continuous basis, by or through participants that have
entered into participant agreements (each, an ``Authorized
Participant'') \28\ with the Managing Owner at the NAV per Share next
determined after an order to purchase the Shares in a Basket is
received in proper form. Following issuance, the Shares will be traded
on the Exchange similar to other equity securities. The Shares will be
registered in book entry form through DTC.
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    \28\ An ``Authorized Participant'' is a person, who at the time
of submitting to the trustee an order to create or redeem one or
more Baskets, (i) is a registered broker-dealer, (ii) is a
Depository Trust Company (``DTC'') participant and (iii) has in
effect a valid participant agreement.
---------------------------------------------------------------------------

    Baskets will be issued in exchange for a cash amount equal to the
NAV per Share times 200,000 Shares (the ``Basket Amount''). The Basket
Amount will be determined on each business day by the Administrator.
Authorized Participants that wish to purchase a Basket must transfer
the Basket Amount to the Administrator (the ``Cash Deposit Amount'').
Authorized Participants that wish to redeem a Basket will receive cash
in exchange for each Basket surrendered in an amount equal to the NAV
per Basket (the ``Cash Redemption Amount''). The Commodity Broker will
be the custodian for the Master Fund and responsible for safekeeping
the Master Fund's assets.
    All purchase orders received by the Administrator prior to 1 p.m.
ET will be settled by depositing with the Commodity Broker the Cash
Deposit Amount disseminated by the Administrator shortly after 10 a.m.
ET on the next business day. The Basket Amount necessary for the
creation of a Basket will change from day to day. On each day that the
Amex is open for regular trading, the Administrator will adjust the
Cash Deposit Amount as appropriate to reflect the prior day Fund NAV
(as described below) and accrued expenses. The Administrator will
determine the Cash Deposit Amount for a given business day by
multiplying the NAV for each Share by the number of Shares in each
Basket (200,000).
    Likewise, all redemption orders received by the Administrator prior
to 1 p.m. ET will be settled by the Commodity Broker's payment of the
Cash Redemption Amount shortly after 10 a.m. ET on the next business
day.\29\ The Shares will not be individually redeemable but will only
be redeemable in Baskets. To redeem, an Authorized Participant will be
required to accumulate enough Shares to constitute a Basket (i.e.,
200,000 shares). Upon the surrender of the Shares and payment of
applicable redemption transaction fee, taxes, or charges, the
Administrator will deliver to the redeeming Authorized Participant the
Cash Redemption Amount.
---------------------------------------------------------------------------

    \29\ Telephone conversation between Jeffrey Burns, Associate
General Counsel, Amex, and Florence Harmon, Senior Special Counsel,
Division, Commission, on June 26, 2006.
---------------------------------------------------------------------------

    On each business day, the Administrator will make available
immediately prior to the opening of trading on the Amex via the
facilities of the CT,\30\ the most recent Basket Amount for the
creation of a Basket. The Amex will disseminate every fifteen (15)
seconds throughout the trading day, via the CT, an amount representing
on a per Share basis, the current value of the Basket Amount. It is
anticipated that the deposit of the Cash Deposit Amount in exchange for
a Basket will be made primarily by institutional investors,
arbitrageurs, and the Exchange specialist. Baskets are then separable
upon issuance into identical Shares that will be listed and traded on
the Amex.\31\ The Shares are expected to be traded on the Exchange by
professionals, as well as institutional and retail investors. Thus, the
Shares may be acquired in two (2) ways: (1) Through a deposit of the
Cash Deposit Amount with the Administrator during normal business hours
by Authorized Participants, or (2) through a purchase on the Exchange
by investors.
---------------------------------------------------------------------------

    \30\ Id.
    \31\ The Shares are separate and distinct from the shares of the
Master Fund. The Exchange expects that the number of outstanding
Shares will increase and decrease from time to time as a result of
creations and redemptions of Baskets.
---------------------------------------------------------------------------

B. Net Asset Value (NAV)
    Shortly after 4 p.m. Eastern time (``ET'') each business day, the
Administrator will determine the NAV for the Fund, utilizing the
current settlement value of the particular long and short exchange-
traded futures contracts on the Index Currencies. At or about 4 p.m. ET
each business day, the Administrator will determine the Basket Amount
for orders placed by Authorized Participants received before 1 p.m. ET
that day. Thus, although Authorized Participants place orders to
purchase Shares throughout the trading day until 1 p.m. ET, the actual
Basket Amount is determined at 4 p.m. ET or shortly thereafter.
    Shortly after 4 p.m. ET each business day, the Administrator, Amex,
and the Managing Owner will disseminate the NAV for the Shares and the
Basket Amount (for orders placed during the day). The Basket Amount and
the NAV are communicated by the Administrator to all Authorized
Participants via facsimile or electronic mail message and will be
available on the Index Sponsor's Internet Web site at http://index.db.com.
 The Amex will also disclose the NAV and Basket Amount on

its Internet Web site (http://www.amex.com). Amex represents that the

NAV will be made available to all market participants at the same time.
If the NAV is not disseminated to all market participants at the same
time, the Exchange will halt trading of the Shares.\32\
---------------------------------------------------------------------------

    \32\ However, if the Fund temporarily does not disseminate the
NAV to all market participants at the same time, the Exchange will
immediately contact the Commission to discuss measures that may be
appropriate under the circumstances. See discussion infra at
``Events Requiring Notice to and/or Approval by the Commission'' and
``Criteria for Initial and Continued Listing'' (discussing delisting
procedures in the event of a disruption to the dissemination of the
NAV); see also discussion infra at ``Trading Halts'' (noting that
the Exchange would halt trading in the Shares if the NAV is no
longer calculated or disseminated for the benefit of market
participants at the same time).
---------------------------------------------------------------------------

    When calculating NAV for the Fund and Master Fund, the
Administrator will value U.S. futures contracts held by the Master Fund
on the basis of their then current market value. All non-U.S. futures
contracts will be calculated based upon the liquidation value. Forward
contracts will be calculated based on the mean of the bid-ask as
provided by the counterparty.
    The NAV for the Fund is total assets of the Master Fund less total
liabilities of the Master Fund. The NAV is calculated by including any
unrealized profit or loss on futures contracts and any other credit or
debit accruing to the Master Fund but unpaid or not received by the
Master Fund. The NAV is then used to compute all fees (including the
management and administrative fees) that are calculated from the value
of Master Fund assets. The Administrator will calculate the NAV per
share by dividing the NAV by the number of Shares outstanding.
    The Exchange believes that the Shares will not trade at a material
discount or premium to the NAV of the Shares based on potential
arbitrage opportunities. Due to the fact that the Shares can be created
and redeemed

only in Baskets at NAV, the Exchange submits that arbitrage
opportunities should provide a mechanism to mitigate the effect of any
premiums or discounts to or from NAV per Share that may exist from time
to time. The value of a Share may be influenced by non-concurrent
trading hours between the Amex and the various futures exchanges on
which the Index Currencies are traded. As a result, during periods when
the Amex is open and the futures exchanges on which the Index
Currencies are traded are closed, trading spreads and the resulting
premium or discount on the Shares may widen, and, therefore, increase
the difference between the price of the Shares and the NAV of the
Shares.
C. Dissemination of the Index and Underlying Futures Contracts
Information
    DB London, as the Index Sponsor, will publish the value of the
Index at least once every fifteen (15) seconds throughout each trading
day on the CT, Bloomberg, Reuters, and on its Internet Web site at
http://index.db.com. The Exchange states that the disseminated value of

the Index will not reflect changes to the prices of the Index
Currencies between the close of trading of each respective futures
contract on the relevant futures exchange, i.e., 3 p.m. ET (close of
trading on the CME futures market), and the close of trading on the
Amex at 4:15 p.m. ET.\33\ The closing Index level will similarly be
provided by DB London. In addition, any adjustments or changes to the
Index will also be provided by DB London and the Exchange on their
respective Internet Web sites.\34\
---------------------------------------------------------------------------

    \33\ August 22 Conference.
    \34\ The Sponsor has in place procedures to prevent the improper
sharing of information between different affiliates and departments.
Specifically, an information barrier exists between the personnel
within DB London that calculate and reconstitute the Index and other
personnel of the Sponsor, including but not limited to the Managing
Owner, sales and trading, external or internal fund managers, and
bank personnel who are involved in hedging the bank's exposure to
instruments linked to the Index, in order to prevent the improper
sharing of information relating to the composition of the Index.
---------------------------------------------------------------------------

    The daily settlement prices for the futures contracts held by the
Master Fund are publicly available on the Internet Web sites of the
futures exchanges trading the particular contracts. All of the futures
contracts in which the Master Fund currently expects to invest are
traded on the CME, although currency futures contracts on the Eligible
Index Currencies also trade on other futures exchanges in the United
States and the Master Fund may invest in such contracts.\35\ In
addition, various data vendors and news publications publish futures
prices and data. The Exchange represents that futures quotes and last
sale information for the Index Currencies are widely disseminated
through a variety of market data vendors worldwide, including Bloomberg
and Reuters. In addition, the Exchange further notes that complete
real-time data for such futures is available by subscription from
Reuters and Bloomberg. The specific contract specifications for the
futures contracts are also available from the futures exchanges on
their Internet Web sites, as well as other financial informational
sources.
---------------------------------------------------------------------------

    \35\ Other futures exchanges may include, for example, the New
York Board of Trade and HedgeStreet, Inc.
---------------------------------------------------------------------------

D. Availability of Information Regarding the Shares
    The Internet Web sites for the Fund and/or the Exchange, which are
publicly accessible at no charge, will contain the following
information: (a) Current NAV per Share daily and the prior business
day's NAV and the reported closing price; (b) the mid-point of the bid-
ask price in relation to the NAV as of the time the NAV is calculated
(the ``Bid-Ask Price''); \36\ (c) the calculation of the premium or
discount of such price against such NAV; (d) data in chart form
displaying the frequency of distribution of discounts and premiums of
the Bid-Ask Price against the NAV, within appropriate ranges for each
of the four (4) previous calendar quarters; (e) the prospectus; and (f)
other applicable quantitative information. The Exchange will also make
available on its Internet Web site the daily trading volume of the
Shares. The closing price and settlement prices of the futures
contracts comprising the Index and held by the Master Fund are also
readily available from the relevant futures exchanges, automated
quotation systems, published or other public sources, or online
information services such as Bloomberg or Reuters. In addition, the
Exchange will provide a hyperlink on its Internet Web site to the Index
Sponsor's Internet Web site.
---------------------------------------------------------------------------

    \36\ The Bid-Ask Price of the Shares is determined using the
highest bid and lowest offer as of the time of calculation of the
NAV.
---------------------------------------------------------------------------

    Investors may obtain, on a 24-hour basis, currency pricing
information from various financial information service providers. The
Exchange states that current currency spot prices are also generally
available with bid/ask spreads from foreign exchange dealers. Complete
real-time data for futures and options prices traded on CME and Phlx
are also available by subscription from information service providers.
CME and Phlx also provide delayed futures and options information on
current and past trading sessions and market news free of charge on
their respective Web sites. There are a variety of other public
Internet Web sites that provide information on currency, such as
Bloomberg (http://www.bloomberg.com/markets/currecies[fxsp0]/eurafr--

currencies.html), which regularly reports current foreign currency
pricing for a fee. Other service providers include CBS Market Watch
(http://marketwatch.com/[fxsp0]tools.stockresearch/globalmarkets) and Yahoo! Finance (http://finance.yahoo.com/currency). Many of these

Internet Web sites offer price quotations drawn from other published
sources, and as the information is supplied free of charge, it
generally is subject to time delays.
E. Dissemination of Indicative Fund Value
    As noted above, the Administrator calculates the NAV of the Fund
once each trading day and disseminates such NAV to all market
participants at the same time. In addition, the Administrator causes to
be made available on a daily basis the Cash Deposit Amount to be
deposited in connection with the issuance of the Shares in Baskets.
Other investors can also request such information directly from the
Administrator.
    In order to provide updated information relating to the Fund for
use by investors, professionals, and persons wishing to create or
redeem the Shares, the Exchange will disseminate through the facilities
of the CT an updated Indicative Fund Value (the ``Indicative Fund
Value''). The Indicative Fund Value will be disseminated on a per Share
basis every fifteen (15) seconds during regular Amex trading hours of
9:30 a.m. to 4:15 p.m. ET. The Indicative Fund Value will be calculated
based on the cash required for creations and redemptions (i.e., NAV x
200,000), adjusted to reflect the price changes of the Index Currencies
through investments held by the Master Fund, i.e., futures contracts
and options on futures and/or forwards.
    The Indicative Fund Value will not reflect price changes to the
price of an underlying currency between the close of trading of the
futures contract at the relevant futures exchange and the close of
trading on the Amex at 4:15 p.m. ET. While the Shares will trade on the
Amex from 9:30 a.m. to 4:15 p.m. ET, regular trading hours for each of
the Index Currencies on the CME are 8:20 a.m. to 3 p.m. ET. Therefore,
the value

of a Share may be influenced by non-concurrent trading hours between
the Amex and the various futures exchanges on which the futures
contracts based on the Index Currencies are traded.
    While the market for futures trading for each of the Index
Currencies is open, the Indicative Fund Value can be expected to
closely approximate the value per Share of the Basket Amount. However,
during Amex trading hours and when the futures contracts have ceased
trading, spreads and resulting premiums or discounts may widen, and
therefore, increase the difference between the price of the Shares and
the NAV of the Shares. Indicative Fund Value on a per Share basis
disseminated during Amex trading hours should not be viewed as a real
time update of the NAV, which is calculated only once a day.
    The Exchange believes that dissemination of the Indicative Fund
Value based on the cash amount required for a Basket provides
additional information that is not otherwise available to the public
and is useful to professionals and investors in connection with the
Shares trading on the Exchange or the creation or redemption of the
Shares.
F. Events Requiring Notice to and/or Approval by the Commission
    The Exchange represents that should the Index Sponsor substantially
change either the Index component selection or weighting methodology,
the Exchange would file a proposed rule change pursuant to Rule 19b-4
under the Act, which must be approved by the Commission for continued
trading of the Shares.\37\
---------------------------------------------------------------------------

    \37\ See supra note 19 and accompanying text (noting that the
Index Sponsor may also use a currency futures contract on the same
Index Currency from a different futures exchange, provided that, if
such use is more than of a temporary nature, the Exchange will file
a proposed rule change pursuant to Rule 19b-4 seeking Commission
approval to continue to trade the Shares. Unless approved for
continued trading, the Exchange would commence delisting
proceedings.
---------------------------------------------------------------------------

    The Exchange represents that if a successor or substitute index is
used by the Managing Owner, Amex will file with the Commission a
proposed rule change pursuant to Rule 19b-4 under the Act to address,
among other things, the listing and trading characteristics of the
successor index and Amex's surveillance procedures applicable to the
successor index, which must be approved by the Commission to continue
trading the Shares relating to the successor index.
    Additionally, in the case of a temporary disruption in connection
with the trading of the futures contracts comprising the Index, the
Exchange believes that it is unnecessary for a filing pursuant to Rule
19b-4 under the Act to be filed with the Commission. The Exchange
submits that for a temporary disruption of such futures contracts, the
Index Sponsor would typically use the prior day's price for an Index
Currency. In exceptional cases, the Index Sponsor may employ a ``fair
value'' price (i.e., the price for unwinding the position by dealers in
the OTC market). However, the Exchange represents that if the use of a
prior day's price or ``fair value'' pricing for an Index Currency is
more than of a temporary nature, the Exchange will file a proposed rule
change with the Commission pursuant to Rule 19b-4 under the Act seeking
Commission approval to continue trading the Shares. Unless approved for
continued trading, the Exchange would commence delisting proceedings.
    The Exchange represents that it would halt trading of the Shares if
(a) the value of the Index is no longer calculated or available on at
least a fifteen (15) second basis through the facilities of the CT or
major market data vendors during the time the Shares trade on Amex, (b)
if the Indicative Fund Value, updated at least every fifteen (15)
seconds, is no longer calculated or available, or (c) the NAV is no
longer disseminated to all market participants at the same time.\38\ In
any event, unless approval is received from the Commission to continue
to list and trade the Shares after a proposed rule change filing is
properly filed pursuant to Rule 19b-4 under the Act, the Exchange
represents that will commence delisting procedures for the Shares if:
(i) The Index Sponsor substantially changes either the Index component
selection or weighting methodology; (ii) more than a temporary
disruption exists with trading of the futures contracts comprising the
Index; or (iii) a Successor Index is used by the Managing Owner; or
(iv) the calculation and/or dissemination of the NAV is more than
temporarily disrupted.
---------------------------------------------------------------------------

    \38\ The Exchange further represents that it would immediately
contact the Commission to discuss measures that may be appropriate
under the circumstances.
---------------------------------------------------------------------------

Termination Events
    The Exchange states that the Fund will be terminated if any of the
following circumstances occur: (1) The filing of a certificate of
dissolution or revocation of the Managing Owner's charter or upon the
withdrawal, removal, adjudication, or admission of bankruptcy or
insolvency of the Managing Owner, or an event of withdrawal unless (i)
there is at least one remaining Managing Owner who carries on the
business of the Fund or (ii) within 90 days of such event of withdrawal
all the remaining shareholders agree in writing to continue the
business of the Fund and to select one or more successor Managing
Owners; (2) the occurrence of any event which would make unlawful the
continued existence of the Fund; (3) the suspension, revocation, or
termination of the Managing Owner's registration as a CPO, or
membership as a CPO with the NFA; (4) the Fund becomes insolvent or
bankrupt; (5) the holders of at least 50% of the outstanding Shares
notify the Managing Owner that they elect to terminate the Fund; (6)
the determination of the Managing Owner that the aggregate net assets
of the Fund in relation to the operating expenses of the Fund make it
unreasonable or imprudent to continue the business of the Fund, or the
determination by the Managing Owner to dissolve the Fund because the
aggregate NAV of the Fund as of the close of business on any business
day declines below $10 million; (7) the Commission finds that the Fund
should be registered as an investment company under the 1940 Act; or
(8) the DTC is unable or unwilling to continue to perform its
functions, and a comparable replacement is unavailable. Upon
termination of the Fund, holders of the Shares will surrender their
Shares and receive from the Administrator, in cash, their portion of
the value of the Fund.
Criteria for Initial and Continued Listing
    The Fund will be subject to the criteria in Commentary .07(d) of
Amex Rule 1202 for initial and continued listing of the Shares. The
proposed continued listing criteria provides for the delisting or
removal from listing of the Shares under any of the following
circumstances:
     Following the initial twelve-month period from the date of
commencement of trading of the Shares: (i) If the Fund has more than 60
days remaining until termination and there are fewer than 50 record
and/or beneficial holders of the Shares for 30 or more consecutive
trading days; (ii) if the Fund has fewer than 50,000 Shares issued and
outstanding; or (iii) if the market value of all Shares is less than
$1,000,000;
     If the value of the underlying Index is no longer
calculated or available on at least a 15-second delayed basis through
one or more major market data vendors; \39\
---------------------------------------------------------------------------

    \39\ In the event the Index value is no longer calculated or
disseminated by one or more major market data vendors, the Exchange
would immediately contact the Commission to discuss measures that
may be appropriate under the circumstances.

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

     The Indicative Fund Value is no longer made available on
at least a 15-second delayed basis through the facilities of the CT;
\40\
---------------------------------------------------------------------------

    \40\ In the event the Indicative Fund Value is no longer
calculated or disseminated through the facilities of the CT, the
Exchange would immediately contact the Commission to discuss
measures that may be appropriate under the circumstances.
---------------------------------------------------------------------------

     The calculation or dissemination of the NAV is disrupted
such that the NAV is no longer disseminated to all market participants
at the same time; \41\
---------------------------------------------------------------------------

    \41\ In the event the NAV is no longer calculated or
disseminated to all market participants at the same time, the
Exchange would immediately contact the Commission to discuss
measures that may be appropriate under the circumstances.
---------------------------------------------------------------------------

     Unless approval is received from the Commission to
continue to list and trade the Shares after a proposed rule change
pursuant to Rule 19b-4 under the Act is properly filed by the Exchange,
(i) more than a temporary disruption exists in connection with the
pricing of the futures contracts comprising the Index, (ii) a successor
or substitute index is used by the Managing Owner in connection with
the Shares, (iii) calculation or dissemination of the NAV is more than
temporarily disrupted, or (iv) the Index Sponsor substantially changes
either the Index component selection methodology or weighting
methodology; or
     If such other event shall occur or condition exists which
in the opinion of the Exchange makes further dealings on the Exchange
inadvisable.
    The initial purchaser (the ``Initial Purchaser'') will initially
purchase and take delivery of 200,000 Shares, which comprises the
initial Basket, at a purchase price of $25.00 per Share ($5,000,000 per
Basket) pursuant to an Initial Purchaser Agreement. The Initial
Purchaser proposes to offer to the public these 200,000 Shares at a
per-Share offering price that will vary depending on, among other
factors, the trading price of the Shares on the Amex, the NAV per
Share, and the supply of and demand for the Shares at the time of the
offer. Shares offered by the Initial Purchaser at different times may
have different offering prices. The Initial Purchaser will not receive
from the Fund, the Managing Owner, or any of their affiliates, any fee
or other compensation in connection with the sale of the Shares to the
public. The Fund will not bear any expenses in connection with the
offering or sales of the Shares composing the initial Baskets. The
Managing Owner has agreed to indemnify the Initial Purchaser against
certain liabilities, including liabilities under the Securities Act of
1933, and to contribute to payments that the Initial Purchaser may be
required to make in respect thereof.
    The Initial Purchaser will not act as an Authorized Participant
with respect to the initial Baskets, and its activities with respect to
the initial Baskets will be distinct from those of an Authorized
Participant. The Exchange believes that the anticipated minimum number
of Shares outstanding at the start of trading is sufficient to provide
adequate market liquidity and to further the Fund's objective to seek
to provide a simple and cost effective means of accessing the currency
futures markets. The Exchange represents that, for the initial and
continued listing, the Shares must be in compliance with Section 803 of
the Amex Company Guide and Rule 10A-3 under the Act.\42\
---------------------------------------------------------------------------

    \42\ See 17 CFR 240.10A-3.
---------------------------------------------------------------------------

    The Amex original listing fee applicable to the listing of the Fund
is $5,000. In addition, the annual listing fee applicable under Section
141 of the Amex Company Guide will be based upon the year-end aggregate
number of Shares in all series of the Fund outstanding at the end of
each calendar year.
Trading Rules
    The Shares are equity securities subject to Amex rules governing
the trading of equity securities, including, among others, rules
governing priority, parity and precedence of orders, specialist
responsibilities and account opening and customer suitability (Amex
Rule 411). Initial equity margin requirements of 50% will apply to
transactions in the Shares. Shares will trade on the Amex until 4:15
p.m. ET each business day and will trade in a minimum price variation
of $0.01 pursuant to Amex Rule 127. Trading rules pertaining to odd-lot
trading in Amex equities (Amex Rule 205) will also apply.
    Amex Rule 154, Commentary .04(c), provides that stop and stop limit
orders to buy or sell a security (other than an option, which is
covered by Amex Rule 950(f) and Commentary thereto) the price of which
is derivatively priced based upon another security or index of
securities, may with the prior approval of a Floor Official, be elected
by a quotation, as set forth in Commentary .04(c)(i)-(v). The Exchange
has designated the Shares as eligible for this treatment.\43\
---------------------------------------------------------------------------

    \43\ See Securities Exchange Act Release No. 29063 (April 10,
1991), 56 FR 15652 (April 17, 1991) (noting the Exchange's
designation of equity derivative securities as eligible for such
treatment under Amex Rule 154, Commentary .04(c)).
---------------------------------------------------------------------------

    The Shares will be deemed ``Eligible Securities'', as defined in
Amex Rule 230, for purposes of the Intermarket Trading System (``ITS'')
plan and therefore will be subject to the trade-through provisions of
Amex Rule 236, which require that Amex members avoid initiating trade-
throughs for ITS securities.
    Specialist transactions of the Shares made in connection with the
creation and redemption of Shares will not be subject to the
prohibitions of Amex Rule 190.\44\ Unless exemptive or no-action relief
is available, the Shares will be subject to the short sale rule, Rule
10a-1 and other rules under the Act.\45\ If exemptive or no-action
relief is provided, the Exchange will issue a notice detailing the
terms of the exemption or relief. The Shares will generally be subject
to the Exchange's stabilization rule, Amex Rule 170, except that
specialists may buy on ``plus ticks'' and sell on ``minus ticks,'' in
order to bring the Shares into parity with the underlying currency and/
or futures contract price. Commentary .07(f) to Amex Rule 1202 sets
forth this limited exception to Amex Rule 170.
---------------------------------------------------------------------------

    \44\ See Commentary .05 to Amex Rule 190.
    \45\ The Fund expects to seek relief, in the near future, from
the Commission in connection with the trading of the Shares from the
operation of the short sale rule, Rule 10a7-1 under the Act. If
granted, the Shares would be exempt from Rule 10a-1 permitting sales
without regard to the ``tick'' requirements of Rule 10a-1. Rule 10a-
1(a)(1)(i) provides that a short sale of an exchange-traded security
may not be effected (i) below the last regular-way sale price or
(ii) at such price unless such price is above the next preceding
different price at which a sale was reported.
---------------------------------------------------------------------------

    The trading of the Shares will be subject to certain conflict of
interest provisions set forth in Commentary .07(e) to Amex Rule 1202.
Specifically, Commentary .07(e) provides that the prohibitions in Amex
Rule 175(c) apply to a specialist in the Shares so that the specialist
or affiliated person may not act or function as a market maker in an
underlying asset, related futures contract or option, or any other
related derivative. An affiliated person of the specialist consistent
with Amex Rule 193 may be afforded an exemption to act in a market
making capacity, other than as a specialist in the Shares on another
market center, in the underlying asset, related futures, or options or
any other related derivative. Commentary .07(e) further provides that
an approved person of an equity specialist that has established and
obtained Exchange approval for procedures restricting the flow of
material, non-public market information between itself and the

specialist member organization, and any member, officer, or employee
associated therewith, may act in a market making capacity, other than
as a specialist in the Shares on another market center, in the
underlying asset or commodity, related futures or options on futures,
or any other related derivatives.
    Commentary .07(e) to Amex Rule 1202 also ensures that specialists
handling the Shares provide the Exchange with all the necessary
information relating to their trading in physical assets or
commodities, related futures contracts and options thereon, or any
other derivative. As a general matter, the Exchange has regulatory
jurisdiction over its members, member organizations, and approved
persons of a member organization. The Exchange also has regulatory
jurisdiction over any person or entity controlling a member
organization as well as a subsidiary or affiliate of a member
organization that is in the securities business. A subsidiary or
affiliate of a member organization that does business only in
commodities or futures contracts would not be subject to Exchange
jurisdiction, but the Exchange could obtain 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.
Trading Halts
    Prior to the commencement of trading, the Exchange will issue an
Information Circular (described below) to members informing them of,
among other things, Exchange policies regarding trading halts in the
Shares. First, the circular will advise that trading will be halted in
the event the market volatility trading halt parameters set forth in
Amex Rule 117 have been reached. Second, the circular will advise that,
in addition to the parameters set forth in Amex Rule 117, the Exchange
will halt trading in the Shares if trading in the underlying related
futures contract(s) is halted or suspended. Third, with respect to a
halt in trading that is not specified above, the Exchange may also
consider other relevant factors and the existence of unusual conditions
or circumstances that may be detrimental to the maintenance of a fair
and orderly market. The Exchange will halt trading in the Shares if the
value of the Index is no longer calculated or available on at least a
fifteen (15) second basis through one or more major market data vendors
during the time the Shares trade on Amex, or if the Indicative Fund
Value per Share updated at least every fifteen (15) seconds is no
longer calculated or available the facilities of the CT, or if the NAV
is no longer calculated or disseminated for the benefit of all market
participants at the same time.\46\
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    \46\ See supra notes 39-41 and accompanying text.
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Suitability
    The Information Circular (described below) will inform members and
member organizations of the characteristics of the Fund and of
applicable Exchange rules, as well as of the requirements of Amex Rule
411 (Duty to Know and Approve Customers).
    The Exchange notes that pursuant to Amex Rule 411, members and
member organizations are required in connection with recommending
transactions in the Shares to have a reasonable basis to believe that a
customer is suitable for the particular investment given reasonable
inquiry concerning the customer's investment objectives, financial
situation, needs, and any other information known by such member.
Information Circular
    The Amex will distribute an Information Circular to its members in
connection with the trading of the Shares. The Circular, will discuss
the special characteristics and risks of trading this type of security,
such as currency fluctuation risk. Specifically, the Circular, among
other things, will discuss what the Shares are, how a Basket is created
and redeemed, applicable Amex rules, dissemination information, trading
information, and applicable suitability rules. The Circular will also
explain that the Fund is subject to various fees and expenses described
in the Registration Statement. The Circular will also reference the
fact that the CFTC has regulatory jurisdiction over the trading of
futures contracts.
    The Circular will also notify members and member organizations
about the procedures for purchases and redemptions of Shares in
Baskets, and that Shares are not individually redeemable but are
redeemable only in one or more Baskets. The Circular will advise
members of their suitability obligations with respect to recommended
transactions to customers in the Shares. The Circular will also discuss
any relief, if granted, by the Commission or the staff from any rules
under the Act.
    Additionally, the Circular will disclose that the NAV for Shares
will be calculated shortly after 4 p.m. ET each trading day and that
information about the Shares and the Index will be publicly available
on the Internet Web site of Amex and the Fund. In the Information
Circular, the Exchange will inform members and member organizations,
prior to commencement of trading, of the prospectus delivery
requirements applicable to the Fund. The Exchange notes that investors
purchasing Shares directly from the Fund (in exchange for cash) will
receive a prospectus. Amex members purchasing Shares from the Trust for
resale to investors will deliver a prospectus to such investors. Also,
in the Information Circular, Amex will inform members and member
organizations that procedures for purchases and redemptions of Shares
in Baskets are described in the Prospectus and that Shares are not
individually redeemable but are redeemable by Basket or multiples
thereof and that individual shareholders may only redeem through an
Authorized Participant, not from the Fund.
Surveillance
    The Exchange represents that its surveillance procedures are
adequate to properly monitor the trading of the Shares and to deter and
detect violations of Amex rules. Specifically, Amex will rely on its
existing surveillance procedures governing Index Fund Shares. Amex
represents that its surveillance procedures for the Shares will be
similar to those used for other TIRs (such as the Currency Trust Shares
and the DB Commodity Index Tracking Fund) and exchange-traded funds and
will incorporate and rely upon existing Amex surveillance procedures
governing options and equities. The Exchange also notes that the CME is
a member of the Intermarket Surveillance Group. As a result, the
Exchange asserts that market surveillance information is available from
the CME, if necessary, due to regulatory concerns that may arise in
connection with the CME futures.
2. Statutory Basis
    The Exchange believes that the proposed rule change, as amended, is
consistent with section 6 of the Act,\47\ in general, and furthers the
objectives of section 6(b)(5),\48\ in particular, in that it is
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, and to remove impediments to and perfect the mechanism of a
free and

open market and a national market system.
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    \47\ 15 U.S.C. 78f.
    \48\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition

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

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

    The Exchange did not receive any 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 Amex 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, as amended, at the end of a 15-day comment
period.\49\
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    \49\ Amex has requested accelerated approval of this proposed
rule change, as amended, prior to the 30th day after the date of
publication of the notice of the filing thereof, following the
conclusion of a 15-day comment period.
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IV. Solicitation of Comments

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

Electronic Comments

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

File Number SR-Amex-2006-44 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-Amex-2006-44. This file
number should be included on the subject line if e-mail is used. To
help the Commission process and review your comments more efficiently,
please use only one method. The Commission will post all comments on
the Commission's Internet Web site (http://www.sec.gov/rules/sro.shtml
). Copies of the submission, all subsequent amendments, all

written statements with respect to the proposed rule change that are
filed with the Commission, and all written communications relating to
the proposed rule change between the Commission and any person, other
than those that may be withheld from the public in accordance with the
provisions of 5 U.S.C. 552, will be available for inspection and
copying in the Commission's Public Reference Room. Copies of the filing
also will be available for inspection and copying at the principal
office of the Exchange. All comments received will be posted without
change; the Commission does not edit personal identifying information
from submissions. You should submit only information that you wish to
make available publicly. All submissions should refer to File Number
SR-Amex-2006-44 and should be submitted on or before September 19,
2006.

    For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\50\
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    \50\ 17 CFR 200.30-3(a)(12).
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Nancy M. Morris,
Secretary.
[FR Doc. E6-14304 Filed 8-28-06; 8:45 am]

BILLING CODE 8010-01-P