Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and Immediate Effectiveness of Proposed Rule Change to Amend its Rules Pertaining to the Contract Multiplier for Credit Default Options, 52948-52950 [E7-18217]
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Federal Register / Vol. 72, No. 179 / Monday, September 17, 2007 / Notices
specified by the Exchange in terms of a
pre-established formula for fixing a set
strike price on a pre-determined date.
No changes to any terms of existing DSO
series will be made once the series
begins trading.
Advantages of Exchange Trading vs.
OTC Market. It is the Exchange’s
understanding that products similar to
DSOs currently trade in the OTC
market. Most options pricing software
available commercially and through
derivatives Web sites include a pricing
model for DSOs. The Exchange believes
that exchange-listed DSOs will have
three important advantages over the
contracts that are traded in the OTC
market. First, as a result of greater
standardization of contract terms and
the support of a DPM, the trading
crowd, or a CBOE Lead Market Maker
(‘‘LMM’’), Exchange-listed contracts
could develop substantial liquidity.
Second, counter-party credit risk is
mitigated by the fact that the contracts
are issued and guaranteed by OCC.
Finally, the price discovery and
dissemination provided by the CBOE
and its members will lead to more
transparent markets. CBOE’s ability to
offer DSOs would aid it in competing
with the OTC market and at the same
time expand the universe of listed
products available to interested market
participants.
The Exchange represents that it will
have surveillance procedures that are
adequate to monitor trading activity in
DSOs. In this respect, the Exchange
intends to monitor trading activity in
DSOs like any other option series listed
in that same index option class.
2. Statutory Basis
jlentini on PROD1PC65 with NOTICES
The Exchange believes that the
introduction of the new DSO series
provides investors with a valuable
hedging tool that will be traded on a
listed exchange. For these reasons, the
Exchange believes that the proposed
rule change is consistent with section 6
of the Act 16 in general and, in
particular, with section 6(b)(5) 17 in that
it is designed to promote just and
equitable principles of trade as well as
to protect investors and the public
interest.
Exchange Traded Equity and Index Options); and
34203 (June 13, 1994), 59 FR 31658 (June 20, 1004)
(CBOE Foreign Currency Flex Options, which
incorporates by reference the findings of Securities
Exchange Act Release No. 31920 (February 24,
1993), 58 FR 12280 (March 3, 1993)).
16 15 U.S.C. 78(f).
17 15 U.S.C. 78(f)(b)(5).
VerDate Aug<31>2005
17:00 Sep 14, 2007
Jkt 211001
B. Self-Regulatory Organization’s
Statement on Burden on Competition
CBOE does not believe that the
proposed rule change will impose any
burden on competition that is not
necessary or appropriate in furtherance
of the purposes of the Act.
C. Self-Regulatory Organization’s
Statement on Comments on the
Proposed Rule Change Received from
Members, Participants, or Others
No written comments were solicited
or received with respect to the proposed
rule change.
III. 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 CBOE 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.
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:
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 CBOE. 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–CBOE–2006–90 and should
be submitted on or before October 9,
2007.
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.18
Jill M. Peterson,
Assistant Secretary.
[FR Doc. E7–18216 Filed 9–14–07; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
Release No. 34–56380; File No. SR–CBOE–
2007–105]
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an e-mail to rulecomments@sec.gov. Please include File
Number SR–CBOE–2006–90 on the
subject line.
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Notice of Filing and
Immediate Effectiveness of Proposed
Rule Change to Amend its Rules
Pertaining to the Contract Multiplier for
Credit Default Options
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–CBOE–2006–90. 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 (https://www.sec.gov/
rules/sro.shtml). Copies of the
submission, all subsequent
Pursuant to section 19(b)(1) of the
Securities Exchange Act of 1934 (the
‘‘Act’’) 1 and Rule 19b–4 thereunder,2
notice is hereby given that on
September 7, 2007, the Chicago Board
Options Exchange, Incorporated
(‘‘Exchange’’ or ‘‘CBOE’’) 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 substantially by the Exchange.
The Exchange filed the proposal as a
‘‘non-controversial’’ proposed rule
PO 00000
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Fmt 4703
Sfmt 4703
September 10, 2007.
18 17
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
1 15
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Federal Register / Vol. 72, No. 179 / Monday, September 17, 2007 / Notices
change pursuant to section 19(b)(3)(A)
of the Act 3 and Rule 19b–4(f)(6)
thereunder,4 which renders the proposal
effective upon filing with the
Commission.5 The Commission is
publishing this notice to solicit
comments on the proposed rule change
from interested persons.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
The Exchange proposes to amend its
rules pertaining to the applicable
contract multiplier for Credit Default
Options (‘‘CDOs’’). The text of the
proposed rule change is available on the
Exchange’s Web site (https://
www.cboe.org/Legal), at the Exchange’s
principal office, and at the Commission.
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 those
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 the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The Exchange recently received
approval to list and trade CDOs,6 which
are binary call options based on Credit
Events 7 in one or more debt securities
of an issuer or guarantor. If the
Exchange confirms a Credit Event, a
CDO would be subject to automatic
exercise and a fixed cash settlement
amount payment of $100,000 per
3 15
U.S.C. 78s(b)(3)(A).
CFR 240.19b–4(f)(6).
5 CBOE gave the Commission written notice of its
intent to file the proposed rule change on August
30, 2007.
6 See Securities Exchange Act Release No. 55871
(June 6, 2007), 72 FR 32372 (June 12, 2007) (SR–
CBOE–2006–84).
7 A ‘‘Credit Event’’ occurs when an issuer or
guarantor has a Failure-to-Pay Default on, any other
Event of Default on, and/or a Restructuring of the
Relevant Obligation(s). Failure-to-Pay Defaults,
Events of Default, and Restructurings are defined in
accordance with the terms of the Relevant
Obligation(s) and are subject to certain minimum
threshold amounts provided in Rule 29.1(c). The
‘‘Relevant Obligations’’ are the debt security
obligation(s) of the issuer or guarantor that underlie
a CDO. See Rules 29.1(c).
jlentini on PROD1PC65 with NOTICES
4 17
VerDate Aug<31>2005
17:00 Sep 14, 2007
Jkt 211001
contract. The $100,000 is equal to a
fixed exercise settlement value of $100
multiplied by a fixed contract multiplier
of 1,000.
The purpose of this rule change is to
modify the rule provisions pertaining to
CDO contract multipliers to permit the
Exchange to vary the particular contract
multiplier term on a class-by-class basis
within a range of 1 to 1,000.8 The
exercise settlement value would remain
fixed at $100. Thus, a given CDO class
could have a cash settlement amount
ranging from $100 per contract (equal to
an exercise settlement value of $100
multiplied by a contract multiplier of 1)
to $100,000 per contract (equal to an
exercise settlement value of $100
multiplied by a contract multiplier of
1,000). Based on feedback from
members and potential investors, the
Exchange believes it is essential to have
the ability to introduce CDOs where the
contract payout is less than $100,000 in
order to attract liquidity and to better
service customer demands and needs.
In calculating the applicable position
limits and reporting requirements, the
Exchange is proposing that any
‘‘reduced-value’’ CDOs (i.e., CDOs that
have a cash settlement amount that is
less than $100,000 per contract) would
be aggregated with any equivalent fullvalue CDOs and counted by the amount
by which they equal a full-value CDO
contract.9 For example, the Exchange
might determine to list reduced-value
CDOs based on a Failure-to-Pay Default
of the Relevant Obligations of Issuer
ABC using a contract multiplier of 100,
in which case the reduced-value CDO
would be subject to a $10,000 per
contract payout upon confirmation of a
Failure-to-Pay Default ($100 multiplied
by 100, which is 1⁄10th the value of a
full-value CDO). The applicable position
limits and reporting requirements
would be equivalent to the reducedvalue contract factor multiplied by the
applicable position limits for a fullvalue option on the same broad-based
index. Using the example above, the
position limits for the reduced-value
CDOs (1⁄10th full-value) would be 50,000
contracts, which is equal to the
applicable reduced-value factor (10)
multiplied by the applicable position
limit for a full-value CDO class (5,000
contracts).10 Likewise, the hedge
8 See proposed change to Rule 29.1(a) and
corresponding change to Rule 29.9(e).
9 See proposed changes to Rules 29.5(a) and 29.6.
10 As indicated above, positions in reduced-value
CDOs would be aggregated with positions in
equivalent full-value CDOs for purposes of
calculating position limit and reporting
requirements. For example, if a CDO is reduced by
one-tenth, ten reduced-value CDO contracts would
equal one full-value contract. If a CDO is reduced
PO 00000
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Fmt 4703
Sfmt 4703
52949
reporting requirements would be 10,000
contracts, which is equal to the
applicable factor (10) multiplied by the
applicable reporting level for a fullvalue CDO class (1,000 contracts).
2. Statutory Basis
The Exchange believes the proposed
rule change is consistent with the Act
and the rules and regulations under the
Act applicable to national securities
exchanges. Specifically, the Exchange
believes the proposed rule change is
consistent with the Section 6(b)(5) of the
Act,11 which requires that the rules of
an exchange be designed to promote just
and equitable principles of trade, to
prevent fraudulent and manipulative
acts, to remove impediments to and to
perfect the mechanism of a free and
open market and a national market
system, and, in general, to protect
investors and the public interest.
B. Self-Regulatory Organization’s
Statement on Burden on Competition
CBOE 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 neither solicited nor
received comments on the proposal.
III. Date of Effectiveness of the
Proposed Rule Change and Timing for
Commission Action
Because the foregoing rule does not (i)
significantly affect the protection of
investors or the public interest; (ii)
impose any significant burden on
competition; and (iii) become operative
for 30 days from the date on which it
was filed, or such shorter time as the
Commission may designate if consistent
with the protection of investors and the
public interest, provided that the selfregulatory organization has given the
Commission written notice of its intent
to file the proposed rule change at least
five business days prior to the date of
filing of the proposed rule change or
such shorter time as designated by the
Commission, the proposed rule change
has become effective pursuant to section
19(b)(3)(A) of the Act 12 and Rule 19b–
4(f)(6) thereunder.13
At any time within 60 days of the
filing of such proposed rule change, the
by one-fifth, five reduced-value CDO contracts
would equal one full-value CDO contract.
11 15 U.S.C. 78f(b)(5).
12 15 U.S.C. 78s(b)(3)(A).
13 17 CFR 240.19b–4(f)(6).
E:\FR\FM\17SEN1.SGM
17SEN1
52950
Federal Register / Vol. 72, No. 179 / Monday, September 17, 2007 / Notices
Commission may summarily abrogate
such rule change if it appears to the
Commission that such action is
necessary or appropriate in the public
interest, for the protection of investors,
or otherwise in furtherance of the
purposes of the Act.
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:
jlentini on PROD1PC65 with NOTICES
Electronic Comments
• Use the Commission’s Internet
comment form (https://www.sec.gov/
rules/sro.shtml); or
• Send an e-mail to rulecomments@sec.gov. Please include File
Number SR–CBOE–2007–105 on the
subject line.
should be submitted on or before
October 9, 2007.
For the Commission, by the Division of
Market Regulation, pursuant to delegated
authority.14
Jill M. Peterson,
Assistant Secretary.
[FR Doc. E7–18217 Filed 9–14–07; 8:45 am]
BILLING CODE 8010–01–P
SMALL BUSINESS ADMINISTRATION
[Disaster Declaration #11019 and #11020]
Illinois Disaster #IL–00009
U.S. Small Business
Administration.
ACTION: Notice.
AGENCY:
17:00 Sep 14, 2007
Jkt 211001
PO 00000
Frm 00104
Fmt 4703
Sfmt 4703
Homeowners With Credit Available Elsewhere .........................
Homeowners
Without
Credit
Available Elsewhere ..................
Businesses With Credit Available
Elsewhere .................................
Other (Including Non-Profit Organizations) With Credit Available
Elsewhere .................................
Businesses and Non-Profit Organizations Without Credit Available Elsewhere .........................
For Economic Injury:
Businesses & Small Agricultural
Cooperatives Without Credit
Available Elsewhere ..................
6.250
3.125
8.000
5.250
4.000
4.000
The number assigned to this disaster
for physical damage is 110196 and for
economic injury is 110200.
SUMMARY: This is a Notice of the
Presidential declaration of a major
disaster for the State of Illinois (FEMA–
1722–DR), dated 08/30/2007.
Incident: Severe Storms and Flooding.
Paper Comments
Incident Period: 08/07/2007 through
• Send paper comments in triplicate
08/08/2007.
to Nancy M. Morris, Secretary,
Effective Date: 08/30/2007.
Securities and Exchange Commission,
Physical Loan Application Deadline
100 F Street, NE., Washington, DC
Date: 10/29/2007.
20549–1090.
Economic Injury (EIDL) Loan
All submissions should refer to File
Application Deadline Date: 05/30/2008.
Number SR–CBOE–2007–105. This file
ADDRESSES: Submit completed loan
number should be included on the
subject line if e-mail is used. To help the applications to: U.S. Small Business
Administration, Processing and
Commission process and review your
Disbursement Center, 14925 Kingsport
comments more efficiently, please use
only one method. The Commission will Road, Fort Worth, TX 76155.
post all comments on the Commission’s FOR FURTHER INFORMATION CONTACT: A.
Escobar, Office of Disaster Assistance,
Internet Web site (https://www.sec.gov/
U.S. Small Business Administration,
rules/sro.shtml). Copies of the
409 3rd Street, SW., Suite 6050,
submission, all subsequent
Washington, DC 20416.
amendments, all written statements
SUPPLEMENTARY INFORMATION: Notice is
with respect to the proposed rule
hereby given that as a result of the
change that are filed with the
President’s major disaster declaration on
Commission, and all written
08/30/2007, applications for disaster
communications relating to the
loans may be filed at the address listed
proposed rule change between the
Commission and any person, other than above or other locally announced
locations.
those that may be withheld from the
The following areas have been
public in accordance with the
determined to be adversely affected by
provisions of 5 U.S.C. 552, will be
the disaster:
available for inspection and copying in
the Commission’s Public Reference
Primary Counties (Physical Damage and
Room, 100 F Street, NE., Washington,
Economic Injury Loans):
DC 20549, on official business days
Stephenson, Winnebago.
between the hours of 10 a.m. and 3 p.m. Contiguous Counties (Economic Injury
Copies of such filing also will be
Loans Only):
available for inspection and copying at
Illinois: Boone, Carroll, DeKalb,
the principal office of the CBOE. All
JoDaviess, Ogle.
comments received will be posted
Wisconsin: Green, Lafayette, Rock.
without change; the Commission does
The Interest Rates are:
not edit personal identifying
information from submissions. You
Percent
should submit only information that
you wish to make available publicly. All For Physical Damage:
submissions should refer to File
14 17 CFR 200.30–3(a)(12).
Number SR–CBOE–2007–105 and
VerDate Aug<31>2005
Percent
(Catalog of Federal Domestic Assistance
Numbers 59002 and 59008)
Herbert L. Mitchell,
Associate Administrator for Disaster
Assistance.
[FR Doc. 07–4451 Filed 9–14–07; 8:45 am]
BILLING CODE 8025–01–M
SMALL BUSINESS ADMINISTRATION
[Disaster Declaration #11004 and #11005]
Minnesota Disaster Number MN–00011
Small Business Administration.
Amendment 3.
AGENCY:
ACTION:
SUMMARY: This is an amendment of the
Presidential declaration of a major
disaster for the State of Minnesota
(FEMA–1717–DR), dated 08/23/2007.
Incident: Severe Storms and Flooding.
Incident Period: 08/18/2007 through
08/31/2007.
Effective Date: 09/04/2007.
Physical Loan Application Deadline
Date: 10/22/2007.
EIDL Loan Application Deadline Date:
05/23/2008.
ADDRESSES: Submit completed loan
applications to: U.S. Small Business
Administration, Processing and
Disbursement Center, 14925 Kingsport
Road, Fort Worth, TX 76155.
FOR FURTHER INFORMATION CONTACT: A.
Escobar, Office of Disaster Assistance,
U.S. Small Business Administration,
409 3rd Street, SW., Suite 6050,
Washington, DC 20416.
SUPPLEMENTARY INFORMATION: The notice
of the Presidential disaster declaration
for the State of Minnesota, dated 08/23/
2007 is hereby amended to include the
following areas as adversely affected by
the disaster:
Primary Counties: Dodge.
E:\FR\FM\17SEN1.SGM
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]]>Agencies
[Federal Register Volume 72, Number 179 (Monday, September 17, 2007)]
[Notices]
[Pages 52948-52950]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E7-18217]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
Release No. 34-56380; File No. SR-CBOE-2007-105]
Self-Regulatory Organizations; Chicago Board Options Exchange,
Incorporated; Notice of Filing and Immediate Effectiveness of Proposed
Rule Change to Amend its Rules Pertaining to the Contract Multiplier
for Credit Default Options
September 10, 2007.
Pursuant to section 19(b)(1) of the Securities Exchange Act of 1934
(the ``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given
that on September 7, 2007, the Chicago Board Options Exchange,
Incorporated (``Exchange'' or ``CBOE'') 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
substantially by the Exchange. The Exchange filed the proposal as a
``non-controversial'' proposed rule
[[Page 52949]]
change pursuant to section 19(b)(3)(A) of the Act \3\ and Rule 19b-
4(f)(6) thereunder,\4\ which renders the proposal effective upon filing
with the Commission.\5\ The Commission is publishing this notice to
solicit comments on the proposed rule change from interested persons.
---------------------------------------------------------------------------
\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4.
\3\ 15 U.S.C. 78s(b)(3)(A).
\4\ 17 CFR 240.19b-4(f)(6).
\5\ CBOE gave the Commission written notice of its intent to
file the proposed rule change on August 30, 2007.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to amend its rules pertaining to the
applicable contract multiplier for Credit Default Options (``CDOs'').
The text of the proposed rule change is available on the Exchange's Web
site (https://www.cboe.org/Legal), at the Exchange's principal office,
and at the Commission.
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 those 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 the
Statutory Basis for, the Proposed Rule Change
1. Purpose
The Exchange recently received approval to list and trade CDOs,\6\
which are binary call options based on Credit Events \7\ in one or more
debt securities of an issuer or guarantor. If the Exchange confirms a
Credit Event, a CDO would be subject to automatic exercise and a fixed
cash settlement amount payment of $100,000 per contract. The $100,000
is equal to a fixed exercise settlement value of $100 multiplied by a
fixed contract multiplier of 1,000.
---------------------------------------------------------------------------
\6\ See Securities Exchange Act Release No. 55871 (June 6,
2007), 72 FR 32372 (June 12, 2007) (SR-CBOE-2006-84).
\7\ A ``Credit Event'' occurs when an issuer or guarantor has a
Failure-to-Pay Default on, any other Event of Default on, and/or a
Restructuring of the Relevant Obligation(s). Failure-to-Pay
Defaults, Events of Default, and Restructurings are defined in
accordance with the terms of the Relevant Obligation(s) and are
subject to certain minimum threshold amounts provided in Rule
29.1(c). The ``Relevant Obligations'' are the debt security
obligation(s) of the issuer or guarantor that underlie a CDO. See
Rules 29.1(c).
---------------------------------------------------------------------------
The purpose of this rule change is to modify the rule provisions
pertaining to CDO contract multipliers to permit the Exchange to vary
the particular contract multiplier term on a class-by-class basis
within a range of 1 to 1,000.\8\ The exercise settlement value would
remain fixed at $100. Thus, a given CDO class could have a cash
settlement amount ranging from $100 per contract (equal to an exercise
settlement value of $100 multiplied by a contract multiplier of 1) to
$100,000 per contract (equal to an exercise settlement value of $100
multiplied by a contract multiplier of 1,000). Based on feedback from
members and potential investors, the Exchange believes it is essential
to have the ability to introduce CDOs where the contract payout is less
than $100,000 in order to attract liquidity and to better service
customer demands and needs.
---------------------------------------------------------------------------
\8\ See proposed change to Rule 29.1(a) and corresponding change
to Rule 29.9(e).
---------------------------------------------------------------------------
In calculating the applicable position limits and reporting
requirements, the Exchange is proposing that any ``reduced-value'' CDOs
(i.e., CDOs that have a cash settlement amount that is less than
$100,000 per contract) would be aggregated with any equivalent full-
value CDOs and counted by the amount by which they equal a full-value
CDO contract.\9\ For example, the Exchange might determine to list
reduced-value CDOs based on a Failure-to-Pay Default of the Relevant
Obligations of Issuer ABC using a contract multiplier of 100, in which
case the reduced-value CDO would be subject to a $10,000 per contract
payout upon confirmation of a Failure-to-Pay Default ($100 multiplied
by 100, which is \1/10\th the value of a full-value CDO). The
applicable position limits and reporting requirements would be
equivalent to the reduced-value contract factor multiplied by the
applicable position limits for a full-value option on the same broad-
based index. Using the example above, the position limits for the
reduced-value CDOs (\1/10\th full-value) would be 50,000 contracts,
which is equal to the applicable reduced-value factor (10) multiplied
by the applicable position limit for a full-value CDO class (5,000
contracts).\10\ Likewise, the hedge reporting requirements would be
10,000 contracts, which is equal to the applicable factor (10)
multiplied by the applicable reporting level for a full-value CDO class
(1,000 contracts).
---------------------------------------------------------------------------
\9\ See proposed changes to Rules 29.5(a) and 29.6.
\10\ As indicated above, positions in reduced-value CDOs would
be aggregated with positions in equivalent full-value CDOs for
purposes of calculating position limit and reporting requirements.
For example, if a CDO is reduced by one-tenth, ten reduced-value CDO
contracts would equal one full-value contract. If a CDO is reduced
by one-fifth, five reduced-value CDO contracts would equal one full-
value CDO contract.
---------------------------------------------------------------------------
2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
the Act and the rules and regulations under the Act applicable to
national securities exchanges. Specifically, the Exchange believes the
proposed rule change is consistent with the Section 6(b)(5) of the
Act,\11\ which requires that the rules of an exchange be designed to
promote just and equitable principles of trade, to prevent fraudulent
and manipulative acts, to remove impediments to and to perfect the
mechanism of a free and open market and a national market system, and,
in general, to protect investors and the public interest.
---------------------------------------------------------------------------
\11\ 15 U.S.C. 78f(b)(5).
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B. Self-Regulatory Organization's Statement on Burden on Competition
CBOE 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 neither solicited nor received comments on the
proposal.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
Because the foregoing rule does not (i) significantly affect the
protection of investors or the public interest; (ii) impose any
significant burden on competition; and (iii) become operative for 30
days from the date on which it was filed, or such shorter time as the
Commission may designate if consistent with the protection of investors
and the public interest, provided that the self-regulatory organization
has given the Commission written notice of its intent to file the
proposed rule change at least five business days prior to the date of
filing of the proposed rule change or such shorter time as designated
by the Commission, the proposed rule change has become effective
pursuant to section 19(b)(3)(A) of the Act \12\ and Rule 19b-4(f)(6)
thereunder.\13\
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\12\ 15 U.S.C. 78s(b)(3)(A).
\13\ 17 CFR 240.19b-4(f)(6).
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At any time within 60 days of the filing of such proposed rule
change, the
[[Page 52950]]
Commission may summarily abrogate such rule change if it appears to the
Commission that such action is necessary or appropriate in the public
interest, for the protection of investors, or otherwise in furtherance
of the purposes of the Act.
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 (https://
www.sec.gov/rules/sro.shtml); or
Send an e-mail to rule-comments@sec.gov. Please include
File Number SR-CBOE-2007-105 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-CBOE-2007-105. 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 (https://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 CBOE. 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-CBOE-2007-105 and should be
submitted on or before October 9, 2007.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\14\
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\14\ 17 CFR 200.30-3(a)(12).
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Jill M. Peterson,
Assistant Secretary.
[FR Doc. E7-18217 Filed 9-14-07; 8:45 am]
BILLING CODE 8010-01-P
