Self-Regulatory Organizations; Philadelphia Stock Exchange, Inc.; Notice of Filing of a Proposed Rule Change, as Modified by Amendment No. 1 Thereto, Relating to U.S. Dollar-Settled FCO Spot Prices, 10503-10505 [E8-3668]

Download as PDF Federal Register / Vol. 73, No. 39 / Wednesday, February 27, 2008 / Notices approximately 1845 burden hours. The total compliance cost for the respondents is approximately $103,781.25, resulting in a cost of compliance for the respondent per response of approximately $109.82 (i.e., $103,781.25/945 responses). Written comments are invited on: (a) Whether the proposed collection of information is necessary for the proper performance of the functions of the Commission, including whether the information shall have practical utility; (b) the accuracy of the Commission’s estimates of the burden of the proposed collection of information; (c) ways to enhance the quality, utility, and clarity of the information to be collected; and (d) ways to minimize the burden of the collection of information on respondents, including through the use of automated collection techniques or other forms of information technology. Consideration will be given to comments and suggestions submitted in writing within 60 days of this publication. Comments should be directed to: R. Corey Booth, Director/Chief Information Officer, Securities and Exchange Commission, C/O Shirley Martinson, 6432 General Green Way, Alexandria, Virginia 22312 or send an e-mail to: PRA_Mailbox@sec.gov. Comments must be submitted within 60 days of this notice. Dated: February 19, 2008. Florence E. Harmon, Deputy Secretary. [FR Doc. E8–3669 Filed 2–26–08; 8:45 am] BILLING CODE 8011–01–P SECURITIES AND EXCHANGE COMMISSION [Release No. 34–57361; File No. SR-Phlx2008–06] Self-Regulatory Organizations; Philadelphia Stock Exchange, Inc.; Notice of Filing of a Proposed Rule Change, as Modified by Amendment No. 1 Thereto, Relating to U.S. DollarSettled FCO Spot Prices jlentini on PROD1PC65 with NOTICES February 20, 2008. Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 (‘‘Act’’) 1 and Rule 19b-4 thereunder,2 notice is hereby given that on January 28, 2008, the Philadelphia Stock Exchange, Inc. (‘‘Phlx’’ or ‘‘Exchange’’) filed with the Securities and Exchange Commission (‘‘Commission’’) the proposed rule change as described in 1 15 2 17 U.S.C. 78s(b)(1). CFR 240.19b-4. VerDate Aug<31>2005 19:49 Feb 26, 2008 Items I, II and III below, which Items have been substantially prepared by the Exchange. On February 19, 2008, the Exchange filed Amendment No. 1 to the proposed rule change. The Commission is publishing this notice to solicit comments on the proposed rule change, as amended, from interested persons. I. Self-Regulatory Organization’s Statement of the Terms of Substance of the Proposed Rule Change The Phlx proposes to amend Exchange Rules 722, ‘‘Margin Accounts,’’ 1000, ‘‘Applicability, Definitions and References,’’ and 1012, ‘‘Series of Options Open for Trading.’’ These amendments are proposed in order to change the term ‘‘Spot Sales Price’’ in Rule 1000(b)(16) to ‘‘Spot Price’’ (the term ‘‘Spot Price’’ will be used hereafter in this proposed rule change), and to amend the definition of Spot Price so that it may include foreign currency quotes of entities other than commercial banks. Specifically, the Exchange wishes to use certain bid and ask prices (‘‘Thomson Quotes’’) provided by Tenfore Systems Limited (‘‘Tenfore’’) 3 through Thomson Financial, LLC (‘‘Thomson’’) as Spot Prices commencing April 1, 2008. The Exchange is proposing that these new Spot Prices will be used by the Exchange in determining applicable margin requirements and strike prices for the Exchange’s U.S. dollar-settled foreign currency options (‘‘FCOs’’). The text of the proposed rule change is available on the Exchange’s Web site at https://www.Phlx.com/exchange/ phlx_rule_fil.html, at the Exchange, and at the Commission’s Public Reference Room. II. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change In its filing with the Commission, the Exchange included statements concerning the purpose of, and basis for, the proposed rule change. The text of these statements may be examined at the places specified in Item IV below. The Exchange has prepared summaries, set forth in Sections A, B, and C below, of the most significant aspects of such statements. 3 Tenfore is an independent provider of globally sourced real time market data. Jkt 214001 PO 00000 Frm 00086 Fmt 4703 Sfmt 4703 10503 A. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory Basis for, the Proposed Rule Change 1. Purpose The purpose of the proposed rule change is to permit the Exchange to use the Thomson Quotes as the Spot Prices that will be the basis for calculating Phlx’s current spot price of foreign currencies for various purposes. The current spot price is used by the Exchange in connection with its determination of strike prices and margin requirements for its FCO contracts.4 The Exchange is required pursuant to Rule 1012, ‘‘Series of Options Open for Trading,’’ to refer to the spot prices of foreign currencies in determining strike prices for U.S. dollar-settled FCOs.5 Rule 722, ‘‘Margin Accounts,’’ requires the Exchange to establish margin requirements for FCO transactions based upon the spot price of the foreign currency underlying the option, and defines the term ‘‘current spot market price’’ in subsection (a) of that rule. Currently, the Exchange receives Spot Prices which are contributor bank quotes from a vendor 6 in real-time and 4 As noted above, the Exchange is substituting the term ‘‘Spot Prices’’ for the defined term ‘‘Spot Sales Prices’’ in Rule 1000(b)(16), as a clarification that this defined term includes both bids and offers made by participants in the foreign currency markets (as opposed to offers only). 5 Commentary .06 of Rule 1012 provides that the Exchange will initially list exercise strike prices for each expiration of U.S. dollar settled options on currencies other than the Japanese yen within a ten percent band around the current spot price at halfcent ($.005) intervals. It provides that as the spot price for U.S. dollar settled FCO moves, the Exchange will list new strike prices that, at the time of listing, do not exceed the spot price by more than 5% and are not less than the spot price by 5%. Commentary .06 provides that with respect to U.S. dollar-settled options on the Japanese yen, the Exchange will initially list exercise strike prices for each expiration within a ten percent band around the current spot price, at intervals of $.00005. Similarly, Commentary .07 provides that the exercise price of each series of FCOs opened for trading on the Exchange normally shall be fixed at a price per unit which is reasonably close to the spot sales price per unit of the underlying foreign currency in the interbank foreign exchange market at or before the time such series of options is first opened for trading on the Exchange, as determined by finding the arithmetic mean of the spot sales prices at or about such time quoted by a group of commercial banks selected for this purpose by the Exchange. 6 The vendor currently used by the Exchange is Reuters. For the current FCO spot price associated with physical delivery FCOs, Phlx receives raw contributor bid and ask spot quotes from approximately 21 different bank contributors via a Reuters real-time FX feed throughout the trading day. When the bid and ask are received from the Reuters feed, the Exchange computes the average and distributes that value as the foreign currency spot value over the facilities of the Options Price E:\FR\FM\27FEN1.SGM Continued 27FEN1 10504 Federal Register / Vol. 73, No. 39 / Wednesday, February 27, 2008 / Notices jlentini on PROD1PC65 with NOTICES takes the weighted average of the various quotes, to determine the Phlx’s foreign currency spot price.7 The Exchange now wishes to amend the definition of Spot Prices so that it can use the Thomson Quotes, which are not limited to quotes from banks but also include quotes from other foreign currency market participants, as Spot Prices for the setting of margin requirements and strike prices and for any other necessary purposes in connection with Phlx’s FCO contracts.8 Tenfore has more than 21 contributors reporting, consisting of banks, spot currency portals, the European Central Bank, and brokers. The list of the primary contributors to Tenfore includes Dresdner Frankfurt, Dresdner Singapore, OHV, Tullett Prebon, Allied Irish Bank, Barclays, CMC Markets (US), LLC, European Central Bank, Merita Bank, OKO Bank, Sampo, Saxo Bank, Trinkaus, UBS, Khanani & Kallia, Realtime Forex Geneva, Rada Forex NY, Reems UAE and HotSpot Fxi. Tenfore’s bid and ask Spot Prices are at any given point in time the latest bid and ask supplied to Tenfore by the last in time of any Tenfore contributor to report. Under the current proposal, the Exchange would receive the latest Thomson Quotes from Thomson, which in turn obtains this data from Tenfore. With the exception of Japanese yen, the Exchange would then calculate the average of the bid and ask received to determine the current spot market price that the Exchange will use for purposes of calculating margin requirements and strike prices with respect to U.S. dollarsettled FCO contracts. Because the Thomson Quote is expressed differently for the Japanese yen than for the other currencies (in foreign currency units per Reporting Authority (‘‘OPRA’’) to vendors and individual customers. The value is disseminated whenever a contributor quote causes a recalculation of the foreign currency spot value. The Exchange will cease disseminating this foreign currency spot value after March 14, 2008, in connection with its planned delisting of its physical delivery FCO contracts. The Exchange will cease receiving bank quotes from Reuters as effective April 1, 2008. See Securities Exchange Act Release No. 56949 (December 12, 2007), 72 FR 71720 (December 18, 2007) (SR–OPRA–2007–03). 7 Phlx spot prices are a weighted average of a minimum of two and up to five of the most recent contributor quotes. If there are less than two contributor quotes, spot prices will not be calculated and disseminated. Contributor quotes greater than three minutes old are discarded. Newer contributor quotes (less than one minute old) are given the greatest weighting. Spots are recalculated and disseminated for each contributor quote received. 8 The Exchange is also proposing to amend Rule 722 such that the current spot market price of an underlying foreign currency shall be determined using spot prices at 4:00 (the close of trading for U.S. dollar-settled FCOs) rather than 2:30 (the close of trading for physical delivery FCOs). VerDate Aug<31>2005 19:49 Feb 26, 2008 Jkt 214001 U.S. dollar rather than in U.S. dollars per unit of foreign currency) the spot price that Phlx will use for the Japanese yen will be the inverse of the average of the Thomson Quote bid and ask (that is, one divided by the average of the Thomson Quote bid and ask). The Exchange would not disseminate the current spot market value it calculates based upon the Thomson Quotes. However, the Exchange currently does, and will continue to, disseminate its modified spot value— also based upon the Thomson Quotes— real-time over Network B of the Consolidated Tape Association.9 This modified spot value is more widely distributed, carried by more vendors, and more easily accessible than the Exchange’s current foreign currency spot market price calculated on the basis of the bank quotes provided by Reuters. The proposed process of calculating the average between the latest single bid and offer received is different from the process the Exchange currently uses to calculate a spot price. However, based on past experience, the Exchange believes that the methods of calculating the current and the proposed Phlx Spot Price, over time, would produce minor differences. To make this determination, the Exchange conducted an analysis using a statistical testing technique (a two-tail difference of means) from August 3, 2007 to November 30, 2007. The t-statistic and p-value were such that the Exchange could conclude there is no significant difference between the Phlx Spot Price calculated using bank quotes from the Exchange’s current vendor and the Phlx Spot Price calculated using the Thomson Quotes. The Exchange believes that the Thomson Quotes provide a reliable basis for determining a Phlx Spot Price which is representative of foreign currency spot market prices. 2. Statutory Basis The Exchange believes that its proposal is consistent with Section 6(b) 9 The Exchange currently disseminates, over the facilities of the Consolidated Tape Association at least once every fifteen seconds while the Exchange is open for trading, a modified spot rate for currencies underlying U.S. dollar-settled FCOs. The Exchange does not propose to change the modified spot rate in this proposed rule change. In the proposed rule changes filed by the Exchange for the modified spot rate, the Exchange stated that the modified spot rate would be disseminated over the facilities of the Consolidated Tape Association at least once every fifteen seconds while the Exchange is open for trading, but would not otherwise amend or affect the Exchange’s existing rules governing U.S. dollar-settled FCOs. See Securities Exchange Act Release Nos. 55513 (March 22, 2007), 72 FR 14636 (March 28, 2007) (SR–Phlx–2007–28) and 56034 (July 10, 2007), 72 FR 38853 (July 16, 2007) (SR–Phlx–2007–34). PO 00000 Frm 00087 Fmt 4703 Sfmt 4703 of the Act,10 in general, and furthers the objectives of Section 6(b)(5) of the Act,11 in particular, in that it is designed to promote just and equitable principles of trade, to remove impediments to and perfect the mechanism of a free and open market and a national market system, and, in general to protect investors and the public interest. 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 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 either solicited or received. III. Date of Effectiveness of the Proposed Rule Change and Timing for Commission Action Within 35 days of the date of publication of this notice in the Federal Register or within such longer period (i) as the Commission may designate up to 90 days of such date if it finds such longer period to be appropriate and publishes its reasons for so finding or (ii) as to which the Exchange 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: 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–Phlx–2008–06 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. 10 15 11 15 E:\FR\FM\27FEN1.SGM U.S.C. 78f(b). U.S.C. 78f(b)(5). 27FEN1 Federal Register / Vol. 73, No. 39 / Wednesday, February 27, 2008 / Notices All submissions should refer to File Number SR–Phlx–2008–06. 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, on official business days between the hours of 10 a.m. and 3 p.m. 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–Phlx– 2008–06 and should be submitted on or before March 19, 2008. For the Commission, by the Division of Trading and Markets, pursuant to delegated authority.12 Florence E. Harmon, Deputy Secretary. [FR Doc. E8–3668 Filed 2–26–08; 8:45 am] BILLING CODE 8011–01–P SMALL BUSINESS ADMINISTRATION Data Collection Available for Public Comments and Recommendations Notice and request for comments. jlentini on PROD1PC65 with NOTICES ACTION: SUMMARY: In accordance with the Paperwork Reduction Act of 1995, this notice announces the Small Business Administration’s intentions to request approval on a new and/or currently approved information collection. DATES: Submit comments on or before April 28, 2008. ADDRESSES: Send all comments regarding whether this information collection is necessary for the proper performance of the function of the 12 17 CFR 200.30–3(a)(12). VerDate Aug<31>2005 19:49 Feb 26, 2008 Jkt 214001 agency, whether the burden estimates are accurate, and if there are ways to minimize the estimated burden and enhance the quality of the collection, to Robert Dillier, Public Affairs Specialist, Office of Communications, Small Business Administration, 409 3rd Street, SW., 8th Suite 7450, Wash., DC 20416 FOR FURTHER INFORMATION CONTACT: Robert Dillier, Public Affairs Specialist, Office of Communications, 202–205– 6086 robert.dillier@sba.gov. Curtis B. Rich, Management Analyst, 202–205– 7030 curtis.rich@sba.gov. SUPPLEMENTARY INFORMATION: Title: ‘‘U.S. Small Business Administration Advisory Committee Membership-Nominee Information’’. Description of Respondents: To collect information for Candidates for Advisory Council. Form No: 898. Annual Responses: 100. Annual Burden: 100. ADDRESSES: Send all comments regarding whether this information collection is necessary for the proper performance of the function of the agency, whether the burden estimates are accurate, and if there are ways to minimize the estimated burden and enhance the quality of the collection, to Charles Ou, Senior Economist, Office of Advocacy, Small Business Administration, 409 3rd Street, SW., 7th Floor, Wash., DC 20416. FOR FURTHER INFORMATION CONTACT: Charles Ou, Senior Economist, Office of Advocacy, 202–255–6966 charles.ou@sba.gov. Curtis B. Rich, Management Analyst, 202–205–7030 curtis.rich@sba.gov. SUPPLEMENTARY INFORMATION: Title: ‘‘Survey of Small Business Lending Practices’’. Description of Respondents: Senior Executives in banks and thrifts who are knowledgeable about credit risk and lending practices for small business. Form No: 2269. Annual Responses: 1,200. Annual Burden: 300. ADDRESSES: Send all comments regarding whether this information collection is necessary for the proper performance of the function of the agency, whether the burden estimates are accurate, and if there are ways to minimize the estimated burden and enhance the quality of the collection, to Johnny Kitts, Chief, Fund Administration Branch, Office of Investment, Small Business Administration, 409 3rd Street, SW., 6th Floor, Wash., DC 20416. FOR FURTHER INFORMATION CONTACT: Johnny Kitts, Chief, Fund PO 00000 Frm 00088 Fmt 4703 Sfmt 4703 10505 Administration Branch, Office of Investment, 202–205–7587 johnny.kitts@sba.gov. Curtis B. Rich, Management Analyst, 202–205–7030 curtis.rich@sba.gov. SUPPLEMENTARY INFORMATION: Title: ‘‘25–Model Corp. Resol. or GP Certif., 33–Model Letter to Selling Agent, 34–Bank ID, 1065–Appl. Lic. Assure. of Compliance’’. Description of Respondents: Applicants for SBA-Guarantee Leverages. Form No’s: 25, 33, 34, 1065. Annual Responses: 50. Annual Burden: 45. Jacqueline White, Chief, Administrative Information Branch. [FR Doc. E8–3670 Filed 2–26–08; 8:45 am] BILLING CODE 8025–01–P SOCIAL SECURITY ADMINISTRATION Agency Information Collection Activities: Proposed Request and Comment Request The Social Security Administration (SSA) publishes a list of information collection packages that will require clearance by the Office of Management and Budget (OMB) in compliance with Public Law (Pub. L.) 104–13, the Paperwork Reduction Act of 1995, effective October 1, 1995. The information collection packages that may be included in this notice are for new information collections, approval of existing information collections, revisions to OMB-approved information collections and extensions (no change) of OMB-approved information collections. SSA is soliciting comments on the accuracy of the Agency’s burden estimate; the need for the information; its practical utility; ways to enhance its quality, utility and clarity; and on ways to minimize the burden on respondents, including the use of automated collection techniques or other forms of information technology. Written comments and recommendations regarding the information collection(s) should be submitted to the OMB Desk Officer and the SSA Reports Clearance Officer. The information can be mailed, faxed or emailed to the individuals at the addresses and fax numbers listed below: (OMB), Office of Management and Budget, Attn: Desk Officer for SSA, Fax: 202–395–6974, E-mail address: OIRA_Submission@omb.eop.gov. (SSA), Social Security Administration, DCBFM, Attn: Reports Clearance Officer, 1333 Annex Building, E:\FR\FM\27FEN1.SGM 27FEN1

Agencies

SECURITIES AND EXCHANGE COMMISSION

[Federal Register Volume 73, Number 39 (Wednesday, February 27, 2008)]
[Notices]
[Pages 10503-10505]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E8-3668]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-57361; File No. SR-Phlx-2008-06]


Self-Regulatory Organizations; Philadelphia Stock Exchange, Inc.; 
Notice of Filing of a Proposed Rule Change, as Modified by Amendment 
No. 1 Thereto, Relating to U.S. Dollar-Settled FCO Spot Prices

February 20, 2008.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is hereby given that 
on January 28, 2008, the Philadelphia Stock Exchange, Inc. (``Phlx'' 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 substantially prepared by the 
Exchange. On February 19, 2008, the Exchange filed Amendment No. 1 to 
the proposed rule change. The Commission is publishing this notice to 
solicit comments on the proposed rule change, as amended, from 
interested persons.
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    \1\ 15 U.S.C. 78s(b)(1).
    \2\ 17 CFR 240.19b-4.
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I. Self-Regulatory Organization's Statement of the Terms of Substance 
of the Proposed Rule Change

    The Phlx proposes to amend Exchange Rules 722, ``Margin Accounts,'' 
1000, ``Applicability, Definitions and References,'' and 1012, ``Series 
of Options Open for Trading.'' These amendments are proposed in order 
to change the term ``Spot Sales Price'' in Rule 1000(b)(16) to ``Spot 
Price'' (the term ``Spot Price'' will be used hereafter in this 
proposed rule change), and to amend the definition of Spot Price so 
that it may include foreign currency quotes of entities other than 
commercial banks. Specifically, the Exchange wishes to use certain bid 
and ask prices (``Thomson Quotes'') provided by Tenfore Systems Limited 
(``Tenfore'') \3\ through Thomson Financial, LLC (``Thomson'') as Spot 
Prices commencing April 1, 2008. The Exchange is proposing that these 
new Spot Prices will be used by the Exchange in determining applicable 
margin requirements and strike prices for the Exchange's U.S. dollar-
settled foreign currency options (``FCOs''). The text of the proposed 
rule change is available on the Exchange's Web site at https://
www.Phlx.com/exchange/phlx_rule_fil.html, at the Exchange, and at the 
Commission's Public Reference Room.
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    \3\ Tenfore is an independent provider of globally sourced real 
time market data.
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II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

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

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

1. Purpose
    The purpose of the proposed rule change is to permit the Exchange 
to use the Thomson Quotes as the Spot Prices that will be the basis for 
calculating Phlx's current spot price of foreign currencies for various 
purposes. The current spot price is used by the Exchange in connection 
with its determination of strike prices and margin requirements for its 
FCO contracts.\4\
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    \4\ As noted above, the Exchange is substituting the term ``Spot 
Prices'' for the defined term ``Spot Sales Prices'' in Rule 
1000(b)(16), as a clarification that this defined term includes both 
bids and offers made by participants in the foreign currency markets 
(as opposed to offers only).
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    The Exchange is required pursuant to Rule 1012, ``Series of Options 
Open for Trading,'' to refer to the spot prices of foreign currencies 
in determining strike prices for U.S. dollar-settled FCOs.\5\ Rule 722, 
``Margin Accounts,'' requires the Exchange to establish margin 
requirements for FCO transactions based upon the spot price of the 
foreign currency underlying the option, and defines the term ``current 
spot market price'' in subsection (a) of that rule.
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    \5\ Commentary .06 of Rule 1012 provides that the Exchange will 
initially list exercise strike prices for each expiration of U.S. 
dollar settled options on currencies other than the Japanese yen 
within a ten percent band around the current spot price at half-cent 
($.005) intervals. It provides that as the spot price for U.S. 
dollar settled FCO moves, the Exchange will list new strike prices 
that, at the time of listing, do not exceed the spot price by more 
than 5% and are not less than the spot price by 5%. Commentary .06 
provides that with respect to U.S. dollar-settled options on the 
Japanese yen, the Exchange will initially list exercise strike 
prices for each expiration within a ten percent band around the 
current spot price, at intervals of $.00005. Similarly, Commentary 
.07 provides that the exercise price of each series of FCOs opened 
for trading on the Exchange normally shall be fixed at a price per 
unit which is reasonably close to the spot sales price per unit of 
the underlying foreign currency in the interbank foreign exchange 
market at or before the time such series of options is first opened 
for trading on the Exchange, as determined by finding the arithmetic 
mean of the spot sales prices at or about such time quoted by a 
group of commercial banks selected for this purpose by the Exchange.
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    Currently, the Exchange receives Spot Prices which are contributor 
bank quotes from a vendor \6\ in real-time and

[[Page 10504]]

takes the weighted average of the various quotes, to determine the 
Phlx's foreign currency spot price.\7\ The Exchange now wishes to amend 
the definition of Spot Prices so that it can use the Thomson Quotes, 
which are not limited to quotes from banks but also include quotes from 
other foreign currency market participants, as Spot Prices for the 
setting of margin requirements and strike prices and for any other 
necessary purposes in connection with Phlx's FCO contracts.\8\
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    \6\ The vendor currently used by the Exchange is Reuters. For 
the current FCO spot price associated with physical delivery FCOs, 
Phlx receives raw contributor bid and ask spot quotes from 
approximately 21 different bank contributors via a Reuters real-time 
FX feed throughout the trading day. When the bid and ask are 
received from the Reuters feed, the Exchange computes the average 
and distributes that value as the foreign currency spot value over 
the facilities of the Options Price Reporting Authority (``OPRA'') 
to vendors and individual customers. The value is disseminated 
whenever a contributor quote causes a recalculation of the foreign 
currency spot value. The Exchange will cease disseminating this 
foreign currency spot value after March 14, 2008, in connection with 
its planned delisting of its physical delivery FCO contracts. The 
Exchange will cease receiving bank quotes from Reuters as effective 
April 1, 2008. See Securities Exchange Act Release No. 56949 
(December 12, 2007), 72 FR 71720 (December 18, 2007) (SR-OPRA-2007-
03).
    \7\ Phlx spot prices are a weighted average of a minimum of two 
and up to five of the most recent contributor quotes. If there are 
less than two contributor quotes, spot prices will not be calculated 
and disseminated. Contributor quotes greater than three minutes old 
are discarded. Newer contributor quotes (less than one minute old) 
are given the greatest weighting. Spots are recalculated and 
disseminated for each contributor quote received.
    \8\ The Exchange is also proposing to amend Rule 722 such that 
the current spot market price of an underlying foreign currency 
shall be determined using spot prices at 4:00 (the close of trading 
for U.S. dollar-settled FCOs) rather than 2:30 (the close of trading 
for physical delivery FCOs).
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    Tenfore has more than 21 contributors reporting, consisting of 
banks, spot currency portals, the European Central Bank, and brokers. 
The list of the primary contributors to Tenfore includes Dresdner 
Frankfurt, Dresdner Singapore, OHV, Tullett Prebon, Allied Irish Bank, 
Barclays, CMC Markets (US), LLC, European Central Bank, Merita Bank, 
OKO Bank, Sampo, Saxo Bank, Trinkaus, UBS, Khanani & Kallia, Realtime 
Forex Geneva, Rada Forex NY, Reems UAE and HotSpot Fxi. Tenfore's bid 
and ask Spot Prices are at any given point in time the latest bid and 
ask supplied to Tenfore by the last in time of any Tenfore contributor 
to report.
    Under the current proposal, the Exchange would receive the latest 
Thomson Quotes from Thomson, which in turn obtains this data from 
Tenfore. With the exception of Japanese yen, the Exchange would then 
calculate the average of the bid and ask received to determine the 
current spot market price that the Exchange will use for purposes of 
calculating margin requirements and strike prices with respect to U.S. 
dollar-settled FCO contracts. Because the Thomson Quote is expressed 
differently for the Japanese yen than for the other currencies (in 
foreign currency units per U.S. dollar rather than in U.S. dollars per 
unit of foreign currency) the spot price that Phlx will use for the 
Japanese yen will be the inverse of the average of the Thomson Quote 
bid and ask (that is, one divided by the average of the Thomson Quote 
bid and ask).
    The Exchange would not disseminate the current spot market value it 
calculates based upon the Thomson Quotes. However, the Exchange 
currently does, and will continue to, disseminate its modified spot 
value--also based upon the Thomson Quotes--real-time over Network B of 
the Consolidated Tape Association.\9\ This modified spot value is more 
widely distributed, carried by more vendors, and more easily accessible 
than the Exchange's current foreign currency spot market price 
calculated on the basis of the bank quotes provided by Reuters.
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    \9\ The Exchange currently disseminates, over the facilities of 
the Consolidated Tape Association at least once every fifteen 
seconds while the Exchange is open for trading, a modified spot rate 
for currencies underlying U.S. dollar-settled FCOs. The Exchange 
does not propose to change the modified spot rate in this proposed 
rule change. In the proposed rule changes filed by the Exchange for 
the modified spot rate, the Exchange stated that the modified spot 
rate would be disseminated over the facilities of the Consolidated 
Tape Association at least once every fifteen seconds while the 
Exchange is open for trading, but would not otherwise amend or 
affect the Exchange's existing rules governing U.S. dollar-settled 
FCOs. See Securities Exchange Act Release Nos. 55513 (March 22, 
2007), 72 FR 14636 (March 28, 2007) (SR-Phlx-2007-28) and 56034 
(July 10, 2007), 72 FR 38853 (July 16, 2007) (SR-Phlx-2007-34).
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    The proposed process of calculating the average between the latest 
single bid and offer received is different from the process the 
Exchange currently uses to calculate a spot price. However, based on 
past experience, the Exchange believes that the methods of calculating 
the current and the proposed Phlx Spot Price, over time, would produce 
minor differences. To make this determination, the Exchange conducted 
an analysis using a statistical testing technique (a two-tail 
difference of means) from August 3, 2007 to November 30, 2007. The t-
statistic and p-value were such that the Exchange could conclude there 
is no significant difference between the Phlx Spot Price calculated 
using bank quotes from the Exchange's current vendor and the Phlx Spot 
Price calculated using the Thomson Quotes. The Exchange believes that 
the Thomson Quotes provide a reliable basis for determining a Phlx Spot 
Price which is representative of foreign currency spot market prices.
2. Statutory Basis
    The Exchange believes that its proposal is consistent with Section 
6(b) of the Act,\10\ in general, and furthers the objectives of Section 
6(b)(5) of the Act,\11\ in particular, in that it is designed to 
promote just and equitable principles of trade, to remove impediments 
to and perfect the mechanism of a free and open market and a national 
market system, and, in general to protect investors and the public 
interest.
---------------------------------------------------------------------------

    \10\ 15 U.S.C. 78f(b).
    \11\ 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 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 either solicited or received.

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

    Within 35 days of the date of publication of this notice in the 
Federal Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding or (ii) as to 
which the Exchange 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:

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-Phlx-2008-06 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.


[[Page 10505]]


All submissions should refer to File Number SR-Phlx-2008-06. 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, on official business 
days between the hours of 10 a.m. and 3 p.m. 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-
Phlx-2008-06 and should be submitted on or before March 19, 2008.

    For the Commission, by the Division of Trading and Markets, 
pursuant to delegated authority.\12\
---------------------------------------------------------------------------

    \12\ 17 CFR 200.30-3(a)(12).
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Florence E. Harmon,
Deputy Secretary.
 [FR Doc. E8-3668 Filed 2-26-08; 8:45 am]
BILLING CODE 8011-01-P

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