Self-Regulatory Organizations; American Stock Exchange LLC; Notice of Filing of a Proposed Rule Change Relating to Margin Requirements for Fixed Return Options, 48258-48259 [E8-19030]
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48258
Federal Register / Vol. 73, No. 160 / Monday, August 18, 2008 / Notices
FINRA, ISE, NASDAQ, NSX, NYSE,
NYSE Arca, NYSE Regulation, and Phlx.
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 4–566 and should be submitted
on or before September 8, 2008.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.16
Florence E. Harmon,
Acting Secretary.
[FR Doc. E8–19068 Filed 8–15–08; 8:45 am]
BILLING CODE 8010–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–58341; File No. SR–Amex–
2008–60]
Self-Regulatory Organizations;
American Stock Exchange LLC; Notice
of Filing of a Proposed Rule Change
Relating to Margin Requirements for
Fixed Return Options
August 11, 2008.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934, as
amended (‘‘Act’’) 1 and Rule 19b–4
thereunder,2 notice is hereby given that
on July 21, 2008, the American Stock
Exchange LLC (‘‘Amex’’ or ‘‘Exchange’’)
filed with the Securities and Exchange
Commission (‘‘SEC’’ or ‘‘Commission’’)
the proposed rule change as described
in Items I, II and III below, which Items
have been prepared by the Exchange.
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
Rule 462(d)10 to clarify the margin
requirements applicable to Fixed Return
Options (‘‘FROs’’ or ‘‘Fixed Return
Options’’).3
sroberts on PROD1PC70 with NOTICES
16 17
CFR 200.30–3(a)(34).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240. 19b–4.
3 The Exchange commenced the trading of FROs
on May 8, 2008. In August 2007, the Commission
approved the Exchange proposal to list and trade
FROs based on individual stocks and exchangetraded funds (‘‘ETFs’’). See Exchange Act Release
No. 56251 (August 14, 2007), 72 FR 46523 (August
20, 2007). In connection with the ability to trade
FROs, the Options Clearing Corporation (‘‘OCC’’)
also filed proposed rule changes as well as a
revision to the Options Disclosure Document
(‘‘ODD’’). The Commission recently approved the
VerDate Aug<31>2005
16:50 Aug 15, 2008
Jkt 214001
The text of the proposed rule change
is available on the Amex’s Web site at
https://www.amex.com, the Office of the
Secretary, the Amex 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
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. The Amex has
prepared summaries, set forth in
sections A, B, and C below, of the most
significant aspects of such statements.
A. Self-Regulatory Organization’s
Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule
Change
1. Purpose
The purpose of this proposal is to add
clarity regarding the application of FRO
margin requirements in connection with
‘‘spreads’’ and ‘‘straddle/combination’’
strategies. In addition, the proposal also
seeks to clarify the use of ‘‘cover’’ and
a ‘‘cash account’’ in connection with
FROs.
Currently, Rule 462(d)10 is silent
regarding the use of ‘‘spread’’ and
‘‘straddle/combination’’ positions. With
respect to a ‘‘spread’’ position in FROs,
the Amex proposes that no margin be
required on a Finish High 4 FRO (Finish
Low 5 FRO) carried short in a customer’s
account that is offset by a long Finish
High FRO (Finish Low FRO) for the
same underlying security or instrument
that expires at the same time and has an
exercise or strike price that is less than
(greater than) the exercise or strike price
of the short Finish High (Finish Low).
As set forth in Rule 462(d)10(B), the
long Finish High (Finish Low) must be
paid for in full.
In connection with a straddle/
combination, when a Finish High FRO
ODD revisions so that FROs may commence trading
on the Exchange. See Exchange Act Release No.
57744 (April 30, 2008), 73 FR 25072 (May 6, 2008)
(SR–ODD–2008–01). The Commission previously
approved proposed OCC rule changes in December
2007. See Exchange Act Release No. 56875
(November 30, 2007), 72 FR 69274 (December 7,
2007).
4 A ‘‘Finish High’’ FRO is defined in Rule 900
FRO(b)(2) as an option contract which returns $100
if the underlying security closes above the strike
price at expiration.
5 A ‘‘Finish Low’’ FRO is defined in Rule 900
FRO(b)(3) as an option contract which returns $100
if the underlying security closes below the strike
price at expiration.
PO 00000
Frm 00072
Fmt 4703
Sfmt 4703
is carried short in a customer’s account
and there is also carried a short Finish
Low FRO that expires at the same time
and has an exercise price or strike price
that is less than or equal to the exercise
or strike price of the short Finish High,
the initial and maintenance margin
required would be the exercise
settlement amount applicable to one
contract.
With respect to the concept of ‘‘cover’’
the Exchange proposes a clarification
that ‘‘cover’’ is applicable only to ‘‘cash
accounts.’’ In such a case, a FRO carried
short in a customer’s account will be
deemed a covered position, and eligible
for the cash account, if either one of the
following is held in the account at the
time the FRO is written or is received
into the account promptly thereafter:
• Cash or cash equivalents equal to
100% of the exercise settlement amount;
• A long FRO of the same type
(Finish High or Finish Low) for the
same underlying security or instrument
that is paid for in full and expires at the
same time, and has an exercise or strike
price that is less than the exercise or
strike price of the short in the case of
a Finish High or greater than the
exercise or strike price of the short in
the case of a Finish Low; or
• An escrow agreement.
The escrow agreement must certify
that the bank holds for the account of
the customer as security for the
agreement (A) cash, (B) cash
equivalents, (C) one or more qualified
equity securities, or (D) a combination
thereof having an aggregate market
value of not less than 100% of the
exercise settlement amount and that the
bank will promptly pay the member
organization the cash settlement amount
in the event the account is assigned an
exercise notice.
The Exchange believes that the
proposed revision reducing the
customer margin applicable to ‘‘spread’’
and ‘‘straddle/combination’’ positions
in FROs is appropriate because risk
exposure is significantly reduced under
these strategies.
2. Statutory Basis
The Exchange believes that the
proposed rule change is consistent with
Section 6 of the Exchange Act 6 in
general and furthers the objectives of
Section 6(b)(5) 7 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,
6 15
7 15
E:\FR\FM\18AUN1.SGM
U.S.C. 78f(b).
U.S.C. 78f(b)(5).
18AUN1
Federal Register / Vol. 73, No. 160 / Monday, August 18, 2008 / Notices
and to remove impediments to and
perfect the mechanism of a free and
open market and a national market
system. The Exchange believes that the
proposal will benefit the marketplace
and provide market participants with
greater clarity in connection with their
responsibilities in the trading and
handling of FRO transactions.
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.
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 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
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
No. SR–Amex–2008–60 on the subject
line.
sroberts on PROD1PC70 with NOTICES
Paper Comments
• Send paper comments in triplicate
to Secretary, Securities and Exchange
Commission, 100 F Street, NE.,
Washington, DC 20549–1090.
All submissions should refer to File
Number SR–Amex–2008–60. This file
number should be included on the
subject line if e-mail is used. To help the
16:50 Aug 15, 2008
Jkt 214001
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.8
Florence. E. Harmon,
Acting Secretary.
[FR Doc. E8–19030 Filed 8–15–08; 8:45 am]
BILLING CODE 8010–01–P
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:
VerDate Aug<31>2005
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 at (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 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–2008–60 and should
be submitted on or before September 8,
2008.
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–58343; File No. SR–DTC–
2008–06]
Self-Regulatory Organizations; The
Depository Trust Company; Notice of
Filing of Proposed Rule Change as
Amended To Modify End of Day
Settlement Procedures Relating to
Settlement Acknowledgement Cut-off
Time Frames for Settling Banks
August 12, 2008.
Pursuant to Section 19(b)(1) of the
Securities Exchange Act of 1934
(‘‘Act’’),1 notice is hereby given that on
June 19, 2008, The Depository Trust
Company (‘‘DTC’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’) and on August 7, 2008,
amended the proposed rule change as
8 17
1 15
PO 00000
CFR 200.30–3(a)(12).
U.S.C. 78s(b)(1).
Frm 00073
Fmt 4703
Sfmt 4703
48259
described in Items I, II, and III below,
which items have been prepared
primarily by DTC. The Commission is
publishing this notice to solicit
comments on the proposed rule change
as amended from interested parties.
I. Self-Regulatory Organization’s
Statement of the Terms of Substance of
the Proposed Rule Change
DTC is seeking to modify its end of
day settlement procedures relating to
settlement acknowledgement cut-off
timeframes for Settling Banks.2
II. Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
In its filing with the Commission,
DTC 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. DTC has prepared
summaries, set forth in sections (A), (B),
and (C) below, of the most significant
aspects of these statements.3
(A) Self-Regulatory Organization’s
Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule
Change
DTC’s End-of-Day Settlement
Processing controls and coordinates the
settling of Participant accounts and
Settling Bank accounts on DTC’s
systems. The settlement process occurs
through the Fedwire system and is
initiated when DTC posts final figures
for Participants and Settling Banks.
Although the actual settlement process
begins with the posting of the final
settlement figures at approximately 3:45
pm each day,4 DTC operates a
settlement system that provides
Participants and Settling Banks with
online reports throughout the
processing day. These reports reflect
gross debits, gross credits, and the net
debit or credit for each Participant, and
a net-net figure for each Settling Bank.
Settling Banks, which settle for
themselves, may also settle for other
Participants. Currently, cut-off for
Settling Banks to acknowledge their netnet settlement balance or to refuse to
settle for a specific Participant is the
later of 4:30 pm or 30 minutes after netnet settlement balances are first made
2 The term ‘‘Settling Bank’’ means a Participant,
which is a bank or trust company, subject to
supervision or regulation pursuant to Federal or
State banking laws, and a party to an effective
Settling Bank Agreement.
3 The Commission has modified the text of the
summaries prepared by DTC.
4 All times are Eastern Standard Time.
E:\FR\FM\18AUN1.SGM
18AUN1
]]>Agencies
[Federal Register Volume 73, Number 160 (Monday, August 18, 2008)]
[Notices]
[Pages 48258-48259]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E8-19030]
-----------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-58341; File No. SR-Amex-2008-60]
Self-Regulatory Organizations; American Stock Exchange LLC;
Notice of Filing of a Proposed Rule Change Relating to Margin
Requirements for Fixed Return Options
August 11, 2008.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of
1934, as amended (``Act'') \1\ and Rule 19b-4 thereunder,\2\ notice is
hereby given that on July 21, 2008, the American Stock Exchange LLC
(``Amex'' or ``Exchange'') filed with the Securities and Exchange
Commission (``SEC'' or ``Commission'') the proposed rule change as
described in Items I, II and III below, which Items have been prepared
by the Exchange. 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.
---------------------------------------------------------------------------
I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The Exchange proposes to amend Rule 462(d)10 to clarify the margin
requirements applicable to Fixed Return Options (``FROs'' or ``Fixed
Return Options'').\3\
---------------------------------------------------------------------------
\3\ The Exchange commenced the trading of FROs on May 8, 2008.
In August 2007, the Commission approved the Exchange proposal to
list and trade FROs based on individual stocks and exchange-traded
funds (``ETFs''). See Exchange Act Release No. 56251 (August 14,
2007), 72 FR 46523 (August 20, 2007). In connection with the ability
to trade FROs, the Options Clearing Corporation (``OCC'') also filed
proposed rule changes as well as a revision to the Options
Disclosure Document (``ODD''). The Commission recently approved the
ODD revisions so that FROs may commence trading on the Exchange. See
Exchange Act Release No. 57744 (April 30, 2008), 73 FR 25072 (May 6,
2008) (SR-ODD-2008-01). The Commission previously approved proposed
OCC rule changes in December 2007. See Exchange Act Release No.
56875 (November 30, 2007), 72 FR 69274 (December 7, 2007).
---------------------------------------------------------------------------
The text of the proposed rule change is available on the Amex's Web
site at https://www.amex.com, the Office of the Secretary, the Amex 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 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. The Amex has prepared summaries, set forth in sections
A, B, and C below, of the most significant aspects of such statements.
A. Self-Regulatory Organization's Statement of the Purpose of, and the
Statutory Basis for, the Proposed Rule Change
1. Purpose
The purpose of this proposal is to add clarity regarding the
application of FRO margin requirements in connection with ``spreads''
and ``straddle/combination'' strategies. In addition, the proposal also
seeks to clarify the use of ``cover'' and a ``cash account'' in
connection with FROs.
Currently, Rule 462(d)10 is silent regarding the use of ``spread''
and ``straddle/combination'' positions. With respect to a ``spread''
position in FROs, the Amex proposes that no margin be required on a
Finish High \4\ FRO (Finish Low \5\ FRO) carried short in a customer's
account that is offset by a long Finish High FRO (Finish Low FRO) for
the same underlying security or instrument that expires at the same
time and has an exercise or strike price that is less than (greater
than) the exercise or strike price of the short Finish High (Finish
Low). As set forth in Rule 462(d)10(B), the long Finish High (Finish
Low) must be paid for in full.
---------------------------------------------------------------------------
\4\ A ``Finish High'' FRO is defined in Rule 900 FRO(b)(2) as an
option contract which returns $100 if the underlying security closes
above the strike price at expiration.
\5\ A ``Finish Low'' FRO is defined in Rule 900 FRO(b)(3) as an
option contract which returns $100 if the underlying security closes
below the strike price at expiration.
---------------------------------------------------------------------------
In connection with a straddle/combination, when a Finish High FRO
is carried short in a customer's account and there is also carried a
short Finish Low FRO that expires at the same time and has an exercise
price or strike price that is less than or equal to the exercise or
strike price of the short Finish High, the initial and maintenance
margin required would be the exercise settlement amount applicable to
one contract.
With respect to the concept of ``cover'' the Exchange proposes a
clarification that ``cover'' is applicable only to ``cash accounts.''
In such a case, a FRO carried short in a customer's account will be
deemed a covered position, and eligible for the cash account, if either
one of the following is held in the account at the time the FRO is
written or is received into the account promptly thereafter:
Cash or cash equivalents equal to 100% of the exercise
settlement amount;
A long FRO of the same type (Finish High or Finish Low)
for the same underlying security or instrument that is paid for in full
and expires at the same time, and has an exercise or strike price that
is less than the exercise or strike price of the short in the case of a
Finish High or greater than the exercise or strike price of the short
in the case of a Finish Low; or
An escrow agreement.
The escrow agreement must certify that the bank holds for the
account of the customer as security for the agreement (A) cash, (B)
cash equivalents, (C) one or more qualified equity securities, or (D) a
combination thereof having an aggregate market value of not less than
100% of the exercise settlement amount and that the bank will promptly
pay the member organization the cash settlement amount in the event the
account is assigned an exercise notice.
The Exchange believes that the proposed revision reducing the
customer margin applicable to ``spread'' and ``straddle/combination''
positions in FROs is appropriate because risk exposure is significantly
reduced under these strategies.
2. Statutory Basis
The Exchange believes that the proposed rule change is consistent
with Section 6 of the Exchange Act \6\ in general and furthers the
objectives of Section 6(b)(5) \7\ 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,
[[Page 48259]]
and to remove impediments to and perfect the mechanism of a free and
open market and a national market system. The Exchange believes that
the proposal will benefit the marketplace and provide market
participants with greater clarity in connection with their
responsibilities in the trading and handling of FRO transactions.
---------------------------------------------------------------------------
\6\ 15 U.S.C. 78f(b).
\7\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition.
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 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 No. SR-Amex-2008-60 on the subject line.
Paper Comments
Send paper comments in triplicate to Secretary, Securities
and Exchange Commission, 100 F Street, NE., Washington, DC 20549-1090.
All submissions should refer to File Number SR-Amex-2008-60. 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 at (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 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-2008-60 and should be
submitted on or before September 8, 2008.
For the Commission, by the Division of Trading and Markets,
pursuant to delegated authority.\8\
---------------------------------------------------------------------------
\8\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------
Florence. E. Harmon,
Acting Secretary.
[FR Doc. E8-19030 Filed 8-15-08; 8:45 am]
BILLING CODE 8010-01-P
