[Federal Register Volume 60, Number 219 (Tuesday, November 14, 1995)]
[Notices]
[Pages 57255-57256]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 95-27991]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-36458; File No. SR-CBOE-94-53]
Self-Regulatory Organizations; Notice of Filing of Amendments No.
1 to Proposed Rule Change by the Chicago Board Options Exchange, Inc.
Relating to Financial Requirements for Clearing Members
November 6, 1995.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ notice is hereby given that on October 13, 1995, the
Chicago Board Options Exchange, Inc. (``CBOE'' or ``Exchange'') filed
with the Securities and Exchange Commission (``Commission'') Amendment
No. 1 to its previously filed proposed rule change as described in
Items I, II, and III below, which Items have been prepared by the
CBOE.\2\ The Commission is publishing this notice to solicit comments
on the amendment to the proposed rule change from interested persons.
\1\ 15 U.S.C. Sec. 78s(b)(1) (1988).
\2\ The proposed rule change was noticed for comment in
Securities Exchange Act Release No. 35282 (February 2, 1995), 60 FR
6577.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The CBOE proposes to make certain minor changes to the proposed
rule change previously filed relating to financial requirements for
clearing members.
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 self-regulatory organization
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 self-regulatory organization
has prepared summaries, set forth in Sections (A), (B) and (C) below,
of the most significant aspects of such statements as they pertain to
the proposed amendment.\3\
\3\ A summary of the Exchange's statements concerning the
purpose and statutory basis of the proposed rule change is contained
in the notice of its filing, supra note 2.
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(A) Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
The purpose of the proposed rule change is to adopt a Regulatory
Circular that would require all Exchange members that clear options
market maker transactions on a proprietary or market maker customer
basis to calculate options market maker haircuts in accordance with a
haircut methodology developed jointly by the Exchange and The Options
Clearing Corporation based on the theoretical options pricing model of
Cox-Ross-Rubinstein. The purpose of this amendment is to make certain
minor changes to the proposed Regulatory Circular. This amendment deals
largely with haircuts applicable to market maker positions in certain
broad-based index products and qualified stock baskets.
As proposed to be amended, the Regulatory Circular will more
clearly state that computed gains and losses for qualified stock
baskets must be taken into account when determining haircuts for an
options market maker's complete position in a broad-based index class
or product group. The amended Regulatory Circular also will permit 50%
of the gain in a broad-based market index product group to offset the
loss in a different broad-based index product group at the same
valuation point, and would simplify the description of various other
permitted offsets. The definition of what constitutes a qualified stock
basket in relation to an index is proposed to be amended to
[[Page 57256]]
require that the basket represents no less than 50% of the
capitalization of a broad-based market index, and no less than 95% of
the capitalization of a narrow-based index. The minimum charge for a
non-high-cap index basked is proposed to be 7\1/2\%, and the Regulatory
Circular will recognize that broker-dealers may utilize theoretical
options pricing models and vendors of such information as approved from
time to time by the Commission. If amended Rule 15c3-1 as finally
adopted by the Commission differs from CBOE's Regulatory Circular, CBOE
promptly will file an amendment to its Regulatory Circular to bring it
into conformity with the Commission's Rule.
CBOE believes that the proposed Regulatory Circular, as proposed to
be amended, is consistent with and furthers the objective of Section
6(b)(5) of the Securities Exchange Act of 1934 in that, by establishing
a uniform haircut treatment applicable to all market maker positions,
it will contribute to the protection of investors and the public
interest.
(B) Self-Regulatory Organization's Statement on Burden on Competition
CBOE does not believe that the proposed amendment to the 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
Written comments on the proposed amendment to the rule change were
neither solicited nor 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 self-regulatory organization consents, the Commission will:
(a) By order approve such proposed rule change, or
(b) Institute proceedings to determine whether the proposed rule
change should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views and
arguments concerning the foregoing. Persons making written submissions
should file six copies thereof with the Secretary, Securities and
Exchange Commission, 450 Fifth Street, N.W., Washington, D.C. 20549.
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 Section, 450 Fifth Street, N.W.,
Washington, D.C. Copies of such filing will also be available for
inspection and copying at the principal office of the above-mentioned
self-regulatory organization. All submissions should refer to File No.
SR-CBOE-94-53 and should be submitted by November 29, 1995.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\4\
\4\ 17 CFR 200.30-3(a)(12) (1994).
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Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 95-27991 Filed 11-13-95; 8:45 am]
BILLING CODE 8010-01-M
