[Federal Register Volume 62, Number 79 (Thursday, April 24, 1997)]
[Notices]
[Pages 20055-20056]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 97-10614]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-38527; International Series Release No. 1075; File No.
SR-PHLX-97-07]
Self-Regulatory Organizations; Notice of Filing of Proposed Rule
Change by the Philadelphia Stock Exchange, Inc. Regarding 3D Foreign
Currency Option Holiday Expirations
April 18, 1997.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ notice is hereby given that on March 14, 1997, the
Philadelphia Stock Exchange, Inc. (``PHLX'' 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.
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\1\ 15 U.S.C. Sec. 78s(b)(1).
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
The PHLX proposes not to list any 3D foreign currency options that
would expire during the period December 20 through and including
January 2 of each year. Additionally, the Exchange proposes to adopt a
list of holidays and bank holidays which, if they fall on a Monday,
would cause the 3D foreign currency options scheduled to expire that
day to expire the next business day. The holidays are: Martin Luther
King, Jr. Day; Memorial Day; Presidents Day; Independence Day; Easter
Monday; Labor Day; May Day; Columbus Day and Veterans Day.
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 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
3D Foreign Currency Options (``3D FCOs'') are presently traded on
the PHLX on the German mark and the Japanese yen.\2\ These are cash
settled options that have an expiration every Monday at 11:59 p.m.
Eastern Time (or the following business day if Monday is a holiday).
The settlement value is based on a formula which averages random
samples of bids and offers from contributor banks. Experience with the
3D FCO on the German mark over the last two years has shown that it is
often difficult to gather enough updated quotes during the Christmas
and New Year's weeks each year. Thus, the integrity of the derived
settlement value may be called into question. Accordingly, the Exchange
has determined not to list for trading any series of 3D FCOs which
would expire between December 20 each year and January 2 of the
following year. This year, the last expiration date of 3d FCOs in
December would occur on December 15, 1997, and the next one would occur
on January 5, 1998.
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\2\ The Exchange has traded 3D German marks since September of
1994. See Securities Exchange Act Release No. 33732 (March 8, 1994),
59 FR 12023 (March 15, 1994). The Exchange recently started trading
3D options on the Japanese yen on February 24, 1997. See Scurities
Exchange Act Release No. 36505 (Nov. 22, 1995), International Series
Release No. 889, 60 FR 61277 (Nov. 29, 1995).
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The second purpose of this rule change is to adopt a permanent list
of holidays, so that if any of these holidays occur on a Monday, it
would cause the expiration of the 3D FCOs to occur on the following
business day pursuant to Exchange Rule 1000(b)(21)(iii).\3\ By adopting
a permanent schedule, it will allow the Exchange and investors to know
for certain, in advance, when a holiday expiration will occur. The
holidays on the list were chosen because they are either U.S. bank
holidays or European bank holidays (May Day). On those days, the
interbank foreign exchange participants which provide quotations for
the settlement value are not open for business so it would be very
difficult to obtain an adequate settlement value. This list of holidays
will be published to the membership in a circular each year and weekly
expiration memos also note when certain options expire on a day other
than a Monday due to a holiday.
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\3\ The rule originally required expirations to fall back to the
preceding business day (usually Friday) when Monday was a holiday
but was changed so that the options would still capture weekend
risk. See Securities Exchange Act Release No. 35097 (Dec. 13, 1994),
59 FR 65559 (Dec. 20, 1994).
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The proposed rule change is consistent with Section 6 of the Act in
general, and in particular, with Section 6(b)(5), in that it is
designed to promote just and equitable principles of trade, prevent
fraudulent and manipulative acts and practices, to foster cooperation
and coordination with persons engaged in regulating, clearing,
settling, processing information with respect to, and facilitating
transactions in securities, to remove impediments to and perfect the
mechanism of a free and open market and a national market system, as
well as to protect investors and the public interest by adopting
policies regarding 3D foreign currency option expirations which allow
the Exchange to forego or postpone expirations on days when the
integrity of the settlement value may be in question.
B. Self-Regulatory Organization's Statement on Burden on Competition
The PHLX does not believe that the proposed rule change will impose
any inappropriate burden on competition.
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 PHLX consents, the Commission will:
[[Page 20056]]
(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, NW, Washington, DC 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. Sec. 552, will be available for inspection and copying in
the Commission's Public Reference Room. Copies of such filing will also
be available for inspection and copying at the principal office of the
PHLX. All submissions should refer to File No. SR-PHLX-97-07 and should
be submitted by May 15, 1997.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\4\
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\4\ 17 CFR 200.30-3(a)(12).
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Margaret H. McFarland,
Deputy Secretary,
[FR Doc. 97-10614 Filed 4-23-97; 8:45 am]
BILLING CODE 8010-01-M
