Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices 55237 

38The Commission notes that the Indicative Fund 

Value will not reflect price changes of an 

underlying currency between the close of trading of 

the relevant futures contract at the futures exchange 

and the close of trading on the Amex at 4:15 p.m. 

ET, and should not be viewed as a real-time update 

of the Fund’s NAV. 

39For example, Commentary .07(e) to Amex Rule 

1202 prohibits the specialist in the Shares from 

being affiliated with a market maker in the Index 

commodities, related futures or options on futures, 

or any other related derivatives, unless information 

barriers are in place that satisfy the requirements of 

Amex Rule 193. Commentary .07(g)(3) to Amex 

Rule 1202 also prohibits the specialist in the Shares 

from using any material nonpublic information 

received from any person associated with a 

member, member organization or employee of such 

person regarding trading by such person or 

employee in the Index commodities, related futures 

or options on futures, or any other related 

derivatives. 

40 15 U.S.C. 78s(b)(2). 

41 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78s(b)(3)(A)(iii). 

4 17 CFR 240.19b–4(f)(6). 

verify all CME pricing information used 

to calculate the Index. 

Likewise, information about the 

Shares will also be widely available. 

The Indicative Fund Value will be 

disseminated every 15 seconds during 

Amex regular trading hours through the 

facilities of the CT and will be displayed 

on the Exchange’s Internet Web site 

(http://www.amex.com).38 The 

Commission believes that dissemination 

of the Indicative Fund Value based on 

the cash amount required for a Basket 

provides additional information that is 

not otherwise available to the public 

and is useful to professionals and 

investors in connection with the Shares 

trading on the Exchange or the creation 

or redemption of the Shares. 

In addition, the Internet Web sites for 

the Fund and/or the Exchange will 

disseminate the NAV, Basket Amount, 

trading volume of the Shares, and other 

quantitative information related to the 

operation of the Fund and trading of the 

Shares. The Exchange has represented 

that the NAV and Basket Amount will 

be disseminated shortly after 4 p.m. ET 

each business day. The NAV will be 

made available to all market 

participants at the same time. The 

Commission notes that, if the NAV is 

not disseminated to all market 

participants at the same time, the 

Exchange has agreed to halt trading of 

the Shares. 

In sum, the Commission believes that 

the availability of information about the 

underlying futures contracts, the Index, 

and the Shares should facilitate 

transparency with respect to the 

proposed Shares. 

C. Listing and Trading 

The Commission finds that the 

Exchange’s proposed rules and 

procedures for the listing and trading of 

the proposed Shares are consistent with 

the Act. Shares will trade as equity 

securities subject to Amex rules 

including, among others, rules 

governing priority, parity and 

precedence of orders, specialist 

responsibilities,39 and account opening 

and customer suitability requirements. 

Finally, the Commission notes that the 

Information Circular the Exchange will 

distribute will inform members and 

member organizations about the terms, 

characteristics and risks in trading the 

Shares, including their prospectus 

delivery obligations. 

D. Accelerated Approval of the 

Proposed Rule Change, as Amended by 

Amendments No. 1 and 2 Thereto 

The Commission finds good cause for 

approving the proposed rule change, as 

amended by Amendments No. 1 and 2, 

prior to the 30th day after the date of 

publication of the notice of filing thereof 

in the Federal Register. The Exchange 

has requested the Commission to 

approve the proposal, as amended, on 

an accelerated basis, after a 15-day 

comment period, to enable investors to 

begin trading the Shares promptly. The 

Commission notes that the proposed 

rule change, as amended, was noticed 

for a 15-day comment period and no 

comments were received. Therefore, the 

Commission finds good cause, 

consistent with section 19(b)(2) of the 

Act,40 to approve the proposal, as 

amended, on an accelerated basis. 

IV. Conclusion 

It is therefore ordered, pursuant to 

section 19(b)(2) of the Act that the 

proposed rule change (SR–Amex–2006–

44), as amended by Amendments No. 1 

and 2, is approved on an accelerated 

basis. 

For the Commission, by the Division of 

Market Regulation, pursuant to delegated 

authority.41

J. Lynn Taylor, 

Assistant Secretary. 

[FR Doc. 06–7841 Filed 9–20–06; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–54443; File No. SR–CBOE–

2006–77] 

Self-Regulatory Organizations; 

Chicago Board Options Exchange, 

Incorporated; Notice of Filing and 

Immediate Effectiveness of Proposed 

Rule Change Extending Pilot Programs 

for Remote Market-Makers and e-DPMs 

September 14, 2006. 

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 

September 11, 2006, the Chicago Board 

Options Exchange, Incorporated 

(‘‘CBOE’’ or ‘‘Exchange’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’ or ‘‘SEC’’) the proposed 

rule change as described in Items I and 

II below, which Items have been 

prepared by the CBOE. The Exchange 

filed the proposal as a ‘‘noncontroversial’’ proposed rule change 

pursuant to section 19(b)(3)(A)(iii) of the 

Act 3 and Rule 19b–4(f)(6) thereunder.4

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 

CBOE proposes to extend the pilots 

allowing Remote Market-Makers 

(‘‘RMMs’’) and e-DPMs to have up to 

one affiliated Market-Maker trade in 

classes assigned to the RMM and eDPM, respectively. The text of the 

proposed rule change is available on the 

Exchange’s Web site (http:// 

www.cboe.com), at the Exchange’s 

Office of the Secretary 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 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 


jlentini on PROD1PC65 with NOTICES
55238 Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices 

5See Securities Exchange Act Release No. 50003 

(July 12, 2004), 69 FR 43028 (July 19, 2004) (SR–

CBOE–2004–24). 

6See Securities Exchange Act Release No. 51366 

(March 14, 2005), 70 FR 13217 (March, 18, 2005) 

(SR–CBOE–2004–75). 

7 15 U.S.C. 78f(b). 

8 15 U.S.C. 78f(b)(5). 

9 15 U.S.C. 78s(b)(3)(A). 

10 17 CFR 240.19b–4(f)(6). 

11 17 CFR 240.19b–4(f)(6)(iii). 

12For purposes only of accelerating the 30-day 

operative period for this proposal, the Commission 

has considered the proposed rule’s impact on 

efficiency, competition, and capital formation. 15 

U.S.C. 78c(f). 

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 Exchange proposes to amend 

CBOE Rules 8.4(c)(i) and 8.93(vii) to 

extend the pilot programs allowing an 

RMM and e-DPM the option to have up 

to one separate affiliated Market-Maker 

physically present in the trading crowds 

where it operates as an RMM or e-DPM, 

respectively (such Market-Makers 

would be required to trade on a separate 

membership). The pilots would be 

extended from September 14, 2006 until 

March 14, 2007. 

In July of 2003, the SEC approved the 

e-DPM program, including the pilot 

program.5 The pilot allows e-DPM firms 

to maintain a physical presence in the 

trading crowd through an affiliated 

Market-Maker who would also be able 

to stream a quote. The pilot, however, 

limits the number of separate affiliates 

per trading crowd to one. 

In March of 2005, the SEC approved 

the RMM program, including the pilot 

program.6 The pilot allows RMM firms 

to maintain a physical presence in the 

trading crowd through an affiliated 

Market-Maker who would also be able 

to stream a quote. This pilot also limits 

the number of separate affiliates per 

trading crowd to one. 

CBOE will be sending the 

Commission, under separate cover, data 

relating to: (1) The size of the orders that 

RMMs and affiliated Market-Makers 

both trade with remotely; (2) the price 

and size of the RMM’s and the affiliated 

Market-Maker’s respective quotes; (3) 

the price and size of quotes of other 

participants in the classes where an 

RMM and an affiliate are quoting; and 

(4) a breakdown of how orders are 

allocated to the RMM, the affiliated 

Market-Maker, and any other 

participants. 

In addition, CBOE will be sending the 

Commission, under separate cover, data 

relating to: (1) The size of the orders that 

e-DPMs and affiliated Market-Makers 

both trade with electronically; (2) the 

price and size of the e-DPM’s and the 

affiliated Market-Maker’s respective 

quotes; (3) the price and size of quotes 

of other participants in the classes 

where an e-DPM and an affiliate are 

quoting; and (4) a breakdown of how 

orders are allocated to the e-DPM, the 

affiliated Market-Maker, and any other 

participants. 

The date chosen to extend the pilot 

programs for RMMs and e-DPMs is the 

same, which will allow the Commission 

to evaluate both pilot programs 

simultaneously. 

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 a national securities 

exchange and, in particular, the 

requirements of section 6(b) of the Act.7

Specifically, the Exchange believes the 

proposed rule change is consistent with 

the requirements of section 6(b)(5) 8 that 

the rules of an exchange be designed to 

promote just and equitable principles of 

trade, to prevent fraudulent and 

manipulative acts 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 received nor 

solicited written 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 

Exchange has given the Commission 

written notice of its intent to file the 

proposed rule change 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 9 and Rule 19b–

4(f)(6) thereunder.10

At any time within 60 days of the 

filing of such proposed rule change, the 

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. 

Under Rule 19b–4(f)(6)(iii) of the 

Act,11 the proposal does not become 

operative for 30 days after the date of its 

filing, or such shorter time as the 

Commission may designate if consistent 

with the protection of investors and the 

public interest. The Exchange has 

requested that the Commission 

accelerate the 30-day operative date. 

The Commission, consistent with the 

protection of investors and the public 

interest, has determined to accelerate 

the 30-day operative date to allow the 

pilots to continue without 

interruption.12

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 (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an e-mail to rulecomments@sec.gov. Please include File 

Number SR–CBOE–2006–77 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–2006–77. 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 (http://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 


jlentini on PROD1PC65 with NOTICES
Federal Register / Vol. 71, No. 183 / Thursday, September 21, 2006 / Notices 55239 

13 17 CFR 200.30–3(a)(12). 

1 15 U.S.C. 78s(b)(1). 

2Securities Exchange Act Release No. 53671 

(April 18, 2006), 71 FR 21060. 

3 Jim Nardone, Schonfeld Securities, LLC 

(‘‘Schonfeld’’) (May 5, 2006); Richard Gill, Senior 

Vice President, and Donald Galante, Senior Vice 

President, Man Securities Inc. (‘‘Man’’) (May 15, 

2006); L. Thomas Patterson, Chief Executive Officer, 

and Kathleen M. Toner, Chief Regulatory Officer, 

LaBranche & Co. Inc. (‘‘LaBranche’’) (May 18, 2006); 

Peter Chepucavage, International Association of 

Small Broker-Dealers and Advisers (‘‘IASBDA’’) 

(May 19, 2006); Greggory A. Teeter, Howrey LLC, 

representing Wilson-Davis & Co., Inc. (‘‘WilsonDavis’’), Alpine Securities Corporation (‘‘Alpine’’), 

and IASBDA (June 1, 2006); Cheryl T. Lambert, 

Managing Director, Risk Management, The 

Depository Trust and Clearing Corporation 

(‘‘DTCC’’) (July 28, 2006); and Peter Chepucavage, 

IASBDA (August 9, 2006). 

Schonfeld, Wilson-Davis, Alpine, and LaBranche 

are members of NSCC. Man is a member of FICC. 

IASBDA is an organization created for the purpose 

of protecting the interests of small and midsize 

broker-dealers and micro-cap issuers. 

4The Commission has modified the text of the 

summaries prepared by FICC and NSCC. 

5Securities Exchange Act Release No. 45647 

(March 26, 2002), 67 FR 15438 (April 1, 2002) [File 

No. SR–GSCC–2001–15]. ‘‘Excess regulatory 

capital’’ for purposes of GSD’s collateral premium 

included excess net capital, excess liquid capital, or 

excess adjusted capital. 

6 If FICC imposes this premium on a netting 

member, then it shall be considered included as 

part of the netting member’s ‘‘required fund 

deposit’’ as defined in the GSD’s rules. 

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. 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–2006–77 and should 

be submitted on or before October 12, 

2006. 

For the Commission, by the Division of 

Market Regulation, pursuant to delegated 

authority.13

J. Lynn Taylor, 

Assistant Secretary. 

[FR Doc. 06–7843 Filed 9–20–06; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–54457; File Nos. SR–FICC–

2006–03 and SR–NSCC–2006–03] 

Self-Regulatory Organizations; Fixed 

Income Clearing Corporation and 

National Securities Clearing 

Corporation; Notice of Filing and Order 

Granting Accelerated Approval of 

Proposed Rule Changes to Institute a 

Clearing Fund Premium Based Upon a 

Member’s Clearing Fund Requirement 

to Excess Regulatory Capital Ratio 

September 15, 2006. 

On February 22, 2006, the Fixed 

Income Clearing Corporation (‘‘FICC’’) 

and the National Securities Clearing 

Corporation (‘‘NSCC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) proposed rule changes 

SR–FICC–2006–03 and SR–NSCC–

2006–03 pursuant to Section 19(b)(1) of 

the Securities Exchange Act of 1934 

(‘‘Act’’).1 Notice of the proposal was 

published in the Federal Register on 

April 24, 2006.2 Seven comment letters 

were received.3 FICC and NSCC 

amended the proposed rule changes on 

July 28, 2006, to address certain 

concerns raised by the commenters and 

others. 

The Commission is publishing this 

notice and order to solicit comments 

from interested persons and to grant 

accelerated approval of the proposals. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Changes 

FICC and NSCC are each seeking to 

institute a clearing fund premium based 

on a member’s clearing fund 

requirement to excess regulatory capital 

ratio. 

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Changes 

In their filings with the Commission, 

FICC and NSCC included statements 

concerning the purpose of and basis for 

the proposed rule changes and 

discussed any comments they received 

on the proposed rule changes. The text 

of these statements may be examined at 

the places specified in Item VI below. 

FICC and NSCC have prepared 

summaries, set forth in sections (A), (B), 

and (C) below, of the most significant 

aspects of these statements.4

(A) Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Changes 

FICC and NSCC are each seeking to 

institute a clearing fund premium based 

on a member’s clearing fund 

requirement to excess regulatory capital 

ratio. 

1. FICC Clearing Fund Premium 

The degree to which the collateral 

requirement of a clearing agency 

member compares to the member’s 

excess regulatory capital is an important 

indicator of the potential risk that the 

member presents to a clearing agency. In 

2002, the Government Securities 

Clearing Corporation (‘‘GSCC’’), the 

predecessor to the Government 

Securities Division (‘‘GSD’’) of FICC, 

received Commission approval to 

impose a collateral premium on netting 

members whose clearing fund 

requirements exceed their excess 

regulatory capital.5 Specifically, the 

GSD implemented a 25 percent 

collateral premium when a member’s 

ratio of clearing fund requirement to its 

excess regulatory capital is greater than 

1.0. The 25 percent premium is applied 

to the amount by which the member’s 

clearing fund requirement exceeds the 

member’s excess regulatory capital. 

In order to more effectively manage 

the risk posed by a GSD member whose 

activity causes it to have a clearing fund 

requirement that is greater than its 

excess regulatory capital, FICC now 

proposes to strengthen the abovementioned risk management tool by 

applying a clearing fund premium that 

is based on a member’s ratio of clearing 

fund requirement to excess regulatory 

capital in place of the current flat 

premium of 25 percent.6 The premium 

would be determined by multiplying the 

amount by which a member’s clearing 

fund requirement exceeds its excess 

regulatory capital by the member’s ratio 

of required clearing fund to excess 

regulatory capital expressed as a 

percent. This formula would allow the 

premium to increase or decrease in 

proportion to changes in the ratio and 

should allow for risk management that 

is measured in proportion to the risk 

presented. For example, if a member has 

a clearing fund requirement of $11.4 

million and excess net capital of $10 

million, its clearing fund requirement 

would exceed its excess net capital by 

$1.4 million, its ratio of clearing fund 

requirement to excess net capital is 1.14 

(or 114 percent), and the applicable 

collateral premium would be 114 

percent of $1.4 million or $1,596,000. If 

the same member had a clearing fund 

requirement of $20 million, its clearing 

fund requirement would exceed its 

excess net capital by $10 million, its 

ratio of clearing fund requirement to 

excess net capital would be 2.0 (or 200 

percent), and the applicable collateral 

premium would be 200 percent of $10 

million or $20 million. 


jlentini on PROD1PC65 with NOTICES