17976 Federal Register / Vol. 72, No. 68 / Tuesday, April 10, 2007 / Notices 

11For purposes only of waiving the 30-day preoperative period, the Commission has considered 

the proposed rule’s impact on efficiency, 

competition and capital formation. 15 U.S.C. 78c(f). 

12 17 CFR 200.30–3(a)(12). 

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

2Securities Exchange Act Release No. 55575 

(April 3, 2007) (File No. SR–ISE–2006–59). For 

notice of the proposal, see Securities Exchange Act 

Release No. 55336 (February 23, 2007), 72 FR 9364 

(March 1, 2007). 

3The Commission has modified parts of these 

statements. 

4The Commission recently approved a proposed 

rule change filed by OCC to accommodate CashSettled FCOs traded on the Philadelphia Stock 

Exchange (‘‘Phlx’’). Securities Exchange Act Release 

No. 54935 (December 13, 2006), 71 FR 76417 

(December 20, 2006) (File No. SR–OCC–2006–10). 

The rule changes that were made with respect to the 

Phlx Cash-Settled FCOs will also apply to RateModified FCOs. 

or otherwise in furtherance of the 

purposes of the Act. 

NYSE Arca has asked the Commission 

to waive the five-day pre-filing notice 

requirement and the 30-day operative 

delay. The Commission believes such 

waivers are consistent with the 

protection of investors and the public 

interest because they would permit the 

Exchange to codify the proposed 

clarifications without further delay.11

For this reason, the Commission 

designates the proposal to be operative 

upon filing with the Commission. 

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

Number SR–NYSEArca–2007–29 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–NYSEArca–2007–29. 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 

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 will also be 

available for inspection and copying at 

the principal office of the NYSE Arca. 

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–NYSEArca–2007–29 and should be 

submitted on or before May 1, 2007. 

For the Commission, by the Division of 

Market Regulation, pursuant to delegated 

authority.12

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E7–6710 Filed 4–9–07; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–55579; File No. SR–OCC–

2007–02] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Notice 

of Filing and Order Granting 

Accelerated Approval of a Proposed 

Rule Change Relating to Rate-Modified 

Foreign Currency Options 

April 4, 2007. 

Pursuant to Section 19(b)(1) of the 

Securities Exchange Act of 1934 

(‘‘Act’’),1 notice is hereby given that on 

March 5, 2007, The Options Clearing 

Corporation (‘‘OCC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) the proposed rule 

change as described in Items I and II 

below, which items have been prepared 

primarily by OCC. The Commission is 

publishing this notice and order to 

solicit comments on the proposed rule 

change from interested persons and to 

grant accelerated approval of the 

proposal. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

The proposed rule change will allow 

OCC to clear and settle rate-modified 

foreign currency options (‘‘RateModified FCOs’’) which have been 

proposed and approved for trading by 

the International Securities Exchange 

(‘‘ISE’’).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, 

OCC 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. OCC has prepared 

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

and (C) below, of the most significant 

aspects of such statements.3

(A) Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

The purpose of this rule change is to 

accommodate a request from ISE that 

OCC clear and settle Rate-Modified 

FCOs. OCC’s By-Laws and Rules 

currently provide for the clearance and 

settlement of cash-settled foreign 

currency options (‘‘Cash-Settled 

FCOs’’).4 However, unlike the CashSettled FCOs currently covered by 

OCC’s By-Laws and Rules, the 

underlying interest for Rate-Modified 

FCOs is stated in terms of the exchange 

rate between a ‘‘currency pair,’’ one of 

which may be the U.S. dollar or both of 

which may be non-U.S. currencies, as 

modified by a ‘‘rate modifier’’

determined by ISE. 

The rate modifier for Rate-Modified 

FCOs is selected so that the underlying 

modified rate looks similar to an index. 

The exchange rates underlying RateModified FCOs may or may not be 

stated in the same way that they are 

conventionally quoted in the spot 

market. For example, exchange rates 

between the U.S. dollar and the euro are 

generally quoted as dollars per euro on 

the spot market, but the rate modifying 

a Rate-Modified FCO could be stated as 

euros per dollar. The number by which 

the exchange rate is multiplied to 

determine the modified rate for a 

particular class of options will be 1, 10 

or 100 depending on the level of the 

exchange rate in question. 

For purposes of determining an 

exercise settlement amount, RateModified FCOs would use a multiplier 


cprice-sewell on PROD1PC66 with NOTICES
Federal Register / Vol. 72, No. 68 / Tuesday, April 10, 2007 / Notices 17977 

5 15 U.S.C. 78q–1(b)(3)(F). 

6 In approving the proposed rule change, the 

Commission considered the proposal’s impact on 

efficiency, competition and capital formation. 15 

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

of $100 (i.e., the exercise settlement 

amount will be the difference between 

the strike price and the exercise 

settlement value of the underlying 

modified rate times the multiplier). The 

multiplier, which always has a value of 

$100, is not the same thing as the rate 

modifier. Similarly, premium quotations 

would be multiplied by $100 to obtain 

the aggregate premium amount for a 

single option. 

The exercise settlement amount for 

Rate-Modified FCOs will be based on 

the noon buying rates for the underlying 

currencies as published by the Federal 

Reserve Bank of New York. If the 

Federal Reserve Bank does not publish 

a noon buying rate for a particular 

currency pair, ISE will use a rate 

obtained by a market data vendor. OCC 

will ordinarily look to ISE to supply the 

final value of the underlying for exercise 

settlement purposes, but OCC will 

retain its customary authority to set a 

value if none is available from ISE. 

Trading of Rate-Modified FCOs will 

ordinarily cease at 12:00 noon Eastern 

Time on the business day before the 

expiration date. 

Rate-Modified FCOs are to be 

European style and will expire on the 

Saturday following the third Friday of 

the expiration month. Rate-Modified 

FCOs will have up to three near-term 

expiration months followed by three 

calendar quarter-end expiration months. 

To accommodate Rate-Modified 

FCOs, OCC is proposing to add or 

modify certain defined terms in Article 

XXII of the By-Laws. Definitions of 

‘‘multiplier,’’ ‘‘rate-modified foreign 

currency options,’’ ‘‘underlying 

currency pair,’’ and ‘‘underlying 

modified rate’’ will be added, and the 

definitions of ‘‘call,’’ ‘‘exercise price,’’

‘‘exercise settlement amount,’’

‘‘premium,’’ ‘‘put,’’ ‘‘reporting 

authority,’’ ‘‘series of options’’ and 

‘‘spot price’’ will be amended to reflect 

the use of a modified exchange rate as 

the underlying interest for RateModified FCOs. In addition, Section 5 of 

Article XXII of the By-Laws relating to 

the time for determination of the spot 

price will be amended for clarification. 

OCC will delete the definition of 

‘‘aggregate exercise price,’’ which is no 

longer used in OCC’s By-Laws or Rules 

with respect to Cash-Settled FCOs. 

The introduction to Chapter XXIII of 

the Rules will be amended to make a 

non-substantive change to conform to 

the terminology in Article XXII of the 

By-Laws. 

The proposed rule change is 

consistent with Section 17A of the Act 

because it is designed to promote the 

prompt and accurate clearance and 

settlement of transactions in RateModified FCOs by applying the same 

basic rules and procedures to such 

options as are applied to other cashsettled foreign currency options. The 

proposed rule change is not inconsistent 

with the existing rules of OCC, 

including those rules proposed to be 

amended. 

(B) Self-Regulatory Organization’s 

Statement on Burden on Competition 

OCC does not believe that the 

proposed rule change would 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 were not and are 

not intended to be solicited with respect 

to the proposed rule change, and none 

have been received. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

Section 17A(b)(3)(F) of the Act 

requires, among other things, that the 

rules of a clearing agency be designed to 

promote the prompt and accurate 

clearance and settlement of securities 

transactions.5 The purpose of the 

proposed rule change is to amend OCC’s 

By-Laws and Rules so that OCC may 

clear and settle the new Rate-Modified 

FCO product to be listed and traded on 

ISE. Accordingly, the proposed rule 

change should promote the prompt and 

accurate clearance and settlement of 

securities transactions. 

OCC has requested that the 

Commission approve the proposed rule 

prior to the thirtieth day after 

publication of the notice of the filing. 

The Commission finds good cause for 

approving the proposed rule change 

prior to the thirtieth day after the 

publication of notice because such 

approval will allow ISE to commence 

trading of Rate-Modified FCOs without 

any unnecessary delay. 

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–OCC–2007–02 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–OCC–2007–02. 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 

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, 100 F Street, NE., Washington, 

DC 20549. Copies of such filing also will 

be available for inspection and copying 

at the principal office of OCC and on 

OCC’s Web site at http:// 

www.optionsclearing.com. 

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–OCC–2007–02 and should 

be submitted on or before May 1, 2007. 

V. Conclusion 

On the basis of the foregoing, the 

Commission finds that the proposed 

rule change is consistent with the 

requirements of the Act and in 

particular Section 17A of the Act and 

the rules and regulations thereunder.6

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act, that the 

proposed rule change (File No. SR–

OCC–2007–02) be and hereby is 

approved. 


cprice-sewell on PROD1PC66 with NOTICES
17978 Federal Register / Vol. 72, No. 68 / Tuesday, April 10, 2007 / Notices 

7 17 CFR 200.30–3(a)(12). 

1 17 CFR 240.9b–1. 

2See letter from Jean M. Cawley, First Vice 

President and Deputy General Counsel, OCC, to 

Sharon Lawson, Senior Special Counsel, Division of 

Market Regulation (‘‘Division’’), Commission, dated 

March 5, 2007. 

3See letter from Jean M. Cawley, First Vice 

President and Deputy General Counsel, OCC, to 

Sharon Lawson, Senior Special Counsel, Division, 

Commission, dated April 3, 2007. 

4See Securities Exchange Act Release No. 55575 

(April 3, 2007) (approving File No. SR–ISE–2006–

59). 

5See Securities Exchange Act Release No. 55035 

(December 29, 2006), 72 FR 1358 (January 11, 2007) 

(SR–ODD–2006–01) (‘‘January 2007 Supplement’’). 

6The Commission notes that the options markets 

must continue to ensure that the ODD is in 

compliance with the requirements of Rule 9b–

1(b)(2)(i) under the Act, 17 CFR 240.9b–1(b)(2)(i), 

including when future changes are made regarding 

Non-Rate Modified FCOs and Rate-Modified FCOs. 

Any future changes to the rules of the options 

markets would need to be submitted to the 

Commission under Section 19(b) of the Act. 15 

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

7 17 CFR 240.9b–1(b)(2)(i). 

8This provision permits the Commission to 

shorten or lengthen the period of time which must 

elapse before definitive copies may be furnished to 

customers. 

9 17 CFR 240.9b–1. 

10 17 CFR 200.30–3(a)(39). 

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

2 17 CFR 240.19b–4. 

For the Commission by the Division of 

Market Regulation, pursuant to delegated 

authority.7

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E7–6668 Filed 4–9–07; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–55582; File No. SR–ODD–

2007–01] 

Self-Regulatory Organizations; The 

Options Clearing Corporation; Order 

Granting Approval of Accelerated 

Delivery of Supplement to the Options 

Disclosure Document Reflecting 

Certain Changes to Disclosure 

Regarding Rate-Modified Cash-Settled 

Foreign Currency Options 

April 4, 2007. 

On March 13, 2007, The Options 

Clearing Corporation (‘‘OCC’’) submitted 

to the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

to Rule 9b–1 under the Securities 

Exchange Act of 1934 (‘‘Act’’),1 five 

preliminary copies of a supplement to 

its options disclosure document 

(‘‘ODD’’) reflecting certain changes to 

disclosure regarding rate-modified cashsettled foreign currency options (‘‘RateModified FCOs’’).2 On April 3, 2007, the 

OCC submitted to the Commission five 

definitive copies of the supplement.3

The ODD currently provides general 

disclosures on the characteristics and 

risks of trading standardize options. 

Recently, an options exchange amended 

its rules to permit the listing and trading 

of Rate-Modified FCOs.4 The proposed 

supplement, which supersedes and 

replaces the January 2007 Supplement 

to the ODD,5 provides disclosure on the 

characteristics of non-rate modified 

cash-settled foreign currency options 

(‘‘Non-Rate Modified FCOs’’) and adds 

new disclosure on the characteristics of 

Rate-Modified FCOs. 

In addition to providing new 

disclosure on the characteristics of RateModified FCOs, the proposed 

supplement to the ODD also reorganizes 

the January 2007 Supplement to 

distinguish disclosures regarding NonRate Modified FCOs from Rate-Modified 

FCOs, as well as providing a separate 

heading for certain disclosures 

pertaining to all dollar-denominated 

cash-settled foreign currency options. 

Further, the proposed supplement adds 

new clarification regarding exercise 

settlement values of Rate-Modified 

FCOs. The proposed supplement is 

intended to be read in conjunction with 

the more general ODD, which, as 

described above, discusses the 

characteristics and risks of options 

generally.6

Rule 9b–1(b)(2)(i) under the Act 7

provides that an options market must 

file five copies of an amendment or 

supplement to the ODD with the 

Commission at least 30 days prior to the 

date definitive copies are furnished to 

customers, unless the Commission 

determines otherwise, having due 

regard to the adequacy of information 

disclosed and the public interest and 

protection of investors.8 In addition, 

five copies of the definitive ODD, as 

amended or supplemented, must be 

filed with the Commission not later than 

the date the amendment or supplement, 

or the amended options disclosure 

document, is furnished to customers. 

The Commission has reviewed the 

proposed supplement and finds, having 

due regard to the adequacy of 

information disclosed and the public 

interest and protection of investors, that 

the proposed supplement may be 

furnished to customers as of the date of 

this order. 

It is therefore ordered, pursuant to 

Rule 9b–1 under the Act,9 that 

definitive copies of the proposed 

supplement to the ODD (SR–ODD–

2007–01), reflecting disclosure 

regarding Non-Rate Modified FCOs and 

adding disclosure regarding RateModified FCOs, may be furnished to 

customers as of the date of this order. 

For the Commission, by the Division of 

Market Regulation, pursuant to delegated 

authority.10

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E7–6709 Filed 4–9–07; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–55569; File No. SR–Phlx–

2007–031] 

Self-Regulatory Organizations; 

Philadelphia Stock Exchange, Inc.; 

Notice of Filing and Immediate 

Effectiveness of Proposed Rule 

Change To Remove References to 

Intermarket Trading System (‘‘ITS’’) 

Plan 

April 2, 2007. 

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 March 27, 

2007, 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 prepared substantially by the 

Exchange. 

I. Self-Regulatory Organization’s 

Statement of the Terms of the Substance 

of the Proposed Rule Change 

The Exchange is proposing to amend 

Phlx Rules 452 and 607 and the XLE Fee 

Schedule to remove references to the 

Intermarket Trading System (‘‘ITS’’) 

Plan and to delete Phlx Rules 2000–

2002, which implemented the ITS Plan 

trading rules on the Exchange. 

The text of the proposed rule change 

is available at Phlx, the Commission’s 

Public Reference Room and http:// 

www.phlx.com. 

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 

Phlx has prepared summaries, set forth 

in Sections A, B, and C below, of the 


cprice-sewell on PROD1PC66 with NOTICES