Federal Register / Vol. 62, No. 183 / Monday, September 22, 1997 / Notices 49547

27As the Amex notes, while some of the stocks

in the Index have relatively low trading volume,

they account for only a small percentage of the

Index weighting.

28See note 14 supra.

29 15 U.S.C. 78s(b)(2).

30 17 CFR 200.30–3(a)(12).

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

2Securities Exchange Act Release No. 38736

(June 11, 1997), 62 FR 33145.

3Pursuant to Delta’s rules, Delta will clear and

settle repo transactions that have been entered into

directly between two participants or entered into by

two participants through the facilities of a broker

that has been specifically authorized by Delta for

such purpose.

In order to address the above noted

concerns and to comply with Section

106(g) of the Amex Company Guide, the

Amex has entered into information

sharing arrangements with the Buenos

Aires Stock Exchange in Argentina, the

Sao Paolo Stock Exchange in Brazil, and

the Santiago Stock Exchange in Chile. In

addition, the SEC has memoranda of

understanding with: the Comision

Nacional de Valores in Argentina; the

Comissao de Valores Mobiliarios in

Brazil; the Superintendencia de Valores

y Seguros in Chile; and the Comision

Nacional Bancaria y de Valores in

Mexico. As of June 30, 1997, stocks from

Argentina, Brazil, Chile, and Mexico

represent 92.44% of the Index weight.

As a result, no single uncovered country

represents more than 3.90% of the Index

weight and not two uncovered countries

represent more than 6.06% of the Index

weight.

D. Market Impact

The Commission believes that the

listing and trading of Index warrants on

the Amex should not adversely impact

the securities markets in the U.S. or

Latin America. First, the existing index

warrant surveillance procedures of the

Amex will apply to warrants based on

the Index. Second, the Commission

notes that the Index is broad-based and

diversified and includes highly

capitalized securities that are actively

traded in their home markets.27

Accordingly, the Commission does not

believe that the introduction of Index

warrants on the Amex will have a

significant effect on the underlying

Latin American securities markets.

For the reasons described above, the

Commission finds good cause to

approve Amendment Nos. 1, 2 and 3,

prior to the thirtieth day after the date

of publication of notice of filing thereof

in the Federal Register. Specifically,

Amendment No. 1 provides, among

other things, the definition of ‘‘available

capitalization,’’ the calculation formula

for the Index and the foreign stock

exchange with which the Amex has

surveillance sharing agreements.

Amendment No. 2 provides the average

daily trading volume for the six month

period ending December 31, 1996 and

the weights of the Index components.

Lastly, Amendment No. 3 adds several

maintenance standards that the

Commission believes strengthen the

Amex proposal by ensuring that the

Index remains broad-based and is

comprised of relatively well-capitalized

and liquid securities. No single stock

may comprise more than 20% of the

Index weight and no five stocks may

comprise more than 50% of the Index

weight. In addition, no more than 7% of

the Index weight may report non-realtime prices in calculating the Index

value. NYSE prices will be used for

options eligible ADRs for securities from

non-real-time reporting countries. The

Commission believes that this standard

will ensure that a substantial portion of

the Index value will be calculated using

current prices.28

Accordingly, the Commission believes

that it is consistent with Sections 6(b)(5)

and 19(b)(2) 29 of the Act, to find that

good cause exists to approve

Amendments Nos. 1, 2 and 3, on an

accelerated basis.

IV. Solicitation of Comments and

Conclusion

Interested persons are invited to

submit written data, views and

arguments concerning Amendments

Nos. 1, 2 and 3. 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

Room in Washington, D.C. Copies of

such filing will also be available for

inspection and copying at the principal

office of the Amex. All submissions

should refer to the File No. SR–Amex–

96–38 and should be submitted by

October 14, 1997.

For the foregoing reasons, the

Commission finds that the Amex’s

proposal to list and trade warrants based

on the Barings BEMI Latin America

Index is consistent with the

requirements of the Act and the rules

and regulations thereunder.

It is therefore ordered, pursuant to

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

proposed rule change (SR–Amex–96–

38), as amended, is approved.

For the Commission by the Division of

Market Regulation, pursuant to delegated

authority.30

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 97–25025 Filed 9–19–97; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–39065; File No. SR–DCC–

97–03]

Self-Regulatory Organizations; Delta

Clearing Corp.; Order Approving

Proposed Rule Change Regarding the

Clearing of the Off-Date Portion of

Repurchase Agreements

September 12, 1997.

On March 11, 1997, Delta Clearing

Corp. (‘‘Delta’’) filed with the Securities

and Exchange Commission

(‘‘Commission’’) and on May 7, 1997,

and May 29, 1997, amended a proposed

rule change (File No. SR–DCC–97–03)

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

June 18, 1997.2 No comment letters

were received. For the reasons

discussed below, the Commission is

approving the proposed rule change.

I. Description

The proposed rule change amends

Delta’s procedures for repurchase

agreements and reverse repurchase

agreements (‘‘Repo Procedures’’) to

permit Delta to clear the off-date portion

of a repurchase agreement (‘‘repo’’)

transaction whose on-date portion has

been cleared outside of Delta. Delta’s

Repo Procedures now provide that Delta

may assume the obligation to clear

solely the off-date portion of a repo

transaction (‘‘novated repo’’) subject to:

(1) The receipt by Delta of matching

trade reports from the parties to the

trade or from authorized broker,3 as

applicable and (2) Delta’s confirmation

of the prior execution and clearance of

the on-date portion of such repo

transaction.

Section 2401 of the Repo Procedures

sets forth time periods for participants

to report on-date transactions to enable

Delta to clear such transactions by

settlement time. Section 2401 is

amended to provide that the time

periods for reporting transactions set
49548 Federal Register / Vol. 62, No. 183 / Monday, September 22, 1997 / Notices

4Section 2401 also is amended to require that

overnight repo transactions be reported to Delta

prior to 2:15 p.m. Overnight repos and novated

repos reported one day prior to settlement will be

margined in the same manner. See infra note 5.

5 Delta sends a supplemental daily margin report

to members at 2:30 p.m. each day that indicates the

amount of margin a member must deposit prior to

3:00 p.m. that day. The margin is based on an

intraday mark-to-market calculation based on

overnight repos.

6 15 U.S.C. 78q–1(b)(3)(F).

7 17 CFR 200.30–3(a)(12).

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

2The Commission has modified the text of the

summaries prepared by GSCC.

3 GSCC currently has forty-six shareholders, each

of which is a party to the Agreement. The National

Securities Clearing Corporation (‘‘NSCC’’), is the

largest shareholder, holding approximately eighteen

percent of GSCC’s shares.

forth in the first paragraph of Section

2401 do not apply to novated repos.

Instead, as a condition for Delta to

assume on such business day the

obligation to clear the off-date portion,

novated repos must be reported to Delta

by 5:00 p.m. on any business day prior

to the settlement day of the off-date

portion. However, if the settlement day

of the off-date portion is the next

business day following the business day

on which a novated repo is reported to

Delta, such novated repo must be

reported to Delta prior to 2:15 p.m. so

that Delta will be able to collect margin

related to the transaction in a timely

manner.4

Section 2507 is added to the Repo

Procedures to clarify that provisions

relating to on-date settlement do not

apply to novated repos. Similarly,

Sections 2801 and 2802 are amended to

clarify that no delivery of collateral or

payment of net money through Delta is

required on the on-date of a novated

repo.

Finally, Section 2904 is added to the

Repo Procedures to provide that Delta

may accept novated repos for clearance.

Section 2904 provides that a

participant’s net exposure resulting

from the assumption by Delta of a

novated repo on any business day will

be included for purposes of calculating

the margin required to be deposited by

the participant by 11:00 a.m. of the

following business day pursuant to

Article XXVI of the Repo Procedures

relating to margin. If Delta assumes by

5:00 p.m. the obligation to clear the offdate portion of a novated repo, any

margin required from a participant as a

result of the participant’s net exposure

resulting from Delta’s assumption of

such novated repo will have to be

deposited by the participant on or

before 11:00 a.m. on the next day.

However, if a novated repo has an offdate which is the next business day

following the business day on which the

novated repo is reported to Delta, such

novated repo is treated as an overnight

repo for margin collection purposes.5

II. Discussion

Section 17A(b)(3)(F) 6 of the Act

requires that a clearing agency be

organized and its rules be designed to

promote the prompt and accurate

clearance and settlement of securities

transactions. The Commission believes

that the proposed rule change is

consistent with section 17A(b)(3)(F).

The proposal will allow more trades to

be cleared through Delta’s clearance and

settlement system. Such trades will

receive the benefit of Delta’s guarantee

and automated settlement capabilities.

Because of Deltas netting of

transactions, the proposal also may

reduce the number of securities

movements needed to settle

transactions. By reducing the number of

trades settled ex-clearing, the proposal

should assist in the prompt and accurate

clearance and settlement of repo

transactions consistent with section

17A(b)(3)(F).

III. Conclusion

On the basis of the foregoing, the

Commission finds that the proposal is

consistent with the requirements of the

Act and in particular with the

requirements of section 17A of the Act

and the rules and regulations

thereunder.

It is therefore ordered, pursuant to

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

proposed rule change (File No. SR–

DCC–97–03) be and hereby is approved.

For the Commission by the Division of

Market Regulation, pursuant to delegated

authority.7

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 97–25027 Filed 9–19–97; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–39068; File No. SR–GSCC–

97–07]

Self-Regulatory Organizations;

Government Securities Clearing

Corporation; Notice of Filing of a

Proposed Rule Change Relating to

Election of Directors

September 12, 1997.

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

Securities Exchange Act of 1934 (the

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

July 23, 1997, the Government

Securities Clearing corporation

(‘‘GSCC’’) filed with the Securities and

Exchange Commission (the

‘‘Commission’’) and on August 18, 1997,

amended the proposed rule change as

described in Items I, II, and III below,

which items have been prepared

primarily by GSCC. 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

GSCC is filing the proposed rule

change to amend its Shareholder

Agreement (‘‘Agreement’’), By-laws, and

Certificate of Incorporation in order to

revise GSCC’s procedures for election of

directors and to revise restrictions

currently placed on transfers of GSCC’s

securities.

II. Self-Regulatory Organization’s

Statement of the Purpose of, and

Statutory Basis for, the Proposed Rule

Change

In its filing with the Commission,

GSCC 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. GSCC has prepared

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

and (C) below, of the most significant

aspects of such statements.2

A. Self-Regulatory Organization’s

Statement of the Purpose of, and

Statutory Basis for, the Proposed Rule

Change

GSCC recently completed a

comprehensive review of its Agreement,

By-laws, and Certificate of

Incorporation. Pursuant to that review,

GSCC proposes to amend the

Agreement, By-laws, and Certificate of

Incorporation as described below.3

1. Background

The Agreement was first executed in

1988 before GSCC had a set of rules in

place and before there was any business

history on which to base certain

provisions of the Agreement.

Consequently, the Agreement covers a

broad range of issues, including certain

business matters not found in most

shareholder agreements. For example,

the Agreement includes provisions

relating to loss allocation procedures,

which are now comprehensively

covered by GSCC’s rules.

Moreover, since 1988 there have been

many significant changes in GSCC’s

services and membership and in the

government securities marketplace in