Federal Register / Vol. 62, No. 194 / Tuesday, October 7, 1997 / Notices 52367

Amex to reduce the minimum trading differential

from 1⁄8 to 1⁄16 for equity securities priced at or

above $10.00).

17 15 U.S.C. §§ 78f(b)(5) and 78s(b)(2).

18 15 U.S.C. § 78s(b)(2).

19 17 CFR 200.30–3(a)(12).

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

2 17 CFR 240.19b–4.

3See Securities Exchange Act Release No. 35753

(May 22, 1995), 60 FR 28007 (May 26, 1995) (order

approving File No. SR–CHX–95–08).

4 Id.

5See Securities Exchange Act Release No. 36027

(July 27, 1995), 60 FR 39465 (August 2, 1995) (order

approving File No. SR–CHX–95–15).

6CHX defines ‘‘ITS BBO’’ as the best offer or best

bid available among the following exchanges:

American, Boston, Cincinnati, Chicago, New York,

Pacific, Philadelphia or the Intermarket Trading

System/Computer Assisted Execution System

(‘‘ITS/CAES’’). See CHX Rule 37(a), Article XX. 7 15 U.S.C. 78(b)(5).

provides the CBOE with the ability to

quickly modify its trading increment to

meet changing market conditions. This

will enable the CBOE to quote

competitively with other markets.

Waiting the full statutory review period

for the proposed rule change could

place the CBOE at a significant

competitive disadvantage to other

markets. Therefore, the Commission

believes it is consistent with Section

6(b)(5) and Section 19(b)(2) of the Act to

grant accelerated approval to the

proposed rule change.17

It is therefore ordered, pursuant to

Section 19(b)(2) of the Act,18 that the

proposed rule change (SR–CBOE–97–

46) is approved.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.19

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 97–26523 Filed 10–6–97; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–39162; File No. SR–CHX–

97–23]

Self-Regulatory Organizations; Notice

of Filing and Immediate Effectiveness

of Proposed Rule Change by The

Chicago Stock Exchange, Inc.,

Relating to the Execution of Stopped

Orders Under the Enhanced SuperMAX

Program

September 30, 1997.

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 16, 1997, the Chicago Stock

Exchange, Incorporated (‘‘CHX’’ 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 self-regulatory

organization. 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

The Exchange proposes to amend its

Rule 37(e) of Article XX relating to the

execution of stopped orders under the

CHX’s Enhanced SuperMAX program.

The text of the proposed rule change is

available at the Office of the Secretary,

the CHX, and at the Commission.

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.

A. Self-Regulatory Organization’s

Statement of the Purpose of, and

Statutory Basis for, the Proposed Rule

Change

1. Purpose

On May 22, 1995, the Commission

approved a proposed rule change that

allows specialists on the Exchange,

through the Exchange’s MAX system, to

provide order execution guarantees that

are more favorable than those required

under CHX Rule 37(a), Article XX.3 That

approval order contemplated that the

CHX would file with the Commission

specific modifications to the parameters

of MAX that are required to implement

various options available under the

rule.4 The CHX now proposes to amend

the Enhanced SuperMAX program, a

program first adopted under CHX Rule

37 of Article XX in July 1995.5

Currently under the Enhanced

SuperMAX program, certain orders are

‘‘stopped’’ at the ITS BBO 6 and are

executed with reference to the next

primary market sale. The Enhanced

SuperMAX program also includes a

time-out feature whereby if there are no

executions in the primary market after

the order has been stopped for a

designated time period, the order is

executed at the stopped price at the end

of such period. Such period, known as

a time out period, is pre-selected by a

specialist on a stock-by-stock basis

based on the size of the order, may be

changed by a specialist no more

frequently than once a month and may

be no less than 30 seconds.

The Exchange believes the proposed

rule change will simplify the pricing

algorithm used by Enhanced

SuperMAX. Under the new algorithm,

an agency market order eligible for

Enhanced SuperMAX will continue to

be ‘‘stopped’’ if executing the order at

the ITS BBO would create a double uptick (for a buy order) or a double downtick (for a sell order) and the spread

between the ITS Bid and ITS Offer is 1⁄4

point or more. Under the proposal, once

stopped, a buy order will be executed as

follows:

If the next primary market sale is

equal to or greater than the primary

market offer, the order will be executed

at the stopped price.

If there is no primary market sale

within the time out period or the next

primary market sale is less than the

primary market offer, the order will be

executed at one minimum variation

better than the stopped price.

Sell orders will receive price

improvement in a similar manner.

Specifically, sell orders will be executed

at the stopped price if the next primary

market sale is equal to or less than the

primary market bid. Sell orders will be

executed at one minimum variation

better than the stopped price if the next

primary market sale is greater than the

primary market bid or if there is no

primary market sale before the

expiration of the time-out period.

2. Statutory Basis

The Exchange believes the proposed

rule change is consistent with Section

6(b)(5) of the Act 7 in that it is designed

to promote just and equitable principles

of trade, to remove impediments and to

perfect the mechanism of a free and

open market and a national market

system, and, in general, to protect

investors and the public interest.

B. Self-Regulatory Organization’s

Statement on Burden on Competition

The Exchange does not believe that

the proposed rule change will impose a

burden on competition.
52368 Federal Register / Vol. 62, No. 194 / Tuesday, October 7, 1997 / Notices

8 15 U.S.C. 78s(b)(3)(A).

9 17 CFR 19b–4(e)(6).

10 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 DCC.

3Securities Exchange Act Release No. 38471

(April 2, 1997), 62 FR 17257.

4See id. for a detailed description of the proposal.

5Overnight repos are defined as repo agreements

whose off-date is the immediately succeeding

business day following the on-date for such

transactions. Term repos are defined as repos

agreements whose off-date is two or more business

days following the on-date for such transactions.

C. Self-Regulatory Organization’s

Statement on Comments on the

Proposed Rule Change Received From

Members, Participants or Others

No comments were solicited or

received.

III. Date of Effectiveness of the

Proposed Rule Change and Timing for

Commission Action

Because the foregoing proposed rule

change: (1) does not significantly affect

the protection of investors or the public

interest; (2) does not impose any

significant burden on competition; and

(3) does not become operative for 30

days from September 16, 1997, the date

on which it was filed, and the Exchange

provided the Commission with written

notice of its intent to file the proposed

rule change at least five days prior to the

filing date, it has become effective

pursuant to Section 19(b)(3)(A) of the

Act 8 and rule 19b–4(e)(6) 9 thereunder.

At any time within 60 days of the

filing of the 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.

IV. Solicitation of Comments

Interested persons are invited to

submit written data, views and

arguments concerning the foregoing.

Persons making written submission

should file six copies thereof with the

Secretary, Securities and Exchange

Commission, 450 Fifth Street, NW.,

Washington, DC 20549. Copies of the

submissions, 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, 450 Fifth Street, NW.,

Washington, DC 20549. Copies of such

filing also will be available for

inspection and copying at the principal

office of the CHX. All submissions

should refer to file number SR–CHX–

97–23 and should be submitted by

October 28, 1997.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.10

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 97–26521 Filed 10–6–97; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–39174; File No. SR–DCC–

97–11]

Self-Regulatory Organizations; Delta

Clearing Corp.; Notice of Filing and

Order Granting Accelerated,

Temporary Approval of a Proposed

Rule Change Relating to Margin

Requirements for Repurchase

Agreements

September 30, 1997.

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

Securities Exchange Act of 1934

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

September 16, 1997, Delta Clearing

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

and Exchange Commission

(‘‘Commission’’) and on September 24,

1997, amended the proposed rule

change (File No. SR–DCC–97–11) as

described in Items I and II below, which

items have been primarily prepared by

DCC. The Commission is publishing this

notice to solicit comments on the

proposed rule change from interested

persons and to grant accelerated

approval of the proposed rule change

through March 31, 1998.

I. Self-Regulatory Organization’s

Statement of the Terms of Substance of

the Proposed Rule Change

The purpose of the proposed rule

change is to extend the temporary

approval for DCC’s rules regarding the

collection of margin for overnight

repurchase and reverse repurchase

agreements (‘‘overnight repos’’).

II. Self-Regulatory Organization’s

Statement of the Purpose of, and

Statutory Basis for, the Proposed Rule

Change

In its filing with the Commission,

DCC included statements concerning

the purpose of and basis for the

proposed rule change and any

comments received by DCC on the

proposed rule change.

The text of these statements may be

examined at the places specified in Item

IV below. DCC 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

DCC seeks an extension of the

temporary approval of its rules relating

to the collection of margin for overnight

repos. On April 2, 1997, the

Commission granted approval of DCC’s

overnight repo margining rules through

September 30, 1997.3

Prior to the proposed rule change,

DCC calculated each participant’s

margin requirement for all repos,

including overnight repos, at the end of

each business day and required margin

to be deposited by 11:00 a.m. the next

business day. DCC does not believe that

this procedure is appropriate for

overnight repos because overnight repos

terminate on the following day. As a

result, DCC amended its procedures for

calculating and collecting margin for

overnight repos.4

These procedures require each

participant which engages in overnight

repos to deposit with DCC as core

margin either $1 million or a greater

amount as determined by DCC at the

end of each week based upon the

participant’s daily overnight repo

exposures during the eight prior weeks.5

If DCC determines as a result of any

weekly calculation that a participant is

required to maintain a higher core

margin amount on deposit with DCC,

DCC will notify the participant of such

higher core margin requirement by 3:00

p.m. on the date of the calculation, and

the participant is required to deposit by

11:00 a.m. on the following business

day margin whose value equals or

exceeds the participant’s additional

margin requirement. Such deposit must

be in cash or U.S. Treasury securities.

In addition to the weekly calculation

described above, DCC calculates on each

business day each participant’s mark-tomarket exposure from overnight repos.

If a participant’s exposure from

overnight repos exceeds 65 percent of

the participant’s core margin

requirement, DCC requires the

participant to deposit additional margin

equal to the amount of such excess.

Such additional margin must be