Federal Register / Vol. 62, No. 246 / Tuesday, December 23, 1997 / Notices 67101

1 15 U.S.C. § 78s(b)(1).

2The DJIA is comprised of 30 of the largest

companies traded on the New York Stock Exchange.

The DJIA currently consists of the following

companies: Allied Signal, Incorporated; Aluminum

Company of America; American Express Company;

AT&T Corporation; Boeing Company; Caterpillar,

Incorporated; Chevron Corporation; Coca Cola

Company; Du Pont E.I. de Nemours; Eastman Kodak

Company, Exxon Corporation; General Electric

Company; General Motors Corporation; Goodyear

Tire and Rubber Company; Hewlett Packard

Company; International Business Machines;

International Paper Company; Johnson and

Johnson; JP Morgan and Company, Incorporated;

McDonalds Corporation; Merck and Company,

Incorporated; Minnesota Mining and

Manufacturing; Philip Morris Companies,

Incorporated; Procter and Gamble Company; Sears

Roebuck and Company; Traveler’s Group

Incorporated; Union Carbide Corporation; United

Technologies Corporation; Wal Mart Stores,

Incorporated; and Walt Disney Company. Earlier

this year, the Commission approved the Exchange’s

proposed rule change to list and trade options on

the DJIA. See Securities Exchange Act Release No.

39011 (Sept. 3, 1997), 62 FR 47840 (Sept. 11, 1997).

3See Securities Exchange Act Release No. 34157

(June 3, 1994), 59 FR 30062 (June 10, 1994).

information needed from an applicant

seeking to possess and use a relatively

safe device. These self-shielded

irradiators contain sealed sources of

radioactive material and incorporate

features engineered to enhance their

safety. NRC’s considerable experience

with these licensees indicates that

radiation exposures to workers are

generally low, if the irradiators operate

as designed and workers follow basic

safety procedures.

This draft report is strictly for public

comment and is NOT for use in

preparing or reviewing applications for

self-shielded irradiators until it is

published in final form. It is being

distributed for comment to encourage

public participation in its development.

DATES: The comment period ends March

23, 1998. Comments received after that

time will be considered if practicable.

ADDRESSES: Submit written comments

to: Chief, Rules and Directives Branch,

Division of Administrative Services,

Office of Administration, U.S. Nuclear

Regulatory Commission, Washington,

DC 20555–0001. Hand deliver

comments to 11545 Rockville Pike,

Rockville, Maryland, between 7:15 a.m.

and 4:30 p.m. on Federal workdays.

Comments may also be submitted

through the Internet by addressing

electronic mail to DLM1@NRC.GOV.

Those considering public comment

may request a free single copy of draft

NUREG–1556, Volume 5, by writing to

the U.S. Nuclear Regulatory

Commission, ATTN: Mrs. Patricia C.

Vacca, Mail Stop TWFN 8F5,

Washington, DC 20555–0001.

Alternatively, submit requests through

the Internet by addressing electronic

mail to PCV@NRC.GOV. A copy of draft

NUREG–1556, Volume 5, is also

available for inspection and/or copying

for a fee in the NRC Public Document

Room, 2120 L Street, NW. (Lower

Level), Washington, DC 20555–0001

FOR FURTHER INFORMATION CONTACT: Mrs.

Patricia C. Vacca, Mail Stop TWFN 8–

F5, Division of Industrial and Medical

Nuclear Safety, Office of Nuclear

Materials Safety and Safeguards, U.S.

Nuclear Regulatory Commission,

Washington, DC 20555, telephone (301)

415–7908; electronic mail address:

PCV@NRC.GOV.

Dated at Rockville, Maryland, this 16th day

of December 1997.

For the Nuclear Regulatory Commission.

Larry W. Camper,

Chief, Medical, Academic, and Commercial

Use Safety Branch, Division of Industrial and

Medical Nuclear Safety, Office of Nuclear

Material Safety and Safeguards.

[FR Doc. 97–33420 Filed 12–22–97; 8:45 am]

BILLING CODE 7590–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–39453; File No. SR–CBOE–

97–63]

Self-Regulatory Organizations; Notice

of Filing and Immediate Effectiveness

of Proposed Rule Change by the

Chicago Board Options Exchange,

Incorporated Relating to the Listing

and Trading of Options on the Dow

Jones High Yield Select 10 Index

December 16, 1997.

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

Securities Exchange Act of 1934

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

December 8, 1997, the Chicago Board

Options Exchange, Incorporated

(‘‘CBOE’’ 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 by the Exchange. 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

Exchange Rules 24.1, 24.6, and 24.9 to

provide for the listing and trading of

options on the Dow Jones High Yield

Select (10 Index (‘‘Index’’), a narrowbased index comprised of the ten

highest yielding stocks from the Dow

Jones Industrial Average (‘‘DJIA’’).

Options on the Index will be cashsettled and will have European-style

exercise provisions.

The text of the proposed rule change

is available at the Office of the

Secretary, the Exchange, 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

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

1. Purpose

The Exchange seeks to list and trade

cash-settled, European-style stock index

options on the Index. The Index is an

equal-dollar weighted index comprised

of the ten highest yielding stocks from

the DJIA.2 The Index was designed to

replicate a popular contrarian strategy

which assumes that the ten highestyielding stocks in the DJIA are oversold

and, therefore, underpriced relative to

the other DJIA stocks. Because a number

of mutual funds and unit investment

trusts employ this strategy, the

Exchange believes that options based on

the same general strategy would provide

a valuable hedging and investment tool.

According to the Exchange, the Index

satisfies the generic criteria for listing

options on narrow-based indexes set

forth in Exchange Rule 24.2,

‘‘Designation of the Index,’’ as well as

the generic criteria appearing in the

Commission’s order that approved

Exchange Rule 24.2 (‘‘Generic Index

Approval Order’’).3 Because the

Exchange submitted this proposed rule

change in accordance with the

expedited approval procedures set forth

in Exchange Rule 24.2 and the Generic

Index Approval Order, the Exchange

may list and trade options on the Index

as soon as 30 days from December 8,

1997, the filing date of the proposed

rule change.

(a) Index Design. The Index will be

constituted at the end of the calendar

year, and will be comprised of the ten

highest-yielding stocks from the DJIA,

determined as of the close of trading on
67102 Federal Register / Vol. 62, No. 246 / Tuesday, December 23, 1997 / Notices

4The ten stocks are: AT&T Corporation, Chevron

Corporation, Du Pont E.I. de Nemours, Exxon

Corporation, General Motors Corporation, Goodyear

Tire and Rubber Company, International Paper

Company, JP Morgan and Company, Minnesota

Mining and Manufacturing, and Philip Morris

Companies.

5 17 CFR 240.11Aa3–1.

6The DJX is the index upon which options on the

DJIA are based. The value of the DJX is equal to the

level of the DJIA divided by 100. As of November

20, 1997, the value of the DJX was 78.27.

7 In the table above, the symbols represent the

following DJIA stocks: GM—General Motors; UK—

Union Carbide, CHV—Chevron; EK—Eastman

Kodak; XON—Exxon Corporation; S—Sears

Roebuck & Company; T—AT&T Corporation; ALD—

Allied Signal Inc.; GT—Goodyear Tire and Rubber

Company; DD—EI du Pont de Nemours and

Company; WX—Westinghouse Electric Corporation;

AXP—American Express; TX—Texaco Inc.; IBM—

International Business Machines; JPM—JP Morgan;

Z—Woolworth Corporation; MO—Philip Morris

Companies, Inc.; UTX—United Technologies

Corporation; BA—Boeing Company; MMM—

Minnesota Mining and Manufacturing; and IP—

International Paper Company. An italicized ticker

symbol represents a new component stock.

8 15 U.S.C. § 78s(b)(2).

the third business day prior to the last

business day of the calendar year. The

Exchange provided information in its

proposed rule change filing that

identified the ten DJIA stocks that

would make up the Index if it were

constituted as of November 20, 1997

(‘‘Sample Index’’) 4 All of the stocks in

the Sample Index are ‘‘reported

securities’’ as defined in Rule 11Aa3–1

under the Act.5 In addition, all of the

stocks in the Sample Index meet the

Exchange’s listing criteria for equity

options as set forth in Exchange Rule

5.3. Accordingly, 100% of the stocks in

the Sample Index, by number and

weight, are eligible to serve as

underlying securities pursuant to

Exchange rules.

In its proposed rule change filing, the

Exchange also provided statistical

information indicating that each of the

stocks in the Sample Index has a market

capitalization well in excess of $75

million. As of November 20, 1997, the

stocks comprising the Sample Index

ranged in market capitalization from

$9.55 billion (Goodyear Tire and Rubber

Company) to $154.58 billion (Exxon

Corporation). The total market

capitalization of the Sample Index as of

that date was $598.77 billion. The mean

market capitalization was $59.88

billion, and the median market

capitalization was $49.43 billion.

Additional information provided by

the Exchange demonstrates that each of

the component stocks in the Sample

Index has experienced monthly trading

volume well in excess of 1 million

shares over the six month period

through October, 1997. During that

period, monthly trading volumes for the

Sample Index stocks ranged from a low

of 6.1 million shares (Goodyear Tire and

Rubber Company—August, 1997), to a

high of 174 million shares (Philip

Morris—June, 1997). Because the Index

will be equal-dollar weighted at the

outset, each component stock will

comprise 10% of the Index. As

described below, the Index will be

rebalanced once each calendar quarter

at which time each stock will be

adjusted so that each component will

once again have equal dollar weight

within the Index.

(b) Calculation of the Index. The

Index will be calculated by the

Exchange or its designee on a real-time

basis using last-sale price information,

and will be disseminated by the

Exchange every 15 seconds. If a

component stock is not being traded

currently, the Exchange will use the

most recent price at which the stock

traded to calculate the Index. The initial

value of the Index will be set to equal

the value of the DJX as of December 31,

1997.6

The Index is equal-dollar weighted

and reflects changes in the prices of the

component stocks relative to the Index

base date, January 1, 1998, when the

Index will be set to equal the value of

the DJX. Initially, each of the

component stocks is represented in

equal dollar amounts; the level of the

Index is equal to the combined market

value of the assigned number of shares

for each of the Index components,

divided by the current Index divisor.

The Index divisor is adjusted to reflect

non-market related changes in the prices

of the component securities and changes

in the composition of the Index.

Changes which result in divisor

adjustments include, but are not limited

to, quarterly rebalancings, special

dividends, spin-offs, certain rights

issuances, and mergers and acquisitions.

(c) Maintenance of the Index. The

Exchange will maintain the Index.

Exchange staff will rebalance the Index

quarterly on expiration Fridays in

March, June, September, and on the last

business day in December. If it becomes

necessary to remove a stock from the

Index (for example, because of a

takeover, merger, or component change

in the DJIA), it will be replaced by the

stock from the DJIA which has the

highest yield of those stocks not already

included in the Index. As of the third

business day before the last business

day of the calendar year, the Exchange

will determine the ten highest yielding

stocks from the DJIA. The Exchange will

disseminate notice of these ten stocks

on that day. The reconstituted Index, as

determined three business days before

the last business day of the calendar

year, will become effective as of January

1 of the next calendar year. The

following table prepared by the

Exchange shows the stocks eligible for

inclusion in the Index from 1987

through 1996. The table illustrates that

turnover from one year to the next

generally involves two or three stocks.7

1987 GM UK CHV WX XON S T ALD GT DD

1988 GM UK CHV WX XON S T ALD UTX BA

1989 GM UK CHV EK XON S T ALD UTX DD

1990 GM UK CHV EK XON S MMM ALD GT DD

1991 GM UK AXP EK XON S T ALD GT DD

1992 GM UK AXP EK XON S WX CHV TX IBM

1993 GM UTX AXP EK XON S WX CHV TX IBM

1994 JPM UK AXP EK XON MO Z CHV TX DD

1995 JPM S MMM EK XON MO Z CHV TX DD

1996 JPM GM MMM EK XON MO IP CHV TX DD

If the Index fails at any time to satisfy

one or more of the required

maintenance criteria, the Exchange will

immediately notify the Commission of

that fact and will not open for trading

any additional series of options on the

Index unless the Exchange determines

that such failure is insignificant and the

Commission concurs in that

determination, or unless the

Commission approves the continued

listing of options on the Index under

Section 19(b)(2) of the Act.8

(d) Trading of Option Contracts Based

on the Index. The Exchange proposes to

base trading in Index options on the full

value of the Index. The Exchange may
Federal Register / Vol. 62, No. 246 / Tuesday, December 23, 1997 / Notices 67103

9See Letter from Joseph P. Corrigan, Executive

Director, OPRA, to William Speth, Exchange, dated

November 20, 1997.

10 15 U.S.C. § 78f.

11 15 U.S.C. § 78f(b)(5).

12See note 3, supra.

13 15 U.S.C. § 78s(b)(3)(A).

14 17 CFR 240.19b–4(e).

15 17 CFR 200.30–3(a)(12).

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

2See letter from J. Craig Long, Attorney, Foley &

Lardner, to Katherine England, Assistant Director,

Division of Market Regulation, Commission, dated

December 10, 1997 (‘‘Amendment No. 1’’). The

Exchange initially submitted the proposal on

December 8, 1997. However, at the Commission’s

request, the Exchange filed Amendment No. 1 to the

proposed rule change on December 11, 1997 to

provide the reasoning for rebating the dues and

fees.

elect to list full-value, long-term index

option series (‘‘LEAPS’’), as provided

in Exchange Rule 24.9, ‘‘Terms of Index

Option Contracts.’’ The Exchange also

may provide for the listing of reducedvalue LEAPS, for which the underlying

value would be computed at one-tenth

of the value of the Index. The current

and closing Index value for any such

reduced-value LEAP will be rounded to

the nearest one-hundredth.

(e) Exercise and Settlement of Option

Contracts Based on the Index. Options

listed and traded on the Index will have

European-style exercise features and

will be ‘‘A.M.-Settled Index Options’’

within the meaning of the Exchange

Rules in Chapter XXIV, ‘‘Index

Options,’’ including Exchange Rule

24.9, which is being amended to

reference options based on the Index.

Option contracts based on the Index

will expire on the Saturday following

the third Friday of the expiration

month. Thus, the last day for trading in

an expiring series will be the second

business day preceding the expiration

date, typically a Thursday.

(f) Exchange Rules Applicable to the

Trading of Index Option Contracts.

Except as modified in this proposed rule

change, the Exchange Rules in Chapter

XXIV will apply to options listed and

traded on the Index. In addition, option

contracts based on the Index will be

subject to the position limit

requirements of Exchange Rule 24.4A,

‘‘Position Limits for Industry Index

Options.’’

The Exchange has represented that it

possesses the necessary systems

capacity to support new series that

would result from the introduction of

option contracts based on the Index. In

addition, the Options Price Reporting

Authority (‘‘OPR’’) informed the

Exchange that additional traffic

generated by options on the Index is

within OPRA’s capacity.9

2. Statutory Basis

The Exchange believes the proposed

rule change is consistent with Section 6

of the Act,10 in general, and furthers the

objectives of Section 6(b)(5),11 in

particular, in that it will permit trading

in option contracts based on the Index

in accordance with rules designed to

prevent fraudulent and manipulative

acts and practices, and to promote just

and equitable principles of trade.

B. Self-Regulatory Organization’s

Statement on Burden on Competition

The Exchange does not believe 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

The Exchange did not solicit or

receive written comments with respect

to the proposed rule change.

III. Date of Effectiveness of the

Proposed Rule Change and Timing for

Commission Action

Because the proposed rule change

complies with the requirements set forth

in the Generic Index Approval Order,12

it constitutes a stated policy, practice, or

interpretation with respect to the

administration of an existing Exchange

rule, and, therefore, has become

effective pursuant to Section 19(b)(3)(A)

of the Act 13 and subparagraph (e) of

Rule 19b-4 thereunder.14 Pursuant to the

Generic Index Approval Order, the

Exchange may not list Index options for

trading prior to 30 days after December

8, 1997, the date the proposed rule

change was filed with the Commission.

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 submissions

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 persons, 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, 450 Fifth Street, NW.,

Washington, DC 20549. Copies of such

filing will also be available for

inspection and copying at the principal

office of the Exchange. All submissions

should refer to File No. SR–CBOE–97–

63 and should be submitted by January

13, 1998.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.15

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 97–33404 Filed 12–22–97; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–39450; File No. SR–CHX–

97–31]

Self-Regulatory Organizations; Notice

of Filing and Immediate Effectiveness

of Proposed Rule Change by the

Chicago Stock Exchange, Inc. Relating

to a Rebate to Members of Dues and

Certain Fees

December 15, 1997.

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

Securities Exchange Act of 1934

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

December 11, 1997, the Chicago Stock

Exchange, Inc. (‘‘CHX’’ 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 by the selfregulatory organization.2 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 rebate to

members (1) an amount equal to six

months of membership dues and (2) an

amount equal to twelve months of floor

telephone booth and/or post space

charges applicable to them, as set forth

in the Exchange’s Membership Dues and

Fees Schedule.