19542 Federal Register / Vol. 63, No. 75 / Monday, April 20, 1998 / Notices

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

2See Securities Exchange Act Release No. 34157

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

Trust or the Holders of Securities of the

Trust on the part of any person

concerned.

6. The fee, spread, or other

remuneration to be received by Lehman

will be reasonable and fair compared to

the fee, spread, or other remuneration

received by dealers in connection with

comparable transactions at such time,

and will comply with section 17(e)(2)(C)

of the Act.

7. Before any Treasuries are

purchased by the Trust, the Trust must

obtain such available market

information as it deems necessary to

determine that the price to be paid for,

and the terms of, the transaction is at

least as favorable as that available from

other sources. This will include the

Trust obtaining and documenting the

competitive indications with respect to

the specific proposed transaction from

two other independent government

securities dealers. Competitive

quotation information must include

price and settlement terms. These

dealers must be those who, in the

experience of the Trust’s trustees, have

demonstrated the consistent ability to

provide professional execution of

Treasury transactions at competitive

market prices. They also must be those

who are in a position to quote favorable

prices.

For the Commission, by the Division of

Investment Management, pursuant to

delegated authority.

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 98–10275 Filed 4–17–98; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

Sunshine Act Meeting

Notice is hereby given, pursuant to

the provisions of the Government in the

Sunshine Act, Pub. L. 94–409, that the

Securities and Exchange Commission

will hold the following meeting during

the week of April 20, 1998.

A closed meeting will be held on

Thursday, April 23, 1998, at 10:00 a.m.

Commissioners, Counsel to the

Commissioners, the Secretary to the

Commission, and recording secretaries

will attend the closed meeting. Certain

staff members who have an interest in

the matters may also be present.

The General Counsel of the

Commission, or his designee, has

certified that, in his opinion, one or

more of the exemptions set forth in 5

U.S.C. 552b(c)(4), (8), (9)(A) and (10)

and 17 CFR 200.402(a)(4), (8), (9)(i) and

(10), permit consideration of the

scheduled matters at the closed meeting.

Commissioner Unger, as duty officer,

voted to consider the items listed for the

closed meeting in a closed session.

The subject matter of the closed

meeting scheduled for Thursday, April

23, 1998, at 10:00 a.m., will be:

Institution and settlement of

injunctive actions.

Institution and settlement of

administrative proceedings of an

enforcement nature.

At times, changes in Commission

priorities require alterations in the

scheduling of meeting items. For further

information and to ascertain what, if

any, matters have been added, deleted

or postponed, please contact:

The Office of the Secretary at (202)

942–7070.

Dated: April 15, 1998.

Jonathan G. Katz,

Secretary.

[FR Doc. 98–10504 Filed 4–16–98; 12:34 pm]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–39854; File No. SR–Amex–

98–14]

Self-Regulatory Organizations; Notice

of Filing and Immediate Effectiveness

of Proposed Rule Change by the

American Stock Exchange, Inc.

Relating to Options on the Computer

Hardware Index

April 13, 1998.

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

Securities Exchange Act of 1934

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

March 30, 1998, the American Stock

Exchange, Inc. (‘‘Amex’’ or ‘‘Exchange’’)

filed with the Securities and Exchange

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 Amex proposes to trade options

on the Computer Hardware Index, a new

index developed by the Amex based on

the stocks of companies engaged in the

design and production of commercial

and consumer personal computers and

systems. In addition, the Amex proposes

to amend its Rule 901C, Commentary

.01 to reflect that 90% of the Index’s

numerical index value will be

accounted for by stocks that meet the

current criteria and guidelines set forth

in Amex Rule 915. The text of the

proposed rule change is set forth in

Exhibit A to the filing.

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 Amex 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 the

Statutory Basis for, the Proposed Rule

Change

(1) Purpose

The Amex proposes to trade options

on its newly developed Computer

Hardware Index (the ‘‘Index’’), an index

based entirely on shares of widely held

companies engaged in the design and

production of commercial and

consumer personal computers and

systems. With rapidly changing

technology, vendors constantly

introducing more powerful products,

and the growing demand for systems

priced less than $1,000, stocks of

companies in this sector of the high-tech

industry are expected to remain

extremely volatile, particularly in the

near term. Options on the Index are

designed to provide investors with an

investment vehicle to participate in or

hedge against this volatility, and

decrease the risk involved in selecting

individual stocks. A list of the current

component securities is set forth in

Exhibit B to the filing.

The Amex is filing this proposal

pursuant to Amex Rule 901C,

Commentary .02, which provides for the

commencement of the trading of options

on the Index thirty days after the date

of this filing. The proposal meets all the

criteria set forth in Commentary .02 and

the Commission’s order approving that

rule as outlined below.2
Federal Register / Vol. 63, No. 75 / Monday, April 20, 1998 / Notices 19543

3The index’s value at the close of trading on

March 18, 1988 was 234.86.

Eligibility Criteria for Index

Components

Pursuant to Commentary .02 to Rule

901C, (1) each of the component

securities has a minimum market

capitalization of at least $75 million and

has a trading volume in each of the last

six months of not less than 1,000,000

shares; (2) at least 90% of the Index’s

numerical index value and at least 80%

of the total number of component

securities meet the current criteria for

standardized option trading set forth in

Exchange Rule 915 (in fact, all of the

component securities in the Index

currently underlie standardized

options); (3) the Index contains no

American Depository Receipts

(‘‘ADRs’’); (4) all component stocks are

listed on the Amex, the New York Stock

Exchange, or traded through the

facilities of the National Association of

Securities Dealers Automated Quotation

System and are reported National

Market System securities (‘‘Nasdaq/

NMS’’); and (5) no component security

represents more than 25% of the weight

of the Index, and the five highest

weighted component securities in the

Index do not in the aggregate account

for more than 60% of the weight of the

Index.

Index Calculation

The Index will be calculated using an

‘‘equal-dollar weighting’’ methodology

designed to ensure that each of the

component securities in represented in

an approximately ‘‘equal’’ dollar

amount in the Index. The following is

a description of the methodology. As of

the market close on February 20, 1998,

a portfolio of stocks was established

representing an investment of

approximately $200,000 in the stock

(rounded to the nearest whole share) of

each of the companies in the Index. The

value of the Index equals the current

market value (i.e., based on US primary

market prices) of the sum of the

assigned number of shares of each of the

stocks in the Index portfolio divided by

the Index divisor. The Index divisor was

initially determined to yield a

benchmark value of 250.00 3 at the close

of trading on February 20, 1998.

Maintenance of the Index

The Exchange will maintain the Index

in accordance with Amex Rule 901C,

Commentary .02 so that (1) the Index is

comprised of not less than 9 underlying

stocks, and not more than 13 underlying

stocks; (2) component stocks

constituting the top 90% of the Index,

by weight, will have a minimum market

capitalization of $75 million, and the

component stocks constituting the

bottom 10% of the Index, by weight,

may have a minimum market

capitalization of $50 million; (3) 90% of

the Index’s numerical index value and

at least 80% of the total number of

components will meet the then current

criteria for standardized options trading

set forth in Amex Rule 915; (4) foreign

country securities or ADRs thereon that

are not subject to comprehensive

surveillance agreements will not in the

aggregate represent more than 20% of

the weight of the Index; (5) all

component stocks will either be listed

on the Amex, the NYSE, or Nasdaq/

NMS; (6) no component security will

represent more than 25% of the weight

of the Index, and the five highest

weighted components will not in

aggregate account for more than 60% of

the Index; and (7) trading volume of

each component security shall be at

least 500,000 shares for each of the last

six months, or for each of the lowest

weighted components that in aggregate

account for no more than 10% of the

weight of the Index, the monthly trading

volume may be at least 400,000 shares

for each of the last six months.

The Exchange shall not open for

trading any additional option series

should the Index fail to satisfy any of

the maintenance criteria set forth above

unless such failure is determined by the

Exchange not to be significant and the

Commission concurs in that

determination.

Rebalancing

Following the close of trading on the

third Friday of February, May, August

and November the Index portfolio will

be adjusted by changing the number of

whole shares of each component stock

so that each company is again

represented in ‘‘equal’’ dollar amounts.

If necessary, a divisor adjustment will

be made at the rebalancing to ensure

continuity of the Index’s value. The

newly adjusted portfolio will then

become the basis for the Index’s value

on the first trading day following the

adjustment.

The number of shares of each

component stock in the Index portfolio

will remain fixed between quarterly

rebalances except in the event of certain

types of corporate actions such as the

payment of a dividend other than an

ordinary cash dividend, stock

distribution, stock split, reverse stock

split, rights offering, distribution,

reorganization, recapitalization, or

similar event with respect to the

component stocks. In the case of a

merger or the consolidation of an issuer

of a component stock, if the stock

remains in the Index, the number of

shares of that security in the portfolio

may be adjusted to the nearest whole

share to maintain the component’s

relative weight in the Index at the level

immediately prior to the corporate

action. In the event of a stock addition

or replacement, the average dollar value

of the remaining portfolio components

will be calculated and that amount

invested in the stock of the new

component, to the nearest whole share.

In all cases, the divisor will be adjusted,

if necessary, to ensure Index continuity.

All stock replacements and the

handling of non-routine corporate

actions will be announced at least ten

business days in advance of such

effective change, whenever possible.

The Exchange will make this

information available to the public

through dissemination of an information

circular.

Dissemination of Index

Similar to other stock index values

which underlie exchange-traded

products, the value of the index will be

calculated continuously and

disseminated every 15 seconds over the

Consolidated Tape Association’s

Network B.

Expiration and Settlement

The proposed options on the Index

will be European style (i.e., exercises are

permitted at expiration only), and cash

settled. Standard option trading hours

(9:30 a.m. to 4:02 p.m. New York time)

will apply. The options on the Index

will expire on the Saturday following

the third Friday of the expiration

month. The last trading day in expiring

option series will normally be second to

the last business day preceding the

Saturday following the third Friday of

the expiration month (normally a

Thursday). Trading in expiring options

will cease at the close of trading on the

last trading day.

The Exchange plans to list options

series with expiration in the three nearterm calendar months and in two

additional calendar months in the

February cycle. Further, flexible

exchange options, in addition to longer

term option series having up to thirtysix months to expiration, may be traded.

In lieu of such long-term options on full

value Index level, the Exchange may

instead list long-term, reduced value put

and call options based on one-tenth

(1⁄10) the Index’s full value. In either

event, the interval between expiration

months for either a full value or reduced

value long term option will not be less

than six months. The trading of any long

term options would be subject to the

same rules which govern the trading of
19544 Federal Register / Vol. 63, No. 75 / Monday, April 20, 1998 / Notices

4 15 U.S.C. 78f(b).

5 15 U.S.C. 78f(b)(5). 6 15 U.S.C. 78s(b)(3)(A).

7 17 CFR 200.30(a)(12).

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

all the Exchange’s index options,

including sales practice rules, margin

requirements and floor trading

procedures. Position limits on reduced

value long term Index options will be

equivalent to the position limits for

regular (full value) Index options and

would be aggregated with such options

(for example, if the position limit for the

full value options is 15,000 contracts on

the same side of the market, then the

position limit for the reduced value

options will be 150,000 contracts on the

same side of the market).

The exercise settlement value for all

of the Index’s expiring options will be

calculated based upon the primary

exchange regular way opening sale

prices for the component stocks. In the

case of Nasdaq/NMS listed securities,

the first reported regular way sale price

will be used. If any component stock

does not open for trading on its primary

market on the last trading day before

expiration, then the prior day’s last sale

price will be used in the calculation.

Exchange Rules Applicable to Stock

Index Options

Amex Rules 900C through 980C will

apply to the trading of option contracts

based on the Index. These rules cover

issues such as surveillance, exercise

prices, and position limits. Surveillance

procedures currently used to monitor

trading in each of the Exchange’s other

index options will also be used to

monitor trading in options on the

Computer Hardware Index. The Index is

deemed to be a Stock Index Option

under Rule 901C(a) and a Stock Index

Industry Group under Rule 900C(b)(1).

With respect to Rule 903C(b), the

Exchange proposes to list near-themoney (i.e., within ten points above or

below the current index value) option

series on the Index at 21⁄2 point strike

(exercise) price intervals when the value

of the Index is below 200 points. In

addition, the Exchange expects that the

review required by Rule 904C(c) will

result in a position limit of 15,000

contracts with respect to options on this

Index.

(2) Statutory Basis

The proposed rule change is

consistent with Section 6(b) of the Act 4

in general and furthers the objectives of

Section 6(b)(5) 5 in particular in that it

is designed to prevent fraudulent and

manipulative acts and practices, to

promote just and equitable principles of

trade, to foster cooperation and

coordination with persons engaged in

facilitating transactions in securities,

and to remove impediments to and

perfect the mechanism of a free and

open market and a national market

system.

B. Self-Regulatory Organization’s

Statement on Burden on Competition

The Exchange does not believe that

the proposed rule change will impose

any burden on competition.

C. Self-Regulatory Organization’s

Statement on Comments on the

Proposed Rule Change Received From

Members, Participants or Others

No written comments were solicited

or received with respect to the proposed

rule change.

III. Date of Effectiveness of the

Proposed Rule Change and Timing for

Commission Action

The foregoing rule change has become

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

of the Act.6 The Amex may not list

options for trading on the Index prior to

30 days after the date the proposed rule

change was filed with the Commission.

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 the 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,

including whether the submission is

consistent with the Act. 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

98–14 and should be submitted by May

11, 1998.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.7

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 98–10335 Filed 4–17–98; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–39850; File No. SR–DCC–

98–02]

Self-Regulatory Organizations; Delta

Clearing Corp.; Notice of Filing and

Immediate Effectiveness of Proposed

Rule Change Relating to the

Authorization of Tullet & Tokyo

Securities, Inc. To Participate as a

Broker for Over-the-Counter U.S.

Treasury Options Trades

April 10, 1998.

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

Securities Exchange Act of 1934

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

March 6, 1998, Delta Clearing Corp.

(‘‘DCC’’) 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 primarily by DCC.

The Commission is publishing this

notice to solicit comments from

interested persons on the proposed rule

change.

I. Self-Regulatory Organization’s

Statement of the Terms of Substance of

the Proposed Rule Change

The proposed rule change notifies the

Commission that Tullet & Tokyo

Securities, Inc. (‘‘Tullet’’) has been

authorized by DDC to participate as a

broker in the over-the-counter system

(‘‘system’’) operated for options on U.S.

treasury 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,

DCC 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. DCC has prepared

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