Federal Register / Vol. 66, No. 83 / Monday, April 30, 2001 / Notices 21427

5 17 CFR 200.30–3(a)(12).

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

2 17 CFR 240.19b–4.

3See April 12, 2001 letter and attachments from

Murray L. Ross, Phlx to Nancy Sanow, Division of

Market Regulation, SEC (‘‘Amendment No. 1’’). In

Amendment No. 1, the Phlx limited the new

securities eligible for eVWAP to exchange traded

component issues of the Standard & Poor’s 500

index, and made other technical, non-substantive

changes to the original proposal. For purposes of

calculating the 60-day abrogation period, the

Commission considers the period to commence on

April 13, 2001, the date the Phlx filed Amendment

No. 1.

4 15 U.S.C. 78s(b)(3)(A).

5 eVWAP was developed by Universal Trading

Technologies Corporation, and was approved by the

Commission to operate as a facility of the Exchange.

See Securities Exchange Act Release No. 41210

(March 24, 1999), 64 FR 15857 (April 1, 1999)(SR–

Phlx–96–14). The original pilot program was

extended until November 30, 2001. See Securities

Exchange Act Release No. 43477 (October 23, 2000),

65 FR 64734 (October 30, 2000)(SR–Phlx–00–84).

to the proposed rule change, and none

have been received.

III. Date of Effectiveness of the

Proposed Rule Change and Timing for

Commission Action

Within thirty-five days of the date of

publication of this notice in the Federal

Register or within such longer period (i)

as the Commission may designate up to

ninety days of such date if it finds such

longer period to be appropriate and

publishes its reasons for so finding or

(ii) as to which the self-regulatory

organization consents, the Commission

will:

(A) By order approve such proposed

rule change or

(B) Institute proceedings to determine

whether the proposed rule change

should be disapproved.

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.

Persons making written submissions

should file six copies thereof with the

Secretary, Securities and Exchange

Commission, 450 Fifth Street, NW.,

Washington, DC 20549–0609. 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, 450 Fifth Street, NW.,

Washington, DC 20549. Copies of such

filing also will be available for

inspection and copying at the principal

office of OCC. All submissions should

refer to File No. SR–OCC–2001–05 and

should be submitted by May 21, 2001.

For the Commission by the Division of

Market Regulation, pursuant to delegated

authority.5

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 01–10607 Filed 4–27–01; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–44203; File No. SR–Phlx–

2001–10]

Self-Regulatory Organizations; Notice

of Filing and Immediate Effectiveness

of Proposed Rule Change and

Amendment No. 1 by the Philadelphia

Stock Exchange, Inc. To Amend Phlx

Rule 237 To Expand the Securities

Eligible for eVWAP Trading

April 19, 2001.

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 April 5,

2001, the Philadelphia Stock Exchange,

Inc. (‘‘Phlx’’ or ‘‘Exchange’’) filed with

the Securities and Exchange

Commission (‘‘Commission’’ or ‘‘SEC’’)

the proposed rule change as described

in Items I, II, and III below, which Items

have been prepared by the Exchange.

On April 13, 2001, the Exchange

amended the proposal.3 The Exchange

has designated this proposal as one

affecting a change in an existing order

entry or trading system of the Phlx that

(i) does not significantly affect the

protection of investors or the public

interest; (ii) does not impose any

significant burden on competition; and

(iii) does not have the effect of limiting

the access to or availability of the

system under Section 19(b)(3)(A) of the

Act,4 which renders the proposal

effective upon filing with the

Commission. The Commission is

publishing this notice to solicit

comments on the proposed rule change,

as amended, from interested persons.

I. Self-Regulatory Organization’s

Statement of the Terms of Substance of

the Proposed Rule Change

The Exchange proposes to amend

Phlx Rule 237, eVWAP Morning

Session,5 to expand the securities

eligible for eVWAP trading to include

additional exchange traded component

issues of the Standard and Poor’s

(‘‘S&P’’) 500 index. Specifically, the

Exchange proposes to adopt paragraph

(b), which states the following:

(b) Eligible Securities. The following

securities will be eligible for execution

in the System:

(i) Exchange listed component issues

of the Standard & Poor’s 500 index and

any exchange listed issue that has been

designated by the compiler of such

index for inclusion in such index.

(ii) Any of 300 New York Stock

Exchange (NYSE) issues selected as

follows: the 400 NYSE issues with the

highest market capitalization excluding

the 100 issues that have the lowest

average daily dollar trading volume over

20 days preceding the eligibility

determination, with eligibility

determined at least semiannually.

The Exchange also proposes technical

amendments to Phlx Rule 237 relating

to decimal reporting and a minor change

to the calculation methodology, as

described further below. The complete

text of the proposal is available at the

Phlx 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 purpose of the proposed rule

change is to expand the number of

highly capitalized and actively traded

securities eligible to participate in

eVWAP pursuant to Phlx Rule 237. The

eVWAP is a pre-opening order matching

session for the electronic execution of

large-sized stock orders at a

standardized volume weighted average

price (‘‘eVWAP Price’’).

The proposed expansion of eligible

securities would include those exchange

21428 Federal Register / Vol. 66, No. 83 / Monday, April 30, 2001 / Notices

6Previously all references to UTS were to be

eliminated and replaced by eVWAP, however, two

references were not changed. See Securities

Exchange Act Release No. 42702 (April 19, 2000),

65 FR 24528 (April 26, 2000)(SR–Phlx 00–19).

7 15 U.S.C. 78f(b).

8 15 U.S.C. 78f(b)(5).

9 15 U.S.C. 78s(b)(3)(A).

10 17 CFR 240.19b–4(f)(5).

11 17 CFR 200.30–3(a)(12).

listed and Consolidated Tape

Association (‘‘CTA’’) reported securities

that are component issues of the S&P

500 index. This expansion would

increase the number of securities

available for eVWAP participation by

169 exchange listed securities that are

not presently eVWAP eligible, but are

component issues of the S&P 500 index.

A number of eVWAP participants have

requested that the Exchange make these

issues eligible for inclusion in the

system pursuant to Phlx Rule 237 issue

eligibility procedures.

The Exchange notes that the

additional eligible securities may not be

securities that the Exchange otherwise

trades on its equity floor. These

securities may instead only be traded

through the eVWAP System; thus, they

would be traded on an unlisted trading

privileges basis, but without trading

during regular trading hours pursuant to

regular trading rules and thus without

the concomitant quoting obligations.

Nevertheless, these eVWAP trades will

be reported pursuant to the applicable

reporting channel, the CTA Tape.

The Exchange notes that the

additional securities that it has

requested to be eligible for eVWAP

matching are all high capitalization

issues, enjoying active trading volume.

The S&P 500 index is a key benchmark

of large capitalization securities

followed actively by institutional money

managers and investment fiduciaries

that seek to trade component issues

relative to their index weightings.

Certain of these market participants,

among others, have indicated that they

see considerable utility in extending the

benefits now afforded to a limited group

of listed issues to a more expansive

eVWAP eligibility list, including all

exchange listed component issues of the

S&P 500 index. Additionally, the

eligibility of these additional issues is

critical to developing eVWAP order

flow connected with certain indexlinked stock basket transactions.

The Exchange also notes that it has

eliminated the exclusion of issues that

have a market price of $200 or more per

share in determining eligibility for listed

issues. Originally the $200 market price

exclusion was designed to eliminate

very highly priced issues such as

Washington Post and Berkshire

Hathaway. The Exchange believes that

the existing dollar volume criteria has

and will continue to eliminate very

highly priced issues which possess

limited trading activity outside of the

system while permitting certain actively

traded high priced issues to be eVWAP

eligible.

The Exchange notes that several major

broker-dealers sponsor alternative

trading systems, which currently

provide crossing networks that offer the

opportunity to trade any listed or

Nasdaq reported securities. For

example, ITG (POSIT) and Instinet

operate crossing systems that offer trade

matching in thousands of reported

securities without regard to

capitalization or dollar volume. As a

competitive matter, the Phlx believes

that eVWAP needs to offer, at a

minimum, the component securities of

the S&P 500 index and those issues

among the largest NYSE securities by

market capitalization weight.

The Exchange also has amended

paragraph (g) of Phlx Rule 237 to reflect

decimalization of price reporting as well

as the ability to recognize and include

only those trades occurring during the

regular primary market trading session

in the eVWAP calculation. In this

regard, recent modifications to the CTA

Networks A and B now distinguish

trade reports reflective of executions

during regular trading hours as

differentiated from those occurring in

after hours trading sessions, which are

reported with ‘‘T’’ indicators. The latter

trades are not intended to be included

in the eVWAP calculation. Additionally

minor technical amendments to Phlx

Rule 237 to eliminate references to UTS

and insert eVWAP have been made.6

2. Statutory Basis

The Exchange believes that the

proposed rule change is consistent with

section 6(b) 7 of the Act in general, and

Section 6(b)(5) 8 in particular in that it

is designed to promote just and

equitable principles of trade, prevent

fraudulent and manipulative acts and

practices and protect investors and the

public interest by expanding the

number of highly capitalized, actively

traded securities eligible for eVWAP

trading.

B. Self-Regulatory Organization’s

Statement on Burden on Competition

The Exchange does not believe that

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

No written comments were either

solicited or received.

III. Date of Effectiveness of the

Proposed Rule Change and Timing for

Commission Action

The proposed rule change has become

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

of the Act 9 and subparagraph (f)(5) of

Rule 19b–4 thereunder,10 because it

effects a change in an existing order

entry or trading system of the Phlx that

(i) does not significantly affect the

protection of investors or the public

interest; (ii) does not impose any

significant burden on competition; and

(iii) does not have the effect of limiting

the access to or availability of the

system. 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,

including whether the proposal is

consistent with the Act. Persons making

written submissions should file six

copies thereof with the Secretary,

Securities and Exchange Commission,

450 Fifth Street, NW., Washington, DC

20549–0609. 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 Exchange. All

submissions should refer to file number

SR–Phlx 2001–10, and should be

submitted by May 21, 2001.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.11

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 01–10606 Filed 4–27–01; 8:45 am]

BILLING CODE 8010–01–M