30034 Federal Register / Vol. 66, No. 107 / Monday, June 4, 2001 / Notices

4 15 U.S.C. 78f(b)(5).

5 17 CFR 200.30–3(a)(12).

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

aided customers using the RAES system

as well as customers whose orders are

in the Exchange’s book, because both

categories of orders have been executed

more quickly than they would have

been executed otherwise. Further, ABP

has been beneficial in helping prevent

RAES orders from becoming subject to

market risk and in preserving the

priority of booked orders. The Exchange

now proposes to expand the application

of the ABP system to allow booked

orders to trade directly with any

incoming marketable public customer

order routed through ORS, as opposed

to only RAES-eligible orders.

Currently, when a non-RAES eligible

order is entered into the Exchange’s

ORS at a time when the prevailing

market bid (offer) is equal to the best bid

(offer) on the Exchange’s book, the order

is routed to a Floor Broker’s terminal, a

work station in the crowd, or the ordersending firm’s booth. This helps ensure

that the orders are handled and

executed in a manner that is consistent

with CBOE Rule 6.45, which provides

that bids or offers displayed on the

customer limit order book are entitled to

priority over other bids or offers at the

same price. However, once an order is

so routed, that order becomes subject to

market risk as there may be some delay

between the time the order is rerouted

and the time the order is actually filled

in open outcry. In times of extreme

market volatility, even a short period of

time between the rerouting and the

execution of the order could have a

significant effect on the price at which

the order is executed.

To remedy this delay in the execution

of marketable public customer ORS

orders, the Exchange proposes to

automatically execute incoming

marketable public customer ORS orders

against the customer limit order book in

instances where a booked limit order

represents or equals the prevailing best

bid (offer). No automatic execution

would take place if such execution

would be a price that is inferior to the

current best bid (offer) in any other

market. The ORS order would be

executed up to the size of the customer

limit order(s) in the book establishing

such prevailing best bid (offer). Any

remaining balance of the ORS order

would be instantly rerouted through the

ORS as if it were a new order, which

could, among other things, include

handling under CBOE’s RAES Rule

(Rule 6.8).

The proposed change would be

contained in proposed new Rule 6.8.B.,

which would further provide that the

appropriate Floor Procedure Committee

(‘‘FPC’’) could determine which option

classes would be subject to the rule.

Furthermore, the proposed rule would

allow two Floor Officials, the FPC

Chairman, or the Chairman’s designee to

attempt an option class or classes from

the proposed rule’s requirements if

warranted by unusual market

conditions.

2. Statutory Basis

The Exchange believes that the

proposed rule change is consistent with

and furthers the objectives of section

6(b)(5) of the Act 4 in that it is designed

to remove impediments to a free and

open market and to protect investors

and the public interest.

B. Self-Regulatory Organization’s

Statement on Burden on Competition

The CBOE does not believe that the

proposed rule change will impose any

burden on competition not necessary or

appropriate in furtherance of the

purposes of the Act.

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

Within 35 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

90 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 disapproved.

IV. Solicitation of Comments

Interested persons are invited to

submit written data, views, and

arguments concerning the foregoing,

including whether the proposed rule 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

20594–0609. 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 CBOE. All

submissions should refer to File No.

SR–CBOE–00–56 and should be

submitted by June 25, 2001.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.5

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 01–13884 Filed 6–1–01; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–44364; File No. SR–GSCC–

2001–04]

Self-Regulatory Organizations; The

Government Securities Clearing

Corporation; Notice of Filing and

Immediate Effectiveness of Proposed

Rule Change Relating to Amendments

to Fee Structures

May 29, 2001.

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

Securities and Exchange Act of 1934

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

April 18, 2001, the Government

Securities Clearing Corporation

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

Exchange Commission (‘‘Commission’’)

and on April 27, 2001, 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

parties.

I. Self-Regulatory Organization’s

Statement of the Terms of Substance of

the Proposed Rule Change

The proposed rule change will allow

GSCC to amend its fee structure to

reallocate certain repurchase transaction

(‘‘repo’’) processing fees in both its

delivery-versus-payment (‘‘DVP’’) and

GCF Repo services to provide for a more

equitable distribution among its

members. These changes became

effective on May 1, 2001.

Federal Register / Vol. 66, No. 107 / Monday, June 4, 2001 / Notices 30035

2The Commission has modified the text of the

summaries prepared by GSCC.

3Securities Exchange Act Release No. 34–39685

(February 27, 1998), 63 FR 10055 [File No. SR–

GSCC–97–09] (approving amendments to GSCC’s

fees for processing term repurchase agreements).

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 statement concerning

the purpose of and basis for the

proposed rule change and discussed any

comments it received on the 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 these statements.2

A. Self-Regulatory Organization’s

Statement of the Purpose of, and

Statutory Basis for, the Proposed Rule

Change

Effective February 2, 1998, GSCC

revised its pricing structure for the cost

of carry related to term repo transactions

(i.e., repo transactions in which the

close leg is scheduled to settle more

than one day after the start leg) in its

DVP service to: (a) Cover the true cost

of providing its netting services to such

transactions, which involves significant

risk management, operational, and

technological resources and (b) more

closely reflect the benefits derived by

members from the service.3 To

accomplish these goals, GSCC shifted

from a transactional charge to a basis

point charge, which is a more

appropriate pricing method because it is

based on the size of the term repo

transaction in dollar terms. It thus

reflects the fact that the larger the dollar

amount of the repo the more risk it

brings to GSCC. Moreover, the larger the

dollar amount of the repo the greater the

benefits incurred by the member,

including balance sheet relief and

guaranteed settlement.

The basis point charges that were

adopted by GSCC and are currently in

effect are as follows: (1) A .015 basis

point fee is applied to the gross dollar

amount of each repo transaction that has

been compared and netted but which

has not yet settled and (2) a .060 basis

point fee is applied to the net dollar

amount of a member’s repo transactions

within a CUSIP that have been

compared and netted; but which has not

yet settled. The fee in subsection (1)

reflects the potential balance sheet offset

benefit derived by the member for its

repo activity. The fee in subsection (2)

reflects the guarantee of settlement and

other risk management benefits

provided by GSCC once a member’s

activity has been netted within a CUSIP.

A similar set of fees applies to GCF

Repo transactions with no distinction

between overnight and term GCF Repo

transactions.

The proposed rule change addresses

the manner in which the fee in

subsection (1) above is applied to

brokered term repo transactions.

Currently if Dealer A and Dealer B enter

into a DVP term repo transaction or a

GCF Repo transaction through Repo

Broker C, each of Dealer A and Dealer

B would be subject to the .015 basis

point charge. Repo Broker C, however,

would be subject to two .015 basis point

charges (i.e., the repo transaction with

Dealer A and the reverse with Dealer B

for a total .030 basis point fee). It is the

inequity in the application of the fee

structure to brokers and dealers that

GSCC is proposing to address herein.

Specifically, GSCC is proposing to

reduce the fee for repo brokers with

respect to their DVP term brokered repo

transaction activity and their GCF Repo

transaction activity to a .010 basis point

fee and to increase the fee for all other

netting members (including repo

brokers with respect to their nonbrokered repo transaction activity) to a

.020 basis point fee. Therefore, in the

example above, each of Dealer A, Dealer

B, and Repo Broker C would be required

to pay a .020 basis point fee. Repo

Broker C’s fee reflects a .010 basis point

charge for the repo with Dealer A and

a .010 basis point charge for the reverse

with Dealer B. This results in a more

equitable treatment of all of the parties

to the transaction.

GSCC is not proposing any changes to

the current .060 basis point fee

applicable to the net dollar amount of

DVP term repo transactions within a

CUSIP or GCF Repo transactions. The

.060 basis point fee, which is based on

netted dollar amounts, does not raise

issues of inequitable application

because brokers maintain flat positions.

The proposed rule change is

consistent with the requirements of Act

because it involves changes to GSCC’s

fee structure that more fairly reflects the

distribution of the costs incurred by

GSCC in providing services to its

members.

(B) Self-Regulatory Organization’s

Statement on Burden on Competition

GSCC does not believe that the

proposed rule change will have an

impact or impose a burden on

competition.

(C) Self-Regulatory Organization’s

Statement on Comments on the

Proposed Rule Change Received From

Members, Participants or Others

Written comments relating to the

proposed rule change have not yet been

solicited or received. GSCC will notify

the Commission of any written

comments received by GSCC.

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)(ii) of the Act and Rule 19b–

4(f)(2) thereunder because the proposed

rule change is changing a due, fee, or

charge imposed by the self-regulatory

organization. At any time within sixty

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 furtherance of the

purposes of Act.

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, N.W.,

Washington, D.C. 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, N.W.,

Washington, D.C. 20549. Copies of such

filing also will be available for

inspection and copying at the principal

office of GSCC. All submissions should

refer to File No. SR–GSCC–2001–04 and

should be submitted by June 25, 2001.

For the Commission, by the Division of

Market Regulations, pursuant to delegated

authority.

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 01–13956 Filed 6–1–01; 8:45 am]

BILLING CODE 8010–01–M