Federal Register / Vol. 60, No. 61 / Thursday, March 30, 1995 / Notices 16517

1 15 U.S.C. 78s(b)(1) (1988).

2 17 CFR 240.19b–4 (1991).

3See Securities Exchange Act Release No. 35363

(February 13, 1995), 60 FR 9416.

4 Id. 5 15 U.S.C. 78f(b)(5) (1988).

reporting the number of shares sold

during the previous fiscal year. Form

24F–2 will provide a standard format for

filing Rule 24f–2 Notices. The reporting

burden required under Rule 24f–2 is

approximately 1.9 hours per

respondent. The proposed amendments

and form will not change the reporting

burden.

The estimates of average burden hours

are made solely for the purposes of the

Paperwork Reduction Act, and are not

derived from a comprehensive or even

a representative survey or study of the

costs of SEC rules and forms.

Direct general comments to the

Clearance Officer for the Securities and

Exchange Commission at the address

below. Direct any comments concerning

the accuracy of the estimated average

burden hours for compliance with

Commission rules and forms to David T.

Copenhafer, Acting Director, Office of

Information Technology, Securities and

Exchange Commission, 450 Fifth Street,

N.W., Washington, DC 20549, and

Clearance Officer for the SEC, Office of

Management and Budget, Paperwork

Reduction Project numbers 3235–0155

(Rule 24f–1), 3235–0159 (Rule 24f–2),

and (Form 24F–2), Room 3208, New

Executive Office Building, Washington,

DC 20543.

Dated: March 21, 1995.

Margaret E. McFarland,

Deputy Secretary.

[FR Doc. 95–7839 Filed 3–29–95; 8:45 am]

BILLING CODE 8010–01–M

[Release No. 34–35524; International Series

Release No. 795 File No. SR–Amex–95–04]

Self-Regulatory Organizations; Notice

of Filing of Amendment No. 1 to

Proposed Rule Change by the

American Stock Exchange, Inc.

Relating to Margin Levels for Currency

Warrants Based on the Value of the

U.S. Dollar in Relation to the Mexican

Peso

March 22, 1995.

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

Securities and Exchange Act of 1934

(‘‘Act’’),1 and Rule 19b–4 thereunder,2

notice is hereby given that on March 16,

1995, the American Stock Exchange,

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

the Securities and Exchange

Commission (‘‘Commission’’)

Amendment No. 1 to the proposed rule

change as described in Items I, II, and

III below, which Items have been

prepared by the Exchange. The

Exchange filed the original proposal

with the Commission on February 8,

1995. Notice of the proposed rule

change appeared in the Federal Register

on February 17, 1995.3 The Commission

is publishing this notice to solicit

comments on Amendment No. 1 to 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 amend its

pending proposal to list warrants on the

Exchange based upon the value of the

U.S. dollar in relation to the Mexican

peso (‘‘Mexican Peso Warrants’’) in

order to specify applicable margin

requirements. The text of Amendment

No. 1 to the proposed rule change is

available at the Office of the Secretary,

Amex, 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

Amendment No. 1 to the proposed rule

change and discussed any comments it

received on the amendment. 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

Statutory Basis for, the Proposed Rule

Change

In the Exchange’s proposal to list and

trade Mexican Peso Warrants pursuant

to Section 106 of the Amex Company

Guide, the Amex represented that ‘‘the

Exchange will require that customer

positions in Mexican Peso Warrants be

subject to the margin requirements

applicable to foreign currency

options.’’ 4 The Exchange is now

amending that proposal to specify

objective margin levels that will be

applicable to Mexican Peso Warrants

trading on the Exchange. Specifically,

the Exchange proposes that for Mexican

Peso Warrants held ‘‘short’’ in a

customer’s account, the margin will be

100% of the current market value of

each such warrant plus 12% of the

product of the units of underlying

currency per warrant and the spot price

for such currency. This requirement

would apply to both initial and

maintenance margin. The minimum

‘‘add-on’’ for out-of-the-money Mexican

Peso Warrants would be 8% of the

product of the units of underlying

currency per warrants and the spot price

for such currency.

The Exchange believes that

Amendment No. 1 to the proposed rule

change is consistent with Section 6 of

the Act, in general, and furthers the

objectives of Section 6(b)(5) of the Act,5

in particular, in that the proposal will

promote just and equitable principles of

trade and will contribute to the

protection of investors and the public

interest.

(B) Self-Regulatory Organization’s

Statement on Burden on Competition

The Exchange does not believe that

Amendment No. 1 to 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

Written comments on Amendment

No. 1 to the proposed rule change were

neither solicited nor received.

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 Exchange consents,

the Commission will:

(a) By order approve such proposed

rule change, as amended, or

(b) Institute proceedings to determine

whether the proposed rule change, as

amended, should be disapproved.

IV. Solicitation of Comments

Interested persons are invited to

submit written data, views and

arguments concerning Amendment No.

1 to the proposed rule change. 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 submission, all

subsequent amendments, all written

statements with respect to the proposed

rule change, as amended, that are filed

with the Commission, and all written
16518 Federal Register / Vol. 60, No. 61 / Thursday, March 30, 1995 / Notices

6 17 CFR 200.30–3(a)(12) (1994).

1 15 U.S.C. 78s(b)(1) (1988).

2 17 CFR 240.19b–4 (1994).

3Amendment No. 1 Provides the following

information regarding the Index: (1) Industry groups

represented; (2) price and volume information

regarding the component stocks; and (3) component

stock seleciton criteria. See letter from Eileen

Smith, Director, Product Development, Research

Department, CBOE, to Steve Youhn, Attorney,

Division of Market Regulation (‘‘Division’’),

Commission, dated January 5, 1995 (‘‘Amendment

No. 1’’).

Amendment No. 2 provides that the CBOE will

monitor the Index semi-annually, and will notify

staff of the Commission in the event that certain

index component capitalization and volume levels

fall below designated thresholds. See letter from

Joseph Levin, Vice-President, Research & Product

Development, CBOE, to Michael Walinskas, Branch

Chief, Division, Commission, dated March 14, 1995

(‘‘Amendment No. 2’’).

4See Securities Exchange Act Release No. 35280

(January 25, 1995), 60 FR 6325.

5See Amendment No. 1, supra note 3.

6 Id. The CBOE has represented that should the

character of the Index change from the basic

description contained herein, it shall so notify the

Commission staff, and such change could require a

filing pursuant to Section 19(b)(1) of the Exchange

Act and Rule 19b–4 thereunder. Telephone

conversation between Eileen Smith, Director,

Product Development, Research Department, CBOE,

and Francois Mazur, Attorney, Division,

Commission, on March 1, 1995.

7See March 1, 1995 telephone conversation,

supra note 6.

communications relating to the

proposed rule change, as amended,

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. Copies of such filing

will also be available for inspection and

copying at the principal office of the

Amex.

All submissions should refer to File

No. SR–Amex–95–04 and should be

submitted by April 20, 1995.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.6

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 95–7842 Filed 3–29–95; 8:45 am]

BILLING CODE 8010–01–M

[Release No 34–35532; File No. SR–CBOE–

94–43]

Self-Regulatory Organizations;

Chicago Board Options Exchange,

Inc.; Order Approving a Proposed Rule

Change and Notice of Filing and Order

Granting Accelerated Approval of

Amendment No. 2 to a Proposed Rule

Change Relating to the Listing of

Regular and Long-Term Index Options

on the S&P SmallCap 600 Index

March 24, 1995.

I. Introduction

On November 8, 1994, the Chicago

Board Options Exchange, Inc. (‘‘CBOE’’

or ‘‘Exchange’’) filed with the Securities

and Exchange Commision

(‘‘Commission’’ or ‘‘SEC’’), pursuant to

Section 19(b)(1) of the Securities

Exchange Act of 1934 (‘‘Act’’) 1 and Rule

19b–4 thereunder,2 a proposal to list

and trade on the Exchange cash-settled,

European-style index options on the

Standard & Poor’s SmallCap 600 Index

(‘‘S&P SmallCap 600’’ or ‘‘Index’’), a

broad-based capitalization weighted

index designed to measure the

performance of small capitalization

stocks. The CBOE filed Amendment No.

1 to its proposal on January 9, 1995, and

Amendment No. 2 to its proposal on

March 14, 1995.3 The proposed rule

change was published for comment and

appeared in the Federal Register on

February 1, 1995.4 No comments were

received regarding the CBOE’s proposal.

II. Description of the Proposal

A. General

The CBOE proposes to list and trade

cash-settled, European-style stock index

options on the S&P SmallCap, a

capitalization-weighted index of 600

domestic stocks chosen for market size,

liquidity, and industry group

representation.

B. Composition of the Index

The S&P SmallCap 600 Index has

been designed to measure the

performance of small capitalization

stocks. The Index is a capailizationweighted index of U.S. stocks with each

stock affecting the Index in proportion

to its market capitalization.

As of October 19, 1994, the 600

component stocks ranged in

capitalization from $933 million to $46

million, and the market capitalization of

the Index totalled $181 billion. The

largest stock accounted for 0.51% of the

total weighting of the Index, while the

smallest accounted for 0.03%. The

median capitalization of the

components in the Index was $267

million. A breakdown of the component

stocks by trading markets shows that

Nasdaq is the primary market for 53%

of the weight of the Index (318 issues),

the New York Stock Exchange (‘‘NYSE’’)

represents 43% (257 issues), and the

American Stock Exchange (‘‘Amex’’)

represents 4% (25 issues). The Nasdaq

stocks in the Index are authorized as

Nasdaq National Market Securites, the

top tier of Nasdaq stocks.

A total of 98 industry groups are

represented in the Index. The top five

groups and their weights are: (1)

Computer Software and Services—

9.01%; (2) Insurance—5.13%; (3)

Savings and Loans—4.88%; (4) Health

Care Services—4.31%; and (5) Banks—

Regional—4.26%. During the period

April through September 1994, the

average monthly trading volume for the

Index component stocks ranged from

93,000 to 25.3 million shares. The

average monthly volume was 1.9

million shares. The top 100 stocks

account for 33.42% of the Index, while

the bottom 100 stocks account for 5.69%

of the Index. The prices for each of the

components ranged from $1.385 to

$64.50. The average price was $19.37.

The shares outstanding for each of the

Index component stocks ranged from 4.0

million to 189.0 million with an average

of 17.8 million. 5

S&P relies on several criteria to select

Index component stocks. Among other

things, stocks must trade on the NYSE

or Amex, or be Nasdaq National Market

securities; stocks must trade above $1.00

at the time of selection; companies with

50% or more of their shares outstanding

held by another corporation are not

included; companies with 60% or more

of their shares held by insiders are not

included; stocks must have at least a six

month trading history; stocks that do

not trade on any three days during a 12-

month period are not included; and

share turnover (annual trading volume

as a percent of shares outstanding) has

to exceed 20% on an annualized basis.

Index component stocks are then chosen

from the field of stocks that meets these

criteria so that they balance the

economic sector weighings, described

above. 6

C. Calculation of the Index

The methodology used to calculate

the value of the Index is similar to that

used to calculate the value of the S&P

500 Index. The value of the Index is

determined by adding the price of each

stock multiplied by the number of

shares outstanding. This sum is then

divided by an index divisor (‘‘Index

Divisor’’) which gives the Index a value

of 100 on its base date of December 31,

1993. The Index Divisor is adjusted for

pertinent changes as described below in

the section titled ‘‘Maintenance.’’ The

Index had a closing value of 96.82 on

September 30, 1994.

D. Maintenance

The S&P SmallCap 600 will be

maintained by S&P, and the CBOE has

represented that it will not influence

any S&P decisions concerning

maintenance of the Index. 7 To maintain