2324 Federal Register / Vol. 61, No. 17 / Thursday, January 25, 1996 / Notices

12 17 CFR 200.30–3(a)(27) (1989).

1 15 U.S.C. § 78s(b)(1) (1988).

2 17 CFR 240.19b–4 (1994).

3Securities Exchange Act Release No. 30944 (July

21, 1992), 57 FR 33376 (July 28, 1992) (approval

order for SR–CBOE–92–13).

4The CBOE notes that in September 1992, the

average daily SPX index option volume during

expiration week was 86,682 contracts and open

interest was 1.3 million contracts. In comparison,

in March 1995, the average daily SPX index option

volume during expiration week was 208,678

contracts and open interest was 1.2 million

contracts. In each of the years 1992 through 1994,

approximately 300 market-maker exemptions from

SPX position limits were granted. In contrast, from

January through November 20, 1995, 455 marketmaker exemptions from SPX position limits were

granted.

7. Terms of Access to Transaction

Reports

As explained in greater detail above

and in Attachment 5 and Attachment 6

to the CTA Plan, the proposed revisions

to the Consolidated Vendor form and

the introduction of the Subscriber

Addendum would modify the terms and

conditions of access to last sale

information. The Participants believe

that the changes work to the net benefit

of the investor community because the

proposed changes to the Consolidated

Vendor Form and the substitution (in

appropriate cases) of the Subscriber

Addendum for the forms of subscriber

agreement currently in use permit more

‘‘user friendly’’ terms and conditions

than do current practices and, especially

in the case of the Subscriber

Addendum, streamline the procedures

for subscriber processing.

8. Identification of Marketplace of

Execution

The Participants state that the

proposed amendments are intended to

have no impact on the requirement that

vendor displays of last sale information

identify the marketplace of execution.

III. Solicitation of Comments

Rule 11Aa3–2(c)(2) under the Act

provides that the proposed amendment

shall be approved by the Commission

with such changes or subject to such

conditions as the Commission may

deem necessary or appropriate in the

public interest, for the protection of

investors and maintenance of fair and

orderly markets, to remove impediments

to and perfect the mechanisms of a

National Market System, or otherwise in

furtherance of the purposes of the Act

within 120 days of the date of

publication of notice of filing, or within

such longer period as the Commission

may designate up to 180 days of such

date pursuant to Rule 11Aa3–2(c)(2).

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, 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. Copies of such filing will also be

available for inspection and copying at

the principal office of the CTA/CQ. All

submissions should refer to the file

number in the caption above and should

be submitted by February 15, 1996.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.12

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 96–1182 Filed 1–24–96; 8:45 am]

BILLING CODE 8010–01–M

[Release No. 34–36738; File No. SR–CBOE–

96–01]

Self-Regulatory Organizations; Notice

of Filing of Proposed Rule Change by

the Chicago Board Options Exchange,

Inc., to Increase SPX Position and

Exercise Limits, to Increase SPX Firm

Facilitation, Index Hedge, and Money

Managers Exemptions, and To Extend

Broad-Based Index Hedge Exemption

to Broker-Dealers

January 19, 1996.

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 January 8,

1996, the Chicago Board Options

Exchange, Inc. (‘‘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 selfregulatory 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 CBOE proposes to amend

Exchange Rule 24.4, and other related

rules, to increase the S&P 500 index

option (‘‘SPX’’) position and exercise

limits, to increase the SPX firm

facilitation, index hedge, and money

manager exemptions, to extend the

broad-based index hedge exemption to

broker-dealers, and to expand the types

of qualified portfolios for the index

hedge exemption. The text of the

proposed rule change is available at the

Office of the Secretary, the CBOE, and

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

CBOE 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 CBOE 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

The CBOE is proposing a number of

revisions to Exchange Rule 24.4, the

position limit rule for broad-based index

options, as well as other related

Exchange rules. First, member firms

have expressed to the CBOE their need

for relief from the current SPX position

and exercise limits, which have not

increased since 1992.3 Between 1992

and the present, however, volume in the

SPX index option class has more than

doubled, and open interest has

remained consistently high.4 The CBOE

believes that by increasing the existing

45,000 contract limit to 100,000

contracts, the investing public as well as

CBOE members and member firms will

be afforded greater opportunity and

flexibility to use SPX options for their

hedging needs. The CBOE does not

believe that the higher limit will

increase any potential for market

disruption.

To enhance its ability to monitor for

unhedged, speculative positions as well

as to create a database of non-standard

hedge practices, the CBOE will add a

reporting requirement for accounts

having SPX positions in excess of

45,000 contracts on the same side of the

market. This reporting requirement will

allow the CBOE to gather data on

hedging practices that do not fit into the

CBOE definition of a qualified portfolio.
Federal Register / Vol. 61, No. 17 / Thursday, January 25, 1996 / Notices 2325

5The CBOE notes that the SPX index hedge and

firm facilitation exemptions are each in addition to

the SPX standard 100,000 contract limit proposed

herein.

6 In this regard, the CBOE notes that it is in

discussions with member firms and the

Commission to consider a delta-based methodology

for calculating all option position limits.

7 In existing Rule 24.4.02(a)(5), a collar position

is referred to as a ‘‘hedgewrap.’’

In the event a position exceeds the

45,000 contract threshold and appears

to be unhedged, the CBOE will take

such steps as, but not limited to, the

following: (1) contacting the clearing

firm for the subject account and/or the

Options Clearing Corporation (‘‘OCC’’)

to identify possible hedges; (2) asking

for information about collateral and/or

escrow receipts; and (3) evaluating the

suitability of the subject account.

Second, in light of the increased SPX

index option contract volume and the

interest expressed by the member firm

community, the Exchange proposes to

increase the SPX firm facilitation and

index hedge exemptions to 400,000

contracts each (form the existing

100,000 and 150,000 contracts

permitted respectively).5 The Exchange

also propose to increase the SPX money

manager exemption to 600,000

exempted same-side of the market

contracts, with no more than 325,000

contracts in any single account (from

the existing 250,000 and 135,000

contracts permitted respectively).6

Third, the CBOE proposes to extend

the broad-based index hedge exemption

that is contained in Exchange Rule 24.4

(‘‘hedge exemption’’) to broker-dealers.

The existing hedge exemption is

currently available only to public

customers, including money managers.

The CBOE notes that the corresponding

equity hedge exemption contained in

Exchange Rule 4.11.04 is available to

broker-dealers as well as to public

customers. The Exchange believes that it

can better meet the needs of securities

professionals by making the Exchange

Rule 24.4 hedge exemption available to

them to the same extent that the hedge

exemption is available to public

customers.

Fourth, the CBOE proposes to expand

the types of qualified portfolios

described in Exchange Rule 24.4.01 and

the types of option strategies that

qualify for higher position limits. As the

investing public and broker-dealers use

a broader and more sophisticated range

of hedging strategies, the CBOE believes

that there is a need to include in a

qualified portfolio exchange-listed

products that overlay various broadbased indexes, including, but not

limited to, futures, other options classes,

warrants and structured products,

where the indexes are represented in

margin or cross-margin product groups

at the OCC. The OCC has agreed to

provide information to the CBOE

regarding allowable product groups and

correlation levels. The OCC’s

requirement with respect to broad-based

indexes of approximately a 90–95

percent correlation should ensure that

both the portfolio and the instruments

hedging that portfolio will move in a

similar manner.

Among the modifications the CBOE

proposes within the list of hedging

transactions eligible for the index hedge

exemption is the treatment of a

‘‘collar’’ 7 position as one contract rather

than as two contracts in proposed

Interpretation .01(f)(5) to Exchange Rule

24.4. A collar is a short call/long put

option combination that is designed to

protect the value of a related stock

portfolio. Within a limited range, the

collar has less opportunity to benefit

from upward and downward price

changes than either of the collar’s

components. If the market climbs, the

collar is equivalent to a covered write

position. If the market declines, the

collar is equivalent to a long put

position. Because the strategy requires

both the purchase of puts and the sale

of calls, the CBOE believes that the

position is more appropriately treated as

one contract for hedging purposes rather

than two separate put and call

components. For the same reasons,

because a strategy involving a covered

write accompanied by a debit put

spread requires a collar component, the

CBOE also believes that the short call

and long put should be treated as one

contract in proposed Interpretation

.01(f)(7).

The CBOE includes in proposed

Exchange Rule 24.4.01(d) a definition of

the unhedged value of a qualified

portfolio. An example of a qualified

portfolio is included in the rule to show

how the CBOE would determine the

number of contracts that qualify for an

index hedge exemption.

Lastly, the CBOE proposes to conform

Exchange Rule 24.11A concerning debit

put spread cash account transactions to

proposed Exchange Rule 24.4, as well as

to make other editorial changes to

Exchange Rule 24.4 which are designed

to streamline the rule and to eliminate

confusing provisions. As part of

overhauling Exchange Rule 24.4, the

CBOE notes that some of the changes

include the following: (1) the treatment

of SPX index option limits and qualified

hedging transactions will be included

with the treatment of all other broadbased index options; (2) the treatment of

Quarterly Index Expiration (‘‘QIXs’’)

options will be consolidated from three

paragraphs to one; and (3) the Exchange

Rule 24.4.01(c) current requirement that

an account with an option hedge

position (‘‘hedge exemption account’’)

be carried by a CBOE clearing member

will be modified to provide that the

hedge exemption account can be carried

by any member of an Intermarket

Surveillance Group (‘‘ISG’’) participant.

This is because the hedge exemption

account can be monitored through ISG

information-sharing arrangements in

accordance with Exchange Rule 15.9

concerning regulatory cooperation.

Because the increased SPX index

option standard limits and SPX

exemptions, together with the

expansion of the index hedge exemption

and the qualified portfolio provisions,

will enhance the depth and liquidity of

the market for both members and

investors in general, the Exchange

believes that this rule change is

consistent with and furthers the

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

in that it would remove impediments to

and perfect the mechanism of a free and

open market in a manner consistent

with the protection of 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

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 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 publication of

this notice in the Federal Register or

within such other period (i) as the

Commission may designate up to 90

days of such date if it finds longer

period to be appropriate and publishes

its reasons for so finding, or (ii) as to

which the CBOE consents, the

Commission will:

A. By order approve the 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.

Persons making written submissions
2326 Federal Register / Vol. 61, No. 17 / Thursday, January 25, 1996 / Notices

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 at

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 the CBOE. All submissions

should refer to File No. SR–CBOE–96–

01 and should be submitted by February

15, 1996.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 96–1181 Filed 1–24–96; 8:45 am]

BILLING CODE 8010–01–M

SMALL BUSINESS ADMINISTRATION

[Declaration of Disaster Loan Area #2822]

Georgia; Declaration of Disaster Loan

Area

As a result of the President’s major

disaster declaration on December 20,

1995, I find that Dougherty County in

the State of Georgia constitutes a

disaster area due to damages caused by

severe storms and tornadoes which

occurred on November 7–8, 1995 in the

City of Albany. Applications for loans

for physical damages may be filed until

the close of business on February 17,

1996, and for loans for economic injury

until the close of business on September

20,1996 at the address listed below:

U.S. Small Business Administration,

Disaster Area 2 Office One Baltimore Place,

Suite 300 Atlanta, GA 30308

or other locally announced locations. In

addition, applications for economic

injury loans from small businesses

located in the contiguous counties of

Baker, Calhoun, Lee, Mitchell, Terrell,

and Worth in the State of Georgia may

be filed until the specified date at the

above location.

Interest rates are:

Percent

For Physical Damage:

Homeowners With Credit Available Elsewhere ........................ 8.000

Homeowners Without Credit

Available Elsewhere ............... 4.000

Businesses With Credit Available Elsewhere ........................ 8.000

Businesses and Non-Profit Organizations Without Credit

Available Elsewhere ............... 4.000

Others (Including Non-Profit

Organizations) With Credit

Available Elsewhere ............... 7.125

For Economic Injury:

Businesses and Small Agricultural Cooperative Without

Credit Available Elsewhere

Credit Available Elsehwere ... 4.000

The number assigned to this disaster

for physical damage is 282212 and for

economic injury the number is 872200.

Catalog of Federal Domestic Assistance

Program Nos. 59002 and 59008).

Dated: January 16, 1996.

Bernard Kulik,

Associate Administrator for Disaster

Assistance.

[FR Doc. 96–1082 Filed 1–24–96; 8:45 am]

BILLING CODE 8025–01–P

[Declaration of Disaster Loan Area #2823]

Washington; Declaration of Disaster

Loan Area

As a result of the President’s major

disaster declaration on January 3, 1996,

and amendments thereto on January 11

and 16, I find that the Counties of

Chelan, Clallam, Clark, Cowlitz, Grays

Harbor, Island, Jefferson, King, Kittitas,

Lewis, Mason, Pacific, Pierce, Skagit,

Snohomish, Thurston, Wahkiakum,

Whatcom, and Yakima in the State of

Washington constitute a disaster area

due to damages caused by severe

storms, high wind, and flooding which

occurred November 7, 1995 through and

including December 18, 1995.

Applications for loans for physical

damages may be filed until the close of

business on March 4, 1996, and for

loans for economic injury until the close

of business on October 3, 1996 at the

address listed below:

U.S. Small Business Administration,

Disaster Area 4 Office, P.O. Box 13795,

Sacramento, CA 95853–4795.

or other locally announced locations. In

addition, applications for economic

injury loans from small businesses

located in the following contiguous

counties may be filed until the specified

date at the above location: Benton,

Douglas, Grant, Kitsap, Klickitat,

Okanogan, San Juan, and Skamania in

the State of Washington; and Clatsop,

Columbia, and Multnomah Counties in

the State of Oregon.

Interest rates are:

Percent

For Physical Damage:

Homeowners With Credit Available Elsewhere ........................ 8.000

Homeowners Without Credit

Available Elsewhere ............... 4.000

Businesses With Credit Available Elsewhere ........................ 8.000

Businesses and Non-Profit Organizations Without Credit

Available Elsewhere ............... 4.000

Others (Including Non-Profit

Organizations) With Credit

Available Elsewhere ............... 7.125

For Economic Injury:

Businesses and Small Agricultural Cooperatives Without

Credit Available Elsewhere ... 4.000

The number assigned to this disaster

for physical damage is 282306 and for

economic injury the numbers are

872300 for Washington and 872400 for

Oregon.

Catalog of Federal Domestic Assistance

Program Nos. 59002 and 59008).

Dated: January 18, 1996.

Bernard Kulik,

Associate Administrator for Disaster

Assistance.

[FR Doc. 96–1081 Filed 1–24–96; 8:45 am]

BILLING CODE 8025–01–P

Hartford District Advisory Council

Meeting; Public Meeting

The U.S. Small Business

Administration, Hartford District

Advisory Council will hold a public

meeting on Monday, February 26, 1996

at 8:30 am at 2 Science Park, New

Haven, Connecticut 06511, to discuss

matters as may be presented by

members, staff of the U.S. Small

Business Administration, or others

present.

For further information, write or call

Ms. Jo-Ann Vechten, District Director,

U.S. Small Business Administration,

330 Main Street, Hartford, Connecticut

06106, (860) 240–4670.

Dated: January 19, 1996.

Art DeCoursey,

Director, Office of Advisory Council.

[FR Doc. 96–1106 Filed 1–24–96; 8:45 am]

BILLING CODE 8025–01–P

Minneapolis/St. Paul Advisory Council

Meeting; Public Meeting

The U.S. Small Business

Administration, Minneapolis/St. Paul

District Advisory Council will hold a

public meeting on Friday, February 16,