28916 Federal Register / Vol. 61, No. 110 / Thursday, June 6, 1996 / Notices

1 17 CFR 200.30–3(a)(12).

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

2 17 CFR 240.19b–4

3The IPC is a broad-based, capitalizationweighted index comprised of 35 of the largest and

most liquid stocks (issued by 28 issuers) on the

Mexican Stock Exchange (‘‘Bolsa’’).

4See Securities Exchange Act Release No. 37189

(May 9, 1996). 61 FR 24982 (May 17, 1996) (order

approving the listing and trading of options on the

IPC).

security into another class of security or

the spin-off of a subsidiary. If the

security remains in the Index, the

multiplier may be adjusted to maintain

the continuity of the Index’s value. In

the event that a security in the Index is

removed due to a corporate

consolidation and the holders of such

security receive cash, the cash value of

such security will be included in the

index and will accrue interest at LIBOR

to term.

(2) Basis

The proposed rule change is

consistent with Section 6(b) of the Act

in general and furthers the objectives of

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

designed to prevent fraudulent and

manipulative acts and practices, to

promote just and equitable principles of

trade, and is not designed to permit

unfair discrimination between

customers, issuers, brokers or dealers.

B. Self-Regulatory Organization’s

Statement on Burden on Competition

The proposed rule change will impose

no 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 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 be disapproved.

IV. Solicitation of Comments

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 at

the Commission’s Public Reference

Section, 450 Fifth Street, N.W.,

Washington, D.C. 20549. Copies of such

filing will also be available for

inspection and copying at the principal

office of the Amex. All submissions

should refer to SR-Amex-96–18 and

should be submitted by June 27, 1996.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.1

Jonathan G. Katz,

Secretary.

[FR Doc. 96–14179 Filed 6–5–96; 8:45 am]

BILLING CODE 8010–01–M

[Release No. 34–37251; International Series

Release No. 987; File No. SR–CBOE–96–

32]

Self-Regulatory Organizations; Notice

of Filing and Order Granting

Accelerated Approval of Proposed

Rule Change by the Chicago Board

Options Exchange, Inc., To Change the

Method for Determining the Exercise

Settlement Value of Options on the

Mexican Indice de Precios y

Cotizaciones

May 29, 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 May 16,

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 and II below, which Items have

been prepared by the self-regulatory

organization. The CBOE has requested

accelerated approval for the proposal.

This order approves the CBOE’s

proposal on an accelerated basis and

solicits comments from interested

persons.

I. Self-Regulatory Organizations’s

Statement of the Terms of Substance of

the Proposed Rule Change

The CBOE is proposing to allow for an

alternative method of determining the

settlement value of options on the

Mexican Indice de Precios y

Cotizaciones (‘‘IPC’’ or ‘‘Index’’).3

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 III 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

1. Purpose

The purpose of the proposed rule

change is to amend Exchange Rule 24.9

to provide the Mexican Stock Exchange

(‘‘Bolsa’’) with the discretion to utilize

either the closing prices of the

component securities or a weighted

average of the prices for each of the

component securities in determining the

exercise settlement value of IPC options.

Currently, the settlement value of the

IPC is determined based upon the

closing prices of the component stocks

on the regular Friday trading sessions in

Mexico.4

If the Bolsa elects to use the weighted

average methodology, the IPC’s

settlement value will be determined by

reference to transactions in the

component securities during a period of

time at the end of the trading day

immediately preceding expiration, or in

the cases described below on the

Thursday before expiration. The

Exchange notes, however, that if a stock

fails to open for trading or if a stock fails

to trade during the time period when its

value is determined, the stock’s last

available price will be used in the

calculation of the IPC. In addition, when

expirations are moved in accordance

with Exchange holidays, such as when

the CBOE is closed on the Friday before

expiration, the last trading day for

expiring IPC Index options will be the

regular Thursday trading session in

Mexico even if the Mexican markets are

open on Friday. Similarly, if the
Federal Register / Vol. 61, No. 110 / Thursday, June 6, 1996 / Notices 28917

5The Commission notes that such regulatory

circular should, at a minimum, specify the exact

time period during which the weighted average

settlement value for expiring IPC options will be

calculated.

6See Securities Exchange Act Release Nos. 32120

(April 9, 1993), 58 FR 19864 (April 16, 1993)

(approval order for the Financial Times-Stock

Exchange 100 Index); 37089 (April 9, 1996), 61 FR

16660 (April 16, 1996) (approval order for the

Nasdaq-100 Index).

7The Commission notes that if the Bolsa

determines to sue a weighted average settlement

methodology, the weighted average will be

commuted from transaction prices over a period of

time at the end of the trading day. The Commission

expects, however, that once the exact time period

for calculating the settlement value for IPC options

is established, the CBOE will make conforming

changes to its rules in accordance with Section

19(b) of the Act.

8 15 U.S.C. 78s(b)(2) (1988).

9 17 CFR 200.30–3(a)(12).

Mexican markets are closed on the

Friday before expiration and the CBOE

is open for trading, the last trading day

for expiring IPC Index options on the

CBOE will be Thursday.

The Exchange notes that if the Bolsa

decides to use a weighted average

method to determine the settlement

value of IPC options, the CBOE will

issue a press release stating that such a

determination has been made and

listing which series will be affected by

the new settlement methodology. The

Exchange will also issue a regulatory

circular to its members and member

firms informing them of the specifics of

the settlement methodology, as well as

which series will be affected by the new

settlement methodology.5 In addition to

distributing the regulatory bulletin on

the floor of the Exchange, the Exchange

will publish the regulatory circular in

its regulatory bulletin.

According to the Exchange, the

weighted average methodology is less

likely to be manipulated because the

settlement value is not determined by

reference to only one transaction in each

of the component securities, but rather

is determined by the weighted average

of a series of transactions in each of the

component stocks over a period of time

at the end of the trading day. Presently,

the Bolsa has not made a final

determination regarding which

settlement methodology it will employ.

2. Statutory Basis

The CBOE believes that the proposal

is consistent with Section 6(b) of the

Act, in general, and furthers the

objectives of Section 6(b)(5), in

particular, in that it will allow the

Exchange to trade IPC options without

interruption if the Bolsa changes its

settlement methodology. In this

regard,the CBOE believes that the rule

change furthers the objectives of Section

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

to promote just and equitable principles

of trade, to remove impediments to and

perfect the mechanism of a free and

open market and a national market

system, 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

inappropriate burden on competition.

C. Self-Regulatory Organization’s

Statement on Comments on the

Proposed Rule Change Received From

Members, Participants, or Others

Comments were nether solicited nor

received with respect to the proposed

rule change.

III. Solicitation of Comments

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, NW.,

Washington, DC 20549. Copies of the

submission, all subsequent

amendments, all written statements

with respect to the proposed rule

changes that are filed with the

Commission, and all written

communications relating to the

proposed rule changes 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, NW.,

Washington, DC 20549. Copies of such

filings 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–

32 and should be submitted by [insert

date 21 days from date of publication].

IV. Commission’s Findings and Order

Granting Accelerated Approval of

Proposed Rule Change

The Commission finds that the

proposed rule change is consistent with

the Act and the rules and regulations

thereunder applicable to a national

securities exchange, and, in particular,

the requirement of Section 6(b)(5)

thereunder. Specifically, the

Commission finds that the CBOE’s

proposal to change the method for

determining the settlement value of IPC

options does not present any new or

novel regulatory issues as the

Commission has previously approved

settlement methodologies utilizing

average weighted prices.6 In addition,

by issuing both a press release and a

regulatory circular concerning the

change in settlement methodology for

IPC options, which will include

information pertaining to which series

will be affected by the new settlement

methodology, investor confusion should

be avoided. Lastly, the Commission

believes that the weighted average

settlement methodology may reduce the

susceptibility of the Index to

manipulation by diminishing the impact

of a single trade on the settlement

price.7

The Commission finds good cause to

approve the proposal prior to the

thirtieth day after the date of

publication of notice of filing thereof in

the Federal Register. By accelerating the

effectiveness of the CBOE’s rule

proposal, the Commission is ensuring

that the Exchange will be able to list

index options on the IPC without any

interruption if the Bolsa decides to

change the settlement methodology

while continuing to ensure that

investors are adequately informed of the

changes in settlement methodology.

Accordingly, the Commission believes

that it is consistent with Sections 6(b)(5)

and 19(b)(2) of the Act to approve the

proposed rule change on an accelerated

basis.

V. Conclusion

It is therefore ordered, pursuant to

Section 19(b)(2) 8 of the Act, that the

proposed rule change (File No. SR–

CBOE–96–32) is hereby approved on an

accelerated basis.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.9

Jonathan G. Katz,

Secretary.

[FR Doc 96–14180 Filed 6–5–96; 8:45 am]

BILLING CODE 8010–01–M