48258 Federal Register / Vol. 73, No. 160 / Monday, August 18, 2008 / Notices 

16 17 CFR 200.30–3(a)(34). 

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

2 17 CFR 240. 19b–4. 

3The Exchange commenced the trading of FROs 

on May 8, 2008. In August 2007, the Commission 

approved the Exchange proposal to list and trade 

FROs based on individual stocks and exchangetraded funds (‘‘ETFs’’). See Exchange Act Release 

No. 56251 (August 14, 2007), 72 FR 46523 (August 

20, 2007). In connection with the ability to trade 

FROs, the Options Clearing Corporation (‘‘OCC’’) 

also filed proposed rule changes as well as a 

revision to the Options Disclosure Document 

(‘‘ODD’’). The Commission recently approved the 

ODD revisions so that FROs may commence trading 

on the Exchange. See Exchange Act Release No. 

57744 (April 30, 2008), 73 FR 25072 (May 6, 2008) 

(SR–ODD–2008–01). The Commission previously 

approved proposed OCC rule changes in December 

2007. See Exchange Act Release No. 56875 

(November 30, 2007), 72 FR 69274 (December 7, 

2007). 

4A ‘‘Finish High’’ FRO is defined in Rule 900 

FRO(b)(2) as an option contract which returns $100 

if the underlying security closes above the strike 

price at expiration. 

5A ‘‘Finish Low’’ FRO is defined in Rule 900 

FRO(b)(3) as an option contract which returns $100 

if the underlying security closes below the strike 

price at expiration. 

6 15 U.S.C. 78f(b). 

7 15 U.S.C. 78f(b)(5). 

FINRA, ISE, NASDAQ, NSX, NYSE, 

NYSE Arca, NYSE Regulation, and Phlx. 

All comments received will be posted 

without change; the Commission does 

not edit personal identifying 

information from submissions. You 

should submit only information that 

you wish to make available publicly. All 

submissions should refer to File 

Number 4–566 and should be submitted 

on or before September 8, 2008. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.16

Florence E. Harmon, 

Acting Secretary. 

[FR Doc. E8–19068 Filed 8–15–08; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–58341; File No. SR–Amex–

2008–60] 

Self-Regulatory Organizations; 

American Stock Exchange LLC; Notice 

of Filing of a Proposed Rule Change 

Relating to Margin Requirements for 

Fixed Return Options 

August 11, 2008. 

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

Securities Exchange Act of 1934, as 

amended (‘‘Act’’) 1 and Rule 19b–4 

thereunder,2 notice is hereby given that 

on July 21, 2008, the American Stock 

Exchange LLC (‘‘Amex’’ or ‘‘Exchange’’) 

filed with the Securities and Exchange 

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

the proposed rule change as described 

in Items I, II and III below, which Items 

have been prepared by the Exchange. 

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 Exchange proposes to amend 

Rule 462(d)10 to clarify the margin 

requirements applicable to Fixed Return 

Options (‘‘FROs’’ or ‘‘Fixed Return 

Options’’).3

The text of the proposed rule change 

is available on the Amex’s Web site at 

http://www.amex.com, the Office of the 

Secretary, the Amex and at the 

Commission’s Public Reference Room. 

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 

Amex 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 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 the 

Statutory Basis for, the Proposed Rule 

Change 

1. Purpose 

The purpose of this proposal is to add 

clarity regarding the application of FRO 

margin requirements in connection with 

‘‘spreads’’ and ‘‘straddle/combination’’

strategies. In addition, the proposal also 

seeks to clarify the use of ‘‘cover’’ and 

a ‘‘cash account’’ in connection with 

FROs. 

Currently, Rule 462(d)10 is silent 

regarding the use of ‘‘spread’’ and 

‘‘straddle/combination’’ positions. With 

respect to a ‘‘spread’’ position in FROs, 

the Amex proposes that no margin be 

required on a Finish High 4 FRO (Finish 

Low 5 FRO) carried short in a customer’s 

account that is offset by a long Finish 

High FRO (Finish Low FRO) for the 

same underlying security or instrument 

that expires at the same time and has an 

exercise or strike price that is less than 

(greater than) the exercise or strike price 

of the short Finish High (Finish Low). 

As set forth in Rule 462(d)10(B), the 

long Finish High (Finish Low) must be 

paid for in full. 

In connection with a straddle/ 

combination, when a Finish High FRO 

is carried short in a customer’s account 

and there is also carried a short Finish 

Low FRO that expires at the same time 

and has an exercise price or strike price 

that is less than or equal to the exercise 

or strike price of the short Finish High, 

the initial and maintenance margin 

required would be the exercise 

settlement amount applicable to one 

contract. 

With respect to the concept of ‘‘cover’’

the Exchange proposes a clarification 

that ‘‘cover’’ is applicable only to ‘‘cash 

accounts.’’ In such a case, a FRO carried 

short in a customer’s account will be 

deemed a covered position, and eligible 

for the cash account, if either one of the 

following is held in the account at the 

time the FRO is written or is received 

into the account promptly thereafter: 

• Cash or cash equivalents equal to 

100% of the exercise settlement amount; 

• A long FRO of the same type 

(Finish High or Finish Low) for the 

same underlying security or instrument 

that is paid for in full and expires at the 

same time, and has an exercise or strike 

price that is less than the exercise or 

strike price of the short in the case of 

a Finish High or greater than the 

exercise or strike price of the short in 

the case of a Finish Low; or 

• An escrow agreement. 

The escrow agreement must certify 

that the bank holds for the account of 

the customer as security for the 

agreement (A) cash, (B) cash 

equivalents, (C) one or more qualified 

equity securities, or (D) a combination 

thereof having an aggregate market 

value of not less than 100% of the 

exercise settlement amount and that the 

bank will promptly pay the member 

organization the cash settlement amount 

in the event the account is assigned an 

exercise notice. 

The Exchange believes that the 

proposed revision reducing the 

customer margin applicable to ‘‘spread’’

and ‘‘straddle/combination’’ positions 

in FROs is appropriate because risk 

exposure is significantly reduced under 

these strategies. 

2. Statutory Basis 

The Exchange believes that the 

proposed rule change is consistent with 

Section 6 of the Exchange Act 6 in 

general and furthers the objectives of 

Section 6(b)(5) 7 in particular in that it 

is designed to prevent fraudulent and 

manipulative acts and practices, to 

promote just and equitable principles of 

trade, to foster cooperation and 

coordination with persons engaged in 

facilitating transactions in securities, 


sroberts on PROD1PC70 with NOTICES
Federal Register / Vol. 73, No. 160 / Monday, August 18, 2008 / Notices 48259 

8 17 CFR 200.30–3(a)(12). 1 15 U.S.C. 78s(b)(1). 

2The term ‘‘Settling Bank’’ means a Participant, 

which is a bank or trust company, subject to 

supervision or regulation pursuant to Federal or 

State banking laws, and a party to an effective 

Settling Bank Agreement. 

3The Commission has modified the text of the 

summaries prepared by DTC. 

4All times are Eastern Standard Time. 

and to remove impediments to and 

perfect the mechanism of a free and 

open market and a national market 

system. The Exchange believes that the 

proposal will benefit the marketplace 

and provide market participants with 

greater clarity in connection with their 

responsibilities in the trading and 

handling of FRO transactions. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

The Exchange does not believe that 

the proposed rule change will impose 

any burden on competition. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants or Others 

The Exchange did not receive any 

written comments on 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 Exchange 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. 

Comments may be submitted by any of 

the following methods: 

Electronic Comments 

• Use the Commission’s Internet 

comment form (http://www.sec.gov/ 

rules/sro.shtml); or 

• Send an e-mail to rulecomments@sec.gov. Please include File 

No. SR–Amex–2008–60 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Secretary, Securities and Exchange 

Commission, 100 F Street, NE., 

Washington, DC 20549–1090. 

All submissions should refer to File 

Number SR–Amex–2008–60. This file 

number should be included on the 

subject line if e-mail is used. To help the 

Commission process and review your 

comments more efficiently, please use 

only one method. The Commission will 

post all comments on the Commission’s 

Internet Web site at (http:// 

www.sec.gov/rules/sro.shtml). 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, 100 F Street, NE., Washington, 

DC 20549, on official business days 

between the hours of 10 a.m. and 3 p.m. 

Copies of such filing also will be 

available for inspection and copying at 

the principal office of the Exchange. All 

comments received will be posted 

without change; the Commission does 

not edit personal identifying 

information from submissions. You 

should submit only information that 

you wish to make available publicly. All 

submissions should refer to File 

Number SR–Amex–2008–60 and should 

be submitted on or before September 8, 

2008. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.8

Florence. E. Harmon, 

Acting Secretary. 

[FR Doc. E8–19030 Filed 8–15–08; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–58343; File No. SR–DTC–

2008–06] 

Self-Regulatory Organizations; The 

Depository Trust Company; Notice of 

Filing of Proposed Rule Change as 

Amended To Modify End of Day 

Settlement Procedures Relating to 

Settlement Acknowledgement Cut-off 

Time Frames for Settling Banks 

August 12, 2008. 

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

Securities Exchange Act of 1934 

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

June 19, 2008, The Depository Trust 

Company (‘‘DTC’’) filed with the 

Securities and Exchange Commission 

(‘‘Commission’’) and on August 7, 2008, 

amended the proposed rule change as 

described in Items I, II, and III below, 

which items have been prepared 

primarily by DTC. The Commission is 

publishing this notice to solicit 

comments on the proposed rule change 

as amended from interested parties. 

I. Self-Regulatory Organization’s 

Statement of the Terms of Substance of 

the Proposed Rule Change 

DTC is seeking to modify its end of 

day settlement procedures relating to 

settlement acknowledgement cut-off 

timeframes for Settling Banks.2

II. Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

In its filing with the Commission, 

DTC 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. DTC has prepared 

summaries, set forth in sections (A), (B), 

and (C) below, of the most significant 

aspects of these statements.3

(A) Self-Regulatory Organization’s 

Statement of the Purpose of, and 

Statutory Basis for, the Proposed Rule 

Change 

DTC’s End-of-Day Settlement 

Processing controls and coordinates the 

settling of Participant accounts and 

Settling Bank accounts on DTC’s 

systems. The settlement process occurs 

through the Fedwire system and is 

initiated when DTC posts final figures 

for Participants and Settling Banks. 

Although the actual settlement process 

begins with the posting of the final 

settlement figures at approximately 3:45 

pm each day,4 DTC operates a 

settlement system that provides 

Participants and Settling Banks with 

online reports throughout the 

processing day. These reports reflect 

gross debits, gross credits, and the net 

debit or credit for each Participant, and 

a net-net figure for each Settling Bank. 

Settling Banks, which settle for 

themselves, may also settle for other 

Participants. Currently, cut-off for 

Settling Banks to acknowledge their netnet settlement balance or to refuse to 

settle for a specific Participant is the 

later of 4:30 pm or 30 minutes after netnet settlement balances are first made 


sroberts on PROD1PC70 with NOTICES