31782 Federal Register / Vol. 74, No. 126 / Thursday, July 2, 2009 / Notices 

5 15 U.S.C. 78q–1. 

6 15 U.S.C. 78s(b)(3)(A)(iii). 

7 17 CFR 240.19b–4(f)(4). 

8 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3Amendment No. 1 replaced and superseded the 

original filing in its entirety. 

4See Securities Exchange Act Release No. 60021 

(June 1, 2009), 74 FR 27217 (‘‘Notice’’). 

Participants Fund Deposit by credit to 

their settlement accounts. Effective July 

31, 2009, DTC will enhance its 

Participants Fund Return Request 

application to give each participant the 

ability to have its Voluntary Participants 

Fund Deposit credited to its settlement 

account on the next business day 

following the request. A decrease 

request must be submitted by 2:30 p.m. 

in order for a participant to be eligible 

to receive the credit the following 

business day. In addition, in an effort to 

effectively manage risk and to eliminate 

the need for participants to provide DTC 

with free form wire instructions, DTC 

will require that each participant 

wishing to receive its Voluntary 

Participants Fund Deposit through 

Fedwire must establish standing wire 

instructions with DTC’s Account 

Administration Department for the 

return of any Voluntary Participants 

Fund Deposit going forward. Absent 

such standing wire instructions, DTC 

will automatically return any requested 

Voluntary Participants Fund Deposit by 

crediting the Participant’s settlement 

account. Participants will continue to 

have the ability to withdraw their 

Voluntary Participants Fund Deposit on 

a monthly basis by sending free form 

wire instructions to DTC. 

DTC believes that the proposed rule 

change is consistent with the 

requirements of Section 17A of the Act 5

and the rules and regulations 

thereunder because it will promote the 

prompt and accurate clearance and 

settlement of securities transactions by 

providing participants with a more 

efficient process for receiving their 

Voluntary Participants Fund Deposits. 

B. Self-Regulatory Organization’s 

Statement on Burden on Competition 

DTC does not believe that the 

proposed rule change will have any 

impact or impose any burden on 

competition. 

C. Self-Regulatory Organization’s 

Statement on Comments on the 

Proposed Rule Change Received From 

Members, Participants, or Others 

DTC has not solicited or received 

written comments relating to the 

proposed rule change. DTC will notify 

the Commission of any written 

comments it receives. 

III. Date of Effectiveness of the 

Proposed Rule Change and Timing for 

Commission Action 

The foregoing rule change has become 

effective upon filing pursuant to Section 

19(b)(3)(A)(iii) of the Act 6 and Rule 

19b–4(f)(4) 7 thereunder because the 

proposed rule change effects a change in 

an existing service of DTC that (i) does 

not adversely affect the safeguarding of 

securities or funds in DTC’s custody or 

control or for which it is responsible 

and (ii) does not significantly affect the 

respective rights of DTC or persons 

using the service. At any time within 

sixty days of the filing of such 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 the 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. 

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–DTC–2009–12 on the subject 

line. 

Paper Comments 

• Send paper comments in triplicate 

to Elizabeth M. Murphy, Secretary, 

Securities and Exchange Commission, 

100 F Street, NE., Washington, DC 

20549–1090. 

All submissions should refer to File No. 

SR–DTC–2009–12. 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 (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 

Section, 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 filings also will be 

available for inspection and copying at 

DTC’s principal office and DTC’s Web 

site at http://www.dtc.org/impNtc/mor/ 

index.html. 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 No. SR–DTC–2009– 

12 and should be submitted on or before 

July 23, 2009. 

For the Commission by the Division of 

Trading and Markets, pursuant to delegated 

authority.8

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E9–15612 Filed 7–1–09; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60169; File No. SR–Phlx– 

2009–40] 

Self-Regulatory Organizations; 

NASDAQ OMX PHLX, Inc.; Order 

Granting Accelerated Approval of a 

Proposed Rule Change as Modified by 

Amendment No. 1 Thereto Relating to 

Listing and Trading of Foreign 

Currency Options 

June 24, 2009. 

I. Introduction 

On May 8, 2008, NASDAQ OMX 

PHLX, Inc. (‘‘Phlx’’ or the ‘‘Exchange’’) 

filed with the Securities and Exchange 

Commission (‘‘Commission’’), pursuant 

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

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

19b–4 thereunder,2 a proposed rule 

change to amend its rules relating to the 

listing and trading of U.S. dollar-settled 

foreign currency options (‘‘FCOs’’). On 

May 29, 2009, the Exchange filed 

Amendment No. 1 to the proposed rule 

change.3 The proposed rule change, as 

modified by Amendment No. 1, was 

published for comment in the Federal 

Register on June 8, 2009.4 The 

Commission received no comments on 

the proposal. This order approves the 

proposed rule change, as modified by 

Federal Register / Vol. 74, No. 126 / Thursday, July 2, 2009 / Notices 31783 

5See Securities Exchange Act Release No. 54989 

(December 21, 2006), 71 FR 78506 (December 29, 

2006) (SR–Phlx–2006–34). In approving the listing 

and trading of U.S. dollar-settled FCOs on the 

British pound and the Euro, the approval order 

noted that the listing and trading of additional U.S. 

dollar-settled FCOs on other foreign currencies will 

require the Exchange to file additional proposed 

rule changes on Form 19b–4. 

6See Securities Exchange Act Release No. 56034 

(July 10, 2007), 72 FR 38853 (July 16, 2007) (SR– 

Phlx–2007–34). 

7Physical delivery options, so named because 

settlement could involve delivery of the underlying 

currency (as opposed to cash for U.S. dollar-settled 

FCOs), traded on the Exchange since 1982 but since 

March 2007 are no longer listed and traded on the 

Exchange. 

8The Exchange noted that the Chinese yuan may 

also be referred to as ‘‘renminbi’’ (similar to the 

British pound and sterling). See Notice, supra note 

4, at note 4. 

9The Exchange notes that CME Group Inc. 

(‘‘CME’’), formerly Chicago Mercantile Exchange 

Holdings Inc., lists and trades futures contracts on 

many of the New Currencies that are proposed to 

be listed and traded by the Exchange (e.g., the 

Mexican peso, the New Zealand dollar, the 

Norwegian krone, the Russian ruble, the Swedish 

krona, the Brazilian real, the Chinese renminbi, the 

South African rand, and the South Korean won). 

See Notice, supra note 4, at note 12. 

10Options on the following U.S. dollar-settled 

foreign currencies are currently listed and traded on 

the Exchange: the Australian dollar, the Euro, the 

British pound, the Canadian dollar, the Swiss franc, 

and the Japanese yen. 

11See Securities Exchange Act Release Nos. 

54989 (December 21, 2006), 71 FR 78506 (December 

29, 2006) (SR–Phlx–2006–34); and 56034 (July 10, 

2007), 72 FR 38853 (July 16, 2007) (SR–Phlx–2007– 

34). See also supra notes 5 and 6 (citing to the 

approval orders for the existing Phlx FCOs). 

12See proposed changes to Option Floor 

Procedure Advices B–7 (Time Priority of Bids/ 

Offers in Foreign Currency Options (Physical 

Delivery Foreign Currency Option Only)), C–2 

(Options Floor Broker Management System), F–6 

(Options Quote Parameters), F–17 (FCO Trades to 

be Effected in the Pit (Physical Delivery Foreign 

Currency Option Only)), F–18 (FCO Expiration 

Months and Strike Prices—Selective Quoting 

Facility (Physical Delivery Foreign Currency Option 

Only)), and F–20 (Quoting and Trading Customized 

Foreign Currency Options (Foreign Currency 

Option Only)). 

13The International Securities Exchange, LLC 

(‘‘ISE’’), for example, also lists and trades options 

on certain foreign currencies (including, for 

example, the Australian dollar, the Euro, the British 

pound, the Canadian dollar, the Swiss franc, and 

the Japanese yen) that are not fungible with Phlx’s 

U.S. dollar-settled FCOs. See Securities Exchange 

Act Release No. 55575 (April 3, 2007), 72 FR 17963 

(April 10, 2007) (SR–ISE–2006–59). ISE, like Phlx’s 

proposal, applies up-front multipliers to currency 

spot prices so that ISE’s currency prices tend to 

look like the prices of index and other options. 

14See Securities Exchange Act Release No. 58915 

(November 6, 2008), 73 FR 67916 (November 17, 

2008) (SR–Phlx–2008–68) (indicating, among other 

things, that Quote Media, Inc. provides spot prices 

to The NASDAQ OMX Group, Inc. (‘‘NASDAQ 

OMX’’)). Proposed Rule 1000(b)(16) provides: ‘‘The 

term ‘Exchange Spot Price’ in respect of an option 

contract on a foreign currency means the cash 

market spot price, for the sale of one foreign 

currency for another, quoted by various foreign 

exchange participants for the sale of a single unit 

of such foreign currency for immediate delivery that 

is calculated from the foreign currency price 

quotation reported by the foreign currency price 

quotation dissemination system selected by the 

Exchange, to which an appropriate multiplier is 

applied. The multiplier(s) will be: 100 for the 

British pound, the Euro, the Swiss Franc, the 

Canadian dollar, the Australian dollar, the Brazilian 

real, and the New Zealand dollar; 1,000 for the 

Chinese yuan, the Danish krone, the Mexican peso, 

the Norwegian krone, the South African rand, and 

the Swedish krona; 10,000 for the Japanese yen and 

the Russian ruble; and 100,000 for the South Korean 

won.’’ 

15Exchange Spot Prices will generally have two 

decimal places. As an example, the Exchange Spot 

Price for the Japanese yen, with up-front 

application of a multiplier of 10,000, may be 

80.22—which reflects how index (and other) 

options are operationally priced by the Exchange, 

ISE, and other markets that trade options on foreign 

currencies. In contrast, using the old pricing 

methodology (without the up-front application of a 

multiplier) the above-noted spot price for the 

Japanese yen would be .008022 (expressed as 

80.22). Moreover, Exchange Spot Prices and what 

are known as modified spot prices (that is, spot 

prices that do not incorporate modifiers but add 

them at a later time) are the same values. See 

Securities Exchange Act Release No. 57575 (March 

28, 2008), 73 FR 18310 (April 3, 2008) (SR–Phlx– 

2008–06) (describing, among other things, modified 

spot prices). 

16The closing settlement value for the Phlx FCOs 

will continue to be spot price (now the ‘‘Exchange 

Spot Price’’) at 12:00:00 Eastern Time (noon) on the 

last trading day prior to expiration unless the 

Continued 

Amendment No. 1, on an accelerated 

basis. 

II. Description of the Proposal 

In January 2007, the Exchange began 

listing and trading FCOs on the British 

pound and the Euro.5 In July 2007, the 

Exchange listed and began trading U.S. 

dollar-settled FCOs on the Australian 

dollar, Canadian dollar, Swiss franc, 

and Japanese yen.6 U.S. dollar-settled 

FCOs are currently traded electronically 

over the Exchange’s options trading 

platform. The Exchange no longer trades 

physical delivery options on foreign 

currencies.7

The Exchange now proposes to amend 

its rules to enable it to list and trade 

options on ten new currencies: the 

Mexican peso, the Brazilian real, the 

Chinese yuan,8 the Danish krone, the 

New Zealand dollar, the Norwegian 

krone, the Russian ruble, the South 

African rand, the South Korean won, 

and the Swedish krona 9 (the ‘‘New 

Currencies’’).10 FCOs on the New 

Currencies would be listed and traded 

similarly to other U.S. dollar-settled 

FCOs that currently are listed and 

traded on the Exchange,11 and also 

would be traded electronically over the 

Exchange’s options trading platform. 

FCOs on the New Currencies will be 

subject to existing Exchange rules and 

processes that now apply to existing 

FCOs traded on the Exchange, as 

proposed to be modified by the 

Exchange in its proposal. 

In addition, the Exchange also 

proposed several modifications to its 

FCOs generally, including: Changing the 

uniform pricing convention 

methodology for FCOs, establishing new 

position and exercise limits for FCOs, 

amending certain existing Exchange rule 

definitions regarding FCOs, and deleting 

obsolete references regarding foreign 

currency products and processes. The 

Exchange has proposed conforming rule 

text changes as well as changes to Phlx 

Option Floor Procedure Advices 

(‘‘OFPAs’’) 12 to harmonize Exchange 

OFPAs with Exchange rules. 

Pricing of FCOs 

The Exchange proposes to modify the 

convention of how it prices FCOs. 

Currently, Rule 1012, Commentary .06 

provides that the Exchange may initially 

list exercise strike prices in the 

following format, e.g.: the Euro in the 

range of $.9500 (expressed as $95) to 

$1.0550 (expressed as $105.50). In other 

words, options on foreign currencies are 

currently priced without the application 

of an up-front multiplier and are 

followed by an ‘‘expressed as’’ price. 

The Exchange proposes to amend 

Commentary .06 to align its pricing 

practice in a way that better reflects how 

options are actually priced by applying 

a designated up-front modifier to the 

price. As such, the Exchange will no 

longer need to follow FCO prices of 

several decimal places with ‘‘expressed 

as’’ prices. The Exchange’s proposed 

changes regarding the methodology and 

convention of pricing options on foreign 

currencies is similar to the pricing 

convention used by other markets that 

trade currency options.13

To accomplish these changes, the 

Exchange proposes to modify the 

definition of Spot Price in Phlx Rule 

1000(b)(16) by renaming it ‘‘Exchange 

Spot Price’’ and indicating that, to 

establish the Exchange Spot Price, the 

Exchange will apply an appropriate 

multiplier to the cash market spot price 

that it receives from a price quotation 

dissemination system chosen by the 

Exchange.14 The multipliers will be 

applied by the Exchange so that 

Exchange Spot Prices would be similar 

to index option prices.15 The up-front 

application of appropriate multipliers to 

cash market spot prices to get Exchange 

Spot Prices more accurately reflects how 

options on foreign currencies are 

actually priced on exchanges that list 

and trade such products. To effectuate 

this change, the Exchange proposes to 

amend Rules 1012, 1014, 1033, 1034, 

and 1092, and OFPA F–6 to clarify the 

new uniform FCO pricing convention. 

The Exchange also proposes to amend 

its rules to reflect that the Exchange 

Spot Price will be the settlement price 

for its FCOs.16

31784 Federal Register / Vol. 74, No. 126 / Thursday, July 2, 2009 / Notices 

Exchange determines to apply an alternative closing 

settlement value as a result of extraordinary 

circumstances. 

17See Securities Exchange Act Release No. 59611 

(March 20, 2009), 74 FR 13498 (March 27, 2009) 

(SR–Phlx–2009–22) at note 10. 

18Additionally, Rule 1092 and OFPA F–6 would 

be amended to clarify that option prices will no 

longer be represented in terms of several decimal 

places that are then expressed as different values. 

19Rule 1033 currently states that the first two 

decimal places shall be omitted from all bid and 

offer quotations for the British pound, the Swiss 

franc, the Canadian dollar, the Australian dollar, 

and the Euro, and the first four decimal places shall 

be omitted from all bid and offer quotations for the 

Japanese yen (e.g., a bid of ‘‘9.2’’ for an option 

contract on the British pound shall represent a bid 

to pay $.0920 per unit of underlying foreign 

currency—i.e., a premium of $2,875—for an option 

contract having a unit of trading of 31,250 pounds; 

a bid of .44 for an option contract on the Euro shall 

represent a bid to pay .0044 per unit of underlying 

foreign currency—i.e., a premium of $275—for an 

option contract having a unit of trading of 62,500 

Euros; a bid of ‘‘1.6’’ for an option contract on the 

Japanese yen shall represent a bid to pay $.000160 

per unit of underlying foreign currency—i.e., a 

premium of $1,000—for an option contract having 

a unit of trading of 6,250,000 yen). 

20The Exchange could initially list exercise strike 

prices for each expiration of U.S. dollar-settled 

options on currencies within a 40 percent band 

around the current Exchange Spot Price at fifty cent 

($.50) intervals. Thus, if the Exchange Spot Price of 

the Euro were at $100.00, the Exchange would list 

strikes in $.50 intervals up to $120.00 and down to 

$80, for a total of eighty-one strike prices available 

for trading. As the Exchange Spot Price for U.S. 

dollar-settled FCOs moves, the Exchange will list 

new strike prices that, at the time of listing, do not 

exceed the Exchange Spot Price by more than 20 

percent and are not less than the Exchange Spot 

Price by more than 20 percent. For example, if at 

the time of initial listing, the Exchange Spot Price 

of the Euro is at $100.00, the strike prices the 

Exchange will list will be $80.00 to $120.00. If the 

Exchange Spot Price then moves to $105.00, the 

Exchange may list additional strikes at the 

following prices: $105.50 to $126.00. 

21Proposed Rule 1012(a)(iii)(C) provides: ‘‘The 

Exchange may list, with respect to any U.S. dollarsettled foreign currencies, options having up to 

three years from the time they are listed until 

expiration. There may be up to ten options series, 

options having up to thirty-six months from the 

time they are listed until expiration. There may be 

up to six additional expiration months. Strike price 

interval, bid/ask differential and continuity rules 

shall not apply to such options series until the time 

to expiration is less than nine months.’’ 

22See proposed Rule 1079(a)(6). 

23The closing settlement value was changed from 

the Noon Buying Rate received from the Federal 

Reserve Bank of New York to the spot price at 

12:00:00 Eastern Time (noon) on the last trading 

day prior to expiration. See Securities Exchange Act 

Release No. 58915 (November 6, 2008), 73 FR 67916 

(November 17, 2008) (SR–Phlx–2008–68). See also 

supra note 14 (regarding the vendor used for spot 

prices). 

24Proposed Rule 1057 provides that: ‘‘The closing 

settlement value for the U.S. dollar-settled FCO on 

the Australian dollar, the Euro, the British pound, 

the Canadian dollar, the Swiss franc, the Japanese 

yen, the Mexican peso, the Brazilian real, the 

Chinese yuan, the Danish krone, the New Zealand 

dollar, the Norwegian krone, the Russian ruble, the 

South African rand, the South Korean won, and the 

Swedish krona shall be the Exchange Spot Price at 

12:00:00 Eastern Time (noon) on the last trading 

day prior to expiration unless the Exchange 

determines to apply an alternative closing 

settlement value as a result of extraordinary 

circumstances.’’ See also proposed Rule 1079 

(concerning FLEX options). 

25Rule 1001 currently sets forth position limits of 

100,000 contracts for options on the Mexican peso 

traded as a customized option per Rule 1069. 

Because Rule 1069 and other references to 

customized options, among them options on the 

Mexican peso, are proposed to be deleted in this 

filing, the 100,000 contract position limit on the 

Mexican peso is proposed to be deleted. 

26See proposed Commentary .05(b) to Rule 1001. 

27The Exchange noted that it is a member of the 

Intermarket Surveillance Group (‘‘ISG’’) and may 

obtain trading information via the ISG from other 

exchanges who are members or affiliates of the ISG. 

The members of the ISG include all of the U.S. 

registered stock and options markets. The ISG 

members work together to coordinate surveillance 

and investigative information sharing in the stock 

and options markets. In addition, the major futures 

exchanges are affiliated members of the ISG, which 

allows for the sharing of surveillance information 

for potential intermarket trading abuses. See Notice, 

supra note 4, at note 33. 

The Exchange will continue to 

disseminate FCO-related data including 

the settlement values and Exchange 

Spot Prices for its FCOs over the 

facilities of a major public data vendor, 

such as NASDAQ OMX or one or more 

other (NASDAQ OMX-owned or 

unrelated) major market data vendors.17

The Exchange also proposes to delete 

rule text that reflects the prior 

methodology. For example, the 

Exchange proposes to amend Rule 1014 

to reflect the revised uniform FCO 

pricing that no longer requires 

indicating bid/ask prices ‘‘expressed as’’ 

a modified value, after appropriate 

multipliers are applied.18 Phlx also 

would amend Rule 1033, which applies 

to all currencies, to clarify that 

premiums on all U.S. dollar-settled 

FCOs will be calculated in the same way 

for all FCOs. Similarly, the Exchange 

proposes to delete unnecessary rule text 

that indicates that the first two decimal 

places will be omitted for bid and offer 

quotations for the British pound, the 

Swiss franc, the Canadian dollar, the 

Australian dollar, and the Euro, and the 

first four decimal places will be omitted 

from bid and offer quotations for the 

Japanese yen.19 For example, under the 

proposal, a bid of ‘‘3.25’’ for a premium 

on a $170 strike price option on the 

British pound would represent a bid to 

pay $325 per option contract. Further, 

the Exchange will clarify that minimum 

price increments for all FCOs will 

remain at $.01, but without the need to 

indicate different minimum price 

increments for different currencies that 

are thereafter each ‘‘expressed as $.01’’. 

Additionally, the Exchange proposes 

to modify Rule 1012, Commentary .06 to 

specify that Exchange Strike Prices may 

be listed within a 40 percent band (20 

percent above and 20 percent below) 

around Exchange Spot Prices at fifty 

cent ($.50) intervals. This would result 

in no more than eighty-one strike prices 

available for trading.20 The Exchange 

also proposes to amend Rule 1012 to 

permit the Exchange to list, with respect 

to any U.S. dollar-settled FCOs, options 

having up to ten options series with 

expirations up to thirty-six months.21

The Exchange proposes to establish that 

FLEX currency options will similarly 

have expiration dates of up to three 

years.22

Closing settlement values are 

addressed in Rule 1057 and 1079 (for 

FLEX options). In both rules, the closing 

settlement price for U.S. dollar-settled 

FCOs is the Spot Price at 12:00:00 

(noon) Eastern Time on the last trading 

day prior to expiration.23 Phlx proposes 

to amend Rules 1057 and 1079 to reflect 

the new pricing convention it has 

proposed. Specifically, Rules 1057 and 

1079 would be amended to add the New 

Currencies and reflect that the Exchange 

Spot Price per Rule 1000(b)(16) would 

be the settlement price.24

Position Limits 

Rule 1001 generally establishes 

position limits for FCOs at 200,000 on 

the same side of the market relating to 

the same underlying currency.25 The 

Exchange proposes to amend Rule 1001 

to establish three levels of position 

limits for FCOs. Specifically, the 

Exchange proposes the following 

position limits: (i) 300,000 contracts for 

options on: the Mexican peso, the 

Brazilian real, the Chinese yuan, the 

Danish krone, the Norwegian krone, the 

Russian ruble, the South African rand, 

the South Korean won, the Swedish 

krona; (ii) 600,000 contracts for options 

on: the British pound, the Swiss franc, 

the Canadian dollar, the Australian 

dollar, the Japanese yen, and the New 

Zealand dollar; and (iii) 1,200,000 

contracts for options on the Euro.26

The Exchange also proposes to 

eliminate from Rules 1001 and 1079 the 

practice of fractional counting of U.S. 

dollar-settled FCO contracts for position 

limit purposes. Fractional counting was 

needed to establish position limit 

equivalency between the Exchange’s 

physical delivery option contracts and 

U.S. dollar-settled option contracts, 

which had different sized contracts on 

the same underlying currencies, but is 

no longer required as the Exchange no 

longer trades physical delivery options 

on foreign currencies. 

Systems Capacity and Surveillance 

The New Currencies would be 

covered under the Exchange’s existing 

surveillance programs.27 Specifically, 

the Exchange represented that it has the 

Federal Register / Vol. 74, No. 126 / Thursday, July 2, 2009 / Notices 31785 

28See Notice, supra note 4, at 74 FR 27220. 

29See id. 

30The Exchange will similarly add the New 

Currencies throughout its rules. See, e.g., Rules 

1009, 1057, and 1079. 

31See, e.g., Rules 1000 Sections 14, 15, 21, 38, 

and 40; 1001, 1002, 1009, 1034, and 1069 (crossrate foreign currency options); 1012, 1014, 1016, 

1034, 1044, and 1063 (physical delivery foreign 

currency options); 1001, 1009, 1033, 1034, 1063, 

1069, and 1079 (customized foreign currency 

options); 1049, 1070 and 1089 (currency warrants); 

and 1079 (Regulatory Services Post). See also 

OFPAs B–7, F–17, and F–18 (physical delivery 

foreign currency options); and C–2 and F–20 

(customized foreign currency options). See also 

Rule 1014 correcting typographical errors. 

32 In approving this proposed rule change, the 

Commission has considered the proposed rule’s 

impact on efficiency, competition, and capital 

formation. See 15 U.S.C. 78c(f). 

33 15 U.S.C. 78f(b)(5). 

34See supra note 9 (noting that CME lists and 

trades futures contracts on most of the New 

Currencies (e.g., the Mexican peso, the New 

Zealand dollar, the Norwegian krone, the Russian 

ruble, the Swedish krona, the Brazilian real, the 

Chinese renminbi, the South African rand, and the 

South Korean won)). 

35See supra note 13 (discussing ISE’s FCOs). 

36See supra note 14 (describing the modifiers set 

forth in proposed Rule 1000(b)(16)). 

37See Securities Exchange Act Release No. 55575 

(April 3, 2007), 72 FR 17963 (April 10, 2007) (SR– 

ISE–2006–59). 

necessary systems capacity to support 

new options series that will result from 

the introduction of options on the New 

Currencies.28 The Exchange further 

represented that it has an adequate 

surveillance program in place for 

trading U.S. dollar-settled FCOs and 

that it will apply the same surveillance 

program to the New Currencies.29

Other Conforming Changes 

The Exchange proposes other 

conforming changes to its rules to 

accommodate the New Currencies. For 

example, the Exchange proposes to add 

the ten New Currencies to the six 

currencies that are currently listed in 

Rule 1000.30 The Exchange also 

proposes technical changes to delete 

obsolete references, rules, and OFPAs 

regarding foreign currency products and 

processes. These include references to 

cross-rate, physical delivery, and 

customized foreign currency options; 

currency and currency index warrants; 

currency products that are no longer 

traded; and the Regulatory Services 

Post, which no longer exists.31

III. Discussion and Commission’s 

Findings 

After careful review, the Commission 

finds that the proposed rule change, as 

amended, is consistent with the 

requirements of the Act and the rules 

and regulations thereunder applicable to 

a national securities exchange.32 In 

particular, the Commission finds that 

the proposal is consistent with Section 

6(b)(5) of the Act,33 which requires, 

among other things, that the rules of a 

national securities exchange be 

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, in 

general, to protect investors and the 

public interest. 

With respect to the listing and trading 

of FCOs on the proposed New 

Currencies, the Commission believes 

that the proposal may provide investors 

with additional strategic investment and 

hedging tools. The Commission notes 

that the currency market for each 

proposed New Currency is highly liquid 

and is characterized by a significant 

degree of volume and turnover. As a 

result, the Commission believes that 

sufficient venues exist to provide 

investors with ready access to reliable 

information on the New Currencies so 

that investors in FCOs can monitor the 

underlying spot market in the 

currencies. In addition, investors will be 

able to obtain information regarding 

futures trading on most of the New 

Currencies.34 Further, the Commission 

notes that the Exchange’s proposal is 

designed to ensure that the New 

Currencies are listed and traded under 

the same terms that apply to other U.S. 

dollar-settled FCOs that are currently 

traded on the Exchange, as such terms 

are proposed to be amended by the 

Exchange in this filing. 

The Commission further believes that 

the Exchange’s proposal to modify the 

methodology of pricing options on 

foreign currencies is consistent with the 

Act. The proposed new methodology 

clarifies and greatly simplifies the 

pricing of FCOs on Phlx in that it 

eliminates the need to express the price 

of options on foreign currencies with an 

‘‘expressed as’’ price. The Exchange’s 

proposal to apply an appropriate upfront multiplier to the cash market spot 

prices it receives from a price quotation 

dissemination system to establish the 

Exchange Spot Price for FCOs is 

consistent with the Act and also is 

consistent with the pricing convention 

used by other markets that trade foreign 

currency options.35 The new 

methodology should result in more 

uniform pricing between FCOs and 

other option products that trade on the 

Exchange. The use of the Exchange Spot 

Price will therefore bring the underlying 

value of a Phlx FCO up to a level that 

more closely resembles the value an 

investor would expect to see for other 

options traded on the Exchange. 

Investors will be able to access a list of 

the modifiers that are used in creating 

each of the modified exchange rates.36

In addition, the Exchange will continue 

to disseminate Exchange Spot Prices 

and other FCO-related data throughout 

the day over the facilities of a major 

public data vendor to inform investors’ 

trading of FCOs. 

Further, the Commission believes that 

the proposals permitting Exchange 

Strike Prices to be listed within a 40 

percent band around Exchange Spot 

Prices at fifty cent internals; clarifying 

that premiums on all U.S. dollar-settled 

FCOs will be calculated in the same way 

for all options; and clarifying that 

minimum price increments for all 

currencies will remain at $.01, are all 

consistent with the Act. Permitting 

Strike Prices to be listed within a 40 

percent band around the Exchange Spot 

Price allows accurate pricing of options 

on foreign currencies, and amending the 

rules to ensure that premiums and 

minimum price increments will be the 

same for all FCOs perfects the 

mechanism of a free and open market by 

simplifying the Exchange’s rules and 

implementing rules that are consistent 

across all options on foreign currencies. 

The Commission believes that the 

Exchange’s proposal to institute three 

levels of position limits for FCOs on the 

same side of the market relating to the 

same underlying currency is reasonably 

designed to protect the options and 

related markets from disruptions or 

manipulation, and imposes similar 

position limits to those that have been 

adopted by other markets that trade 

foreign currency options as such have 

been approved previously by the 

Commission.37 Further, the elimination 

of fractional counting differentiations 

for position limit purposes is 

appropriate, because physical delivery 

foreign currency options are no longer 

traded on the Exchange. Accordingly, 

the Commission believes that the 

proposed changes to the position limit 

rule are appropriate and consistent with 

the Act. 

In approving the proposed rule 

change, the Commission has relied upon 

the Exchange’s representations that it 

has the necessary systems capacity and 

adequate surveillance programs in place 

to support new options series that will 

result from this proposal. 

The Commission believes that the 

other rule changes proposed by the 

Exchange to delete obsolete and 

outdated rules and OFPAs regarding 

foreign currency products and processes 

to eliminate confusion and extraneous 

references are consistent with the Act 

and should permit the Exchange to 

31786 Federal Register / Vol. 74, No. 126 / Thursday, July 2, 2009 / Notices 

38 15 U.S.C. 78s(b)(2). 

39See Notice, supra note 4. 

40See supra note 37 (citing to the approval order 

for SR–ISE–2006–59). 

41 15 U.S.C. 78s(b)(2). 

42 17 CFR 200.30–3(a)(12). 

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

2 17 CFR 240.19b–4. 

3 15 U.S.C. 78s(b)(3)(A). 

4 17 CFR 19b–4(f)(1). 

5See Securities Exchange Act Release No. 55793 

(May 22, 2007), 72 FR 29567 (May 29, 2007) (SR– 

NYSE–2007–34). 

6See Securities Exchange Act Release No. 55615 

(Apr. 11, 2007), 72 FR 19225 (Apr. 17, 2007) (SR– 

NYSE–2007–34). 

7Beginning in 1988, the Exchange required that 

member organizations report program trading by the 

close of the second business day following the trade 

day on the DPTR. 

update its rules applicable to FCOs and 

thereby facilitate its ability to 

administer its FCO program. 

IV. Accelerated Approval 

The Commission finds good cause, 

pursuant to Section 19(b)(2) of the 

Act,38 for approving the proposed rule 

change, as amended, prior to the 

thirtieth day after publication of the 

Notice in the Federal Register. The 

Commission notes that the proposal, as 

modified by Amendment No. 1, was 

published for a 15-day comment 

period,39 and that it did not receive any 

comment letters on the proposal. The 

Commission notes that the proposal, as 

modified by Amendment No. 1, extends 

to the New Currencies the same rule set 

that currently is applicable to FCOs 

traded on the Exchange, as proposed to 

be amended by the current filing. The 

proposal is similar to another 

exchange’s FCO program, including 

most of the proposed New Currencies, 

the position limits, and the up-front 

modified spot price, and so does not 

raise additional issues that have not 

been considered previously by the 

Commission.40 Accordingly, the 

Commission finds that the proposed 

rule change does not raise any novel 

regulatory issues and believes that 

accelerating approval of this proposal at 

the conclusion of a 15-day comment 

period should benefit investors by 

offering them the ability to invest in 

FCOs based on the New Currencies and 

by offering the new FCO features, 

methodologies, and processes without 

further delay. In particular, the proposal 

should greatly simplify the pricing 

methodology and structure of Phlx’s 

FCOs with respect to, among other 

things, strike, bid and ask, spot and 

settlement prices, and should 

consequently facilitate the ability of 

investors to more readily understand 

and trade these products. 

V. Conclusion 

It is therefore ordered, pursuant to 

Section 19(b)(2) of the Act,41 that the 

proposed rule change (SR–Phlx–2009– 

40), as modified by Amendment No. 1, 

be, and it hereby is, approved on an 

accelerated basis. 

For the Commission, by the Division of 

Trading and Markets, pursuant to delegated 

authority.42

Florence E. Harmon, 

Deputy Secretary. 

[FR Doc. E9–15611 Filed 7–1–09; 8:45 am] 

BILLING CODE 8010–01–P 

SECURITIES AND EXCHANGE 

COMMISSION 

[Release No. 34–60179; File No. SR–NYSE– 

2009–61] 

Self-Regulatory Organizations; New 

York Stock Exchange LLC; Notice of 

Filing and Immediate Effectiveness of 

Proposed Rule Change 

Decommissioning the Requirement for 

Member Organizations To Report 

Program Trading Activity on the Daily 

Program Trading Report 

June 26, 2009. 

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 June 24, 

2009, the New York Stock Exchange 

LLC (the ‘‘Exchange’’ or ‘‘NYSE’’) 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 NYSE. The 

NYSE has filed the proposed rule 

change pursuant to Section 19(b)(3)(A) 

of the Act 3 and Rule 19b–4(f)(1) 

thereunder,4 which renders the proposal 

effective upon filing with the 

Commission. 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 

decommission the requirement for 

member organizations to report program 

trading activity on the Daily Program 

Trading Report (‘‘DPTR’’). 

The text of the proposed rule change 

is available at the Exchange, the 

Commission’s Public Reference Room, 

and http://www.nyse.com. 

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 

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 

self-regulatory organization 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 Exchange proposes to implement 

the previously approved 

decommissioning of the requirement 

that member organizations report 

program trading activity via the Daily 

Program Trading Report (‘‘DPTR’’).5

Because certain entities previously used 

DPTR data, the Exchange delayed 

implementing the decommissioning of 

the DPTR requirement to provide 

adequate time to coordinate with such 

entities. The Exchange files this rule 

proposal to announce the stated policy 

of the Exchange that the last trade date 

for which member organizations will be 

required to file the DPTR with the 

Exchange will be July 10, 2009 and 

therefore the last required date to 

submit the DPTR will be July 14, 2009. 

Background 

In 2007, the Exchange filed a rule 

proposal to update the definition of 

program trading and to make certain 

conforming changes to rules governing 

program trading at the Exchange (the 

‘‘2007 rule filing’’).6 In addition to 

amending the definition of program 

trading, the Exchange proposed to 

streamline the reporting process that 

member organizations must follow 

when reporting program trading.7

In the 2007 rule filing, the Exchange 

proposed to eliminate DPTR. The 2007 

filing noted that there was some 

duplication between the DPTR data and 

the audit trail information that member 

organizations provide to the Exchange 

via account-type indicators at the time 

that they submit program trades to the 

Exchange. The Exchange uses account 

type indicators to capture program trade 

information for those portions of the