9742 Federal Register / Vol. 66, No. 28 / Friday, February 9, 2001 / Notices

15This assumes that the authorized creation

participant has undertaken to deliver the shares as

soon as possible and such undertaking has been

secured by the delivery and maintenance of

collateral consisting of cash or cash equivalents

satisfactory to the Fund which underlies the option,

as described in the Fund prospectus.

16See supra note 6.

17See supra note 16.

18See Securities Exchange Act Release No. 40157

(July 1, 1998), 63 FR 37426 (July 10, 1998) (SR–

Amex–96–44).

19 15 U.S.C. 78s(b).

20 15 U.S.C. 78s(b)(2).

21 17 CFR 200.30–3(a)(12).

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

2 17 CFR 240.19b–4.

of the securities needed to be deposited

have not been received by the Fund.15

This listing requirement should ensure

that there exists sufficient supply of the

underlying Fund Shares so that a short

call writer, for example, will have the

ability to secure delivery of the Fund

Shares upon exercise of the option.

The Commission believes the Phlx

has adequately addressed potential

concerns about the ability to produce

Fund Shares upon exercise of the option

through the adoption of the listing

standards set forth above. In particular,

options listed pursuant to the uniform

options listing standards will have to

meet the options maintenance listing

standards that require, among other

things, that a minimum number of Fund

Shares be outstanding to continue

trading the options.16 The alternative

listing criteria, noted above, should also

help to ensure that the underlying Fund

Shares will be available upon exercise

by requiring the Fund to allow market

participants to create Fund Shares even

though some or all of the necessary

securities needed to be deposited are

not available.17 Although there is no

absolute assurance that market

participants will go ahead and create

Fund Shares in the event a short call

writer needs to purchase Fund Shares to

meet an exercise notice, it is likely that

arbitrage opportunities will create an

incentive to do so. Further, in the event

there are not enough Fund Shares to

meet exercise requirements, as with

other physically-settled equity options,

the Options Clearing Corporation has

rules that would apply to such

situations.

Second, the Commission believes that

the surveillance standard developed by

the Phlx for options on Fund Shares is

adequate to address the concerns

associated with the listing and trading

of such securities. Specifically, the Phlx

has proposed that: (1) Any Fund Share

with non-US stocks in the underlying

index or portfolio that are not subject to

comprehensive surveillance agreements

do not in the aggregate represent more

than 50% of the weight of the index or

portfolio; (2) stocks for which the

primary market is in any one country

that is not subject to a comprehensive

surveillance agreement do not represent

20% or more of the weight of the index

or portfolio; and (3) stocks for which the

primary market is in any two countries

that are not subject to comprehensive

surveillance agreements do not

represent 33% or more of the weight of

the index or portfolio.

As a general matter, the Commission

believes that comprehensive

surveillance agreements provide an

important deterrent to manipulation

because they facilitate the availability of

information needed to fully investigate

a potential manipulation if it were to

occur. These agreements are especially

important in the content of derivative

products based on foreign securities

because they facilitate the collection of

necessary regulatory, surveillance and

other information from foreign

jurisdictions. In evaluating the current

proposal, the Commission believes that

requiring comprehensive surveillance

agreements to be in place between the

Phlx and the primary markets for

foreign securities that comprise 50% or

more of the weight of the underlying

index or portfolio upon which Fund

Shares are based, as well as the other

conditions discussed above, provides an

adequate mechanism for the exchange of

surveillance sharing information

necessary to detect and deter possible

market manipulations. Although the

Commission recognizes that up to 50%

of the Portfolio’s value may not be

covered by comprehensive surveillance

agreements, the other requirements will

ensure that a significant percentage of

the portfolio is not made up of securities

from uncovered countries. Further, as to

the domestically-traded Fund Shares

themselves and the domestic stocks in

the underlying index or portfolio upon

which Fund Shares are based, the

Intermarket Surveillance Group

Agreement will be applicable to the

trading of options on Fund Shares.

Finally, the Commission believes that

it is appropriate to require minimum

margin of 100% of the current market

value of the option plus 15% of the

market value of the underlying security

value (‘‘broad-based margin’’) for

options on Fund Shares based on a

broad-based index or portfolio and for

options on Fund Shares which have

been approved to date. Moreover, the

Commission believes that requiring

minimum margin of 100% of the current

market value of the option plus 20% of

the market value of the underlying

security value (‘‘narrow-based margin’’)

for options on Fund Shares based on a

narrow-based index or portfolio is

appropriate. The Commission notes that

these margin requirements for options

on Exchange-Traded Fund Shares are

comparable to margin requirements that

currently apply to broad-based and

narrow-based index options.

The Commission finds good cause for

approving the proposed rule change

(SR–Phlx–00–107), as amended, prior to

the thirtieth day after the date of

publication of notice thereof in the

Federal Register. The Commission notes

that the proposed rule change is based

on Amex Rules 915 and 916, which the

Commission approved previously.18

The Commission also observes that the

proposed rule change concerns issues

that previously have been the subject of

a full comment period pursuant to

section 19(b) of the Act.19 The

Commission does not believe that the

proposed rule change raises novel

regulatory issues that were not

addressed in the previous filings.

Accordingly, the Commission finds that

there is good cause, consistent with

section 6(b)(5) of the Act, to approve the

amended proposal on an accelerated

basis.

It is therefore ordered, pursuant to

section 19(b)(2) of the Act,20 that the

proposed rule change (SR–Phlx–00–

107), as amended, is hereby approved

on an accelerated basis.

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.21

Margaret H. McFarland,

Deputy Secretary.

[FR Doc. 01–3341 Filed 2–8–01; 8:45 am]

BILLING CODE 8010–01–M

SECURITIES AND EXCHANGE

COMMISSION

[Release No. 34–43927; File No. SR–PHLX–

01–07]

Self-Regulatory Organizations; Notice

of Filing and Immediate Effectiveness

of Proposed Rule Change by the

Philadelphia Stock Exchange, Inc.

Relating to an Interpretation of Phlx

Rule 237 Governing the eVWAP

Morning Session

February 5, 2001.

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

11, 2001, the Philadelphia Stock

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

filed with the Securities and Exchange

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

the proposed rule change as described

Federal Register / Vol. 66, No. 28 / Friday, February 9, 2001 / Notices 9743

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

4 17 CFR 240.19b–4(f)(1) and (5).

5 eVWAP was developed by Universal Trading

Technologies Corporation (‘‘UTTC’’), and was

approved by the Commission to operate as a facility

of the Exchange. See Securities Exchange Act

Release No. 41210 (March 24, 1999) (SR–Phlx–96–

14). The Commission approved the facility to

operate as pilot program until November 30, 2001.

See Securities Exchange Act Release No. 43477

(October 30, 2000) (SR–Phlx–00–84).

6 In a telephone conversation on January 29, 2001

between John Dayton, Esq., Exchange, and Heidi

Pilpel, Special Counsel, Commission, the Exchange

represented that the proposed interpretation will

conform the value weighted average price

calculation methodology used by UTTC to the value

weighted average price calculation methodology

used by other similar services.

7 15 U.S.C. 78s(b)(3)(A).

8 17 CFR 240.19b–4(f)(1) and (5).

in Items I, II, and III below, which Items

have been prepared by Phlx. Phlx filed

the proposed rule change pursuant to

Section 19(b)(3)(A) of the Act,3 and Rule

19b–4(f)(1) and (5) thereunder.4

Pursuant to Rule 19b–4(f)(1) and (5),

Phlx has designated this proposal as one

constituting an interpretation of the

meaning and administration of existing

Phlx Rule 237, and as one effecting a

change in an existing order-entry or

trading system of the Phlx that does not:

(1) Significantly affect the protection of

investors or the public interest, (2)

impose any significant burden on

competition, or (3) significantly have

the effect of limiting the access to or

availability of the system. As such, the

proposed rule change is immediately

effective upon the Commission’s receipt

of this filing. 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

Pursuant to Rule 19b–4 of the Act,

Phlx is providing an interpretation to

Phlx Rule 237, eVWAP Morning

Session,5 to include New York Stock

Exchange, Inc. (‘‘NYSE’’) Rule 127

transactions in the eVWAP calculation.

NYSE Rule 127 transactions are block

trades executed on the NYSE floor

outside of the present quote and are

denoted as ‘‘J trades’’ by the Securities

Industry Automation Corporation.

II. Self-Regulatory Organization’s

Statement of the Purpose of, and

Statutory Basis for, the Proposed Rule

Change

In its filing with the Commission,

Phlx 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. Nasdaq 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 purpose of the proposed rule

change is to intepret Phlx Rule 237 to

include NYSE Rule 127 trades in the

eVWAP price calculation. The eVWAP

is a pre-opening order matching session

for the electronic execution of largesized stock orders at a standardized

volume weighted average price

(‘‘eVWAP Price’’).

In accordance with Phlx Rule 237, the

eVWAP Price is derived from all regular

way trades (including sold sales and late

sales) reported by the appropriate

reporting authority from the opening of

the regular trading session and printed

prior to 4:15 p.m. EST. The calculation

excludes NYSE Rule 127 trades that are

block executed on the NYSE floor

outside of the present quote. A number

of eVWAP participants have requested

of UTTC that these trades be included

in the eVWAP calculation to the extent

that such trades are regular way trades

and are reported by the appropriate

reporting authority before 4:15 p.m.

EST. Upon review, the Exchange has

interpreted Phlx Rule 237 to include

these in the eVWAP Price calculation.6

The Exchange included these trades in

the calculation methodology beginning

on Tuesday, January 16, 2001. UTTC

endeavored to notify all enrolled

eVWAP participants of this change by

letter dated January 11, 2001.

The proposed rule change is

consistent with Section 6(b) of the Act

in that it is designed to promote just and

equitable principles of trade, prevent

fraudulent and manipulative acts and

practices and protect investors and the

public interest by including NYSE Rule

127 trades in the eVWAP Price

calculation.

(B) Self-Regulatory Organization’s

Statement on Burden on Competition

Phlx does not believe that the

proposed rule change will result in any

burden on competition not necessary or

appropriate in furtherance of the

purposes of the Act.

(C) Self-Regulatory Organization’s

Statement on Comments on the

Proposed Rule Change Received From

Members, Participants, or Others

Written comments were neither

solicited nor received.

III. Date of Effectiveness of the

Proposed Rule Change and Timing for

Commission Action

The foregoing rule change has become

effective pursuant to Section

19(b)(3)(A) 7 of the Act and Rule 19b–

4(f)(1) and (5) 8 thereunder in that it

constitutes an interpretation of the

meaning and administration of Phlx

Rule 237, an existing rule governing

operation of eVWAP, and a change in an

existing order-entry or trading system of

Phlx that does not: (1) Significantly

affect the protection of investors of the

public interest, (2) impose any

significant burden on competition, or (3)

significantly have the effect of limiting

the access to or availability of the

system. At any time within 60 days of

the filing of such proposed 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 is

consistent with the Act. Persons making

written submissions should file six

copies thereof with the Secretary,

Securities and Exchange Commission,

450 Fifth Street, NW., Washington, DC

20549–0609. 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 Phlx. All

submissions should refer to the number

in the caption above and should be

submitted by March 2, 2001.

9744 Federal Register / Vol. 66, No. 28 / Friday, February 9, 2001 / Notices

9 17 CFR 200.30–3(a)(12).

For the Commission, by the Division of

Market Regulation, pursuant to delegated

authority.9

Margared H. McFarland,

Deputy Secretary.

[FR Doc. 01–3362 Filed 2–8–01; 8:45 am]

BILLING CODE 8010–01–M

SMALL BUSINESS ADMINISTRATION

[Declaration of Economic Injury Disaster

#9K67]

Commonwealth of Massachusetts (And

Contiguous Counties in Connecticut,

New York and Vermont)

Berkshire County and the contiguous

counties of Franklin, Hampden, and

Hampshire in the Commonwealth of

Massachusetts; Litchfield in

Connecticut; Columbia and Rensselaer

in New York; and Bennington in

Vermont constitute an economic injury

disaster loan area as a result of a fire

that occurred on January 17, 2001 in the

Town of Great Barrington. Eligible small

businesses and small agricultural

cooperatives without credit available

elsewhere may file applications for

economic injury assistance as a result of

this disaster until the close of business

on November 2, 2001 at the address

listed below or other locally announced

locations: U.S. Small Business

Administration, Disaster Area 1 Office,

360 Rainbow Blvd, South 3rd Floor,

Niagara Falls, NY 14303.

The interest rate for eligible small

businesses and small agricultural

cooperatives is 4 percent. The numbers

assigned for economic injury for this

disaster are 9K6700 for Massachusetts;

9K6800 for Connecticut; 9K6900 for

New York; and 9K7000 for Vermont.

(Catalog of Federal Domestic Assistance

Program No. 59002)

Date: February 2, 2001.

Kristine Marcy,

Acting Administrator.

[FR Doc. 01–3403 Filed 2–8–01; 8:45 am]

BILLING CODE 8025–01–P

SMALL BUSINESS ADMINISTRATION

[Declaration of Disaster #3317; Amendment

#3]

State of Texas

In accordance with a notice received

from the Federal Emergency

Management Agency, dated January 19,

2001, the above-numbered Declaration

is hereby amended to include Lamar

County as a disaster area due to

damages caused by a severe winter ice

storm beginning on December 12, 2000

and continuing through January 15,

2001.

Any counties contiguous to the above

named primary county and not listed

herein have been previously declared.

All other information remains the

same, i.e., the deadline for filing

applications for physical damage is

March 9, 2001 and for economic injury

the deadline is October 9, 2001.

(Catalog of Federal Domestic Assistance

Program Nos. 59002 and 59008)

Dated: January 30, 2001.

Herbert L. Mitchell,

Associate Administrator for Disaster

Assistance.

[FR Doc. 01–3401 Filed 2–8–01; 8:45 am]

BILLING CODE 8025–01–P

SMALL BUSINESS ADMINISTRATION

[Declaration of Disaster #3317; Amendment

#4]

State of Texas

In accordance with a notice received

from the Federal Emergency

Management Agency, dated January 30,

2001, the above-numbered Declaration

is hereby amended to include Titus

County as a disaster area due to

damages caused by a severe winter ice

storm beginning on December 12, 2000

and continuing through January 15,

2001.

In addition, applications for economic

injury loans from small businesses

located in Camp County, Texas may be

filed until the specified date at the

previously designated location.

Any counties contiguous to the above

named primary county and not listed

herein have been previously declared.

All other information remains the

same, i.e., the deadline for filing

applications for physical damage is

March 9, 2001 and for economic injury

the deadline is October 9, 2001.

(Catalog of Federal Domestic Assistance

Program Nos. 59002 and 59008)

Dated: February 1, 2001.

Herbert L. Mitchell,

Associate Administrator for Disaster

Assistance.

[FR Doc. 01–3402 Filed 2–8–01; 8:45 am]

BILLING CODE 8025–01–P

SMALL BUSINESS ADMINISTRATION

Region IV District Advisory Council

Meeting; Public Meeting

The U.S. Small Business

Administration, Georgia District Office

Advisory Council, will hold a public

meeting on Friday, March 9, 2001 at 9

a.m., at the Columbus Hilton, 800 Front

Avenue, Columbus, Georgia 31901; 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

Mr. Charles E. Anderson, District

Director, U.S. Small Business

Administration, 233 Peachtree Street,

NE, Suite 1900, Atlanta, Georgia 30303;

telephone (404) 331–0266.

Nancyellen Gentile,

Committee Management Officer.

[FR Doc. 01–3404 Filed 2–8–01; 8:45 am]

BILLING CODE 8025–01–P

DEPARTMENT OF TRANSPORTATION

Coast Guard

[USCG–2001–8662]

National Preparedness for Response

Exercise Program (PREP)

AGENCY: Coast Guard, DOT.

ACTION: Request for comments on PREP

triennial exercise schedule for 2001,

2002, and 2003.

SUMMARY: The Coast Guard, the

Environmental Protection Agency

(EPA), the Research and Special

Programs Administration (RSPA) and

the Minerals Management Service

(MMS), in concert with the states, the

oil industry and concerned citizens,

developed the Preparedness for

Response Exercise Program (PREP). This

notice announces the PREP triennial

cycle, 2001–2003, and requests

comments from the public and

maximum industry and government

participation in the listed exercises.

DATES: Comments and related material

must reach the Docket Management

Facility on or before April 10, 2001.

ADDRESSES: To make sure your

comments and related material are not

entered twice in the docket, please

submit them by only one of the

following methods:

(1) By mail to the Docket Management

Facility, (USCG–2001–8662), U.S.

Department of Transportation, room PL–

401, 400 Seventh Street SW.,

Washington, DC 20590–0001.

(2) By hand to room PL–401 on the

Plaza level of the Nassif Building, 400

Seventh Street SW., Washington, DC,

between 9 a.m. and 5 p.m., Monday

through Friday, except Federal holidays.

The telephone number is 202–366–

9329.