[Federal Register Volume 66, Number 40 (Wednesday, February 28, 2001)]
[Notices]
[Pages 12823-12825]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 01-4843]


=======================================================================
-----------------------------------------------------------------------

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-43994; File No. SR-PHLX-01-13]


Self-Regulatory Organizations; Notice of Filing and Immediate 
Effectiveness of Proposed Rule Change by the Philadelphia Stock 
Exchange, Inc. Relating to Fees for Transactions Executed Through the 
eVWAP Trading System

February 22, 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 29, 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 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)(2) thereunder.\4\ Pursuant 
to Rule 19b-4(f)(2), Phlx has designated this proposal as one changing 
a due, fee or charge imposed by the Exchange. 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.
---------------------------------------------------------------------------

    \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 240.19b-4(f)(2).
---------------------------------------------------------------------------

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 revising its fee 
schedule governing transactions executed through the Volume Weighted 
Average Price (``VWAP''),\5\ Trading System (``eVWAP'').\6\
---------------------------------------------------------------------------

    \5\ VWAP is registered trademark of the Universal Trading 
Technologies Corporation (``UTTC'').
    \6\ eVWAP\TM\ was developed by 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), 64 FR 15857 (April 
1, 1999) (SR-Phlx-96-14). The Commission approved the facility to 
operate as a pilot program until November 30, 2001. See Securities 
Exchange Act Release No. 43477 (October 23, 2000), 65 FR 64734 
(October 30, 2000) SR-Phlx-00-84).

---------------------------------------------------------------------------

[[Page 12824]]

II. Self-Regulatory Organization's Statement of the Purpose of, and 
Statutory Basis for, the Proposed Rule Change

    In its filling 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. Phlx 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 amend the Exchange's 
current fee schedule for eVWAP transactions. The eVWAP is a pre-opening 
order matching session for the electronic execution of large-sized 
stock orders at a standardized VWAP price (``eVWAP Price'').\7\ The 
Exchange established the initial eVWAP fee schedule in July, 1999.\8\ 
The revised fee schedule, like the current schedule, will apply to Phlx 
member firms who will be billed and held responsible for paying such 
fees. The revised fee schedule was effective on February 1, 2001. The 
Phlx endeavored to issue a notice to its members of the revised fee 
schedule before its effectiveness on February 1, 2001.
---------------------------------------------------------------------------

    \7\ See Phlx Rule 237.
    \8\ See Securities Exchange Act Release No. 41646 (July 23, 
1999), 64 FR 41480 (July 30, 1999) (SR-Phlx-99-21).
---------------------------------------------------------------------------

    The Phlx has been advised by UTTC that the demand that exists for 
eVWAP is price sensitive to transaction costs. Therefore, the Phlx 
believes that the revised fee schedule should encourage greater use of 
the eVWAP system.
    Fees will continue to vary depending upon the ultimate user (e.g., 
institutional, broker-dealer, Committer), type of trade (e.g., cross 
versus non-cross), and volume of user activity. The fee schedule 
amendments are as follows:
    1. Institutional user and retail customer (non-cross trades and 
direct access):
    <bullet> 0 to 10 million shares per year changed to 0 to 750,000 
shares per month: $0.02 per share changed to $0.015 per share.
    <bullet> Greater than 10 million shares to 20 million shares per 
year changed to greater than 750,000 shares to 1.5 million shares per 
month: $0.015 per share changed to $0.01 per share.
    <bullet> Greater than 20 million shares per year changed to greater 
than 1.5 million shares per month: $0.01 per share changed to $0.005 
per share.\9\
---------------------------------------------------------------------------

    \9\ The proposed monthly volume discounts are not graduated and 
if a user reaches a discount threshold, the user's entire eVWAP 
trades for the month in the category receive the benefit of the fee 
discount.
---------------------------------------------------------------------------

    2. Institutional user and retail customer (cross trades):
    <bullet> Intra-firm: changed from $0.005 to $0.00125 per share.\10\
---------------------------------------------------------------------------

    \10\ Intra-firm cross trades refer to cross trades where the 
identified contra-sides are from the same firm. Because the same 
firm is on both sides of an intra-firm cross trade, the proposed 
$0.00125 per share fee applies to each side, thus totaling $0.0025 
per share.
---------------------------------------------------------------------------

    <bullet> Inter-firm: changed from $0.01 to $0.00125 per share.\11\
---------------------------------------------------------------------------

    \11\ Intra-firm cross trades refer to cross trades where the 
identified contra-sides are from different firms.
---------------------------------------------------------------------------

    3. Non-member/non-institutional user category, along with its 
$0.015 per share fee, is eliminated.
    4. Enrolled \12\ specialist or alternate specialist Committer: No 
charge.
---------------------------------------------------------------------------

    \12\ Enrolled committers enter liquidity commitments on a good-
till cancelled basis.
---------------------------------------------------------------------------

    5. Enrolled member off-floor liquidity provider: changed from $0.01 
per share to no charge.
    6. Ad hoc \13\ Committer or liquidity provider: $0.005 per share.
---------------------------------------------------------------------------

    \13\ Ad hoc Committers or liquidity providers enter liquidity 
commitments on a day-only basis.
---------------------------------------------------------------------------

    7. Member user category, along with its $0.01 per share fee, is 
eliminated.
    8. Broker-dealer user (not enrolled as Committer) category added:
    <bullet> Principal trades: $0.005 per share
    <bullet> Agency trades (entered by broker) 0 to 1.5 million shares 
per month: $0.01 per share
    <bullet> Greater than 1.5 million shares per month: $0.005 per 
share.\14\
---------------------------------------------------------------------------

    \14\ The broker-dealer category applies to both member and non-
member broker-dealers. A broker-dealer's principal trade volume will 
be included with its agency trade volume in calculating such broker-
dealer's monthly agency trade volume discount. These volume 
discounts likewise are not graduated.
---------------------------------------------------------------------------

    The proposed rule change is consistent with Section 6(b)(4) of the 
Act in that it provides for the equitable allocation of reasonable fees 
and other charges among members using eVWAP. The Exchange further 
believes that the proposed fee schedule amendments should help attract 
increased participation and order flow to the system.

(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 completion 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

    Because the foregoing rule changes a due, fee or charge imposed 
upon by the Exchange, it has become effective pursuant to Section 
19(b)(3)(A) \15\ of the Act and Rule 19b-4(f)(2) \16\ thereunder. 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.
---------------------------------------------------------------------------

    \15\ 15 U.S.C. 78s(b)(3)(A).
    \16\ 17 CFR 240.19b-4(f)(2).
---------------------------------------------------------------------------

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 SR-Phlx-01-13 and should be submitted by March 21, 
2001.


[[Page 12825]]


    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\17\
---------------------------------------------------------------------------

    \17\ 17 CFR 200.30-3(a)(12).
---------------------------------------------------------------------------

Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 01-4843 Filed 2-27-01; 8:45 am]
BILLING CODE 8010-01-M