[Federal Register Volume 59, Number 132 (Tuesday, July 12, 1994)]
[Unknown Section]
[Page 0]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 94-16749]


[[Page Unknown]]

[Federal Register: July 12, 1994]


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SECURITIES AND EXCHANGE COMMISSION
[Release No. 43- 34306; File No. SR-CBOE-94-05]

 

Self-Regulatory Organizations; Order Approving Proposed Rule 
Change and Notice of Filing and Order Granting Accelerated Approval of 
Amendment No. 1 to Proposed Rule Change by the Chicago Board Options 
Exchange, Inc. Relating to the Listing and Trading of Options and 
Regular and Reduced-Value Long-Term Options on the CBOE Real Estate 
Investment Trust Index

July 5, 1994.

I. Introduction

    On March 8, 1994, the Chicago Board Options Exchange, Inc. 
(``CBOE'' or ``Exchange'') submitted to 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 provide for the listing and 
trading of options and long-term options (``LEAPS'')\3\ on the CBOE's 
Real Estate Investment Trust (``REIT'') Index (``REIT Index'' or 
``Index''), and LEAPS on a reduced-value REIT Index. On June 14, 1994, 
the CBOE filed Amendment No. 1 to the proposed rule change.\4\
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    \1\15 U.S.C. 78s(b)(1) (1988).
    \2\17 CFR 240.19b-4 (1993).
    \3\``LEAPS'' is an acronym for Long-Term Equity Anticipation 
Securities. LEAPS are long-term index option series that expire from 
12 to 36 months from their date of issuance. See CBOE Rule 
24.9(b)(1).
    \4\In Amendment No. 1, the CBOE: (1) advised that surveillance 
procedures currently used to monitor trading in each of the 
Exchange's other index options also will be used to monitor trading 
in regular Index options and in full-value and reduced-value LEAPS 
on the Index; and (2) advised that the REIT Index will be calculated 
and disseminated to the Options Price Reporting Authority (``OPRA'') 
every 15 seconds by the CBOE, based on the last-sale prices of the 
component stocks, and that OPRA in turn will disseminate the Index 
value to other financial vendors such as Reuters, Telerate, and 
Quotron. See Letter from Scott Lyden, Senior Research Analyst, CBOE, 
to Thomas McManus, Division of Market Regulation Commission, dated 
June 13, 1994.
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    Notice of the Exchange's proposed rule change appeared in the 
Federal Register on April 19, 1994.\5\ No comment letters were received 
on the proposal. This order approves the proposal and Amendment No. 1 
thereto.
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    \5\See Securities Exchange Act Release No. 33872 (April 7, 
1994), 59 FR 17804 (April 14, 1994).
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II. Description of the Proposal

A. General

    The CBOE proposes to list and trade options on the REIT Index, a 
new securities index developed by the CBOE and based on REITs that are 
traded on the New York Stock Exchange, Inc. (``NYSE'') and American 
Stock Exchange, Inc. (``Amex''). The CBOE also proposes to list LEAPS 
on the full-value Index and LEAPS on a reduced-value Index that will be 
computed at one-tenth of the value of the REIT Index. REIT Index LEAPS 
will trade independent of and in addition to regular REIT Index options 
traded on the Exchange;\6\ however, as discussed below, position and 
exercise limits of Index LEAPS and regular Index options will be 
aggregated.
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    \6\According to the CBOE, the REIT Index represents a segment of 
the U.S. equity market that is not currently represented in the 
derivative markets and, as such, the CBOE concludes, should offer 
investors a low-cost means of achieving diversification or to tilt 
their portfolios toward, or away from, real estate investments. The 
CBOE believes that the Index will provide retail and institutional 
investors with a means of benefitting from their forecasts about the 
financial performance of REITS and their underlying real estate 
assets. Options on the Index also may be utilized by portfolio 
managers and investors to provide a performance measure and 
evaluation guide for passively and actively managed REITS, as well 
as a means of hedging the risks of investing in real estate 
generally, the REIT stocks in particular.
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B. Composition of the Index

    The Index is based on securities representing 25 REIT stocks that 
the Exchange believes are representative of the REIT markets. The CBOE 
represents that the 25 REIT stocks have invested a preponderance of 
their assets in real property (typically at least 75 percent), and the 
property portfolios owned by these REITs constitute a diverse pool of 
income-earning real estate investments.
    Twenty-three of the REIT stocks currently trade on the NYSE, and 
two trade on the Amex. All component stocks are ``reported 
securities,'' as that term is defined in Rule 11Aa3-1 under the Act.\7\ 
The Index is price-weighted and will be calculated on a real-time basis 
using last sale prices.
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    \7\See 17 CFR 240.11Aa3-1. A ``reported security'' is defined in 
paragraph (a)(4) of this rule as ``any listed equity security or 
Nasdaq security for which transaction reports are required to be 
made on a real-time basis pursuant to an effective transaction 
reporting plan.'' A ``transaction reporting plan'' is defined in 
paragraph (a)(2) of this rule as ``any plan for collecting, 
processing, making available or disseminating transaction reports 
with respect to transactions in reported securities filed with the 
Commission pursuant to, and meeting the requirements of, this 
section.''
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    As of the close of trading on June 10, 1994, the Index was valued 
at 212.55.\8\ As of the close of trading on February 14, 1994, the 
market capitalizations of the individual securities in the Index ranged 
from a high of $1.1 billion (New Plan Reality) to a low of $220.2 
million (Western Investment Real Estate Trust), with a mean and median 
of $541.9 million and $518.7 million, respectively. The total market 
capitalization of the securities in the Index was $13.5 billion. The 
total number of shares outstanding for the REITs in the Index ranged 
from a high of 49.1 million shares (New Plan Realty) to a low of 10.9 
million shares (BRE Properties). The average price per share of the 
securities in the Index, for the six-month period preceding February 
14, 1994,\9\ ranged from a high of $39.90 (Weingarten Realty Investors) 
to a low of $6.99 (Rockefeller Center Properties). In addition, the 
average daily trading volume of the REITs in the Index ranged from a 
high of 560,210 shares per day (Simon Property Group)\10\ to a low of 
15,330 shares per day (BRE Properties), with the mean and median being 
94,900 and 49,100 shares, respectively. Lastly, no one REIT accounted 
for more than 6.5 percent of the Index's total value (Weingarten Realty 
Investors and Nationwide Health Properties), and the percentage 
weighting of the five largest issues in the Index accounted for 30.2 
percent of the Index's value. The percentage weighting of the lowest 
weighted component was 1.1 percent of the Index (Rockefeller Center 
Properties) and the percentage weighting of the five smallest issues 
accounted for 10.2 percent of the Index's value.
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    \8\The index value was set to equal 200.00 on the base date of 
the Index, January 3, 1994. See Letter from Dan W. Schneider, Schiff 
Hardin & Waite, to Thomas McManus, Branch of Options Regulation, 
Division of Market Regulation, Commission, dated March 22, 1994.
    \9\Trading data for these preceding six months were available 
for nineteen of the REIT stocks in the Index. Six of the component 
REIT stocks commenced trading at various points of time within that 
six month period.
    \10\Simon Property Group commenced trading on December 14, 1993. 
The highest average daily trading volume for a REIT stock which 
traded for the full six month period prior to February 14, 1994 was 
122,800 shares (Rockefeller Center Properties).
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    Four of the component stocks are currently the subject of trading 
in equity options, and the balance of the component stocks meet the 
criteria for allowing the listing of equity options under CBOE Rule 
5.3.

C. Maintenance

    The Index will be maintained by the CBOE. The CBOE may change the 
composition of the Index at any time, subject to compliance with the 
maintenance criteria discussed herein, to reflect conditions in REIT 
markets. If it becomes necessary to replace a security in the Index, 
the Exchange represents that it will make every effort to add new REITs 
that are representative of REIT markets as a whole and will take into 
account the capitalization, liquidity, volatility, and name recognition 
of the proposed replacement security. Further, securities may be 
replaced in the event of certain corporate events, such as takeovers or 
mergers, that change the nature of the security. If, however, the 
Exchange determines to increase the number of Index component 
securities to greater than 33 or reduce the number of Index component 
securities to fewer than 17, the CBOE will seek and obtain Commission 
approval pursuant to Section 19(b)(2) of the Act before listing new 
strike price or expiration month series of REIT Index options and Index 
LEAPS. In addition, in choosing replacement securities for the Index, 
the CBOE will be required to ensure that at least 90 percent of the 
weight of the Index continues to be comprised of REITs that are 
eligible for standardized options trading.\11\
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    \11\The CBOE's options listing standards, which are uniform 
among the options exchanges, provide that a security underlying an 
option must, among other things, meet the following requirements: 
(1) the public float must be at least 7,000,000 shares; (2) there 
must be a minimum of 2,000 shareholders; (3) trading volume must 
have been at least 2.4 million shares over the preceding 12 months; 
and (4) the market price must have been at least $7.50 for a 
majority of the business days during the preceding three calendar 
months. See CBOE Rule 5.3.
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D. Applicability of CBOE Rules Regarding Index Options

    The rules in Chapter XXIV of the CBOE Rules will be applicable to 
REIT Index options and full-value and reduced-value Index LEAPS. Those 
rules address, among other things, the applicable position and exercise 
limits, policies regarding trading halts and suspensions, and margin 
treatment for narrow-based index options.

E. Calculation of the Index

    The REIT Index is a price-weighted index and reflects changes in 
the prices of the Index component securities relative to the Index's 
base date of January 3, 1994. Specifically, the Index value is 
calculated by adding the prices of the component REITs and then 
dividing this summation by a divisor that is equal to the number of 
components of the Index to get the average price. To maintain the 
continuity of the Index, the divisor will be adjusted to reflect non-
market changes in the prices of the component securities as well as 
changes in the composition of the Index. Changes that may result in 
divisor adjustments include, but are not limited to, removal and 
replacement of a component REIT stock, component stock splits, and the 
financial restructuring of a component stock.
    The Index will be calculated continuously and will be disseminated 
to OPRA every 15 seconds by the CBOE, based on the last-sale prices of 
the component REITs.\12\ OPRA, in turn, will disseminate the Index 
value to other financial vendors such as Reuters, Telerate, and 
Quotron.
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    \12\For purposes of the daily dissemination of the Index value, 
if a REIT included in the Index has not opened for trading, the CBOE 
will use the closing value of that stock on the prior trading day 
when calculating the value of the Index, until the stock opens for 
trading.
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F. Contract Specifications

    The proposed options on the Index will be cash-settled, European-
style options.\13\ Standard options trading hours (8:30 a.m. to 3:10 
p.m. Central Standard Time) will apply to the contracts. The Index 
multiplier will be 100. The strike price interval will be $5.00 for 
full-value Index options with a duration of one year or less to 
expiration.\14\ In addition, pursuant to CBOE Rule 24.9, there may be 
up to six expiration months outstanding at any given time. 
Specifically, there may be up to three expiration months from the 
March, June, September, and December cycle, plus up to three additional 
near-term months so that the two nearest-term months will always be 
available. As described in more detail below, the Exchange also intends 
to list several Index LEAPS series that expire from 12 to 36 months 
from the date of issuance.
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    \13\A European-style option can be exercised only during a 
specified period before the option expires.
    \14\For a description of the strike price intervals for regular 
and reduced-value Index LEAPS, see infra Section II.H.
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G. Settlement of Index Options

    Options on the Index will expire on the Saturday following the 
third Friday of the expiration month (``Expiration Friday''), and the 
last trading day for an expiring Index option series will normally be 
the second to last business day before Expiration Friday (normally a 
Thursday). The Index value for purposes of settling outstanding regular 
Index options and Index LEAPS contracts upon expiration will be 
calculated based upon the regular way opening sale prices for each of 
the Index's component securities in their primary market on the last 
trading day prior to expiration (i.e., Expiration Friday). Once all of 
the component REITs have opened, the value of the Index will be 
determined and that value will be used as the final settlement value 
for expiring Index options contracts. If any of the component REITs do 
not open for trading on the last trading day before expiration, then 
the prior trading day's (i.e., normally a Thursday) last sale price 
will be used in the Index calculation. In this regard, before deciding 
to use Thursday's closing value of a component security for purposes of 
determining the settlement value of the Index, the CBOE will wait until 
the end of the trading day on Expiration Friday.

H. Listing of Long-Term Options on the Full-Value or Reduced-Value REIT 
Index

    The Exchange's proposal provides that the Exchange may list LEAPS 
that expire from 12 to 36 months from the listing based on the full-
value REIT Index or a reduced-value REIT Index that will be computed at 
one-tenth the value of the full-value Index, subject to existing 
Exchange requirements applicable to full-value and reduced-value 
LEAPS.\15\ The current and closing Index value for reduced-value REIT 
Index LEAPS will be computed by dividing the value of the full-value 
Index by ten and rounding the resulting figure to the nearest one-
hundredth. For example, an Index value of 212.55 would be 21.26 for the 
reduced-value Index LEAPS, and 212.54 would become 21.25. The reduced-
value Index LEAPS will have a European-style exercise and will be 
subject to the same rules that govern the trading of all of the 
Exchange's index options, including sales practice rules, margin 
requirements, and floor trading procedures. Pursuant to CBOE Rule 24.9, 
the strike price interval for the reduced-value Index LEAPS will be no 
less than $2.50, instead of $5.00.
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    \15\See CBOE Rule 24.9(b).
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I. Position and Exercise Limits, Margin Requirements, and Trading Halts

    Because the Index is classified as an ``industry index'' under CBOE 
rules,\16\ Exchange rules that are applicable to the trading of options 
on narrow-based indexes will apply to the trading of REIT Index options 
and LEAPS. Specifically, Exchange rules governing margin 
requirements,\17\ position and exercise limits,\18\ and trading halt 
procedures\19\ that are applicable to the trading of narrow-based index 
options will apply to options traded on the Index. For purposes of 
determining whether a given position in reduced-value Index LEAPS 
complies with applicable position and exercise limits, positions in 
reduced-value Index LEAPS will be aggregated with positions in the 
full-value Index options.\20\ For these purposes, ten reduced-value 
contracts will equal one full-value contract.
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    \16\See CBOE Rule 24.1(i).
    \17\Pursuant to CBOE Rule 24.11, the margin requirements for the 
Index options will be: (1) for short options positions, 100 percent 
of the current market value of the options contract plus 20 percent 
of the underlying aggregate Index value, less any out-of-the-money 
amount, with a minimum requirement of the options premium plus 10 
percent of the underlying aggregate Index value; and (2) for LEAPS 
positions, 100 percent of the options premium paid.
    \18\Pursuant to CBOE Rules 24.4A and 24.5, respectively, the 
position and exercise limits for the Index options will be 10,500 
contracts, unless the Exchange determines, pursuant to Rules 24.4A 
and 24.5, that a lower limit is warranted.
    \19\Pursuant to CBOE Rule 24.7, the trading on the CBOE of Index 
options may be halted or suspended whenever trading in underlying 
securities whose weighted value represents more than 20 percent of 
the Index value is halted or suspended.
    \20\See CBOE Rule 24.4A(c).
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J. Surveillance

    Surveillance procedures currently used to monitor trading in each 
of the Exchange's other index options also will be used to monitor 
trading in regular Index options and in full-value and reduced-value 
Index LEAPS. These procedures include complete access to trading 
activity in the underlying securities. Further, the Intermarket 
Surveillance Group Agreement, dated July 14, 1983, as amended on 
January 29, 1990, will be applicable to the trading of options on the 
Index.\21\
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    \21\The Intermarket Surveillance Group (``ISG'') was formed on 
July 14, 1983, among other things, to coordinate more effectively 
surveillance and investigative information sharing arrangements in 
the stock and options markets. See Intermarket Surveillance Group 
Agreement, dated July 14, 1983. The most recent amendment to the ISG 
Agreement, which incorporates the original agreement and all 
amendments made thereafter, was signed by ISG members on January 29, 
1990. See Second Amendment to Intermarket Surveillance Group 
Agreement, dated January 29, 1990. The members of the ISG are: the 
Amex, the Boston Stock Exchange, Inc.; the CBOE; the Chicago Stock 
Exchange, Inc.; the National Association of Securities Dealers, 
Inc.; the NYSE; the Pacific Stock Exchange, Inc.; and the 
Philadelphia Stock Exchange, Inc. Because of potential opportunities 
for trading abuses involving stock index futures, stock options, and 
the underlying stock, and the need for greater sharing of 
surveillance information for these potential intermarket trading 
abuses, the major stock index futures exchanges (e.g.,  the Chicago 
Mercantile Exchange and the Chicago Board of Trade) joined the ISG 
as affiliate members in 1990.
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III. Commission Findings and Conclusions

    The Commission finds that the proposed rule change is consistent 
with the requirements of the Act and the rules and regulations 
thereunder applicable to a national securities exchange, and, in 
particular, the requirements of Section 6(b)(5).\22\ Specifically, the 
Commission finds that the trading of REIT Index options, including 
full-value and reduced-value REIT Index LEAPS, will serve to promote 
the public interest and help to remove impediments to a free and open 
securities market by providing investors with a means of hedging 
exposure to market risk associated with REIT securities.\23\
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    \22\15 U.S.C. 78f(b)(5) (1988).
    \23\Pursuant to Section 6(b)(5) of the Act, the Commission must 
predicate approval of any new option proposal upon a finding that 
the introduction of such new derivative instrument is in the public 
interest. Such a finding would be difficult for a derivative 
instrument that served no hedging or other economic function, 
because any benefits that might be derived by market participants 
likely would be outweighed by the potential for manipulation, 
diminished public confidence in the integrity of the markets, and 
other valid regulatory concerns. In this regard, the trading of 
listed index options and full-value index LEAPS on the REIT Index 
will provide investors with a hedging vehicle that should reflect 
the overall movement of REIT securities in the U.S. securities 
markets. The Commission also believes that these Index options will 
provide investors with a means by which to make investment decisions 
in the REIT sector of the U.S. securities markets, allowing them to 
establish positions or increase existing positions in such markets 
in a cost-effective manner. Moreover, the Commission believes that 
the reduced-value Index LEAPS, which will be traded on an index 
computed at one-tenth the value of the REIT index, will serve the 
needs of retail investors by providing them with the opportunity to 
use a long-term option to hedge their portfolios from long-term 
market moves at a reduced cost.
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    However, the trading of options on the REIT Index, including full-
value and reduced-value LEAPS on the Index, raises several concerns, 
namely issues related to index design, customer protection, 
surveillance, and market impact. The Commission believes, for the 
reasons discussed below, that the CBOE has adequately addressed these 
concerns.

A. Index Design and Structure

    The Commission finds that the REIT Index is a narrow-based index. 
The REIT Index is composed of only 25 securities, all of which are REIT 
stocks.\24\ Accordingly, the Commission believes that it is appropriate 
for the CBOE to apply its rules governing narrow-based index options to 
trading in the Index options.\25\
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    \24\The reduced-value REIT Index, which is composed of the same 
component securities as the Index, is identical to the REIT Index, 
except that it is calculated by dividing the Index value by ten.
    \25\See supra notes 16 through 20, and accompanying text.
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    The Commission also finds that the large capitalizations, liquid 
markets, and relative weightings of the Index's component securities 
significantly minimize the potential for manipulation of the Index. 
First, the majority of the components that comprise the Index are 
actively-traded, with a mean and median average daily trading volume of 
94,900 and 49,100 shares, respectively.\26\ Second, the market 
capitalizations of the securities in the Index are very large, ranging 
from a high of $1.1 billion to a low of $220.2 million, as of February 
14, 1994, with the mean and median being $541.9 million and $518.7 
million, respectively. Third, although the Index is only comprised of 
25 component securities, no one particular security or group of 
securities dominates the Index. Specifically, no individual REIT stock 
comprises more than 6.5 percent of the Index's total value, and the 
percentage weighting of the five largest issues in the Index account 
for 30.2 percent of the Index's value.\27\ Fourth all of the securities 
in the Index are eligible for standardized options trading (four of 
which currently underlie exchange-listed options).\28\ The proposed 
CBOE maintenance requirement that at least 90 percent of the weighting 
of the Index be comprised of securities that are eligible for options 
trading will ensure that the Index is always substantially comprised of 
options eligible securities. Fifth, if the CBOE increases the number of 
component securities to more than 33 or decreases that number to less 
than 17, the CBOE will be required to seek Commission approval pursuant 
to Section 19(b)(2) of the Act before listing new strike price or 
expiration month series of REIT Index options and Index LEAPS. This 
will help protect against material changes in the composition and 
design of the Index that might adversely affect the CBOE's obligations 
to protect investors and to maintain fair and orderly markets in REIT 
Index options and Index LEAPS. Sixth, the CBOE will be required to 
ensure that each component of the Index is subject to last sale 
reporting requirements in the United States. This will further reduce 
the potential for manipulation of the value of the Index. Finally, the 
Commission believes that the expense of attempting to manipulate the 
value of the REIT Index in any significant way through trading in 
component REITs, coupled with existing mechanisms to monitor trading 
activity in those securities, as discussed below, will help deter such 
illegal activity.
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    \26\In addition, for the six month period prior to February 14, 
1994, no component of the Index had an average daily trading volume 
of less than 15,300 shares per day.
    \27\For an index with a significantly greater number of 
securities than 25 issues, the Commission might come to a different 
conclusion if only a few securities accounted for a significant 
portion of the index's weighting. Further, if an index contained 
only a few stocks, the Commission might question whether it could be 
traded as an index product.
    \28\See supra note 11.
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B. Customer Protection

    The Commission believes that a regulatory system designed to 
protect public customers must be in place before the trading of 
sophisticated financial instruments, such as REIT Index options 
(including full-value and reduced-value Index LEAPS), can commence on a 
national securities exchange. The Commission notes that the trading of 
standardized, exchange-traded options occurs in an environment that is 
designed to ensure, among other things, that: (1) the special risks of 
options are disclosed to public customers; (2) only investors capable 
of evaluating and bearing the risks of options trading are engaged in 
such trading; and (3) special compliance procedures are applicable to 
options accounts. Accordingly, because the Index options and Index 
LEAPS will be subject to the same regulatory regime as the other 
standardized options currently traded on the CBOE, the Commission 
believes that adequate safeguards are in place to ensure the protection 
of investors in REIT Index options and full-value and reduced-value 
REIT Index LEAPS.

C. Surveillance

    The Commission believes that a surveillance sharing agreement 
between an exchange proposing to list a security index derivative 
product and the exchange(s) trading the securities underlying the 
derivative product is an important measure for surveillance of the 
derivative and underlying securities markets. Such agreements ensure 
the availability of information necessary to detect and deter potential 
manipulations and other trading abuses, thereby making the security 
index product less readily susceptible to manipulation.\29\ In this 
regard, the NYSE and the Amex, which currently are the primary markets 
for the REITs comprising the Index, are both members of the ISG, which 
provides for the exchange of all necessary surveillance 
information.\30\
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    \29\Securities Exchange Act Release No. 31243 (September 28, 
1992), 57 FR 45849 (October 5, 1992).
    \30\See supra note 21.
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D. Market Impact

    The Commission believes that the listing and trading on the CBOE of 
options on the REIT Index, including full-value and reduced-value Index 
LEAPS, will not adversely impact the underlying securities markets.\31\ 
First, as described above, for the most part no one security or group 
of securities dominates the Index. Second, because at least 90 percent 
of the numerical value of the Index must be accounted for by securities 
that meet the Exchange's options listing standards, the component 
securities generally will be actively-traded, highly-capitalized 
securities. Third, the 10,500 contract position and exercise limits 
applicable to Index options and Index LEAPS will serve to minimize 
potential manipulation and market impact concerns. Fourth, the risk to 
investors of contra-party non-performance will be minimized because the 
Index options and Index LEAPS will be issued and guaranteed by The 
Options Clearing Corporation just like any other standardized option 
traded in the United States.
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    \31\In addition, the CBOE has represented that the CBOE and OPRA 
have the necessary systems capacity to support those new series of 
index options that would result from the introduction of options and 
LEAPS on the REIT Index. See Letter from Joseph P. Corrigan, 
Executive Director, OPRA, to Eileen Smith, CBOE, dated February 25, 
1994.
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    Lastly, the Commission believes that settling expiring REIT Index 
options (including full-value and reduced-value Index LEAPS) based on 
the opening prices of component securities is consistent with the Act. 
As noted in other contexts, valuing options for exercise settlement on 
expiration based on opening prices rather than closing prices may help 
reduce adverse effects on markets for securities underlying options on 
the Index.\32\
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    \32\See Securities Exchange Act Release No. 30944 (July 21, 
1992), 57 FR 33376 (July 28, 1992).
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E. Accelerated Approval of Amendment No. 1

    The Commission finds good cause for approving Amendment No. 1 to 
the Exchange's proposed rule change prior to the thirtieth day after 
the date of publication on notice of filing thereof in the Federal 
Register. Amendment No. 1 merely clarifies the proposed rule change by 
making specific representations with respect to surveillance and Index 
value dissemination. These representations are identical in all 
material respects to those made by the Exchange in connection with 
similar proposals to list options on stock indexes.\33\ Therefore, the 
Commission finds that no new regulatory issues are raised by Amendment 
No. 1. Accordingly, the Commission believes it is consistent with 
Sections 19(b)(2) and 6(b)(5) of the Act to approve Amendment No. 1 to 
the Exchange's proposal on an accelerated basis.
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    \33\See, e.g., Securities Exchange Act Release No. 33962 (April 
25, 1994), 59 FR 22874 (May 3, 1994).
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IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning Amendment No. 1 to the proposed rule change. 
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 foregoing that 
are filed with the Commission, and all written communications relating 
to the foregoing 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. Sec. 552, will be available for inspection and 
copying in the Commission's Public Reference Section, 450 Fifth Street, 
N.W. Washington, D.C. Copies of such filings also will be available for 
inspection and copying at the principal office of the above-mentioned 
self-regulatory organization. All submissions should refer to File No. 
SR-CBOE-94-05, and should be submitted by August 2, 1994.
    It is therefore ordered, pursuant to Section 19(b)(2) of the 
Act,\34\ that the proposed rule change (File No. SR-CBOE-94-05), as 
amended, is approved.

    \34\15 U.S.C. 78s(b)(2) (1988).
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    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\35\
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    \35\17 CFR 200.30-3(a)(12) (1993).
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Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 94-16749 Filed 7-11-94; 8:45 am]
BILLING CODE 8010-01-M