[Federal Register Volume 62, Number 102 (Wednesday, May 28, 1997)]
[Notices]
[Pages 28911-28913]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 97-13877]


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

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-38665; International Series Release No. 1083; File No. 
SR-Amex-97-20]


Self-Regulatory Organizations; Notice of Filing of Proposed Rule 
Change by the American Stock Exchange, Inc., Relating to the Listing 
and Trading of indexed Term Notes

May 21, 1997.
    Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934 
(``Act''), 15 U.S.C. 78s(b)(1), notice is hereby given that on April 
30, 1997, the American Stock Exchange, Inc. (``Amex'' or ``Exchange'') 
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 self-regulatory organization. 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 Amex proposes to approve for listing and trading under Section 
107A of the Amex Company Guide, indexed term notes based in whole or in 
part on changes in the value of the Major 11 International Index (``the 
Index'').

[[Page 28912]]

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 self-regulatory organization 
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
    Under Section 107A of the Amex Company Guide, the Exchange may 
approve for listing and trading securities which cannot be readily 
categorized under the listing criteria for common and preferred stocks, 
bonds, debentures, or warrants.\1\ The Amex now proposes to list for 
trading under Section 107A of the Company Guide indexed term notes 
whose value in whole or in part will be based upon an index consisting 
of the major market indices of eight European countries, two Asian 
countries and Australia.
---------------------------------------------------------------------------

    \1\ See Securities Exchange Act Release No. 27753 (March 1, 
1990), 55 FR 8626 (March 8, 1990).
---------------------------------------------------------------------------

    The indexed term notes will be non-convertible debt securities and 
will conform to the listing guidelines under Section 107A of the 
Company Guide. Although a specific maturity date will not be 
established until the time of the offering, the indexed term notes will 
provide for maturity within a period of not less than one nor more than 
ten years from the date of issue. Indexed term notes may provide for 
periodic payments and/or payments at maturity based in whole or in part 
on changes in the value of the Index. At maturity holders of the 
indexed term notes will receive not less than 90% of the initial issue 
price. The notes will not be callable or redeemable prior to maturity 
and will be cash settled in U.S. currency. Consistent with other 
structured products, the Exchange will distribute a circular to its 
membership, prior to the commencement of trading, providing guidance 
with regard to member firm compliance responsibilities, including 
appropriate suitability criteria and/or guidelines.
    The Index: The sub-indices that form the Major 11 International 
Index represent 911 of the largest and most liquid securities from 
eight European markets, two Asian markets and the Australian market. 
Initial weightings will be assigned to each sub-index at the close of 
trading on the day immediately prior to the listing of the indexed term 
notes and based upon the index's market capitalization. Based on market 
data as of April 3, 1997, the Nikkei 225 Index (``NKY'') would have an 
assigned weight of approximately 27.80%; the UK's Financial Times SE 
100 Index (``FT-SE 100'') would have an assigned weight of 
approximately 23.44%; the Deutscher Aktienindex (``DAX'') would have an 
assigned weight of approximately 8.86%; the Compagnie des Agents de 
Change 40 Index (``CAC 40'') would have an assigned weight of 
approximately 7.22%; the Swiss Market Index (``SMI'') would have an 
assigned weight of approximately 6.29%; the Amsterdam European Options 
Exchange Index (``AEX'') would have an assigned weight of approximately 
5.76%; the Hong Kong 30 Index (``HKX'') would have an assigned weight 
of approximately 5.15%; the Australian All Ordinaries Index (``AS 30'') 
would have an assigned weight of approximately 5.94%; the Milano Italia 
Borsa 30 Index (``MIB 30'') would have an assigned weight of 
approximately 3.63%; the Stockholm Options Market Index (``OMX'') would 
have an assigned weight of approximately 3.10%; and the IBEX 35 would 
have an assigned weight of approximately 2.81%. Five of the eleven sub-
indices, Nikkei 225, FT-SE 100, DAX, CAC 40 and HKX (combined weight of 
approximately 72.47%) have been approved by the Commission for warrant 
trading within the last few years.\2\ A description of each of the sub-
indices is set forth below:
---------------------------------------------------------------------------

    \2\ The Nikkei 225 was approved for warrant trading in 1989 
(Securities Exchange Act Release No. 27565 (December 12, 1989), 55 
FR 376 (January 4, 1989)), and the FT-SE 100 was approved for 
warrant trading in 1990 (Securities Exchange Act Release No. 27769 
(March 6, 1990), 55 FR 9380 (March 13, 1990)). The FT-SE 100 was 
also approved for options trading on the CBOE (Securities Exchange 
Act Release No. 32679 (July 27, 1993), 58 FR 41300 (August 3, 
1993)); the DAX was approved for warrant trading in 1995 (Securities 
and Exchange Act Release No. 36070 (August 9, 1995), 60 FR 42205 
(August 15, 1995)); the CAC 40 was approved for warrant trading in 
1990 (Securities Exchange Act Release No. 28544 (October 17, 1990), 
55 FR 42792 (October 23, 1990)); and the HKX was approved for 
warrant trading in 1993 (Securities Exchange Act Release No. 33036 
(October 8, 1993), 58 FR 53588 (October 15, 1993)).
---------------------------------------------------------------------------

    Nikkei 225: The Nikkei 225 Index is a price-weighted index of 225 
actively-traded Japanese companies listed in the First Section of the 
Tokyo Stock Exchange. The total market capitalization of the index was 
$1,424 billion on April 3, 1997.
    FT-SE 100: The FE-SE is a capitalization-weighted index of 102 of 
the most highly capitalized companies traded on the London Stock 
Exchange. The total market capitalization of the index was $1,201 
billion on April 3, 1997.
    DAX: The DAX is a total rate of return index of 30 selected German 
blue chip stocks traded on the Frankfurt Stock Exchange. The total 
market capitalization of the index was $454 billion on April 3, 1997.
    CAC 40: The CAC 40 is a capitalization-weighted index of the most 
liquid and most highly capitalized stocks traded on the Paris Bourse. 
The total market capitalization of the index was $370 billion on April 
3, 1997.
    SMI: The SMI is a capitalization-weighted index of the largest and 
most liquid stocks traded on the Geneva, Zurich, and Basle Stock 
Exchanges. The total market capitalization of the index was $322 
billion on April 3, 1997.
    AEX: The AEX is a capitalization-weighted index of the 25 leading 
Dutch stocks traded on the Amsterdam Stock Exchange. The total market 
capitalization of the index was $295 billion on April 3, 1997.
    HKX: The HKX is a capitalization-weighted index of 30 stocks that 
are actively traded on the Hong Kong Stock Exchange. The total market 
capitalization of the index was $264 billion on April 11, 1997.
    AS30: The AS30 is a capitalization-weighted index of 341 common 
stocks listed on the Australian Stock Exchange. The total market 
capitalization of the index was $304 billion on April 3, 1997.
    MIB 30: The MIB 30 is a capitalization-weighted index of 30 of the 
most liquid and most highly capitalized stocks traded on the Milan 
Stock Exchange. The total market capitalization of the index was $186 
billion on April 3, 1997.
    OMX: The OMX is a capitalization-weighted index of the 30 stocks 
that have the largest volume of trading on the Stockholm Stock 
Exchange. The total market capitalization of the index was $159 billion 
on April 3, 1997.
    IBEX 35: The IBEX 35 is a capitalization-weighted index of the 35 
most liquid Spanish stocks continuously trade and quoted on the Joint 
Stock Exchange System made up of four Spanish stock exchanges 
(Barcelona, Bilbao, Madrid, and Valencia). The total market 
capitalization of the index was $144 billion on April 3, 1997.
    The Exchange has in place surveillance sharing agreements with

[[Page 28913]]

the appropriate regulatory organizations in each country represented in 
the Major 11 International Index except Sweden and Switzerland, which 
together currently represent 9.39% of the Index value.
    Index Calculation: The Index will be calculated using a 
``capitalization-weighted'' methodology. As noted above, each sub-index 
will be given its assigned weighting at the close of trading on the day 
immediately prior to the listing of the indexed term note. The number 
of shares in each sub-index will be fixed on that day and will equal 
its weighting in the Index times 100 divided by the sub-index level. 
There will be no periodic rebalancing of the Index to reflect changes 
in the relative market capitalizations among the sub-indices. The 
initial sub-index value used in the Index calculation will equal the 
product of the number of shares in the sub-index times its 
representative sub-index level. The Index will initially be set to 
provide a benchmark value of 100.00 at the close of trading on the day 
preceding the listing of the indexed term note. The Exchange will 
calculate the Index and, similar to other stock index values published 
by the Exchange, the value of the Index will be calculated continuously 
and disseminated every 15 seconds over the Consolidated Tape 
Association's Network B each trading day until the last individual sub-
indexes ceases updating in its home market. The Exchange will then 
disseminate the Index based on the closing values for each sub-index.
    The shares for each sub-index will remain fixed during the life of 
the note, except in the event of a significant action taken by the 
publisher of the sub-index, such as a split of the value of the sub-
index or a change in the method of calculation. If a sub-index ceases 
to be published, it may be replaced with a substitute or successor 
index, or the calculation agent may undertake to publish the sub-index 
using the same procedures last used to calculate the sub-index prior to 
its discontinuance.
2. Statutory Basis
    The Exchange believes that the proposed rule change is consistent 
with Section 6(b) of the Act \3\ in general and furthers the objectives 
of Section 6(b)(5) \4\ in particular in that it is designed to prevent 
fraudulent and manipulative acts and practices, to promote just and 
equitable principles of trade, to foster cooperation and coordination 
with persons engaged in facilitating transactions in securities, and to 
remove impediments to and perfect the mechanism of a free and open 
market and a national market system.
---------------------------------------------------------------------------

    \3\ 15 U.S.C. 78f(b).
    \4\ 15 U.S.C. 78f(b)(5).
---------------------------------------------------------------------------

B. Self-Regulatory Organization's Statement on Burden on Competition

    The Exchange does not believe that the proposed rule change will 
impose any inappropriate burden on competition.

C. Self-Regulatory Organization's Statement on Comments on the Proposed 
Rule Change Received From Members, Participants, or Others

    No written comments were either solicited or received.

III. Date of Effectiveness of the Proposed Rule Change and Timing for 
Commission Action

    Within 35 days of the publication of this notice in the Federal 
Register or within such longer period (i) as the Commission may 
designate up to 90 days of such date if it finds such longer period to 
be appropriate and publishes its reasons for so finding or (ii) as to 
which the self-regulatory organization consents, the Commission will:
    (A) By order approve the proposed rule change, or
    (B) Institute proceedings to determine whether the proposed rule 
change should be disapproved.

IV. Solicitation of Comments

    Interested persons are invited to submit written data, views, and 
arguments concerning the foregoing. 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, 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 at the 
Commission's Public Reference Room. Copies of such filing will also be 
available for inspection and copying at the principal office of the 
Exchange. All submissions should refer to File No. SR-Amex-97-20 and 
should be submitted by June 18, 1997.

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.
Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 97-13877 Filed 5-27-97; 8:45 am]
BILLING CODE 8010-01-M