[Federal Register Volume 62, Number 239 (Friday, December 12, 1997)]
[Notices]
[Pages 65459-65463]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 97-32486]
[[Page 65459]]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-39402; File No. SR-Amex-97-46]
Self-Regulatory Organizations; Notice of Filing and Order
Granting Immediate Effectiveness of Proposed Rule Change by American
Stock Exchange, Incorporated Relating to the Listing of Commodity
Indexed Preferred or Debt Securities
December 4, 1997.
Pursuant to section 19(b)(1) of the Securities Exchange Act of
1934, as amended, (``Act''),\1\ notice is hereby given that on November
25, 1997, the American Stock Exchange, Incorporated (``Amex'' or
``Exchange'') 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 the
Exchange. The Exchange has designated the proposed rule change as
constituting a ``non-controversial'' rule change under paragraph (e)(6)
of Rule 19b-4 under the Act \2\ which renders the proposal effective
upon receipt of this filing by the Commission.\3\ The Commission is
publishing this notice to solicit comments on the proposed rule change
from interested persons.
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\1\ 15 U.S.C. 78s(b)(1).
\2\ 17 CFR 240.19b-4(e)(6).
\3\ The Exchange has represented that this proposed rule change:
(i) will not significantly affect the protection of investors or the
public interest; (ii) will not impose any significant burden on
competition, and (iii) will not become operative for 30 days after
the date of this filing. The Exchange also has provided at least
five business days notice to the Commission of its intent to file
this proposed rule change, as required by Rule 19b-4(e)(6) under the
Act.
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I. Self-Regulatory Organization's Statement of the Terms of Substance
of the Proposed Rule Change
Under Section 107A of the Amex Company Guide, the Exchange may
approve for listing and trading securities that cannot be readily
categorized under the listing criteria for common and preferred stock,
bonds and debentures and warrants. The Amex proposes to list and trade
commodity index preferred or debt securities (``ComPS'') on futures
contracts for: corn; soybeans; wheat; a corn, soybean and wheat index
(``Agricultural Index''); the ``total return'' variation of the J.P.
Morgan Commodity Index (``JPMCI''); the ``excess return'' variation of
the JPMCI (``JPMCI:X''); and the total return and excess return
versions of the Energy (``JPMCI:E''), Base Metal (``JPMCI:B'') and
Precious Metal (``JPMCI:P'') subindices of the JPMCI.\4\ An excess
return represents the cumulative returns of investing in unleveraged
positions in nearby commodity futures contracts and constantly rolling
the position forward to the next designated contract as the contract
nears expiration. A total return consists of the excess return plus the
return on the three-month Treasury Bills. In 1996, the Commission
approved ComPS overlying various financial instruments for listing on
both the Amex and the New York Stock Exchange, Incorporated
(``NYSE'').\5\
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\4\ Telephone call between Bill Floyd-Jones, Assistant General
Counsel, Amex and Marianne H. Duffy, Special Counsel, Division of
Market Regulation, SEC on December 1, 1997 (``Amex Call'').
\5\ Securities Exchange Act Release No. 36885 (February 26,
1996) 61 FR 8315 (March 4, 1996) (order approving the listing and
trading of ComPS on the Amex linked to one of eleven physical
commodities that comprise the JPMCI and JPMCI:X (``Amex Individual
ComPS Order'')) and Securities Exchange Act Release No. 37188 (May
9, 1996) 61 FR 24846 (May 16, 1996) (order approving the listing and
trading of commodity futures index preferred securities (``CFIPs'')
on the NYSE linked to one of eleven physical commodities that
comprise the JPMCI and JPMCI:X (``NYSE Individual CFIPs Order'')).
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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 Amex 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
As previously stated, the Amex proposes to list for trading ComPS
overlying futures contracts for: corn; soybeans; wheat; the
Agricultural Index; the JPMCI; the JPMCI:X; the JPMCI:E; the JPMCI:B;
and the JPMCI:P. The ComPS and the issuer of the ComPS will conform to
the Amex's listing guidelines under Section 107A of the Company
Guide.\6\ Accordingly, all issuances of ComPS must have: a public
distribution of one million trading units; 400 holders; and a market
value of not less than $4 million. The Exchange also will require that
the issuer have a minimum tangible net worth of $150 million.
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\6\ The proposed underwriter of the ComPS has advised the
Exchange that the securities will comply with the ``hybrid
exemption'' of the Commodity Futures Trading Commission (``CFTC'')
under 17 CFR Part 34. The underwriter has further advised the
Exchange that it presented a description of the structure and sample
term sheet of ComPS to the staff of the CFTC when the underwriter
first proposed the structure for ComPS overlying individual
commodities in 1995. The CFTC raised no objection to the structure.
See Amex Individual ComPS Order, id.
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Holders of ComPS may receive a dividend or interest payment as
applicable on the face value of their securities. The frequency and
rate of the dividend or interest payment varies from issue to issue
based upon prevailing interest rates and other factors. In addition,
investors will receive at maturity a payment linked to the value of an
index based upon a single commodity in accordance with the following
formula: Face Amount x (Ending Index Value/Beginning Index Value) -
Factor.
The ``Beginning Index Value'' is announced at the time of the
offering. The ``Ending Index Value'' is based upon a 10 day average of
the daily index value computed during the determination period prior to
the redemption date. The ``Factor'' represents the costs of issuing and
hedging the securities and also may include the future value of the
stated dividend or interest payment (if any).
Commodity prices for the purpose of determining the payment to
holders at maturity will be determined by reference to prices for a
linked commodity over at least a ten business day period. The
securities will have a term of from two to ten years. Holders of the
securities have no claim to any of the underlying physical linked
commodities.\7\
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\7\ Amex Call, supra note 4.
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(a) Design of the Underlying Instruments. The Amex asserts that the
futures contracts are all actively traded for: Corn, soybeans, and
wheat on the Board of Trade of the City of Chicago (``CBOT''); the base
metal components of the JPMCI and JPMCI:X on the London Mercantile
Exchange (``LME''); the energy components of the JPMCI and JPMCI:X on
the New York Mercantile Exchange (``NYMEX''); and the precious metal
components of the JPMCI and JPMCI:X of the Comex division of the NYMEX
(``COMEX''). The Amex asserts that prices for all of the above
commodities are widely reported by vendors of financial information and
the press. Information
[[Page 65460]]
regarding the proposed underlying contracts follows: \8\
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\8\ For liquidity purposes, JPMCI and JPMCI:X indices skip May
and September wheat, September corn and August and September
soybeans in the designated contract definitions.
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1996 average open 1996 ADT
Underlying futures interest volume Contract month Description
(billions) (millions)
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Corn............................ $6.6............... $1.4 Mar, May, Jul, Dec. No. 2 yellow corn &
substitutes as
specified by CBOT
rules.
Soybeans........................ $7.0............... $2.1 Jan, Mar, May, Jul, No. 2 yellow soybeans &
& Nov. substitutes as
specified by CBOT
rules.
Wheat........................... $2.0............... $516 Mar, Jul, Dec...... Hard winter wheat &
substitute grades as
specified by CBOT
rules.
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The following commodities comprise the JPMCI and JPMCI:X:
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Name/units Market Units per contract Contracts in index
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Aluminum $/Metric Tons............ LME (MT) 25 tons..................... 3rd Wed of Mar, Jun, Sep
and Dec.
Copper $/MT....................... LME 25 tons..................... 3rd Wed of Mar, Jun, Sep
and Dec.
Nickel $/MT....................... LME 6 tons...................... 3rd Wed of Mar, Jun, Sep
and Dec.
Zinc $/MT......................... LME 25 tons..................... 3rd Wed of Mar, Jun, Sep
and Dec.
Heat Oil $/gal.................... NYMEX 42,000 gal.................. Every month.
Nat Gas $/MM BTU.................. NYMEX 10,000 MM BTU............... Every month.
Unleaded Gas $/gal................ NYMEX 42,000 gal.................. Every month.
WTI Lt Swt Crude Oil $/BBL........ NYMEX 1,000 bbl................... Every month.
Platinum $/troy ounce............. NYMEX 50 troy oz.................. Jan, Apr, Jul, Oct.
Gold $/troy ounce................. COMEX 100 troy oz................. Feb, Apr, Jun, Aug, and
Dec.
Silver $/troy ounce............... COMEX 5,000 troy oz............... Mar, May, Jul, Sep and
Dec.
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The relative weighting of the various commodities in the JPMCI:E,
JPMCI:B, JPMCI:P and Agricultural Index are as follows:
------------------------------------------------------------------------
Weight in
Component Subindex subindex
(percent)
------------------------------------------------------------------------
Aluminum......................... Base metal.............. 40.91
Copper........................... Base metals............. 36.36
Nickel........................... Base metals............. 9.09
Zinc............................. Base metals............. 13.64
Crude Oil........................ Energy.................. 60.00
Heating Oil...................... Energy.................. 18.18
Unleaded Gas..................... Energy.................. 9.09
Natural Gas...................... Energy.................. 12.73
Gold............................. Precious metals......... 65.22
Silver........................... Precious metals......... 21.74
Platinum......................... Precious metals......... 13.04
Corn............................. Agricultural............ 33.33
Soybeans......................... Agricultural............ 33.33
Wheat............................ Agricultural............ 33.33
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Based on the foregoing information and for the following reason,
the Exchange believes that the JPMCI and the JPMCI:X are diversified
indices of industrial commodities. The JPMCI is a weighted arithmetic
average of total returns afforded by an investment in liquid exchange
traded futures on eleven industrial commodities. In addition, the
Exchange notes that the Commission has previously reviewed and approved
the listing of a security which was linked to the performance of the
JPMCI or the JPMCI:X.\9\
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\9\ Securities Exchange Act Release No. 35581 (March 21, 1995)
60 FR 15804 (March 27, 1997) (order approving the listing and
trading of commodity linked intermediate term notes (``COINs'')
overlying the JPMCI and the JPMC:X on the Amex).
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b. Maintenance of Underlying Instruments. It is anticipated that
the contract or contracts underlying a particular issue of ComPS will
remain unchanged during the term of the instrument. Certain
developments, however, may necessitate changes with respect to the
underlying contract or contracts.\10\ Decisions regarding such changes
will be made by J.P. Morgan upon the advice of the JPMCI Policy
Committee, a neutral business committee. This committee consists of
senior employees in the commodities and research areas of J.P. Morgan
as well as independent and academic experts. Personnel from J.P.
Morgan's Commodities group serve only in an advisory, non-voting role
on the committee. J.P. Morgan will immediately notify the Exchange and
vendors of financial information if there is a change in the design,
composition or calculation of the securities.
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\10\ Such developments could include, among other things,
changing liquidity conditions or the discontinuation of existing
contracts, the emergence of new ``benchmark'' contracts for the
particular linked commodity or the imposition of a tax or other
charge on transactions.
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If it becomes necessary to choose a replacement price source for
the securities, the new price source will meet the following criteria:
(i) it will be
[[Page 65461]]
priced in U.S. dollars, or if priced in a foreign currency, the
exchange on which the contract is traded must publish an official
exchange rate for conversion of the price into U.S. dollars and such
currency must be freely convertible in U.S. currency, (ii) it will be
traded on a regulated futures exchange in the U.S., Canada, U.K, Japan,
Singapore or an O.E.C.D. country,\11\ and (iii) it will have a minimum
annual volume of 300,000 contracts of $500 million. The underwriter
will immediately notify the Exchange and vendors of financial
information in the event that there is a change in the futures contract
underlying a particular series of ComPS.
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\11\ The O.E.C.D. (Organization of Economic Cooperation and
Development) consists of the following countries: the U.S., Japan,
Germany, France, Italy, U.K., Canada, Australia, Austria, Belgium,
Denmark, Finland, Greece, Iceland, Ireland, Luxembourg, Mexico,
Netherlands, New Zealand, Norway, Portugal, Spain, Sweden,
Switzerland and Turkey.
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In the event that a determination is made to change a contract
related to an issue of ComPS and an appropriate benchmark replacement
contract is identified, the substitution of the new contract for the
old only will be done where: (1) the Exchange has established a
comprehensive information sharing agreement with the market or self-
regulator for the replacement contract, or (2) the SEC has established
suitable alternative agreements with an appropriate regulator of the
market for the replacement contract.
When there is no suitable benchmark replacement contract or, there
is suitable benchmark contract but the Exchange's or the Commission's
information sharing arrangement do not meet the above criteria, in the
case of ComPS on a single commodity, the affected ComPS either will be
called by the issuer or the payment to be made to holders at maturity
will be fixed as of such time using prices derived from the old
underlying contract, and thereafter the principal amount will not
fluctuate throughout the term of the instrument as a result of the
price of a linked commodity. In the case of ComPS related to a basket
of commodities, the affected contract within the index basket will be
removed from the basket. Unlike ComPS on individual commodities, the
index value of ComPS related to baskets will not be fixed and
determined early. Rather, the index will continue to be calculated
using the above described index calculation methodology by excluding
the removed commodity, and using the new weights determined by J.P.
Morgan under the advice of the JPMCI Policy Committee. The new weights
will adjust only for the removed commodity, taking its old arithmetic
percentage weight in the index and dividing it up among one or more of
its same sector index group members (i.e., energy, precious metal, base
metal or agricultural). Thus, for example, the removal of an energy
related commodity will not change the energy related weighting in the
JPMCI basket, but it will change the individual weightings of some or
all of the remaining energy components within the energy subindex. For
example, if natural gas were removed from the JPMCI, its 7% weight in
the basket would be divided among the three remaining energy
commodities as determined by J.P. Morgan with the advice of the JPMCI
Policy Committee and the energy subindex would remain at 55% of the
basket. The removal of a commodity will not change the value of the
index; it only will change the weights of the contracts in the index
which, going forward, will be used to determine future changes in the
value of the index.
Members of the JPMCI Policy Committee will be prohibited from
trading ComPS and from communicating any knowledge concerning changes
in the underlying commodities.
c. Surveillance. The Amex is able to obtain market surveillance
information, including customer identify information, with respect to
transactions occurring on the LME pursuant to its information sharing
arrangements with the Securities and Futures Authority (``SFA'')
through the Intermarket Surveillance Group (``ISG''). The Exchange also
is able to obtain market surveillance information, including customer
identity information, with respect to transactions occurring on NYMEX
or COMEX pursuant to its information sharing agreement with NYMEX. In
addition, the Exchange is able to obtain market surveillance
information, including customer identity information, regarding
transactions on the CBOT through the ISG.\12\
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\12\ The Exchange currently has information sharing arrangements
that qualify as comprehensive information sharing agreements with
the following futures markets and self-regulators: CBOT; Chicago
Mercantile Exchange, London International Financial Futures and
Options Exchange; Montreal Exchange; New York Futures Exchange;
NYMEX; the SFA; and the Sydney Futures Exchange.
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d. Calculation of Value of Underlying Instruments. The JPMCI:E,
JPMCI:B, JPMCI:P and agricultural index (collectively the ``sector
indices'') are calculated using the same methodology as the JPMCI or
JPMCI:X which the Commission previously approved.\13\ The sector
indexes are dollar weighted, arithmetic averages measuring the return
from an investment in the applicable futures contracts. The value of
each sector index is defined by a trading strategy that holds a futures
position in each of the commodities for a one month period and then
rebalances the value of the commodities held for the following month
based on a constant dollar weighting scheme. The rebalancing generally
occurs at the end of the trading on the 4th business day of every month
on which the relevant exchanges are open. The new contract used to
rebalance is the nearest designated futures contract which has
termination of trading or first notice day at least 10 business days
into the following month. In addition, due to the periodic expiration
of the futures contracts used to compute the index value, it also is
necessary to ``roll'' out of expiring contracts and into the new nearby
contracts. To minimize possible pricing volatility arising from
conducting the roll on a single business day, the substitution of the
new contract for the old is accomplished over a five business day
period in increments of 20%.
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\13\ See Amex Individual ComPS Order and NYSE Individual CFIPs
Order, supra note 4.
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The futures contract to be used for monthly rebalancing and rolling
of each commodity will be the nearest designated futures contract to be
used in the index, with a termination of trading date or first notice
day not earlier than ten business days into the following month. The
futures contract used for rebalancing will be called the ``new
contracts'' and the futures contract that the index refers to up to the
rebalancing date will be called the ``old contract.'' For energy
futures the new and old contracts will be different. For precious
metals, base metals and agricultural commodities, the new and old
contracts may be the same contract because of the absence of a
designated contract for every month. Where the new and old contracts
are the same, rebalancing and rolling only involve and adjustment of
the amount held of the old contract.
Rebalancing is calculated according to the following formulae on
the rebalancing date: number of new units needed = current index value
* weight of the commodity in the index/current price of the new
contract per unit; and number of contracts needed = number of new units
needed/number of units per contract.
After rebalancing has occurred, the roll is executed. This is the
process by which the old contracts are sold and the
[[Page 65462]]
new contracts are purchased. Twenty per cent of the roll volume is
transacted on each of the five subsequent business days after the
rebalance date.
The rebalancing and rolling process determines the new contract and
the number of new contracts to be used in the daily index calculation
for the coming month. (During the five day roll period, the theoretical
portfolio may consist of a blend of the new and old contracts for each
commodity.) The daily index value is calculated as the sum of the
previous day's closing index value plus the gain, or minus the loss, of
the theoretical portfolio on that day. For each component commodity,
the gain for the day is calculated by multiplying the difference
between the current day's price and the previous day's price times the
number of these contracts held in the theoretical portfolio times the
number of units of the commodity per contract.\14\ The daily gain or
loss on the theoretical portfolio then is simply the sum total of the
gains and losses of the individual positions in the theoretical
portfolio. The index value calculated in this manner for today then
serves as the base to which tomorrow's gain or loss on the theoretical
portfolio is added to determine the next day's index level. The
foregoing describes an ``excess return'' methodology for calculating
the index such as used in the JPMCI:X. If a total return index is used,
a return based upon the U.S. Treasury Bill rate is incorporated into
the index. The index calculation may be described as follows: Index
(today) = Index (yesterday) + P&L on theoretical portfolio + Daily
collateral interest where; Daily collateral interest = Index
(yesterday) x Treasury Bill yield; and P&L on theoretical portfolio =
Sum of individual P&L calculations for all commodities in theoretical
portfolio. The P&L calculations are in the form of: P&L = [number of
contracts x change in price of designated contracts].
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\14\ This last step is a result of the convention that contract
prices are quoted on a per unit basis rather than a per contract
basis.
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e. Dissemination of Value of Underlying Instruments. During U.S.
market hours, index values with respect to ComPS based upon corn, wheat
and soybeans will be calculated every 60 seconds and distributed by
Reuters and Bloomberg. Index values with respect to the JPMCI, JPMCI:X
and the four sector indices also will be calculated every 60 seconds
and distributed by an independent calculation agent. The last
disseminated price from the applicable exchange will be incorporated
into the index calculations. The Ending Index Value for ComPS prior to
the redemption date will be calculated by J.P. Morgan or an affiliate.
f. Suitability. Returns to investors in ComPS are unleveraged with
neither a cap nor a floor. The Amex asserts that since commodity
returns historically have been negatively correlated with financial
assets, the ownership of ComPS (although their return is uncertain)
will help to diversify a portfolio of financial instruments. There is
an element of derivative pricing, however with respect to the
calculation of the final payment. The Exchange, accordingly, will
require members, member organizations and employees thereof to make a
determination with respect to customers whose accounts have not
previously been approved to trade futures or options that a transaction
in the proposed securities is suitable for such customer. In addition,
members, member organizations or employees thereof recommending a
transaction in ComPS would be required: (1) to determine that the
transaction recommended is suitable for the customer and (2) to have a
reasonable basis for believing that the customer can evaluate the
special characteristics of, and is able to bear the financial risks of,
the recommended transaction. This is more than the duty to know and
approve customers, but entails an obligation to make a determination
that the transaction is suitable for the customer. The Exchange will
distribute a circular to its membership prior to trading such
securities providing guidance with regard to member firm compliance
responsibilities (including suitability recommendations) when handling
transactions in ComPS and highlighting the special risks and
characteristics thereof. The Exchange will provide the Commission staff
with a copy of the circular prior to distribution.
ComPS will be subject to the quality margin and trading rules of
the Exchange, except when ComPS are issued as debt in denominations
with a face value of $1,000 or more, they will be traded subject to the
Exchange's debt trading rules (although they will still remain subject
to the Exchange's equity margin rules).\15\
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\15\ Amex Call, supra note 6.
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2. Statutory Basis
The Exchange asserts that the proposed rule change is consistent
with Section 6(b) of the Act in general and furthers the objectives of
Section 6(b) in particular in that it is designed to prevent fraudulent
and manipulative acts and practices, promote just and equitable
principles of trade, remove the impediments to and perfect the
mechanisms of a free and open market and a national market system, and,
in general, protect investors and the public interest.
B. Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that the proposed rule change will
impose any burden on competition.
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants, or Others
Written comments on the proposed rule change were neither solicited
nor received.
III. Date of Effectiveness of the Proposed Rule Change and Timing for
Commission Action
This proposed rule change has been filed by the Exchange as a
``noncontroversial'' rule change pursuant to paragraph (e)(6) of Rule
19b-4. Consequently, the rule change shall become operative 30 days
after the date of filing, or such shorter time as the Commission may
designate, if the change (1) does not significantly affect the
protection of investors or the public interest and (2) does not impose
any significant burden on competition, pursuant to Section
19(b)(3)(A)(iii) of the Act \16\ and subparagraph (e)(6) of Rule 19b-4
thereunder.
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\16\ 15 U.S.C. 78s(b)(3)(A)(iii).
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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. Because the foregoing
proposed rule change: (1) does not significantly affect the protection
of investors or the public interest; (2) does not impose any
significant burden on competition; and (3) does not become operative
for 30 days from November 25, 1997, the date on which it was filed, and
the Exchange provided the Commission with written notice of its intent
to file the proposed rule change at least five days prior to the filing
date, it has become effective pursuant to Section 19(b)(3)(A) of the
Act and Rule 19b-4(e)(6) thereunder.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views and
arguments concerning the foregoing.
[[Page 65463]]
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 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 the Exchange. All
submissions should refer to File No. SR-Amex-97-46 and should be
submitted by January 2, 1998.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\17\
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\17\ 17 CFR 200.30-3(a)(12).
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Jonathan G. Katz,
Secretary.
[FR Doc. 97-32486 Filed 12-11-97; 8:45 am]
BILLING CODE 8010-01-M