[Federal Register Volume 63, Number 165 (Wednesday, August 26, 1998)]
[Notices]
[Pages 45538-45539]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 98-22878]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-40343; International Series Release No. 1153; File No. 
SR-Amex-98-27]


Self-Regulatory Organizations; Notice of Filing of Proposed Rule 
Change and Amendment No. 1 Thereto by the American Stock Exchange, Inc. 
Relating to the Settlement of the Eurotop 100 Index

August 19, 1998.
    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 July 8, 1998, 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 Exchange. On July 
28, 1998, the Exchange filed an amendment to the proposed rule change 
(``Amendment No. 1'').\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.
    \3\ Amendment No. 1 made the following clarifications: (i) the 
London International Financial Futures and Options Exchange 
(``LIFFE'') will be the new official calculation agent of settlement 
values; (ii) the current agent is the European Options Exchange 
(``EOE''); and (iii) reference to the maintenance of the index is 
deleted from the filing. See letter from Scott G. Van Hatten, Legal 
Counsel, Amex to Sharon Lawson, Senior Special Counsel, Division of 
Market Regulation, Commission (July 27, 1998).
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I. Self-Regulatory Organization's Statement of the Terms of 
Substance of the Proposed Rule Change

    The Amex proposes to revise the Eurotop 100 Index's settlement 
value methodology.

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 Amex 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
    The Exchange proposes to revise the Eurotop 100 Index's (``Index'') 
settlement value methodology in response to a change in the official 
calculation agent from EOE to LIFFE. Since the Index was initially 
approved for options trading, an official settlement value for the 
Index has been calculated each month for use in connection with 
financial products based on the Index.\4\ The settlement value has been 
calculated on the third Friday of the month and based on the average of 
the Index values calculated at 5 minute intervals between 12:30 p.m. 
and 1 p.m. Central European Time (C.E.T.) (6:30 a.m. and 7:00 a.m. 
Eastern Standard Time (E.S.T.)). Accordingly, on each expiration 
Friday, EOE has calculated and disseminated an Index settlement value 
by averaging the Index values quoted at 12:30, 12:35, 12:40, 12:45, 
12:50, 12:55 and 1:00 p.m., and shortly after 1:00 p.m. (C.E.T.) 
announced a settlement value. The Exchange has settled its contracts 
based on this value, reduced by a factor of one-tenth (0.10).
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    \4\ Securities Exchange Act Release No. 30463 (March 11, 1992), 
57 FR 9284 (March 17, 1992).
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    LIFFE is currently calculating and disseminating a settlement value 
which will use a similar methodology, but instead of every five 
minutes, the new settlement value will be an average of the Index's 
values taken every fifteen seconds during the period 12:40 p.m. to 1:00 
p.m. C.E.T. The values averaged during the twenty minute period will 
exclude the twelve highest and twelve lowest values resulting in a 
settlement value made up of an average of 57 individual index values. 
This methodology, which yields a value known as the Exchange Delivery 
Settlement Price (``EDSP''), is currently used by LIFFE for the 
calculation and dissemination of settlement values for all of its 
indices. FT-SE Eurotop 100 Index futures contracts traded on the New 
York Mercantile Exchange will settle using the existing methodology 
through December, 1998 before converting to the new settlement 
methodology for subsequent contract months. And in June, 1998, FTSE 
Eurotop 100 Index futures contracts traded on LIFFE and the Amsterdam 
Exchange FTSE Eurotop 100 Ecu options contracts began settling using 
the new value calculated and disseminated by LIFFE.
    Because the use of the existing settlement value methodology will 
be discontinued in December, 1998 and the methodology used to determine 
the EDSP is or will be used by other options and futures exchanges 
trading options and futures on the Index, the Exchange believes the use 
of EDSP for the Index's settlement value is appropriate and should 
ensure consistency and uniformity with respect to all index settlement 
values disseminated by the agent and with other marketplaces.
    The settlement value using the existing methodology will continue 
to be disseminated by the Exchange and used to settle contracts 
expiring through December, 1998. Options expiring after December, 1998 
will settle based on the new EDSP settlement methodology.\5\ No other 
changes are being proposed to the Index. The Exchange will inform its 
members of the change in the settlement methodology through 
dissemination of an information circular.
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    \5\ Currently, there are no outstanding contracts that expire 
after December 1998.
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(2) Basis
    The proposed rule change is consistent with Section 6(b) of the Act 
in general and furthers the objectives of Section 6(b)(5) 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.

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.

[[Page 45539]]

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

    No written comments were solicited or received with respect to the 
proposed rule change.

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

    Within 35 days of the date of 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 Exchange consents, the Commission will:
    A. by order approve such 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 date, views and 
arguments concerning the foregoing, including whether the proposal 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. 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 Section, 450 Fifth Street, NW, Washington, DC 20549. 
Copies of such filing will also be available for inspection and copying 
at the principal office of the Amex.
    All submissions should refer to File No. SR-AMEX-98-27 and should 
be submitted by September 16, 1998.

    For the Commission by the Division of Market Regulation, 
pursuant to delegated authority.\6\
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    \6\ 17 CFR 200.30-3(a)(12).
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Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 98-22878 Filed 8-25-98; 8:45 am]
BILLING CODE 8010-01-M