[Federal Register Volume 64, Number 90 (Tuesday, May 11, 1999)]
[Notices]
[Pages 25387-25388]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 99-11813]
[[Page 25387]]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-41359; File No. SR-NYSE-98-41]
Self-regulatory Organizations; Notice of Filing of Proposed Rule
Change and Amendment No. 1 to the Proposed Rule Change by the New York
Stock Exchange, Inc. Amending Opening Imbalance Publication Procedures
for Expiration Days
May 3, 1999.
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 November 25, 1998, the New York Stock Exchange, Inc. (``NYSE'' or
``Exchange'') filed with the Securities and Exchange Commission
(``SEC'' or ``Commission'') the proposed rule change as described in
Items I and II below, which Items have been prepared by the Exchange.
On March 22, 1999, the Exchange filed Amendment No. 1 to the proposed
rule change.\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)(10.
\2\ 17 CFR 240.19b-4.
\3\ Letter from Donald Siemer, Director, Market Surveillance,
NYSE, to Richard Strasser, Assistant Director, Division of Market
Regulation (``Division''), SEC, dated March 18, 1999 (``Amendment
No. 1''). Amendment No. 1 clarified the Exchange's opening
procedures for stocks underlying derivative index related products
on expiration days.
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I. Self-Regulatory Organization's Statement of the Terms of
Substance of the Proposed Rule Change
The proposed rule change consists of amendments to expiration day
opening imbalance publication procedures. The text of the proposed rule
change is available at the Office of the Secretary, the NYSE, and at
the Commission.
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 Exchange 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 Exchange 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 currently has auxiliary opening procedures for
expiration days.\4\ These auxiliary procedures require, among other
things, that market order imbalances of 50,000 shares or more in stocks
on the Exchange's ``special stock'' list be published as soon as
practicable after 9:00 a.m. on expiration days.\5\ The special stock
list consists of the 50 most highly capitalized stocks in the S&P 500
Stock Price Index, any stocks in the Major Market Index (XMI) that are
not among the 50, and the 10 most highly capitalized stocks in the S&P
400 MidCap Index.\6\
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\4\ Modified opening procedures were first used on a pilot basis
for the quarterly expiration on June 19, 1987, See Securities
Exchange Act Release No. 24596 (June 16, 1987), 52 FR 23618 (June
23, 1987)(File No. SR-NYSE-87-17). They were approved permanently in
Securities Exchange Act Release No. 25804 (June 15, 1988), 53 FR
23474 (June 22, 1988)(File Nos. SR-NYSE-87-11 and SR-NYSE-88-04).
\5\ Other procedures include: 1. a 9:00 a.m. deadline for the
entry of orders relating to expiring derivatives for which the
settlement pricing is based on the opening prices of the underlying
securities; 2. the use of the identifier ``OPG'' to identify such
orders (firms unable to use the ``OPG'' identifier through SuperDOT
must identify such orders by other means and inform Market
Surveillance in writing by the business day following the expiration
trade date); and 3. the publication of a ``no imbalance'' status for
each stock on the special stock list for which there is no market
order imbalance. See Securities Exchange Act Release No. 37894
(October 30, 1996), 61 FR 56987 (November 5, 1996)(File No. SR-NYSE-
96-31) and NYSE Information Memo No. 96-34 (November 8, 1996).
\6\ See Securities Exchange Act Release No. 31732 (January 14,
1993), 58 FR 6036 (January 25, 1993)(File No. SR-NYSE-92-38).
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The Exchange also required the use of the special stock list for
imbalance publications at the close. In June 1998, however, the
Exchange eliminated the use of special stock lists for publishing
imbalances at the close and mandated that market-at-the-close (``MOC'')
imbalances of 50,000 shares or more be published in all stocks on any
trading day.\7\ As part of these revisions, the exchange also added a
provision permitting the publication of MOC imbalances of less than
50,000 shares, with the approval of a Floor Official. These changes
were implemented as part of a group of revisions to MOC and LOC
procedures recommended by a subcommittee of the Market Performance
Committee which reviewed closing procedures.\8\
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\7\ See Securities Exchange Act Release No. 40094 (June 15,
1998), 63 FR 38230 (July 15, 1998)(File No. SR-NYSE-97-36) and NYSE
Information Memo No. 98-20 (June 22, 1998).
\8\ Id.
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The Exchange believes it would also be appropriate to revise
expiration day opening procedures by terminating the use of the special
stock list and requiring order imbalance publication for all stocks
with imbalances of 50,000 shares or more and to permit the publication
of imbalances of less than 50,000 shares with Floor Official approval.
The Exchange believes the proposed changes will provide more complete
information to market participants. According to the Exchange, the
increase of information should attract additional liquidity which could
minimize volatility and lead to more orderly openings on expiration
days.\9\ All other aspects of expiration day opening procedures would
remain the same, e.g., publication of market order imbalances at 9:00
a.m. and requirements for identification of orders relating to expiring
derivatives that settle on the opening.
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\9\ Letter from Donald Siemer, Director, Market Surveillance,
NYSE to Richard Strasser, Assistant Director, Division, SEC, dated
March 31, 1999. This letter clarified the Exchange's purpose for the
proposed rule change.
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The exchange intends to issue an Information Memo to inform its
members of the revised expiration day opening procedures.
2. Statutory Basis
The Exchange believes the basis under the Act for the proposed rule
change is the requirement under Section 6(b)(5)\10\ that an Exchange
have rules that are designed to promote just and equitable principles
of trade, to remove impediments to, and perfect the mechanism of a free
and open market and, in general, to protect investors and the public
interest.
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\10\ 15 U.S.C. 78f(b)(5).
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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 that is 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
The Exchange has neither solicited nor received written comments on
the proposed rule change.
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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 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, including whether the proposed rule
change 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 the
NYSE. All submissions should refer to File No. SR-NYSE-98-41 and should
be submitted by June 1, 1999.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\11\
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\11\ 17 CFR 200.30-3(a)(12).
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Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 99-11813 Filed 5-10-99; 8:45 am]
BILLING CODE 8010-01-M