[Federal Register Volume 67, Number 111 (Monday, June 10, 2002)]
[Notices]
[Pages 39753-39757]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 02-14432]


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SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-46021; File No. SR-Amex-2002-40]


Self-Regulatory Organizations; Notice of Filing and Order 
Granting Accelerated Approval of Proposed Rule Change and Amendments 
No. 1 and No. 2 thereto by the American Stock Exchange LLC Relating to 
the Listing and Trading of Notes Based on the Select European 50 Index

June 3, 2002.
    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 April 24, 2002, the American Stock Exchange LLC (``Amex'' 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 May 6, 2002, the Amex submitted Amendment No. 1 to the proposed rule 
change.\3\ On May 31, 2002, the Amex submitted Amendment No. 2 to the 
proposed rule change.\4\ 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\ See letter from Jeffrey P. Burns, Assistant General Counsel, 
Amex, to Nancy Sanow, Assistant Director, Division of Market 
Regulation (``Division''), Commission, dated May 3, 2002. Amendment 
No. 1 replaced the original proposal in its entirety and clarified 
certain descriptive language used in the original proposal.
    \4\ See letter from Jeffrey P. Burns, Assistant General Counsel, 
Amex, to Nancy Sanow, Assistant Director, Division, Commission, 
dated May 30, 2002. In Amendment No. 2, the Amex further modified 
the proposed rule change by adding language clarifying the 
calculation of the Dow Jones EURO STOXX 50 Index.
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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 notes, the 
return on which is based upon the performance of the Dow Jones EURO 
STOXX 50 Return Index in U.S. dollars (the ``U.S. Dollar DJ EURO STOXX 
50 Index''), as reduced by an adjustment factor as described below (the 
``Select European 50 Index'' or ``Index'').

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

[[Page 39754]]

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 III 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
    Under Section 107A of the Amex Company Guide (``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.\5\ The Amex proposes 
to list for trading under Section 107A of the Company Guide notes based 
on the Select European 50 Index (the ``Notes''). The Index will be 
calculated and published by the Amex.
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    \5\ See Securities Exchange Act Release No. 27753 (March 1, 
1990), 55 FR 8626 (March 8, 1990) (order approving File No. Amex-89-
29) (``Hybrid Approval Order'').
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    The Notes will conform to the initial listing guidelines under 
Section 107A \6\ and continued listing guidelines under Sections 1001-
1003 \7\ of the Company Guide. The Notes are senior non-convertible 
debt securities of Merrill Lynch & Co., Inc. (``Merrill Lynch''). The 
Notes will have a term of not less than one, no more than ten years. 
The Notes will entitle the owner at maturity to receive an amount based 
upon the percentage change between the ``Starting Index Value'' and the 
``Ending Index Value'' (the ``Redemption Amount''). The ``Starting 
Index Value'' is the value of the Index on the date the issuer prices 
the Notes for the initial sale to the public. The ``Ending Index 
Value'' is the value of the Index over a period shortly prior to the 
expiration of the Notes. The Ending Index Value will be used in 
calculating the amount investors will receive upon maturity. The Notes 
will not have a minimum principal amount that will be repaid and, 
accordingly, payments on the Notes prior to, or at maturity, may be 
less than the original issue price of the Notes. During a two-week 
period in the designated month each year, investors will have the right 
to require the issuer to repurchase the Notes at a redemption amount 
based on the value of the Index at such repurchase date.
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    \6\ The initial listing standards for the Notes require: (1) A 
minimum public distribution of one million units; (2) a minimum of 
400 shareholders; (3) a market value of at least $4 million; and (4) 
a term of at least one year. In addition, the listing guidelines 
provide that the issuer have assets in excess of $100 million, 
stockholder's equity of at least $10 million, and pretax income of 
at least $750,000 in the last fiscal year or in two of the three 
prior fiscal years. In the case of an issuer which is unable to 
satisfy the earning criteria stated in Section 101 of the Company 
Guide, the Exchange will require the issuer to have the following: 
(1) Assets in excess of $200 million and stockholders' equity of at 
least $10 million; or (2) assets in excess of $100 million and 
stockholders' equity of at least $20 million.
    \7\ The Exchange's continued listing guidelines are set forth in 
Sections 1001 through 1003 of Part 10 to the Exchange's Company 
Guide. Section 1002(b) of the Company Guide states that the Exchange 
will consider removing from listing any security where, in the 
opinion of the Exchange, it appears that the extent of public 
distribution or aggregate market value has become so reduced to make 
further dealings on the Exchange inadvisable. With respect to 
continued listing guidelines for distribution of the Notes, the 
Exchange will rely, in part, on the guidelines for bonds in Section 
1003(b)(iv). Section 1003(b)(iv)(A) provides that the Exchange will 
normally consider suspending dealings in, or removing from the list, 
a security if the aggregate market value or the principal amount of 
bonds publicly held is less than $400,000.
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    The Notes are cash-settled in U.S. dollars and may not be called by 
the issuer. The holder of a Note does not have any right to receive any 
of the underlying securities comprising the U.S. Dollar DJ EURO STOXX 
50 Return Index or any other ownership right or interest in the Select 
European 50 Index. The Notes are designed for investors who want to 
participate or gain exposure to the stock market performance of highly-
capitalized European companies and who are willing to forgo market 
interest payments on the Notes during such term. The Select European 50 
Index will initially be set to provide a benchmark value of 100.00 at 
the close of trading on the date the Notes are priced for initial sale 
to the public.
    The value of the Select European 50 Index at any time will equal: 
(1) The value of the U.S. Dollar DJ EURO STOXX 50 Return Index, less 
(2) a pro rata portion of the annual index adjustment factor,\8\ 
divided by (3) the index divisor used to establish a benchmark Index 
value of 100.00 at the close of trading on the date the Notes are 
priced for initial sale to the public. The Select European 50 Index 
will reflect payment of dividends, if any, on the underlying securities 
comprising the Index. The U.S. Dollar DJ EURO STOXX 50 Return Index \9\ 
measures the total return of the Dow Jones EURO STOXX 50,\10\ in U.S. 
dollars. Both indices are calculated by STOXX Ltd. (``STOXX''), a joint 
venture between Deutsche B]rse AG, Dow Jones & Company (``Dow Jones''), 
Euronext Paris SA and the SWX Swiss Exchange. The U.S. Dollar DJ EURO 
STOXX 50 Return Index differs from the Dow Jones EURO STOXX 50 only in 
that (1) it reflects the reinvestment of dividends paid on the stocks 
underlying the index (subject to the withholding taxation laws of the 
various European countries applicable to those dividends) and (2) it is 
converted to U.S. dollar from Euros based on the exchange rate at 8:15 
p.m. Central European Time.
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    \8\ Each day, the Select European 50 Index will be reduced by a 
pro rata portion of the annual index adjustment factor, expected to 
be 1.5% (i.e. 1.5%/365 days = 0.0041% daily). This reduction to the 
value of the Select European 50 Index will reduce the total return 
to investors upon exchange or at maturity. The Amex represents that 
an explanation of this deduction will be included in any marketing 
materials, fact sheets, or any other materials circulated to 
investors regarding the trading of this product.
    \9\ The prices of the securities underlying the U.S. Dollar DJ 
EURO STOXX 50 Return Index are quoted in Euros. Therefore, 
investments in notes linked to the value of non-U.S. securities may 
involve greater risks, subject to fluctuations of foreign currency 
exchange rates, future foreign political and economic developments, 
and the possible imposition of exchange controls or other foreign 
governmental laws or restrictions applicable to such investments.
    \10\ The Dow Jones EURO STOXX 50 Index is a capitalization-
weighted index of 50 European blue-chip stocks from countries 
participating in the EMU that is quoted and priced in Euros. The 
Index developed with a base value of 1000 as of December 31, 1991.
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    The Commission has previously approved the listing and trading of 
securities linked to the value of the Dow Jones EURO STOXX 50 
Index.\11\ BRIDGES linked to the performance of the EURO STOXX 50 Index 
were issued by Morgan Stanley & Co., Inc., and are currently listed and 
traded on the New York Stock Exchange, Inc. (``NYSE''). The Dow Jones 
EURO STOXX 50 Index was constructed by STOXX to have an initial value 
of 1000 on December 31, 1991 and is designed to measure the stock 
market performance of highly-capitalized companies of countries that 
were expected to participate in the European Economic and Monetary 
Union (the ``EMU''). The Dow Jones EURO STOXX 50 Index currently 
represents the performance of 50 companies representing the market 
sector leaders in Austria, Belgium, Finland, France, Germany, Greece, 
Ireland, Italy, Luxembourg, Netherlands, Portugal and Spain. The index 
is calculated and disseminated on a real time basis every 15 seconds 
and is published daily in The Wall Street Journal.
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    \11\ See Securities Exchange Act Release No. 40303 (August 4, 
1998), 63 FR 42892 (August 11, 1998) (approving BRoad InDex Guarded 
Equity-linked Securities (``BRIDGES'') linked to the value of the 
Dow Jones EURO STOXX 50 Index).
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    The Dow Jones EURO STOXX 50 Index consists of the common stocks of 
companies that are leaders in their

[[Page 39755]]

industry sectors and are among the most liquid and highly-capitalized 
companies in the EMU. Each component company is a major factor in its 
industry and its securities are widely held by individuals and 
institutional investors. The Exchange represents that each of the 
components of the Dow Jones EURO STOXX 50 Index is a entity registered 
pursuant to section 12 of the Act.\12\
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    \12\ Telephone conversation between Jeffrey P. Burns, Assistant 
General Counsel, Amex, Florence Harmon, Senior Special Counsel, and 
Geoffrey Pemble, Attorney, Division, Commission (May 30, 2002).
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    The Exchange believes that adequate surveillance exists for the 
component stocks of the Dow Jones EURO STOXX 50 Index as a result of 
``Surveillance Sharing Arrangements'' with appropriate entities in the 
component stocks' home countries. Surveillance Information Sharing 
Arrangements include surveillance information-sharing agreements that 
the Exchange has entered into with foreign markets, memoranda of 
understanding that the SEC had entered into with foreign securities 
regulatory agencies and similar agreements and arrangements between the 
United States or the SEC and their counterparts in the home countries 
for the companies whose securities are components of the Dow Jones EURO 
STOXX 50 Index. At present, in excess of 90% of the capitalization of 
the Dow Jones EURO STOXX 50 is subject to Surveillance Information 
Sharing Arrangements.
    The Exchange will not list a new issue of Notes linked to the 
Select European 50 Index if either: (i) The home countries of the 
component securities representing more than 50% of the capitalization 
of the Index are not subject to Surveillance Information Sharing 
Arrangements; (ii) a home country of the component securities 
representing more than 20% of the capitalization of the Index is not 
subject to Surveillance Information Sharing Arrangements; or (iii) two 
(2) home countries of component securities representing more than 33\1/
3\ percent of the capitalization of the Index are not subject to 
Surveillance Information Sharing Arrangements.
    Companies are selected for inclusion in the calculation of the Dow 
Jones EURO STOXX 50 Index by STOXX. The companies that are included in 
the Dow Jones EURO STOXX 50 Index are representative of the broad 
market in the EMU and of a wide array of European industries including 
the following: automobile; food and beverage; banking; industrial; 
chemical; insurance conglomerates; media; consumer goods; cyclical; 
pharmaceutical; non-cyclical; retail; construction; technology; energy; 
telecommunications; financial services and utility. The Supervisory 
Board of STOXX is responsible for adding and deleting companies from 
the Dow Jones EURO STOXX 50.
    STOXX reviews the Dow Jones EURO STOXX 50 Index annually, and 
accordingly, will add or delete stocks pursuant to its review 
procedures.
    The number of shares outstanding and the share price for each class 
of stock are used to determine each component company's market 
capitalization. No company is permitted to comprise more than 10 
percent of the value of the Index. If any company exceeds 10 percent of 
the value of the index, STOXX will cap that company's representation in 
the index at 10 percent and adjust the relative representation of the 
remaining component stocks so that they represent 90 percent. In order 
to avoid distortions, changes in the index for dividends, stock splits, 
rights offerings, spin-offs, repurchases and the like are made on a 
quarterly basis, unless the number of outstanding shares of a component 
company changes by more than 10 percent, in which case the adjustment 
is made immediately.
    As of May 1, 2002, the market capitalization of the 50 companies 
that currently represent the Dow Jones EURO STOXX 50 Index ranged from 
a high of $115.32 billion (Royal Dutch Petroleum) to a low of $13.40 
billion (Air Liquide). In addition, the market prices of the common 
stock of companies comprising the Index ranged from a high of $257.77 
(Muenchener Rueckver AG) to a low of $4.57 (Unicredito Italiano 
SPA).\13\ The ten companies with the highest weighting in the Dow Jones 
EURO STOXX 50 Index represented 40.66 percent of the Index while the 
ten companies with the smallest weighting represented 7.57 percent of 
the Index.
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    \13\ These values are as of April 17, 2002.
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    As of May 1, 2002, the seven (7) countries that are represented in 
the Dow Jones Euro Stoxx 50 Index account for the following 
percentages: (1) Belgium, 1.78%; (2) Finland, 5.06%; (3) France, 
31.74%; (4) Germany, 22.21%; (5) Italy, 9.22%; (6) Netherlands, 19.73%; 
(7) Spain, 10.25%.
    The US Dollar DJ EURO STOXX 50 Return Index is updated once daily 
after 8:15 p.m. Central European time. The prior days' US Dollar DJ 
EURO STOXX 50 Return Index value will be used in the calculation of the 
Select European 50 Index until the new value is published. The Exchange 
will calculate the Select European 50 Index and, similar to other stock 
index values published by the Exchange, the value of the Index will be 
calculated continuously and disseminated over the Consolidated Tape 
Association's Network B.
    Because the Notes are linked to an equity index, the Amex's 
existing equity floor trading rules will apply to the trading of the 
Notes. First, pursuant to Amex Rule 411, the Exchange will impose a 
duty of due diligence on its members and member firms to learn the 
essential facts relating to every customer prior to trading the 
Notes.\14\ Second, the Notes will be subject to the equity margin rules 
of the Exchange.\15\ Third, in conjunction with the Amex's Hybrid 
Approval Order, the Exchange will, prior to trading the Notes, 
distribute a circular to the membership providing guidance with regard 
to member firm compliance responsibilities (including suitability 
recommendations) when handling transactions in the Notes and 
highlighting the special risks and characteristics of the Notes. With 
respect to suitability recommendations and risks, the Exchange will 
require members, member organizations and employees thereof 
recommending a transaction in the Notes: (1) To determine that such 
transaction 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 such 
transaction. In addition, Merrill Lynch will deliver a prospectus in 
connection with the initial purchase of the Notes.
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    \14\ Amex Rule 411 requires that every member, member firm or 
member corporation use due diligence to learn the essential facts, 
relative to every customer and to every order or account accepted.
    \15\ See Amex Rule 462 and Section 107B of the Company Guide.
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    The Exchange represents that its surveillance procedures are 
adequate to properly monitor the trading of the Notes. Specifically, 
the Amex will rely on its existing surveillance procedures governing 
equities, which have been deemed adequate under the Act. In addition, 
the Exchange also has a general policy which prohibits the distribution 
of material, non-public information by its employees.
2. Statutory Basis
    The Exchange believes that the proposed rule change is consistent 
with section 6 of the Act,\16\ in general, and furthers the objectives 
of section 6(b)(5) of the Act,\17\ in particular, in that it is 
designed to prevent fraudulent and manipulative acts and practices, to

[[Page 39756]]

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.
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    \16\ 15 U.S.C. 78f(b).
    \17\ 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.

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

    Written comments were neither solicited nor received.

III. 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 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-2002-40 and 
should be submitted by July 1, 2002.

IV. Commission's Findings and Order Granting Accelerated Approval of 
Proposed Rule Change

    After careful review, the Commission finds that implementation of 
the proposed rule change is consistent with the requirements of section 
6 of the Act \18\ and the rules and regulations thereunder applicable 
to a national securities exchange.\19\ Specifically, the Commission 
believes that the proposal is consistent with section 6(b)(5) of the 
Act.\20\ The Commission believes that the availability of the Notes 
will provide an instrument for investors to achieve desired investment 
objectives through the purchase of an exchange-traded debt product 
linked to the Select European 50 Index. These objectives include 
participating in or gaining exposure to the Index while limiting 
somewhat downside risk. However, the Commission notes that the Notes 
are index-linked debt securities whose value in whole or in part will 
be based upon the performance of the Select European 50 Index. In 
addition, the Notes are non-principal protected: they do not have a 
minimum principal amount that will be repaid, and payments on the Notes 
at maturity may be less than their original issue price. For the 
reasons discussed below, the Commission has concluded that the Amex 
listing standards applicable to the Notes are consistent with the Act.
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    \18\ 15 U.S.C. 78f.
    \19\ 15 U.S.C. 78f(b)(5).
    \20\ Id.
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    The Notes are non-convertible and will conform to the Amex initial 
listing guidelines under Section 107A of the Company Guide and 
continued listing guidelines under Sections 1001-1003 of the Company 
Guide. The specific maturity date will not be established until the 
time of the offering, but will be not less than one, nor more than ten 
years from the date of issue. The Notes will entitle the owner at 
maturity to receive an amount based upon the percentage change between 
the Starting Index Value (the value of the Index on the date the issuer 
prices the Notes for the initial sale to the public) and the Ending 
Index Value (the value of the Index over a period shortly prior to the 
expiration of the Notes). The Ending Index Value will be used in 
calculating the amount investors will receive upon maturity. The Notes 
will not have a minimum principal amount that will be repaid and, 
accordingly, payments on the Notes prior to, or at maturity, may be 
less than the original issue price of the Notes. During a two week 
period in the designated month each year, investors will have the right 
to require the issuer to repurchase the Notes at a redemption amount 
based on the value of the Index at such repurchase date. The Notes are 
cash-settled in U.S. dollars and may not be called by the issuer. The 
Select European 50 Index will initially be set to provide a benchmark 
value of 100.00 at the close of trading on the date the Notes are 
priced for initial sale to the public.
    The Commission notes that the Exchange's rules and procedures that 
address the special concerns attendant to the trading of hybrid 
securities will be applicable to the Notes. In particular, by imposing 
the hybrid listing standards, suitability, disclosure, and compliance 
requirements noted above, the Commission believes the Exchange has 
addressed adequately the potential problems that could arise from the 
hybrid nature of the Notes. The Exchange will require members, member 
organizations and employees thereof recommending a transaction in the 
Notes to: (1) Determine that such transaction is suitable for the 
customer, and (2) have a reasonable basis for believing that the 
customer can evaluate the special characteristics, and bear the 
financial risks, of such transaction.
    In addition, the Amex equity margin rules and debt trading rules 
will apply to the Notes. The Commission believes that the application 
of these rules should strengthen the integrity of the Notes. The 
Commission also believes that the Amex has appropriate surveillance 
procedures in place to detect and deter potential manipulation for 
similar index-linked products. By applying these procedures to the 
Notes, the Commission believes that the potential for manipulation of 
the Notes is minimal, thereby protecting investors and the public 
interest. The Commission further notes that the underlying Index on 
which the Select European 50 Index is based (the Dow Jones EURO STOXX 
50 Return Index), is calculated by STOXX, a joint venture between 
Deutsche B]rse AG, Dow Jones, Euronext Paris SA and the SWX Swiss 
Exchange, an entity independent of both the Exchange and the Issuer, 
and thus, a factor which the Commission believes should act to minimize 
the possibility of manipulation. The Dow Jones EURO STOXX 50 Index is 
calculated and disseminated every 15 seconds to market information 
vendors, and is converted to U.S. dollar from Euros based on the 
exchange rate daily at 8:15 p.m. Central European Time.
    The Commission also notes that the Amex will issue a circular on 
the Notes. The circular should include, among other things, a 
discussion of the risks that may be associated with the Notes in 
addition to details on the composition of the Index and how the rates 
of return will be computed. Further, pursuant to Exchange Rule 411, the 
Exchange will impose a duty of due diligence on its members and member 
firms to learn the essential facts relating to every customer prior to 
trading the Notes. Based on these factors, the Commission finds that 
the proposal to trade the Notes is consistent with section 6(b)(5) of 
the Act.\21\
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    \21\ 15 U.S.C. 78f(b)(5).

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[[Page 39757]]

    Amex has requested that the Commission find good cause for 
approving the proposed rule change, as amended, prior to the thirtieth 
day after the date of publication of notice thereof in the Federal 
Register. The Amex has requested accelerated approval because this 
product is similar to several other instruments currently traded on the 
Amex. In determining to grant the accelerated approval for good cause, 
the Commission notes that the underlying Index on which the Select 
European 50 Index is based (the Dow Jones EURO STOXX 50 Return Index) 
is a portfolio of highly capitalized and actively traded securities 
similar to component securities in hybrid securities products that have 
been approved by the Commission for U.S. exchange trading. 
Additionally, the Notes will be listed pursuant to existing hybrid 
security listing standards as described above. Based on the above, the 
Commission finds good cause to accelerate approval of the proposed rule 
change, as amended.
    It is therefore ordered, pursuant to section 19(b)(2) of the 
Act,\22\ that the proposed rule change, as amended (SR-Amex-2002-40) is 
hereby approved on an accelerated basis.
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    \22\ 15 U.S.C. 78s(b)(2).

    For the Commission, by the Division of Market Regulation, 
pursuant to delegated authority.\23\
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    \23\ 17 CFR 200.30-3(a)(12).
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Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 02-14432 Filed 6-7-02; 8:45 am]
BILLING CODE 8010-01-P