[Federal Register Volume 62, Number 194 (Tuesday, October 7, 1997)]
[Notices]
[Pages 52367-52368]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 97-26521]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-39162; File No. SR-CHX-97-23]
Self-Regulatory Organizations; Notice of Filing and Immediate
Effectiveness of Proposed Rule Change by The Chicago Stock Exchange,
Inc., Relating to the Execution of Stopped Orders Under the Enhanced
SuperMAX Program
September 30, 1997.
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 September 16, 1997, the Chicago Stock Exchange, Incorporated
(``CHX'' 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 self-regulatory organization. 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.
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I. Self-Regulatory Organization's Statement of the Terms of
Substance of the Proposed Rule Change
The Exchange proposes to amend its Rule 37(e) of Article XX
relating to the execution of stopped orders under the CHX's Enhanced
SuperMAX program. The text of the proposed rule change is available at
the Office of the Secretary, the CHX, 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 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
On May 22, 1995, the Commission approved a proposed rule change
that allows specialists on the Exchange, through the Exchange's MAX
system, to provide order execution guarantees that are more favorable
than those required under CHX Rule 37(a), Article XX.\3\ That approval
order contemplated that the CHX would file with the Commission specific
modifications to the parameters of MAX that are required to implement
various options available under the rule.\4\ The CHX now proposes to
amend the Enhanced SuperMAX program, a program first adopted under CHX
Rule 37 of Article XX in July 1995.\5\
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\3\ See Securities Exchange Act Release No. 35753 (May 22,
1995), 60 FR 28007 (May 26, 1995) (order approving File No. SR-CHX-
95-08).
\4\ Id.
\5\ See Securities Exchange Act Release No. 36027 (July 27,
1995), 60 FR 39465 (August 2, 1995) (order approving File No. SR-
CHX-95-15).
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Currently under the Enhanced SuperMAX program, certain orders are
``stopped'' at the ITS BBO \6\ and are executed with reference to the
next primary market sale. The Enhanced SuperMAX program also includes a
time-out feature whereby if there are no executions in the primary
market after the order has been stopped for a designated time period,
the order is executed at the stopped price at the end of such period.
Such period, known as a time out period, is pre-selected by a
specialist on a stock-by-stock basis based on the size of the order,
may be changed by a specialist no more frequently than once a month and
may be no less than 30 seconds.
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\6\ CHX defines ``ITS BBO'' as the best offer or best bid
available among the following exchanges: American, Boston,
Cincinnati, Chicago, New York, Pacific, Philadelphia or the
Intermarket Trading System/Computer Assisted Execution System
(``ITS/CAES''). See CHX Rule 37(a), Article XX.
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The Exchange believes the proposed rule change will simplify the
pricing algorithm used by Enhanced SuperMAX. Under the new algorithm,
an agency market order eligible for Enhanced SuperMAX will continue to
be ``stopped'' if executing the order at the ITS BBO would create a
double up-tick (for a buy order) or a double down-tick (for a sell
order) and the spread between the ITS Bid and ITS Offer is \1/4\ point
or more. Under the proposal, once stopped, a buy order will be executed
as follows:
If the next primary market sale is equal to or greater than the
primary market offer, the order will be executed at the stopped price.
If there is no primary market sale within the time out period or
the next primary market sale is less than the primary market offer, the
order will be executed at one minimum variation better than the stopped
price.
Sell orders will receive price improvement in a similar manner.
Specifically, sell orders will be executed at the stopped price if the
next primary market sale is equal to or less than the primary market
bid. Sell orders will be executed at one minimum variation better than
the stopped price if the next primary market sale is greater than the
primary market bid or if there is no primary market sale before the
expiration of the time-out period.
2. Statutory Basis
The Exchange believes the proposed rule change is consistent with
Section 6(b)(5) of the Act \7\ in that it is designed to promote just
and equitable principles of trade, to remove impediments and to perfect
the mechanism of a free and open market and a national market system,
and, in general, to protect investors and the public interest.
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\7\ 15 U.S.C. 78(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 a burden on competition.
[[Page 52368]]
C. Self-Regulatory Organization's Statement on Comments on the Proposed
Rule Change Received From Members, Participants or Others
No comments were solicited or received.
III. Date of Effectiveness of the Proposed Rule Change and Timing
for Commission Action
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 September 16, 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 \8\ and rule 19b-
4(e)(6) \9\ thereunder.
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\8\ 15 U.S.C. 78s(b)(3)(A).
\9\ 17 CFR 19b-4(e)(6).
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At any time within 60 days of the filing of the 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.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views and
arguments concerning the foregoing. Persons making written submission
should file six copies thereof with the Secretary, Securities and
Exchange Commission, 450 Fifth Street, NW., Washington, DC 20549.
Copies of the submissions, 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, 450 Fifth Street, NW., Washington,
DC 20549. Copies of such filing also will be available for inspection
and copying at the principal office of the CHX. All submissions should
refer to file number SR-CHX-97-23 and should be submitted by October
28, 1997.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\10\
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\10\ 17 CFR 200.30-3(a)(12).
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Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 97-26521 Filed 10-6-97; 8:45 am]
BILLING CODE 8010-01-M