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SECURITIES AND EXCHANGE COMMISSION[Release No. 34-43927; File No.
SR-PHLX-01-07] Self-Regulatory Organizations; Notice of Filing and Immediate
Effectiveness of Proposed Rule Change by the Philadelphia Stock Exchange,
Inc. Relating to an Interpretation of Phlx Rule 237 Governing the eVWAP
Morning SessionFebruary 5, 2001. 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 January 11, 2001, the
Philadelphia Stock Exchange, Inc. (``Exchange'' or ``Phlx'') filed with the
Securities and Exchange Commission (``SEC'' or ``Commission'') the proposed
rule change as described[[Page 9743]]in Items I, II, and III below, which
Items have been prepared by Phlx. Phlx filed the proposed rule change
pursuant to Section 19(b)(3)(A) of the Act,\3\and Rule 19b-4(f)(1) and (5)
thereunder.\4\Pursuant to Rule 19b-4(f)(1) and (5), Phlx has designated this
proposal as one constituting an interpretation of the meaning and
administration of existing Phlx Rule 237, and as one effecting a change in
an existing order-entry or trading system of the Phlx that does not: (1)
Significantly affect the protection of investors or the public interest, (2)
impose any significant burden on competition, or (3) significantly have the
effect of limiting the access to or availability of the system. As such, the
proposed rule change is immediately effective upon the Commission's receipt
of this filing. The Commission is publishing this notice to solicit comments
on the proposed rule change from interested
persons.
-----------------------
\1\15 U.S.C. 78s(b)(1). \2\17 CFR 240.19b-4. \3\15 U.S.C.
78s(b)(3)(A). \4\17 CFR 240.19b-4(f)(1) and
(5).
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I. Self-Regulatory Organization's Statement of the Terms of Substance of
the Proposed Rule Change Pursuant to Rule 19b-4 of the Act, Phlx is
providing an interpretation to Phlx Rule 237, eVWAP Morning Session,\5\to
include New York Stock Exchange, Inc. (``NYSE'') Rule 127 transactions in
the eVWAP calculation. NYSE Rule 127 transactions are block trades executed
on the NYSE floor outside of the present quote and are denoted as ``J
trades'' by the Securities Industry Automation
Corporation.
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\5\eVWAP was developed by Universal Trading Technologies
Corporation (``UTTC''), and was approved by the Commission to operate as a
facility of the Exchange. See Securities Exchange Act Release No. 41210
(March 24, 1999) (SR-Phlx-96-14). The Commission approved the facility to
operate as pilot program until November 30, 2001. See Securities Exchange
Act Release No. 43477 (October 30, 2000)
(SR-Phlx-00-84).
---------------------
II. Self-Regulatory Organization's Statement of the Purpose
of, and Statutory Basis for, the Proposed Rule Change In its filing with the
Commission, Phlx 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. Nasdaq 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 The purpose of the
proposed rule change is to intepret Phlx Rule 237 to include NYSE Rule 127
trades in the eVWAP price calculation. The eVWAP is a pre-opening order
matching session for the electronic execution of large-sized stock orders at
a standardized volume weighted average price (``eVWAP Price''). In
accordance with Phlx Rule 237, the eVWAP Price is derived from all regular
way trades (including sold sales and late sales) reported by the appropriate
reporting authority from the opening of the regular trading session and
printed prior to 4:15 p.m. EST. The calculation excludes NYSE Rule 127
trades that are block executed on the NYSE floor outside of the present
quote. A number of eVWAP participants have requested of UTTC that these
trades be included in the eVWAP calculation to the extent that such trades
are regular way trades and are reported by the appropriate reporting
authority before 4:15 p.m. EST. Upon review, the Exchange has interpreted
Phlx Rule 237 to include these in the eVWAP Price calculation.\6\The
Exchange included these trades in the calculation methodology beginning on
Tuesday, January 16, 2001. UTTC endeavored to notify all enrolled eVWAP
participants of this change by letter dated January 11,
2001.
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\6\In a telephone conversation on January 29, 2001 between John
Dayton, Esq., Exchange, and Heidi Pilpel, Special Counsel, Commission, the
Exchange represented that the proposed interpretation will conform the value
weighted average price calculation methodology used by UTTC to the value
weighted average price calculation methodology used by other similar
services.
-------------------------------------
The proposed rule change is consistent with Section 6(b) of the
Act in that it is designed to promote just and equitable principles of
trade, prevent fraudulent and manipulative acts and practices and protect
investors and the public interest by including NYSE Rule 127 trades in the
eVWAP Price calculation.(B) Self-Regulatory Organization's Statement on
Burden on Competition Phlx does not believe that the proposed rule change
will result in any burden on competition 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 Written comments were neither solicited nor
received. III. Date of Effectiveness of the Proposed Rule Change and Timing
for Commission Action The foregoing rule change has become effective
pursuant to Section 19(b)(3)(A) \7\of the Act and Rule 19b-4(f)(1) and (5)
\8\thereunder in that it constitutes an interpretation of the meaning and
administration of Phlx Rule 237, an existing rule governing operation of
eVWAP, and a change in an existing order-entry or trading system of Phlx
that does not: (1) Significantly affect the protection of investors of the
public interest, (2) impose any significant burden on competition, or (3)
significantly have the effect of limiting the access to or availability of
the system. 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.
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\7\15 U.S.C. 78s(b)(3)(A). \8\17 CFR 240.19b-4(f)(1) and (5).
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IV. Solicitation of Comments Interested persons are invited to submit
written data, views, and arguments concerning the foregoing, including
whether the proposed rule 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 Phlx. All submissions should refer to the
number in the caption above and should be submitted by March 2, 2001.[[Page
9744]] For the Commission, by the Division of Market Regulation, pursuant to
delegated
authority.\9\-----------------------------------
\9\17 CFR 200.30-3(a)(12). ------------------
Margared H. McFarland,Deputy Secretary.[FR Doc. 01-3362
Filed 2-8-01; 8:45 am]BILLING CODE 8010 |
