Self-Regulatory Organizations; Stock Clearing Corporation of Philadelphia; Notice of Filing of a Proposed Rule Change to Amend the Participants Fund Formula for Continuous Net Settlement Participants

SECURITIES AND EXCHANGE COMMISSION

[Release No. 34-38065; File No. SR-SCCP-96-08]

Self-Regulatory Organizations; Stock Clearing Corporation of

Philadelphia; Notice of Filing of a Proposed Rule Change to Amend the

Participants Fund Formula for Continuous Net Settlement Participants

December 19, 1996.

Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934

(``Act''),\1\ notice is hereby given that on August 21, 1996, the Stock

Clearing Corporation of Philadelphia (``SCCP'') filed with the

Securities and Exchange Commission (``Commission'') the proposed rule

change (File No. SR-SCCP-96-08) as described in Items, I, II, and III

below, which items have been prepared primarily by SCCP. On October 8,

and November 20, 1996, SCCP filed amendments to the proposed rule

change.\2\ 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\ Letters from Linda S. Christie, Staff Counsel, SCCP, to

Jerry Carpenter, Assistant Director, Division of Market Regulation,

Commission (September 18, September 30, and November 18, 1996).

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I. Self-Regulatory Organization's Statement of the Terms of Substance

of the Proposed Rule Change

The purpose of the proposed rule change is to amend SCCP's

participants fund formula for its continuous net settlement (``CNS'')

participants.

II. Self-Regulatory Organization's Statement of the Purpose of, and

Statutory Basis for, the Proposed Rule Change

In its filing with the Commission, SCCP included statements

concerning the purpose of and basis for the proposed rule change and

discussed any comments they received on the proposed rule changes. The

text of these statements may be examined at the places specified in

Item IV below. SCCP has prepared summaries, set forth in sections (A),

(B), and (C) below, of the most significant aspects of such

statements.\3\

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\3\ The Commission has modified the text of the summaries

submitted by SCCP.

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(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 amend SCCP's

participants fund formula relating to its CNS participants. Currently,

the participants

[[Page 68325]]

fund contribution of each of SCCP's CNS participants is based upon the

larger of (1) $1,000 for every twenty-five trading units of one hundred

shares based on the participant's monthly average of trading activity

during the preceding three months or (2) the participant's aggregate

dollar amount of all long trades at their execution price for the prior

three months divided by the number of days in the prior three months

multiplied by two percent.\4\

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\4\ Securities Exchange Act Release Nos. 37623 (August 29,

1996), 61 FR 47229 [File No. SR-SCCP-96-07] (notice of filing and

order granting accelerated approval on a temporary basis of a

proposed rule change seeking permanent approval of the participants

fund formulas).

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SCCP proposes to amend its CNS participants fund formula to assess

each CNS participant (1) two percent (2%) of the value of its average

daily gross buy trades derived over a rolling three month period, plus

(2) one-half of one percent (.5%) of the gross value of its sell trades

to the extent that value exceeds the gross value of the buy trades

derived over the same rolling three month period. The terminology of

buys or sells for purposes of calculating participants fund

contributions refer to a participant's gross trades and not netted

positions.

CNS automatically nets each participants buy and sell trades to a

net long or a net short position thereby giving rise to only a net

exposure to any particular participant. SCCP's CNS participants fund

formula bases its calculation of fund contributions on the basis of

gross trade positions which should yield a greater amount upon which to

base participants' fund computations than an amount derived from net

trade positions. SCCP will recalculate each participant's deposit

requirement at the end of each month based upon the previous three

months prior to the most recent month.\5\ The required participants

fund contribution will be rounded up in $5,000 increments. SCCP also

proposes to create a $15,000 minimum contribution for CNS participants.

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\5\ For example, at the end of December, SCCP will use activity

from September, October, and November to calculate each

participant's deposit requirement.

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SCCP believes the proposed rule change is consistent with Section

17A of the Act and the rules and regulations thereunder because the

proposal should assure the safeguarding of securities and funds in its

custody or control or for which it is responsible.

(B) Self-Regulatory Organization's Statement on Burden on Competition

SCCP believes that the proposed rule change will not impose any

burden on competition not permitted by 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 with respect

to the proposed rule change.

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

Commission Action

Within thirty-five 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 ninety 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 SCCP 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 Comments

Interested persons are invited to submit written data, views, and

arguments concerning the foregoing. Persons making written submissions

should file six copies thereof with the Secretary, Securities and

Exchange Commission, 450 Fifth Street, N.W., Washington, D.C. 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 Room, 450 Fifth Street, N.W., Washington,

D.C. 20549. Copies of such filing will also be available for inspection

and copying at the principal office of SCCP. All submissions should

refer to the file number SR-SCCP-96-08 and should be submitted by

January 17, 1997.

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. 96-32954 Filed 12-26-96; 8:45 am]

BILLING CODE 8010-01-M