[Federal Register Volume 59, Number 120 (Thursday, June 23, 1994)]
[Unknown Section]
[Page 0]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 94-15219]
[[Page Unknown]]
[Federal Register: June 23, 1994]
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COMMODITY FUTURES TRADING COMMISSION
Proposed Amendments Relating to the CBOT's Long-Term Municipal
Bond Index Futures Contract
AGENCY: Commodity Futures Trading Commission.
ACTION: Notice of Proposed Contract Market Rule Changes.
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SUMMARY: The Chicago Board of Trade (CBOT) has submitted proposed rule
amendments for its Long-Term Municipal Bond Index (Index) futures
contract to permit callable bonds to be included in the Index, widen
the range of permissible reoffer prices for eligible bonds, and modify
the survey procedures regarding the size of trades for price
evaluations. Concurrent with these changes, the Index divisor would be
reset to one.
In accordance with Section 5a(a)(12) of the Commodity Exchange Act
and acting pursuant to the authority delegated by Commission Regulation
140.96, the Director of the Division of Economic Analysis (Division) on
behalf of the Commission has determined that publication of the
proposals is in the public interest and will assist the Commission in
considering the views of interested persons. On behalf of the
Commission, the Division is requesting comment on these proposals.
DATES: Comments must be received on or before July 25, 1994.
ADDRESSES: Interested persons should submit their views and comments to
Jean A. Webb, Secretary, Commodity Futures Trading Commission, 2033 K
Street NW, Washington, DC 20581. Reference should be made to the
amendments to the CBOT Long-Term Municipal Bond Index futures contract.
FOR FURTHER INFORMATION: Contact Stephen Sherrod, Division of Economic
Analysis, Commodity Futures Trading Commission, 2033 K Street NW,
Washington, DC 20581, telephone 202-254-7303.
SUPPLEMENTARY INFORMATION: Under the current rules for the Long-Term
Municipal Bond Index futures contract, bonds comprising the Index must
be callable and must have been reoffered out of syndicate at a price
between 95 and 105. Each trading day, including the cash settlement
day, The Bond Buyer conducts two surveys of at least four major
municipal bond brokers to obtain the best bids for a $100,000 par
amount cash market transaction in each component bond. In calculating
the level of the Index, a conversion factor is applied to the price of
each bond. The conversion factor for a bond is based on the earliest
call-at-par date for that bond. Twice each month, The Bond Buyer
revises the composition of the Index and adjusts the Index divisor to
ensure continuity.
The CBOT proposes to amend the bond eligibility standards to permit
inclusion of non-callable as well as callable bonds and to require
that, to be included in the Index, bonds must have been reoffered out
of syndicate at a price between 70 and 105. Regarding the survey
procedures, the CBOT proposes that a bid for a par amount higher than
$100,000 also would be acceptable. The conversion factor applied to the
price of a non-callable bond would be based on the maturity date of the
bond. These changes may alter materially the Index composition and,
thus, its volatility. Therefore, the CBOT proposes to break the
continuity of the Index price series by resetting the Index divisor to
one.
The proposed amendments would apply to the futures contract
beginning with the September 1995 contract month. The Bond Buyer
intends to adopt these changes in its Index calculations beginning on
June 30, 1995, following the expiration of the June 1995 futures
contract on June 21, 1995.
The Commission is requesting comment on the proposed amendments,
considering the appropriateness of the revised procedures relative to
the requirements of Commission Guideline No. 1.
Copies of the proposed amendments will be available for inspection
at the Office of the Secretariat, Commodity Futures Trading Commission,
2033 K Street, NW., Washington, DC 20581. Copies of the proposed rule
amendments can be obtained through the Office of the Secretariat by
mail at the above address or by phone at (202) 254-6314.
The materials submitted by the CBOT in support of the proposed
amendments may be available upon request pursuant to the Freedom of
Information Act (5 U.S.C. 552) and the Commission's regulations
thereunder (17 CFR Part 145 (1987)). Requests for copies should be made
to the FOI, Privacy and Sunshine Act Compliance Staff of the Office of
the Secretariat at the Commission's headquarters in accordance with 17
CFR 145.7 and 145.8.
Any person interested in submitting written data, views, or
arguments on the proposed amendments should send such comments to Jean
A. Webb, Secretary, Commodity Futures Trading Commission, 2033 K
Street, NW, Washington, DC 20581 by the specified date.
Issued in Washington, DC, on June 17, 1994.
Blake Imel,
Acting Director.
[FR Doc. 94-15219 Filed 6-22-94; 8:45 am]
BILLING CODE 6351-01-P