[Federal Register Volume 59, Number 140 (Friday, July 22, 1994)]
[Unknown Section]
[Page 0]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 94-17881]


[[Page Unknown]]

[Federal Register: July 22, 1994]


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COMMODITY FUTURES TRADING COMMISSION

 

Proposed Amendments to the NYFE NYSE Composite Index Futures and 
Futures Option Contracts

AGENCY: Commodity Futures Trading Commission.

ACTION: Notice of Proposed Contract Market Rule Changes.

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SUMMARY: The New York Futures Exchange (NYFE) has submitted proposed 
rule amendments to its NYSE Composite Index (Index) futures contract to 
base the final settlement price on the closing level of the Index on 
the third Friday of the contract month, rather than on the special 
opening quotation on the third Friday, and change the last day of 
trading in the Index futures and futures option contracts to the third 
Friday of the contract month from the day preceding the third Friday.
    In accordance with Section 5a(a)(12) of the Commodity Exchange Act, 
the Commission has determined that publication of the proposal is in 
the public interest and will assist the Commission in considering the 
views of interested persons.

DATES: Comments must be received on or before August 22, 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 NYFE NYSE Composite Index futures contract.

FOR FURTHER INFORMATION CONTACT: Contact Stephen Sherrod, Division of 
Economic Analysis, Commodity Futures Trading Commission, 2033 K Street 
NW., Washington, DC 20581, telephone 202-254-7303.

SUPPLEMENTARY INFORMATION: In April 1987, the Commission approved rule 
amendments to the NYFE's NYSE Composite Index futures contract 
providing that the final settlement price of the futures contract would 
be based on the special opening quotation of the Index, rather than on 
the closing level of the Index, on the third Friday of the contract 
month. These amendments first went into effect for the June 1987 
contract month.1
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    \1\Under the implementation plan, during the transition period 
from June 1987 through March 1988 the NYFE listed concurrently in 
each contract month two NYSE Composite Index futures contracts. The 
final settlement price for one contract was based on the closing 
level of the Index while the final settlement price for the other 
contract was based on the special opening quotation of the Index.
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    The effect of the proposed amendments would be that the final 
settlement price determination and last trading day provisions would be 
identical to the previous rules of the subject contracts, as noted 
above. Current rules would continue to apply to contracts expiring 
prior to June P1995.2
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    \2\The NYFE informed its members of the proposed amendments 
prior to listing the June 1995 contract month.
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    In its submission, the NYFE noted that the use of the special 
opening quotation as a basis of cash settlement has caused confusion 
among public customers. The level of the Index is disseminated based on 
the last transaction price of each of the over 2,400 component stocks. 
However, the special opening quotation is calculated based on the 
opening price of each component stock. Such opening stock prices 
typically are not determined contemporaneously. Thus, the level of the 
special opening quotation may vary from the range of the cash Index 
level on the expiration Friday. The NYFE noted such variations have 
resulted in numerous complaints from public customers.
    The Commission notes that the final settlement prices for certain 
other broad-based stock index futures contracts also are based on the 
closing levels of the relevant indices.3 Further, the final 
settlement prices for certain broad-based stock index option contracts 
traded on national securities exchanges also are based on the closing 
levels of the relevant indices.4
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    \3\For example, the final settlement prices of the Value Line 
Average Stock Index futures contract of the Kansas City Board of 
Trade and the Major Market Index futures contract of the Chicago 
Mercantile Exchange are based on the closing level of those indices.
    \4\For example, options on the Major Market Index of the 
American Stock Exchange settle to the closing level of that index.
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    In support of its proposed change, the NYFE noted its belief that 
the proposed amendments would have no detrimental impact on the 
underlying market. According to NYFE staff, there is not significant 
futures trading volume associated with direct arbitrage between the 
subject futures contract and the equities comprising the Index.
    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. for cash settled 
futures contracts. Also, the Commission requests comment as to whether 
there are any issues, in addition to the relative extent of cash/
futures arbitrage in this Index, that should be considered by the 
Commission in its review of the proposal.
    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 NYFE 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 July 19, 1994.
Jean A. Webb,
Secretary of the Commission.
[FR Doc. 94-17881 Filed 7-21-94; 8:45 am]
BILLING CODE 6351-01-P