[Federal Register Volume 61, Number 187 (Wednesday, September 25, 1996)]
[Notices]
[Pages 50280-50281]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 96-24595]


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COMMODITY FUTURES TRADING COMMISSION

Chicago Mercantile Exchange: Proposed Amendments to the Cash 
Settlement Provisions of the CME Three-Month Eurodollar and One-Month 
LIBOR Futures Contracts

AGENCY: Commodity Futures Trading Commission.

ACTION: Notice of availability of the terms and conditions of proposed 
amendments to commodity futures contracts.

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SUMMARY: The Chicago Mercantile Exchange (CME or Exchange) has 
submitted proposed amendments to the cash settlement provisions of its 
three-month Eurodollar and one-month LIBOR futures contracts. Under the 
proposal, cash settlement of the contracts would be based upon an 
interest rate survey conducted by the British Bankers' Association 
(BBA), rather than by the CME. The Acting Director of the Division of 
Economic Analysis (Division) of the Commission, acting pursuant to the 
authority delegated by Commission Regulation 140.96, has determined 
that publication of the proposal for comment is in the public interest, 
will assist the Commission in considering the views of interested 
persons, and is consistent with the purposes of the Commodity Exchange 
Act.

DATES: Comments must be received on or before October 10, 1996.

ADDRESSES: Interested persons should submit their views and comments to 
Jean A. Webb, Secretary, Commodity Futures Trading Commission, Three 
Lafayette Centre, 1155 21st St., NW, Washington, DC 20581. In addition, 
comments may be sent by facsimile transmission to facsimile number 
(202) 418-5521, or by electronic mail to [email protected]. Reference 
should be made to the amendments to the CME three-month Eurodollar and 
one-month LIBOR futures contracts.

FOR FURTHER INFORMATION CONTACT: Please contact Stephen Sherrod of the 
Division of Economic Analysis, Commodity Futures Trading Commission, 
Three Lafayette Centre, 1155 21st St., NW, Washington, DC 20581, 
telephone 202-418-5277.

[[Page 50281]]

Facsimile number: (202) 418-5527. Electronic mail: [email protected]

SUPPLEMENTARY INFORMATION: Under current rules for the subject futures 
contracts, to compute the cash settlement price the CME surveys 
Exchange-approved reference banks twice on the last day of trading. The 
Exchange surveys 16 reference banks selected at random from a list of 
at least 20 banks designated by the Exchange. Each reference bank 
quotes its perception of the rate at which three-month Eurodollar time 
deposits currently are offered by the market to prime banks in the 
London interbank market. The Exchange eliminates the four highest and 
lowest quotes and calculates the settlement yield as the average of the 
remaining eight quotes, rounded to two decimal places (the nearest one-
hundredth of one-percent). The cash settlement price is the difference 
between one hundred and the settlement yield (expressed as a percent). 
Cash settlement is effected using normal variation margin procedures.
    The Exchange proposes to cash settle the subject futures contracts 
based on the BBA Interest Settlement Rate (ISR) for Eurodollar deposits 
of the relevant maturity on the day after the last trading day, rather 
than on the basis of the CME-conducted survey on the last trading day. 
The BBA ISR is computed each day based on a survey of 16 banks that BBA 
has designated. Each surveyed bank quotes its view of the rate at which 
three-month Eurodollar time deposits are available in the London 
interbank market at 11:00 a.m. London time. BBA eliminates the four 
highest and four lowest rates and calculates the ISR as the average of 
the remaining eight quotes, rounded to five decimal places. The 
Exchange will compute the settlement yield by rounding the ISR to two 
decimal places. As under current rules for the contracts, the cash 
settlement price will be the difference between one hundred and the 
settlement yield.
    The CME proposes to implement the changes to the cash settlement 
provisions immediately upon Commission approval for application to all 
existing and newly listed contracts.
    The Division requests comment on the proposed changes. Comment also 
is requested of the proposal to apply the amendments to existing 
contracts.
    Copies of the proposed amendments will be available for inspection 
at the Office of the Secretariat, Commodity Futures Trading Commission, 
Three Lafayette Centre, 1155 21st St., NW, Washington, D.C. 20581. 
Copies of the terms and conditions can be obtained through the Office 
of the Secretariat by mail at the above address or by phone at (202) 
418-5097.
    Other materials submitted by the CME may be available upon request 
pursuant to the Freedom of Information Act (5 U.S.C. 552) and the 
Commission's regulations thereunder (17 C.F.R. Part 145 (1987)), except 
to the extent they are entitled to confidential treatment as set forth 
in 17 C.F.R. 145.5 and 145.9. Requests for copies of such materials 
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 C.F.R. 145.7 and 145.8.
    Any person interested in submitting written data, views, or 
arguments on the proposed amendments, or with respect to other 
materials submitted by the CME, should send such comments to Jean A. 
Webb, Secretary, Commodity Futures Trading Commission, Three Lafayette 
Centre, 1155 21st St., NW, Washington, DC 20581 by the specified date.

    Issued in Washington, DC, on September 19, 1996.
John Mielke,
Acting Director.
[FR Doc. 96-24595 Filed 9-24-96; 8:45 am]
BILLING CODE 6351-01-P