[Federal Register Volume 63, Number 242 (Thursday, December 17, 1998)]
[Notices]
[Pages 69615-69616]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 98-33354]


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COMMODITY FUTURES TRADING COMMISSION


Chicago Mercantile Exchange: Proposed Amendments to the Cash 
Settlement Provisions of the CME Brazilian Real Futures Contract

AGENCY: Commodity Futures Trading Commission.

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

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SUMMARY: The Chicago Mercantile Exchange (CME or Exchange) has 
submitted proposed amendments related to the cash settlement provisions 
of its Brazilian Real futures contract. Under the proposal, the CME 
proposes to adopt procedures to set an alternative cash settlement 
price in the event the Central Bank of Brazil does not determine and/or 
the SISBACEN does not disseminate the official average offer rate of 
Brazilian reais per U.S. dollar on the last day of trading. That 
alternative cash settlement price would be based on the results of the 
CME survey of financial institutions inside of Brazil who are active in 
the Brazilian reais per commercial U.S. dollar spot and/or non-
deliverable forward (NDF) markets. 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 proposals for comment is in the public 
interest, will assist the Commission in considering the views of 
interested persons, and is consistent with the purpose of the Commodity 
Exchange Act.

DATES: Comments must be received on or before January 4, 1999.

ADDRESSES: Interested persons should submit their views and comments to 
Jean A. Webb, Secretary, Commodity Futures Trading Commission, Three 
Lafayette Centre, 1155 21st Street, 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 Brazilian Real 
futures contract.

FOR FURTHER INFORMATION CONTACT:
Please contact Thomas Leahy of the Division of Economic Analysis, 
Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st 
Street NW, Washington, 20581, telephone (202) 418-5278. Facsimile 
number: (202) 418-5527. Electronic mail: [email protected].


[[Page 69616]]


SUPPLEMENTARY INFORMATION: Under current rules for the CME Brazilian 
Real futures contract, the cash settlement price is the reciprocal of 
the exchange rate of reais per commercial U.S. dollars for cash 
delivery, according to the provisions of Resolution No. 1690/'90 of the 
Brazilian National Monetary Council. That rate is defined as the 
average transaction rate calculated by the Central Bank of Brazil 
(Central Bank), according to its criteria, and broadcast by SISBACEN, 
transaction PTAX 800, option 5-L,\1\ on the last day of trading. In the 
event that the Central Bank does not determine and/or SISBACEN does not 
broadcast that exchange rate, CME rules provide for the declaration of 
an emergency pursuant to existing Exchange rule 3022.J.
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    \1\ According to the CME, the PTAX rate is the weighted average 
Brazilian real per U.S. dollar price of all transactions for that 
day plus the current value of 0.0004 real per U.S. dollar to obtain 
the average offered rate.
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    The Exchange proposes to adopt, in its rules, backup procedures 
that would be used if the Central Bank does not determine, and/or 
SISBACEN does not disseminate, the exchange rate of Brazilian reais per 
commercial U.S. dollar on the last trading day of the subject contract. 
The backup cash settlement price would be based on the exchange rate 
derived from the CME's survey of financial institutions on the last day 
of trading. By implementing backup procedures in its rules, the CME 
would be able to avoid an emergency declaration in the event that the 
primary cash settlement price is not determined or published.\2\
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    \2\ In addition, the CME proposes a nonsubstantive amendment to 
clarify that the final settlement price is the reciprocal of the 
weighted average offered rate, rather than the weighted average 
transaction rate that is calculated by the Central Bank.
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    The CME survey is conducted as follows. The CME surveys eight 
reference institutions from a list of at least twelve institutions that 
are active participants in the market for spot and/or non-deliverable 
forward markets. Beginning at 6:00 p.m. (Sao Paolo time), each randomly 
selected participant is asked for its perception of the average dollar 
offered rate at which spot transactions for Brazilian reais per 
commercial U.S. dollar occurred during the trading day, calculated in 
accordance with the Central Bank's methodology for transaction PTAX 
800, option 5-L. The highest two and the lowest two offer rates are 
eliminated. The remaining four offer rates are averaged and the 
reciprocal of that average is the final settlement price.
    If the CME is unable to obtain eight responses, but is able to 
obtain at least five responses, then the CME eliminates the highest and 
the lowest offer rate and averages the remaining offer rates. The final 
settlement price is the reciprocal of that average. If fewer than five 
responses are received, then the CME would invoke its existing 
emergency provisions.
    The CME proposes to implement the changes to the proposed 
amendments to the cash settlement provisions upon Commission approval 
for application to existing and newly listed contracts beginning with 
the February 1999 contract month which expires on January 29, 1999.
    The Division requests comment on the proposed changes and the 
proposal to implement the amendments to existing positions.
    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 CFR part 145 (1987)), except to 
the extent they are entitled to confidential treatment as set forth in 
17 CFR 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 CFR 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 December 11, 1998.
John R. Mielke,
Acting Director.
[FR Doc. 98-33354 Filed 12-16-98; 8:45 am]
BILLING CODE 6351-01-M