[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] ======================================================================= ----------------------------------------------------------------------- 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. ----------------------------------------------------------------------- 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. --------------------------------------------------------------------------- \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. --------------------------------------------------------------------------- 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\ --------------------------------------------------------------------------- \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. --------------------------------------------------------------------------- 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