Ill. Date of Effectiveness of the Proposed Rule Change
and Timing for Commission Action

The foregoing rule change has become effective pursuant to Section 19(b)(3)(A) of the
Act and paragraph (f) of Rule 19b-4 thereunder. At any time within 60 days of the filing of the
proposed rule change, the Commission may summarily abrogate such rule if it appears to the
Commission that such action is necessary or appropriate in the public interest, for the protection

of investors, or otherwise in furtherance of the purposes of the Act.

IV. Solicitation of Comments

Interested persons are invited to submit written data, views and arguments concerning the
foregoing, including whether the proposed rule change is consistent with the Act. Comments
may be submitted by any of the following methods:

Electronic Comments:

* Use the Commission’s Internet comment form
(http//www.sec.gov/tules/sro.shtml); or

¢ Send an e-mail to rule-comments@sec.gov. Please include File Number 2005-16
on the subject line.

Paper Comments:

e Send paper comments in triplicate to Jonathan G. Katz, Secretary, Securities and
Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609.

All submissions should refer to File Number SR-OCC-2005-16. This file number should
be included on the subject line if e-mail is used. To help the Commission process and review

your comments more efficiently, please use only one method. The Commission will post all

comments on the Commission’s Internet Web site (http://www.sec.gov/rules/sro.shtml). Copies

of the submission, all subsequent amendments, all written statements with respect to the


Page 15 of 15

File No. SR-OCC-2005-16

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, The Options
Clearing Corporation has caused this filing to be signed on its behalf by the undersigned hereunto
duly authorized.

THE OPTIONS CLEARING CORPORATION

By:
iam H. Navin
Executive Vice President and
General Counsel



Page 6 of 15

File No. SR-OCC-2005-16

Section 5 of this Article. Any outstanding options on a futures contract terminated in accordance
with the preceding sentence will be automatically exercised if in-the-money based upon the final
settlement price for the underlying future or will terminate if out-of-the-money based upon such

settlement price.

(d) — (e) [unchanged]

Unavyailability or Inaccuracy of Final Settlement Price

SECTION 5. (a) This paragraph (a) applies to futures contracts that have an
underlying interest (i) traded on one or more organized markets or (ii) that is an index derived
from constituents traded on one or more organized markets._If the Corporation shall determine
(i) that the primary market(s) (as determined by the Corporation) (A) for the underlying interest
in respect of a maturing stock future or cash-settled foreign currency future, or (B) for one or
more [component securities]constituents of (I) the underlying index in respect of a maturing
index future or (II) the index that is the reference variable in respect of a maturing variance
future, did not open or remain open for trading (or that any such security, [or securities or]
foreign currency or constituents did not open or remain open for trading on such market(s)) at or
before the time when the final settlement price for such futures would ordinarily be determined,
or (ii) that a price, variance or other value to be used as, or to determine, the final settlement
price (a “required value”) is otherwise unreported, inaccurate, unreliable, unavailable or
inappropriate for such use, then, in addition to any other action that the Corporation may be
entitled to take under the By-Laws and Rules, the Corporation shall be empowered to [do]take
any or all of the [following]actions described in paragraph (c) of this Section with respect to such
maturing futures (“affected futures”).[:]

(b) This paragraph (b) applies to futures contracts that are not described in the
first sentence of paragraph (a) of this Section. If the Corporation shall determine that a required
value (as defined in paragraph (a)) for an underlying interest or a constituent of an underlying
index for a futures contract is unreported, inaccurate, unreliable, unavailable or inappropriate for
such use, then, in additional to any other action that the Corporation may be entitled to take
under the By-Laws and Rules, the Corporation shall be empowered to take any or all of the
actions described in paragraph (c) of this Section with respect to the affected futures.

(c)_(1) [no change]

(2) The Corporation may fix the final settlement price for affected futures, based
on its judgment as to what is appropriate for the protection of investors and the public interest,
taking into account such factors as fairness to buyers and sellers of affected futures, the
maintenance of a fair and orderly market in such futures, consistency of interpretation and


proposed rule change that are filed with the Commission, and all written communications
relating to the proposed rule change between the Commission and any person, other than those
that may be withheld from the public in accordance with the provisions of 5 U.S.C. 552, will be
available for inspection and copying in the Commission's Public Reference Section, 450 Fifth
Street, N.W., Washington, D.C. 20549. Copies of such filing will also be available for
inspection and copying at the principal office of the above-mentioned self-regulatory
organization. All comments received will be posted without change; the Commission does not
edit personal identifying information from submissions. You should submit only information
that you wish to make available publicly. All submissions should refer to File Number SR-OCC-
2005-16 in the caption above and should be submitted on or before [insert date 21 days from
publication in the Federal Register.]

For the Commission by the Division of Market Regulation, pursuant to delegated
authority.

Secretary

Dated:



instruments) become unavailable, a substitute index may not available. In that instance, OCC
would terminate the index future and fix a settlement price in accordance with Section 5, and any
options on such future would be automatically exercised if in-the-money based on the settlement
price set by OCC. Options that were out-of-the-money would terminate.

Section 5 is amended to account for the fact that the prices that are used to
calculate Gasoline Indexes are not derived from an organized market. Currently, Section 5(a)
assumes that the price or value of all underlying interests, or the constituents of all underlying
indexes, will be taken from organized markets where such underlying interests or constituents
are traded. Because different rules are necessary when the prices or values of underlying
interests or constituents are not available from an organized market, introductory language is
added to Section 5(a) to limit that paragraph’s applicability to market-traded interests or
constituents, and a new paragraph (b) is added so that OCC may act when a price or value of an
underlying interest or constituent that is not traded on a market is unavailable. Current paragraph
(a)(2) is redesignated as (c)(2) and a new provision is added to that paragraph so that OCC may
(i) fix the final settlement price for a non-market-traded underlying interest or constituent using a
price or value, or a combination or average of prices or values, deemed appropriate by OCC or
(ii) simply fix the final settlement price at the most recently determined settlement price for the
future. In the latter case, because the final settlement price would equal the previous settlement
price, no final variation payment would be made.

The introductory paragraph to Chapter XIII is simplified by replacing lists of
underlying interests and contracts cleared and settled by OCC with more generic terms
incorporating all underlying interests and all futures and futures options OCC is permitted to

clear under its current rules. This change conforms that paragraph to the corresponding


Page 11 of 15

File No. SR-OCC-2005-16

assumes that the price or value of all underlying interests, or the constituents of all underlying
indexes, will be taken from organized markets where such underlying interests or constituents
are traded. Because different rules are necessary when the prices or values of underlying
interests or constituents are not available from an organized market, introductory language is
added to Section 5(a) to limit that paragraph’s applicability to market-traded interests or
constituents, and a new paragraph (b) is added so that OCC may act when a price or value of an
underlying interest or constituent that is not traded on a market is unavailable. Current
paragraph (a)(2) is redesignated as (c)(2) and a new provision is added to that paragraph so that
OCC may (i) fix the final settlement price for a non-market-traded underlying interest or
constituent using a price or value, or a combination or average of prices or values, deemed
appropriate by OCC or (ii) simply fix the final settlement price at the most recently determined
settlement price for the future. In the latter case, because the final settlement price would equal
the previous settlement price, no final variation payment would be made.

The introductory paragraph to Chapter XIII is simplified by replacing lists of
underlying interests and contracts cleared and settled by OCC with more generic terms
incorporating all underlying interests and all futures and futures options OCC is permitted to
clear under its current rules. This change conforms that paragraph to the corresponding

introductory paragraph in Article XH.

The proposed changes to OCC’s By-Laws and Rules are consistent with the purposes

and requirements of Section 17A of the Securities Exchange Act of 1934, as amended, because they


Page 8 of 15

File No. SR-OCC-2005-16

CHAPTER XIII
Futures and Futures Options
Introduction

The Rules in this Chapter are applicable only to [security] futures and[, cash-
settled foreign currency futures, broad-based stock index futures,] futures options[ on underlying
broad-based stock index futures, variance futures and futures options on variance futures (as
defined in the By-Laws)]. In addition, the Rules in Chapters I through XII are also applicable to
futures and futures options[the foregoing cleared contracts], in some cases supplemented by one
or more Rules in this Chapter, except for Rules that have been replaced in respect of futures or
futures options by one or more Rules in this Chapter and except where the context otherwise
requires. Whenever a Rule in this Chapter supplements or, for purposes of this Chapter, replaces
one or more of the By-Laws or Rules in Chapters I through XII, that fact is indicated in this
Chapter.

Item 2. Procedures of the Self-Regulatory Organization

The proposed rule change was approved by the Board of Directors of OCC at a
meeting held on October 24, 2005.
Questions regarding the proposed rule change should be addressed to Jean M.

Cawley, First Vice President and Deputy General Counsel, at (312) 322-6269.

Item 3. Self-Regulatory Organization’s Statement of the Purpose of, and Statutory
Basis for, the Proposed Rule Change

A. Gasoline Index Futures
The purpose of this rule change is to permit OCC to clear and settle cash-settled
futures contracts proposed to be listed by CFE that are intended to track the price of

reformulated, regular octane gasoline sold through retail outlets (“Gasoline Index Futures”).


Page 7 of 15

File No. SR-OCC-2005-16

practice, and consistency with actions taken in related futures or other markets. Without limiting
the generality of the foregoing, (A) with respect to affected futures governed by paragraph (a) of
this Section, the Corporation may fix the final settlement price using: (i) the reported price or
value for the relevant [security, securities, index, foreign currency, or varianceJunderlying
interest or one or more constituents comprising the underlying interest at the close of regular
trading hours (as determined by the Corporation) on the last preceding trading day for which
such a price or value was reported by the reporting authority; (ii) the reported price or value for
the relevant [security, securities, index, foreign currency, or varianceJunderlying interest or one
or more constituents comprising the underlying interest at the opening of regular trading hours
(as determined by the Corporation) on the next trading day for which such an opening price or
value is reported by the reporting authority; or (iii) a price or value for the relevant [security,
securities, index, foreign currency, or variance]underlying interest or one or more constituents
comprising the underlying interest at such other time, or representing a combination or average
of prices or values at such time or times, as the Corporation deems appropriate[.]; and (B) with
respect to affected futures governed by paragraph (b) of this Section, the Corporation may (i) fix
the final settlement price using a price or value, or a combination or average of prices or values.
for the relevant underlying interest or one or more constituents comprising the underlying
interest as the Corporation deems appropriate or (ii) fix the final settlement price at the most
recently determined settlement price for the affected future, such that no final variation payment
is due.

(b) [re-lettered as (d) but otherwise unchanged]
. Interpretations and Policies:

-01 The Corporation will not adjust officially reported [stock or foreign currency] prices_or
values of underlying interests [variances or current index values] for final settlement purposes,
even if those prices or values are subsequently found to have been erroneous, except in
extraordinary circumstances. Such circumstances might be found to exist where, for example, the
closing price or current index value as initially reported is clearly erroneous and inconsistent
with prices or values reported earlier in the same trading day, or, in the case of an underlying
variance, clearly erroneous and inconsistent with variances reported on prior trading days and a
corrected closing price, value, variance or current index value is promptly announced by the
reporting authority. In no event will a completed settlement be adjusted due to errors in officially
reported [stock or foreign currency] prices_or values for underlying interests[ variances or current
index values].



introductory paragraph in Article XII.

The proposed changes to OCC’s By-Laws and Rules are consistent with the
purposes and requirements of Section 17A of the Securities Exchange Act of 1934, as amended,
because they are designed to promote the prompt and accurate clearance and settlement of
derivative transactions, to foster cooperation and coordination with persons engaged in the
clearance and settlement of such transactions, to remove impediments to and perfect the
mechanism of a national system for the prompt and accurate clearance and settlement of such
transactions, and, in general, to protect investors and the public interest. The proposed rule
change is not inconsistent with any other By-Laws and Rules of OCC, including those proposed

to be amended.

B. Self-Regulatory Organization's Statement on Burden on Competition

OCC does not believe that the proposed rule change would impose any burden

on competition.

Cc. Self-Regulatory Organization's Statement on Comments on the
Proposed Rule Change Received from Members, Participants or Others

Written comments were not and are not intended to be solicited with respect

to the proposed rule change and none have been received.


Page 10 of 15

File No. SR-OCC-2005-16

Schedule C listing the Gasoline Indexes as permissible underlyings.

B. Rule Changes

The terms “Broad-Based Index Future” and “Narrow-Based Index Future” were
defined in OCC’s rule filing permitting it to clear security futures for purposes of limiting OCC’s
futures clearing and settlement activities to futures on narrow-based stock indexes. There is no
longer a need to describe any such limitation because OCC is registered with the Commodity
Futures Trading Commission (“CFTC”) as a derivatives clearing organization, and the
Commission and the CFTC have previously approved rules permitting OCC to clear commodity
futures contracts. In order to simplify OCC’s rules and provide for non-stock index futures,
those terms are removed, and the definition of “Index Future” is amended to apply to a future on
an index of securities or commodities. Like the definition of Index Future, Sections 4(a) and (b)
of Article XII are amended so that underlying indexes need not consist only of indexes of
securities.

A new sentence is added at the end of Article XII, Section 4(c) to account for the
possibility that if the Gasoline Indexes (or similar indexes not derived from market-traded
instruments) become unavailable, a substitute index may not available. In that instance, OCC
would terminate the index future and fix a settlement price in accordance with Section 5, and any
options on such future would be automatically exercised if in-the-money based on the settlement
price set by OCC. Options that were out-of-the-money would terminate.

Section 5 is amended to account for the fact that the prices that are used to

calculate Gasoline Indexes are not derived from an organized market. Currently, Section 5(a)


Page 2 of 15

File No. SR-OCC-2005-16

SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

Form 19b-4

Proposed Rule Change
by

THE OPTIONS CLEARING CORPORATION

Pursuant to Rule 19b-4 under the
Securities Exchange Act of 1934

Item 1.


Page 13 of 15

File No. SR-OCC-2005-16

Item 7. Basis for Summary Effectiveness Pursuant to Section 19(b)(3) or for

Accelerated Effectiveness Pursuant to Section 19(b)(2)

OCC is filing this proposed rule change for immediate effectiveness pursuant to
Section 19(b)(3) of the Securities Exchange Act of 1934 and Rule 19b-4(f)(4) thereunder.
Pursuant to Rule 19b-4(f)(4), a rule change may take effect upon filing with the Commission if it
effects a change in an existing service of OCC that does not (i) adversely affect the safeguarding
of securities or funds in OCC’s custody or control or for which OCC is responsible or (ii)
significantly affect the respective rights or obligations of OCC or persons using the service.
Gasoline Index Futures are commodity futures within the exclusive jurisdiction of the CFTC,
and OCC will therefore clear Gasoline Index Futures in its capacity as a registered derivatives
clearing organization under the CFTC’s regulatory jurisdiction. Accordingly, although this rule
change represents a change in OCC’s existing service of clearing commodity futures contracts,
that service is not otherwise within the jurisdiction of the Commission. This rule change will not
affect the safeguarding of funds or securities in OCC’s possession because OCC will apply the
same procedures and safeguards to the clearing of these contracts that it does to the clearing of
securities options and security futures over which the Commission has direct regulatory
authority. The respective rights and obligations of OCC and Clearing Members with respect to

matters within the Commission’s jurisdiction will be unaffected.

Item 8. Proposed Rule Change Based on Rule of Another Self-Regulatory
Organization or of the Commission

Not applicable.


Page 12 of 15

File No, SR-OCC-2005-16

are designed to promote the prompt and accurate clearance and settlement of derivative transactions,
to foster cooperation and coordination with persons engaged in the clearance and settlement of such
transactions, to remove impediments to and perfect the mechanism of a national system for the
prompt and accurate clearance and settlement of such transactions, and, in general, to protect
investors and the public interest. The proposed rule change is not inconsistent with any other By-

Laws and Rules of OCC, including those proposed to be amended.

Item 4. Self-Regulatory Organization’s Statement on Burden on Competition

OCC does not believe that the proposed rule change would impose any burden on

competition.

Item 5. Self-Regulatory Organization’s Statement on Comments on the Proposed
Rule Change Received from Members, Participants or Others

‘Written comments were not and are not intended to be solicited with respect to the

proposed rule change and none have been received.

Item 6. Extension of Time Period for Commission Action
OCC does not consent to an extension of the time period specified in Section 19(b)(2)

of the Securities Exchange Act of 1934.


Page 9 of 15

File No. SR-OCC-2005-16

Gasoline Index Futures will have as their underlying interest indexes of retail gasoline prices
(the “Gasoline Indexes”) published by the Energy Information Administration (“EIA”) of the
U.S. Department of Energy. The Gasoline Indexes are compiled and released each Monday
evening from surveys of prices at retail gasoline outlets conducted by the EIA each Monday
morning. CFE is proposing to list Gasoline Index Futures on six underlying Gasoline Indexes,
one for the entire United States and one for each of five “Petroleum Administration for Defense
Districts.” Gasoline Index Futures would cease trading on the third Friday of the expiration
month and settle on the following Tuesday using as a final settlement price (a) the Gasoline
Index levels published on the Monday preceding the settlement date multiplied by (b) a contract
multiplier of 10,500. For example, a Gasoline Index of $3.00 per gallon would result in a final
settlement price of $31,500.

OCC currently clears and settles futures on stock indexes. Although Gasoline
Index Futures will be the first non-stock index futures contracts cleared and settled by OCC, they
can be cleared under OCC’s existing By-Laws and Rules applicable to clearing futures contracts
with the minor amendments proposed in this filing. OCC will collect margin and make variation
payments with respect to Gasoline Index Futures as in the case of any other futures contract.
However, because the Gasoline Indexes are published only once a week, OCC will be required
to estimate one-day volatilities in calculating initial margin. Because OCC will estimate
volatilities conservatively, margins are likely to be higher than if underlying prices were
available on a daily basis. Gasoline Index Futures will be cleared under the current clearing

agreement between OCC and CFE, subject only to the execution by OCC and CFE of anew


Page 5 of 15

File No. SR-OCC-2005-16

ARTICLE XII

Futures and Futures Options

* * *

Adjustments to Index Futures and Variance Futures and Options on Such Futures

SECTION 4. (a) No adjustments will ordinarily be made in the terms of index
futures or in the terms of variance futures that have an index as their reference variable in the
event that securities, commodities, or other constituents are added to or deleted from the index or
when the relative weight of one or more [securities]such constituents in the index is changed.
However, if the Corporation shall determine in its sole discretion that any such addition, deletion
or change causes significant discontinuity in the level of the index, the Corporation may adjust
the terms of the affected index futures by adjusting the index multiplier with respect to such
contracts or by taking such other action as the Corporation in its sole discretion deems fair to
both the buyers and sellers of such contracts. Similarly, the Corporation may use its discretion to
adjust variance futures if necessary to correct for any impact such an event could have on an
underlying variance.

(b) If (i) an Exchange, futures market or security futures market shall increase or
decrease the multiplier for any index futures contract or variance futures contract, (ii) the
reporting authority shall change the method of calculation of an index that is an underlying
interest or reference variable so as to create a discontinuity or change in the level of the index
that does not reflect a change in the prices or values of the constituents| securities] in the index,
or (iii) the Corporation shall substitute one index for another pursuant to paragraph (c) of this
Section, the Corporation shall make such adjustments in the number of outstanding affected
futures or the contract prices of such futures or such other adjustments, if any, as the Corporation
in its sole discretion deems fair to both the buyers and the sellers of such contracts.

(c) In the event the Corporation determines that: (i) publication of an index that is
an underlying interest or reference variable has been discontinued; (ii) such an index has been
replaced by another index; or (iii) the composition or method of calculation of such an index is
so materially changed since its selection as an underlying interest or reference variable that it is
deemed to be a different index, the Corporation may substitute another index (a “successor
index”) as the underlying interest or reference variable. A successor index shall be reasonably
comparable, as determined by the Corporation in its discretion, to the original index for which it
is substituted. An index may be created specifically for the purpose of becoming a successor
index._If the Corporation determines in its discretion not to substitute a successor index, the
Corporation may terminate the futures contract and fix a settlement price in accordance with



EXHIBIT 1
SECURITIES AND EXCHANGE COMMISSION
(Release No. 34- ; File No. SR-OCC-2005-16

SELF-REGULATORY ORGANIZATION

Proposed Rule Change By
The Options Clearing Corporation

Relating to Gasoline Index Futures

Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934, 15 U.S.C. 78s(b)(1),
notice is hereby given that on , 2005, The Options Clearing Corporation ("OCC")
filed with the Securities and Exchange Commission the proposed rule change as described in
Items I, II and III below, which Items have been prepared by the self-regulatory organization.

The Commission is publishing this notice to solicit comments on the proposed rule change from

interested persons.
I Self-Regulatory Organization's Statement of the

Terms of the Substance of the Proposed Rule Change
The proposed rule change would permit OCC to clear and settle cash-settled futures
contracts proposed to be listed by CFE that are intended to track the price of reformulated,

regular octane gasoline sold through retail outlets (“Gasoline Index Futures”).


Index Futures will be the first non-stock index futures contracts cleared and settled by OCC, they
can be cleared under OCC’s existing By-Laws and Rules applicable to clearing futures contracts
with the minor amendments proposed in this filing. OCC will collect margin and make variation
payments with respect to Gasoline Index Futures as in the case of any other futures contract.
However, because the Gasoline Indexes are published only once a week, OCC will be required to
estimate one-day volatilities in calculating initial margin. Because OCC will estimate volatilities
conservatively, margins are likely to be higher than if underlying prices were available on a daily
basis. Gasoline Index Futures will be cleared under the current clearing agreement between
OCC and CFE, subject only to the execution by OCC and CFE of a new Schedule C listing the
Gasoline Indexes as permissible underlyings.

B. Rule Changes

The terms “Broad-Based Index Future” and “Narrow-Based Index Future” were
defined in OCC’s rule filing permitting it to clear security futures for purposes of limiting OCC’s
futures clearing and settlement activities to futures on narrow-based stock indexes. There is no
longer a need to describe any such limitation because OCC is registered with the Commodity
Futures Trading Commission (“CFTC”) as a derivatives clearing organization, and the
Commission and the CFTC have previously approved rules permitting OCC to clear commodity
futures contracts. In order to simplify OCC’s rules and provide for non-stock index futures,
those terms are removed, and the definition of “Index Future” is amended to apply to a future on
an index of securities or commodities. Like the definition of Index Future, Sections 4(a) and (b)
of Article XII are amended so that underlying indexes need not consist only of indexes of
securities.

A new sentence is added at the end of Article XII, Section 4(c) to account for the

possibility that if the Gasoline Indexes (or similar indexes not derived from market-traded


Page 4 of 15

File No. SR-OCC-2005-16

(5) — (7) [renumbered as (4) — (6) but otherwise unchanged]
C.—H. [unchanged]
I.

(1) [unchanged]

Index Future

(2) The term “index future” means a future on an index of securities or
commodities[broad-based or narrow-based index future].

(3) — (9) [unchanged].

J.—M. [unchanged]
N.

[Narrow-Based Index Future

(1) The term “narrow-based index future” means a security future for which the
underlying interest is a narrow-based security index, as defined in Section 3(a)(55) of the
Securities Exchange Act of 1984.]

(2) — (6) [renumbered as (1) — (5) but otherwise unchanged]

O.- Z. [unchanged]


Page 3 of 15

File No. SR-OCC-2005-16

Text of the Proposed Rule Change

The Options Clearing Corporation (‘““OCC” or “the Corporation”) proposes to
amend Articles I and XII of its By-Laws and Chapter XIII of its Rules as set forth below.
Material proposed to be added is underlined. Material proposed to be deleted is enclosed in bold
brackets. The changes will permit OCC to clear and settle cash-settled futures contracts
proposed to be listed by the CBOE Futures Exchange (“CFE”) on indexes of the price of

gasoline.

THE OPTIONS CLEARING CORPORATION
BY-LAWS
ARTICLE I
Definitions
Definitions

SECTION 1. Unless the context requires otherwise (or except as otherwise
specified in the By-Laws), the terms defined herein shall, for all purposes of these By-Laws and
the Rules of the Corporation, have the meanings herein specified.

A. [unchanged]
B.

(1) - (3) [unchanged]
[Broad-Based Index Future

(4) The term “broad-based index future” means a future on an index of securities
that is not a security future and that is exclusively within the jurisdiction of the Commodity
Futures Trading Commission.]


Page 14 of 15

File No. SR-OCC-2005-16

Item 9. Exhibits

Exhibit 1. Completed Notice of Proposed Rule Change for publication in the

Federal Register.


I. Self-Regulatory Organization's Statement of the Purpose
of, and Statutory Basis for, the Proposed Rule Change

In its filing with the Commission, the self-regulatory organization included statements
concerning the purpose of and basis for the proposed rule change and discussed any comments it
received on the proposed rule change. The text of these statements may be examined at the
places specified in Item IV below. The self-regulatory organization has prepared summaries, set

forth in sections (A), (B), and (C) below, of the most significant aspects of such statements.

A. Self-Regulatory Organization's Statement of the Purpose
of, and Statutory Basis for, the Proposed Rule Change

A. Gasoline Index Futures

The purpose of this rule change is to permit OCC to clear and settle cash-settled
futures contracts proposed to be listed by CFE that are intended to track the price of
reformulated, regular octane gasoline sold through retail outlets (“Gasoline Index Futures”).
Gasoline Index Futures will have as their underlying interest indexes of retail gasoline prices (the
“Gasoline Indexes”) published by the Energy Information Administration (“EIA”) of the U.S.
Department of Energy. The Gasoline Indexes are compiled and released each Monday evening
from surveys of prices at retail gasoline outlets conducted by the EIA each Monday morning.
CFE is proposing to list Gasoline Index Futures on six underlying Gasoline Indexes, one for the
entire United States and one for each of five “Petroleum Administration for Defense Districts.”
Gasoline Index Futures would cease trading on the third Friday of the expiration month and
settle on the following Tuesday using as a final settlement price (a) the Gasoline Index levels
published on the Monday preceding the settlement date multiplied by (b) a contract multiplier of
10,500. For example, a Gasoline Index of $3.00 per gallon would result in a final settlement
price of $31,500.

OCC currently clears and settles futures on stock indexes. Although Gasoline