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[Federal Register: August 14, 1997 (Volume 62, Number 157)]
[Notices]
[Page 43517-43518]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr14au97-34]

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COMMODITY FUTURES TRADING COMMISSION


Notice of Availability; Chicago Mercantile Exchange Proposed
Amendments to the Standard & Poor's 500 Stock Price Index Futures and
Futures Option Contracts and the E-Mini Standard and Poor's 500 Stock
Price Index Futures and Option Contracts

AGENCY: Commodity Futures Trading Commission.

ACTION: Notice of availability of proposed amendments to the multiplier
and minimum price fluctuation provisions in the Standard & Poor's 500
Stock Price Index futures and futures option contracts and the minimum
price fluctuation provisions in the E-Mini Standard and Poor's 500
Stock Price Index futures and option contracts.

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SUMMARY: The Chicago Mercantile Exchange (CME) has submitted proposed
amendments to halve the multiplier in the Standard & Poor's 500 Stock
Price Index (S&P 500) futures contract and to double the minimum price
fluctuation in the S&P 500 futures and option contracts. The CME also
has submitted proposed amendments to increase the minimum price
fluctuation limit in the E-Mini Standard & Poor's 500 Stock Price Index
(E-Mini S&P 500) futures and futures option contracts. The 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 purposes of the
Commodity Exchange Act.

DATES: Comments must be received on or before August 29, 1997.

ADDRESSES: Interested persons should submit their views and comments to
Jean A. Webb, Secretary, Commodity Futures Trading Commission, 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
proposed amendments to the index multiplier and minimum tick provisions
of the S&P 500 futures and futures option contracts and the minimum
tick provisions of the E-Mini S&P 500 futures and option contracts.

FOR FURTHER INFORMATION CONTACT: Please contact Thomas Leahy of the
Division of Economic Analysis, Commodity Futures Trading Commission,
1155 21st Street NW., Washington, DC 20581, telephone 202-418-5278.
Facsimile number: (202) 418-5527. Electronic mail: [email protected].

SUPPLEMENTARY INFORMATION: The CME proposes to halve the contract size
of the S&P 500 futures contract by reducing the index multiplier to
$250 times the S&P 500 from $500 times the S&P 500. The CME also
proposes to increase the S&P 500 futures and option minimum price
fluctuations to 0.10 index point from 0.05 index point, thus
maintaining the dollar value of the minimum tick at $25.00 per
contract. Under the proposal, the unit of trading in the S&P 500
futures option contract would be two S&P 500 futures contracts. Thus,
the S&P 500 futures option would be exercisable into two futures
contracts. The CME has represented that it intends to implement these
amendments in October or November 1997 for application to existing and
newly listed contract months beginning with the December 1997
contracts.
    Separately, the CME proposes to increase the size of the minimum
price fluctuation in the E-Mini S&P 500 futures and option contracts to
0.25 index point ($12.50 per contract) from 0.10 index point ($5.00 per
contract). Those amendments would be implemented, for newly listed
contract months only, at the time the E-Mini S&P 500 futures and option
contracts are listed for trading.
    In support of its proposal to apply the proposed S&P 500 futures
and option contract amendments to existing contracts, the CME stated
that sufficient advance notice would be provided to those who choose to
offset their positions. Further, the CME stated that,

[[Page 43518]]

because of the nature of a competitive marketplace, ``commission and
brokerage rates will fall to one half of their current levels,''
although ``the extent and rate of decline cannot be estimated with
precision.'' Moreover, ``the users' all-in costs will be sufficiently
reduced by the anticipated improvements in liquidity to more than
offset any increases in commission and brokerage payments that may
occur.''
    The Division specifically requests comment with regard to the CME
proposal to apply the proposed amendments to the S&P 500 futures and
option contracts to currently listed contract months. In addition, the
Division requests comment on the proposal to double the minimum tick in
the S&P 500 futures and futures option contracts to 0.10 index point,
and the proposal to increase the minimum tick in the E-Mini S&P 500
futures and option contracts to 0.25 index point.
    Copies of the proposed amendments will be available for inspection
at the Office of the Secretariat, Commodity Futures Trading Commission,
1155 21st Street, N.W., 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 in support of the proposals
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, 1155 21st
Street, NW, Washington, DC 20581 by the specified date.

    Issued in Washington, DC, on August 8, 1997.
John Mielke,
Acting Director.
[FR Doc. 97-21520 Filed 8-13-97; 8:45 am]
BILLING CODE 6351-01-P
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