| On Saturday, December 1, 2001, amendments to Exchange rules that govern the final settlement procedures in domestic stock index futures contracts shall become effective. These affect all domestic stock index products currently listed on the Exchange. Included are S&P 500, E-Mini S&P 500, S&P MidCap 400, S&P Barra Growth Index, S&P Barra Value Index, Russell 2000, E-Mini Russell 2000, Nasdaq 100, E-Mini Nasdaq 100 and FORTUNE e-50 contracts. These particular amendments address the situation where a component stock of a stock index is not traded on the final settlement date when the primary market has opened for trading. Reference to the last sale price is warranted where the stock did not trade on the final settlement date while its primary market was open for trading. Under normal conditions, this might suggest that the stock is illiquid and that there is a reasonable probability that it will not trade on the next business day. To defer determination of that stock�s price for the purposes of determining a final settlement could result in unwarranted delay of such final settlement. The rules are amended to permit "a decision as to whether there is a reasonable likelihood that trading in the stock shall occur shortly," in which case, the final settlement will be deferred pending the availability of pricing data on the next opening. If you have any questions, please contact Mr. Eric Wolff, Managing Director, Regulatory Affairs, at (312) 930-3255, Mr. James P. Moran, Director, Division of Market Regulation, at (312) 930-8520 or Mr. Robert Sniegowski, Associate Director, Division of Market Regulation, at (312) 648-5493. Thank you. |
