• ACI Russia

08/26/1998 18:21:40 CME mulls rouble pricing, futures imply more loss

CHICAGO, Aug 26 (Reuters) - Officials at the Chicago

Mercantile Exchange (CME) huddled on Wednesday to consider

pricing and settlement procedures for its nascent Russian

rouble futures when the underlying cash market is not trading,

floor sources said.

"They're having a meeting right now...." said a floor

broker active in the contract. He said at least one CME board

member "has been gone for hours" at the currency meeting, which

preceded a regular meeting Wednesday of the CME's full board.

A CME spokesman could not confirm that officials met

Wednesday or that the CME board would weigh action on

lead-month rouble futures contract.

September rouble futures will settle September 15 to the

underlying cash at the Moscow Interbank Currency Exchange

(MICEX), where trade was suspended on Wednesday after the

rouble fell five percent from the previous day's fix.

At the Chicago exchange, floor brokers said rouble futures

featured no big trades, mainly five- and 10-contract orders. By

midday, a total of 102 rouble futures had traded, 90 in

lead-month September and 12 in the March 1999 rouble.

But the pricing of the lead-month September CME futures

contract implied a cash-equivalent of 14.29 roubles per dollar,

far below Tuesday's fix of 7.86 roubles per dollar that MICEX

said it will use to start trade on Thursday.

The floor broker said the CME currency meeting followed a

memo distributed earlier this week suggesting using a poll of

rouble market-makers and dealers on which to base the futures

"if all hell broke loose and there was no way to price it."

The CME spokesman said CME is working on how to settle the

futures contract if the MICEX cash rouble were not traded.

"So we are working on an alternative procedure when there

is a situation in which MICEX is not open or does not have a

rate on that (settlement) date," he said.

((Laura Jacobs, Chicago Derivatives Desk (312) 408-8750


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