• ACI Russia

08/27/1998 16:52:53 CME to survey dealers for rouble, real settlements

CHICAGO, Aug 27 (Reuters) - The Chicago Mercantile Exchange

said Thursday it wants to survey dealers to calculate final

prices in Russian rouble and Brazilian real futures on

settlement days when the underlying cash markets are shut.

A CME source added that the exchange's board Thursday

afternoon will announce other, more-sweeping measures to ensure

reliable pricing and settlement in the Russian rouble futures

contract, but he would not elaborate.

The CME, in a members' floor notice on Thursday, said its

board on Wednesday decided to ask the Commodity Futures Trading

Commission to let it randomly poll eight dealers anonymously

from a list of 12 dealers for their views of the current bid and

offer for Russian roubles versus U.S. dollar.

The CME would take the midpoint of these bids and offers,

eliminate the two highest and lowest ones and average the

remaining four. It then would take the reciprocal of the average

midpoint and round it to six decimal places to arrive at the

final rouble futures settlement price.

The CME's cash-settled rouble contract is based on spot

roubles traded on the the Moscow Interbank Currency Exchange.

But the Russian central bank on Wednesday and again on Thursday

suspended MICEX rouble trading and said rouble trade there will

not resume on Friday.

The Russian central bank acted because of fears the rouble,

which skidded more than 40 percent on Tuesday alone, would

spiral into free-fall.

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


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