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