• ACI Russia

08/28/1998 09:02:45 CME, EMTA set rouble reference rate at 12.863/dlr

Обновлено: 30 авг. 2018 г.

LONDON, Aug 28 (Reuters) - The Chicago Mercantile Exchange

(CME) and the Emerging Market Traders Association (EMTA) on

Friday posted a reference rouble/dollar exchange rate of 12.863,

in the absence of an official fix from Moscow.

Russia's MICEX currency exchange was closed for the third

day on Friday after the rouble spiralled well beyond the

corridor of six to 9.5 roubles to the dollar, set on August 17.

Market sources said the rate was not intended to replace any

MICEX trade, but market players might choose to use it to settle

contracts in the absence of a MICEX fix.

The rate, published on Reuters contributor page <EMTA>,

compares with indicative market rates on Friday morning of

around 12.5/13 bid/offer.

"It's being published for informational purposes only, at

the request of market participants," an EMTA spokeswoman told


A joint CME/EMTA statement said the two organisations

discussed problems arising from the lack of a MICEX fix with

representatives from the rouble/dollar non-deliverable forward

(NDF) market on Thursday.

The official fix is usually used as a standard settlement

rate for rouble/dollar NDF contracts and as the CME's settlement

rate for its rouble futures and options contracts.

The statement said the CME would conduct a daily survey of

rouble/dollar quotes from eight randomly chosen market

participants in Moscow at 11.00 a.m. (0800 GMT). The two highest

and two lowest midpoints would be excluded and the reference

rate calculated as an average of the remaining quotes.

"The CME/EMTA Reference Rate will be published on a daily

basis as long as a minimum of five bid and offer quotes are

received from survey participants," the statement said.

It said the CME/EMTA reference rate would become the final

settlement price for the CME rouble futures contract if MICEX

did not fix an official rate.

The rate is to be published on Reuters contributor page

<EMTA> and through the CME's normal quote distribution channels.

"The CME and EMTA disclaim liability for the CME/EMTA

Reference Rate, and no representation or warranty, express or

implied, is made concerning the CME/EMTA Reference Rate," the

statement added.

((Gill Tudor, London Newsroom +44 171 542 6414, fax 583 7239,


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