Chicago Mercantile Exchange: Proposed Amendments to the Cash Settlement Provisions of the CME Russian Ruble Futures Contract

COMMODITY FUTURES TRADING COMMISSION

Chicago Mercantile Exchange: Proposed Amendments to the Cash

Settlement Provisions of the CME Russian Ruble Futures Contract

AGENCY: Commodity Futures Trading Commission.

ACTION: Notice of availability of proposed amendments to the terms and

conditions of commodity futures contract.

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SUMMARY: The Chicago Mercantile Exchange (CME or Exchange) has

submitted proposed amendments related to the cash settlement provisions

of its Russian Ruble futures contract. If the Moscow Interbank Currency

Exchange (MICEX) did not determine and/or disseminate a rubles per

dollar spot exchange rate on the last day of trading, then, under the

proposal, the CME would set the cash settlement price based on the

results of its survey of Russian ruble-US dollar interbank market

participants used to determine the ruble/dollar exchange rate on that

day. The Director of the Division of Economic Analysis (Division) of

the Commission, acting pursuant to the authority delegated by

Commission Regulation 140.96, has determined that publication of the

proposals for comment is in the public interest, will assist the

Commission in considering the views of interested persons, and is

consistent with the purpose of the Commodity Exchange Act.

DATES: Comments must be received on or before September 8, 1998.

ADDRESSES: Interested persons should submit their views and comments to

Jean A. Webb, Secretary, Commodity Futures Trading Commission, Three

Lafayette Centre, 1155 21st Street, NW Washington, DC 20581. In

addition, comments may be sent by facsimile transmission to facsimile

number (202) 418-5521, or by electronic mail to [email protected].

Reference should be made to the amendments to the CME Russian Ruble

futures contract.

FOR FURTHER INFORMATION CONTACT:

Please contact Thomas Leahy of the Division of Economic Analysis,

Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st

Street NW, Washington, 20581, telephone (202) 418-5278. Facsimile

number: (202) 418-5527. Electronic mail: [email protected].

SUPPLEMENTARY INFORMATION: Under current rules for the CME ruble

futures contract, the cash settlement price is the reciprocal of the

spot rate of Russian rubles per US dollar determined by the Moscow

Interbank Currency Exchange on the last day of trading. In the event

that MICEX does not determine and/or disseminate that spot exchange

rate, CME rules provide for the declaration of an emergency pursuant to

existing Exchange rule 3025.J.

To preclude an emergency declaration, the Exchange proposes to

adopt in its rules, backup procedures that would be used if the MICEX

does not determine and/or disseminate the spot rate of Russian rubles

per US dollar on the last trading day of the subject contract. The

backup cash settlement price would be based on the exchange rate

derived from the CME's daily survey of banks. The daily CME survey was

initiated on August 28, 1998.

The daily CME survey is conducted as follows. The CME surveys eight

reference institutions from a list of at least twelve institutions that

are active participants in the market for spot and/or non-deliverable

forward markets. At 11:00 a.m. (Moscow time), each randomly selected

participant is asked for its perception of the prevailing bid and offer

for a typically sized Russian ruble per US dollar spot transaction in

the Moscow marketplace. The midpoint of each bid/offer pair is

determined, and the highest two and the lowest two midpoints are

eliminated. The remaining four midpoints are averaged and the

reciprocal of that average is the daily rate, which could be used as

the final settlement price, as noted above.

If the CME is unable to obtain eight responses, but is able to

obtain at least five responses, then the CME determines the midpoints

of each bid/offer pair and eliminates the highest and the lowest

midpoint and average the remaining midpoints. The daily rate, that may

be the final settlement price, is the reciprocal of that average. If

fewer than five responses are received, then the CME would invoke its

emergency provisions.

The CME proposes to implement the changes to the proposed

amendments to the cash settlement provisions immediately upon

Commission approval for application to all existing and newly listed

contracts. The first contract month to which the amendments could apply

is the September 1998 contract which expires on September 15, 1998.

The Division requests comment on the proposed changes and

implementation plan. The comment period is abbreviated in view of the

short time period remaining to the expiration date of the September

contract and in view of the recent suspension by MICEX of its daily

fixing of the rubles per dollar exchange rate.

Copies of the proposed amendments will be available for inspection

at the Office of the Secretariat, Commodity Futures Trading Commission,

Three Lafayette Centre, 1155 21st St., NW, Washington, D.C. 20581.

Copies of the terms and conditions can be obtained through the Office

of the Secretariat by mail at the above address or by phone at (202)

418-5097.

Other materials submitted by the CME may be available upon request

pursuant to the Freedom of Information Act (5 U.S.C. 552) and the

Commission's regulations thereunder (17 C.F.R. Part 145 (1987)), except

to the extent they are entitled to confidential treatment as set forth

in 17 C.F.R. 145.5 and 145.9. Requests for copies of such materials

should be made to the FOI, Privacy and Sunshine Act Compliance Staff of

the Office of the Secretariat at the Commission's headquarters in

accordance with 17 C.F.R. 145.7 and 145.8.

Any person interested in submitting written data, views, or

arguments on the proposed amendments, or with respect to other

materials submitted by the CME, should send such comments to Jean A.

Webb, Secretary, Commodity Futures Trading Commission, Three

[[Page 47008]]

Lafayette Centre, 1155 21st St., NW, Washington, DC 20581 by the

specified date.

Issued in Washington, DC, on September 1, 1998.

Steven Manaster,

Director.

[FR Doc. 98-23937 Filed 9-2-98; 8:45 am]

BILLING CODE 6351-01-M