Federal Register September 3, 1998 Chicago Mercantile Exchange: Proposed Amendments to the Cash Settlement Provisions of the CME Russian Ruble Futures Contract - Notice of availability of proposed amendments to the terms and Notice of ava

[Federal Register: September 3, 1998 (Volume 63, Number 171)]
[Notices]
[Page 47007-47008]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr03se98-61]

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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
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