CME Sets April 1 Launch For Euroyen Libor Futures

The Chicago Mercantile Exchange (CME) will begin trading its Euroyen futures contract based on the London Interbank Offer Rate (LIBOR) on April 1, 1999. The new Euroyen LIBOR contract, recently approved by the Commodity Futures Trading Commission, will be traded via open outcry alongside the existing Euroyen contract that is pegged to the Tokyo Interbank Offer Rate (TIBOR). Euroyen LIBOR will complement the Merc's existing Euroyen TIBOR contract, and will mirror the Euroyen LIBOR contract currently traded at the Singapore International Monetary Exchange (SIMEX). The contract will also be eligible for the Mutual Offset System (MOS) between the CME and SIMEX in which positions in selected contracts are fungible between the two exchanges. Similar to the CME's benchmark Eurodollar contract, the Euroyen contract's value is linked to interest rates paid on three-month yen deposits and is designed to allow financial institutions and other users the ability to hedge short-term interest rate risk. Like the Euroyen TIBOR contract, Euroyen LIBOR will be listed with quarterly expirations and will be sized at JPY100 million. It will have a minimum price fluctuation equal to JPY1,250 for the front four quarterly contracts and JPY2,500 for all other expirations. The MOS between the CME and SIMEX, initiated in 1984, helps improve access to and liquidity of selected contracts covered by the agreement, including Eurodollars and Japanese Government Bond futures. SIMEX successfully launched the Euroyen LIBOR contract on February 22, 1999. As of March 23, daily trading volume has averaged approximately 4,000 contracts, while open interest has grown to more than 43,000 contracts. The Euroyen futures contract based on TIBOR was launched by SIMEX on October 27, 1989. It was included in the MOS when the CME began trading the contract on March 6, 1996. Daily trading volumes in the contract last year averaged over 33,000 and 3,800 contracts on SIMEX and the CME respectively, while combined open interest stood at over 500,000 as of March 1, 1999.