Joe Glanton, assistant administrative supervisor for the fund, said the Mount Lucas hiring was the fund's first foray into managed futures. Mount Lucas will take both long and short positions for the assignment. Trilogy Capital Management was the other finalist, Mr. Glanton said.
New England Pension Consultants, Cambridge, Mass., assisted with the hiring. Funding will come from cash, he said.
City mulls managed futures
CHICAGO - Another city pension fund, the $4.7 billion Chicago Municipal Employees' Annuity & Benefit Fund, continues to consider managed futures.
Trustees for the fund have met with RXR Capital Management, Dean Witter, M.C. Baldwin and Kenmar Advisory Corp.
The board is close to a decision on the issue, but will hold off until all the trustees understand and are comfortable with the fee arrangements, said James Stack, executive director.
Piper Jaffray settles suits
MINNEAPOLIS - Piper Jaffray Cos. settled two derivatives-related lawsuits for a total of $6.6 million, and set aside another $24 million for costs related to derivatives losses.
The $6.6 million settlement relates to a class-action suit and a related suit over mortgage-backed derivatives bought by Piper Jaffray's money management unit Piper Capital Management Inc.
The additional $24 million covers the estimated remaining cost of litigation and regulatory inquiries relating to funds or assets managed by Piper Capital, as well as other litigation, a Piper statement said.
The class-action settlement related to a fund in which Piper was the subadviser: the Managers Intermediate Mortgage Fund, a no-load, open-end mutual fund that was managed by The Managers Funds L.P., Norwalk, Conn.
The related suit settlement was with First Commercial Trust Co. FCTC had purchased on behalf of itself or customers shares of the Managers Intermediate Mortgage Fund, as well as the Managers Short Government Fund and the Managers Short and Intermediate Bond Fund, said an outside attorney for Piper.
Portfolios managed by Piper took hits in 1994 through mortgage-backed derivatives that performed poorly when interest rates rose sharply.
Exchange lax on index limits
CHICAGO - The Chicago Mercantile Exchange loosened stock index futures limits, following regulatory approval.
The CME removed opening price limits from U.S. equity index products, and reduced the time for which 15- and 30-point price limits are in effect.
Previously, futures on the Standard & Poor's 500 Stock Index were limited to seven-point moves up or down in the first 10 minutes of trading.
Existing limits of 15 and 30 points will remain, but will last for only 10 minutes as opposed to the previous 15 minutes.
In addition to the S&P 500 futures, other affected index contracts are Russell 2000, S&P 500/BARRA Growth, S&P 500/BARRA Value, S&P MidCap 400, Nasdaq 100, E-mini S&P 500 and the MMI.
Firms join Bermuda exchange
PEMBROKE, Bermuda - Twenty financial firms, including Bankers Trust International, Goldman Sachs International and Morgan Stanley & Co. Inc., signed on as members of the Bermuda Commodities Exchange.
The BCOE will offer electronic options trading on the Guy Carpenter Catastrophe Index, an index of insured homeowners losses in the United States. Trading is set to begin Nov. 12, and will be in U.S. dollars.
Contracts will be offered for five regions of the United States, and for the country as a whole.
Oil warrants traded
NEW YORK - The American Stock Exchange began trading warrants tied to the performance of oil futures contracts.
The warrants are Commodity-Indexed Preferred Securities linked to the J.P. Morgan Commodity Index Crude Oil Total Return Index, and are priced with a $25 face amount.
The warrants pay a 2.5% dividend, with a redemption payment set for Oct. 16, 2000 that will depend on the performance of the JPMCI Crude Oil index.
In order for the principal return to be positive, the index must increase by more than 14.65% over the life of the warrant, while a principal loss will be sustained if the index falls by more than 14.65%.
Separately, the board for the American Stock Exchange voted to reduce fees paid to the exchange for trades in Standard & Poor's Depository Receipts, and set a cap on those fees of $100 per trade.
Susan Naese contributed to this column.