Chicago Mercantile Exchange Accelerates Expanded Daily Price Limit Schedule In Cattle Contracts

The Business Conduct Committee of Chicago Mercantile Exchange Inc. (CME) met on December 24 at 11:00 a.m. Central time to consider whether an emergency action was required to respond to market activity following the announcement of the discovery of Bovine Spongiform Encephalopathy ("Mad Cow Disease") in one Holstein dairy cow near Mabton, Washington. Holstein cattle are not deliverable on CME's cattle contracts.

After full consideration of the impact on the cash and futures markets, the committee unanimously voted to accelerate CME's schedule for expanded daily price limits in its live cattle and feeder cattle futures contracts. For the live cattle futures contract, on Friday, Dec. 26, the daily price limit will be $0.03 per pound. If the December 2003 or February 2004 contract month is locked either up or down the limit at the close on Friday, then the limit on Monday, Dec. 29, and on Tuesday, Dec. 30 will be expanded to $0.05 per pound. If either contract month is locked limit at the close of trading on Tuesday, Dec. 30, the limit on Wednesday Dec. 31 will continue to be $0.05 per pound. Otherwise it will revert to $0.03 per pound. The same accelerated schedule will be in effect for feeder cattle futures.

Trading hours for both contracts on Friday, Dec. 26, will be the planned holiday hours of 9:05 a.m. to 12:00 noon Central time, the same hours that traded today. At today's open, trading in live cattle and feeder cattle futures opened down the $0.015 per pound daily limit and remained down the limit for the rest of the trading day.

CME's daily price limit schedule was revised on Oct. 15, 2003. The schedule that applied prior to today's emergency action was as follows:

If either of the two contracts in the even month cycle nearest to expiration settles on the limit bid for two successive days or on the limit offer for two successive days, the price limit shall be raised to $0.030 per pound for all contract months.
If the daily price limit is $0.030 and either of the two contracts in the even month cycle nearest to expiration settles on the limit bid for two successive days or on the limit offer for two successive days, then the price limit shall be raised to $0.050 per pound for all contract months.
If the daily price limit is $0.050 and neither of the two contracts in the even month cycle nearest to expiration settles on the limit bid or limit offer, without regard to market direction, then the daily price limit for all contract months shall revert to $0.030 on the next business day.
If the daily price limit is $0.030 and neither of the two contracts in the even month cycle nearest to expiration settles on the limit bid or limit offer, without regard to market direction, then the daily price limit for all contract months shall revert to $0.015 on the next business day.

Chicago Mercantile Exchange Inc. (www.cme.com) is the largest futures exchange in the United States. As an international marketplace, CME brings together buyers and sellers on its trading floors and GLOBEX® electronic trading platform. CME offers futures and options on futures primarily in four product areas: interest rates, stock indexes, foreign exchange and commodities. The exchange moved about $1.4 billion per day in settlement payments in the first 11 months of 2003 and managed $34.1 billion in collateral deposits at Nov. 30, 2003. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE: CME), which is part of the Russell 1000® Index.

Chicago Mercantile Exchange, CME and GLOBEX are registered trademarks of Chicago Mercantile Exchange Inc. Further information about CME and its products is available on the CME Web site at www.cme.com.