CME Announces Plans To Launch CME$INDEX Futures And Options Contracts

The Chicago Mercantile Exchange (CME) today announced that it has created a new dollar index, the CME$INDEX™, a geometric index of seven foreign currencies that is weighted to reflect the relative competitiveness of U.S. goods in foreign markets and will provide investors with a new instrument for currency speculation and risk management. CME$INDEX™ futures and options on futures contacts will be launched in early March for trading virtually around the clock on both CME's Chicago-based trading floors and on the exchange's GLOBEX® electronic trading platform.

The seven currencies included in the index are: European Union/Euro, Japan/Yen, United Kingdom/Pound, Switzerland/Franc, Australia/Dollar, Canada/Dollar, and Sweden/Krona. The futures contract will be physically deliverable upon expiration. The settlement price of the index futures contract will be computed at termination using futures settlement values of seven currencies, expressed in terms of dollars per unit of foreign currency.

"The CME$INDEX futures and options on futures contracts will provide an important new investment vehicle that can help reduce portfolio volatility and manage currency risk exposure," said CME Chairman Terry Duffy. "Hedgers and speculators will be able to trade the new contracts along side CME's market-leading foreign exchange products and benefit from cross-product margining as well as from central counterparty clearing."

"Our foreign exchange product complex grew more than eight percent in the past year and has risen 24 percent in January over year-ago levels," said Jim McNulty, CME President and CEO. "In periods of geo-political uncertainty, investment managers and corporate treasurers are continually looking for efficient ways to reduce foreign exchange risk. The CME$INDEX futures will provide an immediate opportunity to go long or short the U.S. dollar against a basket of seven major currencies."

The CME$INDEX is based on the Major Currency Index published by the Board of Governors of the U.S. Federal Reserve System. Responding to customer input, CME adopted a methodology of annual currency weights that reflects the competition of U.S. goods in world markets . For example, the competitive weight for Canada as computed by the Fed represents the relative competitiveness of U.S. goods against Canadian goods in markets outside of the U.S. and Canada. The currencies and weights for 2003 will be:

Chicago Mercantile Exchange Inc. (www.cme.com) is the largest futures exchange in the United States and the second largest exchange in the world for the trading of futures and options on futures. As an international marketplace, CME brings together buyers and sellers on its trading floors and GLOBEX® around-the-clock 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 moves an average of about $1.8 billion per day in settlement payments and manages $27.4 billion in collateral deposits. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE: CME).