"In 1999, CME was the first exchange in the world to offer exchange-traded weather derivatives, complete with the benefits of our price transparency and Clearing House guarantee," CME Chairman Terry Duffy said. "Participants in the weather derivatives markets have told us that adding seasonal futures contracts to our existing monthly heating degree day and cooling degree day contracts could provide a valuable tool for an additional tier of customers to meet their need for weather risk management."
"CME has a successful track record of offering standardized weather derivatives contracts which complement trends in the over-the-counter segment of this nascent market," said CME President and Chief Executive Officer Jim McNulty. "By offering a variety of ways to participate in the weather markets, we believe our products will appeal to a broader spectrum of market participants, including reinsurance companies, hedge funds and commodity trading advisors."
Regular trading hours in the new products will be on CME's GLOBEXÒ electronic trading platform from 3:45 p.m. (Central time, and 5:30 p.m. on Sunday) to 3:15 p.m.the following day.
CME currently offers monthly heating degree day and cooling degree day futures and options on 10 U.S cities: Atlanta, Chicago, Cincinnati, New York, Dallas, Philadelphia, Portland, Tucson, Des Moines and Las Vegas. In the first four months of 2003, 4,196 weather futures and options have traded on CME, compared with 287 contracts traded during the same period last year.
Highlights of the contract specifications for the new products appear in the tables below.
CME Seasonal Degree Days Index Futures
| Contract Size: | $100 times the Seasonal Index |
| Quotation: | Degree Day Index Points |
| Minimum Price Increment: | 1 Degree Day Index Point |
| Tick Value: | $100.00 |
| Seasons Traded: | November - March (Heating Season) May - September (Cooling Season) |
| Termination of Trading: | 9:00 a.m. (Central time) on the first exchange business day that is at least two calendar days after the last calendar day of March, in the case of CME SHDD Index futures, or September, in the case of CME SCDD Index futures |
| Ticker Symbol: | HEATING COOLING HS2= HS3= HS4= |
| Settlement | All futures contracts remaining open at the termination of trading shall be settled using the respective CME Degree Days Index reported by the Earth Satellite Corporation for that city for that contract month, using the methodology in effect on that date, on the first exchange business day that is at least two calendar days after the futures contract month. |
Options On CME Seasonal Degree Days Index Futures
| Contract Size: | 1 CME Seasonal futures contract |
| Quotation: | Degree Day Index Points |
| Minimum Price Increment: | 1 Degree Day Index (cabinet = .5 Degree Day Index) |
| Tick Value: | 1= $100.00 |
| Seasons Traded: | November - March (Heating Season) May - September (Cooling Season) |
| Termination of Trading: | Same date and time as underlying futures |
| Strike Price Interval: | 50 Index Points, e.g. 700, 750, 800 |
| 50 Index Points, e.g. 700, 750, 800 | European Style (Exercised on last trading 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® 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 moved about $1.5 billion per day in settlement payments in the first quarter of 2003 and managed $28.5 billion in collateral deposits at March 31, 2003. CME is a wholly owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE: CME).
