Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | New Zero Pricing – Effective Sunday, June 3, 2007
Notice Date | 2006-12-12
Notice Number | Q2006-228
Effective Date | 2007-06-03
Beginning Sunday, June 3, 2007, CME® will begin permitting new trades, bids/asks, strike prices and settlements to occur at prices of 0 (zero). This change is initially being made to accommodate the CME® Snowfall Index and Snowfall Seasonal Strip futures and CME® Credit Event Futures (scheduled to be launched in the first quarter 2007; click here for information). However, we anticipate introducing similar products with pricing (trades, bids/asks, strikes and settlements) that may be negative, zero or positive. ITC 2.1 Message Format Impact CME is introducing a new Price Indicator of “Z”, to be used in combination with a zero trade, bid/ask or settlement price for ITC 2.1 message users. Currently for CME, a price of zero (0) in an ITC 2.1 message implies that the prior price should be removed. This convention will continue to apply. However, a price of zero, when combined with a price indicator of Z, will indicate that a trade, bid/ask or settlement occurred at an actual price of zero. RLC Impact This change has no impact on RLC users. RLC protocol currently supports zero pricing. Market data distributors are encouraged to begin system modifications to allow zero and negative trade prices, bid/ask prices, strike prices and settlement prices. There will an extensive testing period offered during the month of March 2007 (specifics to be published later). Contact the following with any questions about this change. Marilee Radecki 312.930.8193 mradecki@cme.com Kevin Brady 312.648.3653 kbrady@cme.com