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<H2>CME Announces Regular Quarterly Revision of Price Limits For Equity
Index Products Effective Friday, October 1, 1999</H2>Sept. 30, 1999 -
Regular quarterly revision of price limits for equity index futures and
options traded on the Chicago Mercantile Exchange (CME) become effective
with the start of trading Friday, October 1, 1999, at 8:30 a.m. (Chicago
time).
<P>The trading halts, coordinated with the New York Stock Exchange (NYSE),
are pegged to a percentage decline in the market and are reset quarterly
based on market prices during the preceding quarter. The circuit
breaker price levels for the fourth quarter of 1999 will be: <BR>
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<TD vAlign=top width="24%"> </TD>
<TD vAlign=top width="11%">
<CENTER><B><FONT face=Arial><FONT size=-2>S&P 500 &
E-mini</FONT></FONT></B></CENTER></TD>
<TD vAlign=top width="10%">
<CENTER><B><FONT face=Arial><FONT size=-2>MidCap
400</FONT></FONT></B></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><B><FONT face=Arial><FONT size=-2>Barra
Growth</FONT></FONT></B></CENTER></TD>
<TD vAlign=top width="10%">
<CENTER><B><FONT face=Arial><FONT size=-2>Barra
Value</FONT></FONT></B></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><B><FONT face=Arial><FONT size=-2>Russell
2000</FONT></FONT></B></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><B><FONT face=Arial><FONT size=-2>Nasdaq
100</FONT></FONT></B> <BR><B><FONT face=Arial><FONT size=-2>&
E-mini</FONT></FONT></B></CENTER></TD></TR>
<TR>
<TD vAlign=top width="24%"><B><FONT face=Arial><FONT size=-2>2.5 %
Limit</FONT></FONT></B></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>32.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="10%">
<CENTER><FONT face=Arial><FONT
size=-2>8.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>18.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="10%">
<CENTER><FONT face=Arial><FONT
size=-2>13.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>10.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>60.00</FONT></FONT></CENTER></TD></TR>
<TR>
<TD vAlign=top width="24%"><B><FONT face=Arial><FONT size=-2>5 %
Limit</FONT></FONT></B></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>65.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="10%">
<CENTER><FONT face=Arial><FONT
size=-2>17.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>37.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="10%">
<CENTER><FONT face=Arial><FONT
size=-2>27.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>20.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>120.00</FONT></FONT></CENTER></TD></TR>
<TR>
<TD vAlign=top width="24%"><B><FONT face=Arial><FONT size=-2>10 %
Limit</FONT></FONT></B></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>130.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="10%">
<CENTER><FONT face=Arial><FONT
size=-2>35.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>75.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="10%">
<CENTER><FONT face=Arial><FONT
size=-2>55.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>40.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>240.00</FONT></FONT></CENTER></TD></TR>
<TR>
<TD><FONT face=Arial><FONT size=-2>15% Limit</FONT></FONT></TD>
<TD>
<CENTER><FONT face=Arial><FONT
size=-2>195.00</FONT></FONT></CENTER></TD>
<TD>
<CENTER><FONT face=Arial><FONT
size=-2>52.00</FONT></FONT></CENTER></TD>
<TD>
<CENTER><FONT face=Arial><FONT
size=-2>112.00</FONT></FONT></CENTER></TD>
<TD>
<CENTER><FONT face=Arial><FONT
size=-2>82.00</FONT></FONT></CENTER></TD>
<TD>
<CENTER><FONT face=Arial><FONT
size=-2>60.00</FONT></FONT></CENTER></TD>
<TD>
<CENTER><FONT face=Arial><FONT
size=-2>360.00</FONT></FONT></CENTER></TD></TR>
<TR>
<TD vAlign=top width="24%"><B><FONT face=Arial><FONT size=-2>20 %
Limit</FONT></FONT></B></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>260.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="10%">
<CENTER><FONT face=Arial><FONT
size=-2>70.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>150.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="10%">
<CENTER><FONT face=Arial><FONT
size=-2>110.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>80.00</FONT></FONT></CENTER></TD>
<TD vAlign=top width="11%">
<CENTER><FONT face=Arial><FONT
size=-2>480.00</FONT></FONT></CENTER></TD></TR></TBODY></TABLE></CENTER>
<P>Circuit breakers apply to trading in CME futures and options on the
S&P 500, E-mini S&P 500, S&P 500/BARRA Growth, S&P
500/BARRA Value, S&P MidCap 400, Russell 2000, Nasdaq 100 and E-mini
Nasdaq 100.
<P>Intermediate price limits or "speed bumps" are pegged to declines of
2.5 percent, 5 percent and 15 percent. These "speed
bumps" will be in effect for 10 minutes, during which trading may occur at
or above the limit. At the end of the 10 minutes a two-minute
trading halt is triggered if the lead month futures contract remains
"limit offered," or down the specified number of points.
<P> After 1:30 p.m. (Chicago time) the NYSE will not halt trading at
the 10-percent level. Therefore, if the CME's 10-percent limit is reached
after 1:30 p.m., it becomes a "speed bump," in effect for only 10 minutes,
with a two-minute trading halt if the market remains limit down at the end
of that period.
<P>The Merc's maximum daily price limit of 20 percent also is coordinated
with a NYSE halt. The futures contract will reopen for the remainder
of the day with the same limit, if and when 50 percent capitalization of
the underlying stocks have reopened.
<P>Price limits and trading halts tied to a percentage of market decline
were first implemented April 15, 1998. Coordinated circuit breakers were
first established in the wake of the 1987 stock market decline.
Originally, price limits were set at a fixed number of S&P 500 index
points. They were revised on several occasions based on changed market
conditions.
<P>Additional Resources:
<UL>
<LI><A href="http://www.cme.com/market/riskman/pricelmt.html";>Trading
rules regarding price limits and table of current price limits</A>
</LI></UL>
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