CME Revises Equity Index Price Limits, Removing 2.5 Percent Downside Limit May 13

Chicago Mercantile Exchange Inc. (CME) has announced that, in response to customer requests, it will revise the price limits on its equity index contracts by eliminating the initial 2.5 percent limit effective with the start of trading on Sunday, May 13. The change was approved by CME’s Board of Directors this week. The overnight price limit on the GLOBEX®2 system—both up and down—will also be expanded from 2.5 to 5 percent.

Price limits were instituted at CME shortly after the market decline of 1987. Over the years, they have been revised numerous times to reflect current market conditions. The 10- and 20- percent "circuit breaker" limits are coordinated with trading halts in the underlying securities markets; the 5- and 15-percent "speed bump" limits apply to CME index futures only. The 2.5 percent limit has always applied to CME index futures only.

Set at the beginning of each calendar quarter, the price limits 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, E-mini Nasdaq-100 and FORTUNE e-50™ indexes.

With the elimination of the 2.5 percent limit, price limits for the remainder of the second quarter of 2001 will be:

• S&P 500 and E Mini: 5.0% limit: 55.00, 10% limit: 110.00, 15% limit: 165.00, 20% limit: 220.00
• MidCap 400: 5% limit: 22.00, 10% limit: 45.00, 15% limit: 67.00, 20% limit: 90.00
• S&P/Barra Growth: 5% limit: 27.00, 10% limit: 55.00, 15% limit: 82.00, 20% limit: 110.00
• S&P/Barra Value: 5% limit: 30.00, 10% limit: 60.00, 15% limit: 90.00, 20% limit: 120.00
• Russell 2000: 5% limit: 22.00, 10% limit: 45.00, 15% limit: 67.00, 20% limit: 90.00
• Nasdaq 100 and E Mini: 5% limit: 85.00, 10% limit: 170.00, 15% limit: 255.00, 20% limit: 340.00
• Fortune e-50: 5% limit: 19.00, 10% limit: 38.00, 15% limit: 57.00, 20% limit: 76.00

Additional information about the application of price limits is available on the CME Web site at http://www.cme.com/market/riskman/pricelmt.html. [The new limits will be posted after the close of trading on Friday, May 11.

Chicago Mercantile Exchange Inc. (www.cme.com) is an international marketplace that brings together buyers and sellers on its trading floors and GLOBEX®2 around-the-clock electronic trading system. CME offers futures contracts and options on futures primarily in four product areas: interest rates, stock indexes, foreign currencies and agricultural commodities. On Nov. 13, 2000, CME finalized its transformation into a for-profit, shareholder-owned corporation as it became the first U.S. financial exchange to demutualize by converting its membership interests into shares of common stock that can trade separately from exchange trading privileges. The exchange moves about $1 billion per day in settlement payments, manages $30 billion in collateral deposits and administers more than $1 billion of letters of credit. circuit