[Federal Register Volume 61, Number 251 (Monday, December 30, 1996)]
[Notices]
[Pages 68722-68723]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 96-33073]


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COMMODITY FUTURES TRADING COMMISSION


Proposed Amendments to the Price Limit and Trading Halt 
Provisions in Domestic Stock Index Futures Contracts

AGENCY: Commodity Futures Trading Commission.

ACTION: Notice of availability of proposed amendments to the price 
limit and trading halt provisions in domestic stock index futures 
contracts listed on the Chicago Mercantile Exchange, Kansas City Board 
of Trade, and New York Futures Exchange.

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SUMMARY: The Chicago Mercantile Exchange (CME), Kansas City Board of 
Trade (KCBT), and New York Futures Exchange (NYFE) have submitted 
proposals to modify existing ``circuit breaker'' and related price 
limit provisions in those exchanges' domestic stock index futures 
contracts. The Director of the Division of Economic Analysis (Division) 
of the Commission, acting pursuant to the authority delegated by 
Commission Regulation 140.96, has determined that publication of the 
proposals for comment is in the public interest, will assist the 
Commission in considering the views of interested persons, and is 
consistent with the purposes of the Commodity Exchange Act.

DATES: Comments must be received on or before January 14, 1997.

ADDRESSES: Interested persons should submit their views and comments to 
Jean A. Webb, Secretary, Commodity Futures Trading Commission, 1155 
21st Street NW, Washington, DC 20581. In addition, comments may be sent 
by facsimile transmission to facsimile number (202) 418-5521 or by 
electronic mail to [email protected]. Reference should be made to the 
proposed amendments to circuit breaker and price limit provisions in 
domestic stock index futures contracts.

FOR FURTHER INFORMATION CONTACT: Please contact Steve Sherrod of the 
Division of Economic Analysis, Commodity Futures Trading Commission, 
1155 21st Street NW, Washington, DC 20581, telephone 202-418-5277. 
Facsimile number: (202) 418-5527. Electronic mail: [email protected].

SUPPLEMENTARY INFORMATION: The CME, KCBT, and NYFE have proposed 
changes to each of the opening, intermediate, and overall daily price 
limits, including the circuit breaker trigger levels, for their 
domestic stock index futures contracts.1 The submissions were made 
in response to a proposal from the New York Stock Exchange (NYSE) to 
raise the levels of its ``circuit breaker'' trading halt triggers. 
Specifically, the NYSE proposes to increase the trigger for a one-half 
hour trading halt to 350 points in the Dow Jones Industrial Average 
(DJIA) 2 from 250 DJIA points and to increase the trigger for a 
one hour trading halt to 550 points in the DJIA from 400 DJIA points. 
That proposal is currently under review by the Securities and Exchange 
Commission (SEC). Notice of that proposal was given in the Federal 
Register on December 19, 1996 (61 FR 67087).
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    \1\ The affected CME contracts are the CME Standard & Poor's 500 
Stock Price Index (S&P 500), the S&P MidCap 400 Stock Price Index, 
the S&P 500/BARRA Growth Index, the S&P 500/BARRA Value Index, the 
Russell 2000 Stock Price Index, the Major Market Index, and the 
Nasdaq 100 Index. The affected KCBT contracts are the Value Line 
Index and the Mini Value Line Index. The affected NYFE contracts are 
the NYSE Composite Index and the PSE Technology Index.
    \2\ ``Dow Jones Industrial Average'' is a service mark of the 
Dow Jones Corporation.
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    The proposed amendments to the S&P 500 futures contract (the most 
actively traded domestic stock index futures contract) are shown in 
Table 1 below. The proposed amendments to other domestic stock index 
futures contracts generally are comparable to those in the S&P 500 
futures contract.

     Table 1.--Current and Proposed CME S&P 500 Price Limit Schedule    
------------------------------------------------------------------------
                                                     Current    Proposed
                    Price limit                       level      level  
------------------------------------------------------------------------
Opening...........................................       +/-5       +/-7
Initial Decline...................................        -12        -15
Second Decline....................................        -20        -30
First Circuit Breaker.............................        -30        -45
Second Circuit Breaker............................        -50        -70
Daily Price Limit.................................      +/-70        -90
Globex After Hours Session........................      +/-12      +/-15
------------------------------------------------------------------------

    For comparison purposes, Tables 2 and 3 below show the current and 
proposed price limit provisions in the S&P 500 futures contract and the 
approximate DJIA equivalents for those limits that correspond to the 
levels that

[[Page 68723]]

trigger the one-half hour and one-hour trading halts on the NYSE. The 
tables show ``approximate DJIA equivalents'' as a range of levels for 
each such circuit breaker. In that regard, recently, the level of the 
DJIA has been about eight and one-half times higher than the level of 
the S&P 500. Therefore, the lower number in each range was calculated 
by multiplying the level of the S&P 500 circuit breaker price limit by 
eight, while the higher number in each range was calculated by 
multiplying the level of the S&P 500 circuit breaker price limit by 
nine.

        Table 2.--Current CME and NYSE Circuit Breaker Provisions       
------------------------------------------------------------------------
                   CME S&P 500                                          
-------------------------------------------------    NYSE trading halt  
 Circuit breaker price       Approximate DJIA       level (DJIA points) 
         limit             equivalents (points)                         
------------------------------------------------------------------------
30 points..............  240-270................  250                   
50 points..............  400-450................  400                   
------------------------------------------------------------------------


       Table 3.--Proposed CME and NYSE Circuit Breaker Provisions       
------------------------------------------------------------------------
                        CME S&P 500                                     
------------------------------------------------------------     NYSE   
                                                Approximate    trading  
                                                    DJIA      halt level
          Circuit breaker price limit           equivalents     (DJIA   
                                                   points      points)  
------------------------------------------------------------------------
45 points.....................................      360-405          350
70 points.....................................      560-630          550
------------------------------------------------------------------------

    The Division requests comment on the proposed amendments. Copies of 
the proposed amendments will be available for inspection at the Office 
of the Secretariat, Commodity Futures Trading Commission, 1155 21st 
Street, N.W., Washington, D.C. 20581. Copies of the terms and 
conditions can be obtained through the Office of the Secretariat by 
mail at the above address or by phone at (202) 418-5097.
    Other materials submitted by the CME, KCBT, and NYFE in support of 
the proposed amendments may be available upon request pursuant to the 
Freedom of Information Act (5 U.S.C. 552) and the Commission's 
regulations thereunder (17 C.F.R. Part 145 (1987)), except to the 
extent they are entitled to confidential treatment as set forth in 17 
C.F.R. 145.5 and 145.9. Requests for copies of such materials should be 
made to the FOI, Privacy and Sunshine Act Compliance Staff of the 
Office of the Secretariat at the Commission's headquarters in 
accordance with 17 C.F.R. 145.7 and 145.8.
    Any person interested in submitting written data, views, or 
arguments on the proposed amendments, or with respect to other 
materials submitted by the CME, KCBT, and NYFE should send such 
comments to Jean A. Webb, Secretary, Commodity Futures Trading 
Commission, 1155 21st Street, NW, Washington, DC 20581 by the specified 
date.

    Issued in Washington, DC, on December 23, 1996.
Blake Imel,
Acting Director.
[FR Doc. 96-33073 Filed 12-27-96; 8:45 am]
BILLING CODE 6351-01-P