| Effective Monday, July 23, 2001, amended rules governing expandable daily price limits for futures on Frozen Pork Bellies, Fresh Pork Bellies and Butter will be implemented. Details of the specifics can be found in the attached Special Executive Report S-3700, dated July 17, 2001. If you have any questions, please contact Lisa Amato at (312) 338-2654. Thank you. S-3700 July 17, 2001 REVISED RULES FOR EXPANDABLE DAILY PRICE LIMITS FOR FROZEN PORK BELLIES, FRESH PORK BELLIES AND BUTTER Please be advised that the CFTC has approved amendments to the rules governing expandable daily price limits for futures on Frozen Pork Bellies, Fresh Pork Bellies and Butter, effective for all contract months at the start of trading on Monday, July 23, 2001. Expandable limits are triggered by price settlements at the limit bid or limit offer. The rules governing expandable limits were intended to allow expandable limits to be retained as long as prices continue to settle at limit bid or limit offer levels, regardless of the direction of the subsequent price movement. Recent questions made it necessary to clarify these rules to specify that limit movements subsequent to the triggering of expanded limits need not be in the same direction as the original move that triggered the expanded limits. In addition, the rule for expandable limits in Frozen Pork Bellies is clarified to specify that, on its last trading day, the contract nearest expiration is not used in determining whether to trigger or retain expanded limits. Instead, the contract second nearest to expiration will be used on those days. The amended rules are presented below, with additions underlined and deletions bracketed and overstruck. FROZEN PORK BELLIES Daily Price Limits FUTURES 8302. FUTURES CALL D. There shall be no trading at a price more than $.030 per pound above or below the previous day's settlement price. If the contract nearest to expiration settles on the limit bid for two successive days or on the limit offer for two successive days, except on the last trading day for the contract nearest to expiration in which case the contract second nearest to expiration shall serve the purposes of this rule, then the daily price limit shall be raised to $.045 per pound for all contracts. If the contract nearest to expiration does not settle at [the] a limit bid or limit offer without regard to market direction when the daily price limit has been raised to $.045 per pound, except on the last trading day for the contract nearest to expiration in which case the contract second nearest to expiration shall serve the purposes of this rule, the daily price limits for all contracts shall revert to $.030 per pound on the next business day. FRESH PORK BELLIES FUTURES Daily Price Limits 1402. FUTURES CALL D. There shall be no trading at a price more than $.030 per pound above or below the previous day's settlement price, except that there shall be $.100 per pound daily price limits in the spot month contract during the last 5 days of trading. If the contract nearest to expiration that is subject to a $.030 per pound daily limit settles on the limit bid for two successive days or on the limit offer for two successive days, then the daily price limit shall be raised to $.045 per pound for all contracts subject to a $.030 per pound daily limit. If the contract nearest to expiration that is subject to a $.045 daily price limit does not settle at [the] a limit bid or limit offer without regard to market direction when the daily price limit has been raised to $.045 per pound, the daily price limit for all contracts that are subject to a $.045 per pound daily price limit shall revert to $.030 per pound on the next business day. BUTTER FUTURES Daily Price Limits 1202. FUTURES CALL D. There shall be no trading at a price more than $0.05 per pound above or below the previous day's settlement price, except that there shall be no daily price limits in the spot month as of the first business day after the first Friday of the contract month. If the contract nearest to expiration that is subject to a daily price limit settles on the limit bid or the limit offer, then the daily price limit shall be raised to $0.10 per pound for all contracts subject to a daily price limit. If, after the daily price limits have been increased to $0.10 per pound, the contract nearest to expiration that is subject to a daily limit settles on the limit bid or limit offer, then the daily price limit shall be raised to $0.20 per pound for all contracts subject to a daily price limit. If the contract nearest to expiration that is subject to a daily price limit of $0.20 does not settle at [the] a limit bid or limit offer, without regard to market direction, the price limits shall revert to $0.10 per pound on the next business day. If the contract nearest to expiration that is subject to a daily price limit of $0.10 does not settle at [the] a limit bid or limit offer, without regard to market direction, the price limits shall revert to $0.05 per pound on the next business day. If you have any questions regarding this matter, please contact Mr. Jack Cook, Economist, Commodity Product Development, at (312) 930-3295, or Mr. Paul Peterson, Director, Commodity Product Development, at (312) 930-4587 | 