[Federal Register Volume 59, Number 43 (Friday, March 4, 1994)]
[Unknown Section]
[Page 0]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 94-5044]
[[Page Unknown]]
[Federal Register: March 4, 1994]
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COMMODITY FUTURES TRADING COMMISSION
17 CFR Part 30
Foreign Option Transactions
AGENCY: Commodity Futures Trading Commission.
ACTION: Order.
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SUMMARY: The Commodity Futures Trading Commission (``Commission'') is
authorizing option contracts on the 3-month Canadian Bankers'
Acceptance Futures Contract traded on the Montreal Exchange to be
offered or sold to persons located in the United States. This Order is
issued pursuant to: (1) Commission rule 30.3(a), 17 CFR 30.3(a) (1993),
which makes it unlawful for any person to engage in the offer or sale
of a foreign option product until the Commission, by order, authorizes
such foreign option to be offered or sold in the United States; and (2)
the Commission's Order issued on July 20, 1988, 53 FR 28840 (July 29,
1988), authorizing certain option products traded on the Montreal
Exchange to be offered or sold in the United States.
EFFECTIVE DATE: April 4, 1994.
FOR FURTHER INFORMATION CONTACT: Jane C. Kang, Esq., Division of
Trading and Markets, Commodity Futures Trading Commission, 2033 K
Street, NW., Washington, DC 20581. Telephone: (202) 254-8955.
SUPPLEMENTARY INFORMATION: The Commission has issued the following
Order:
Order Under Commission Rule 30.3(a) Permitting Option Contracts on the
3-month Canadian Bankers' Acceptance Futures Contract Traded on the
Montreal Exchange to be Offered or Sold in the United States Thirty
Days after Publication of this Notice in the Federal Register.
By Order issued on July 20, 1988 (``Initial Order''), the
Commission authorized, pursuant to Commission rule 30.3(a),\1\ certain
option products traded on the Montreal Exchange to be offered or sold
in the United States. 53 FR 28840 (July 29, 1988). Among other
conditions, the Initial Order specified that:
\1\Commission rule 30.3(a), 17 CFR 30.3(a) (1993), makes it
unlawful for any person to engage in the offer or sale of a foreign
option product until the Commission, by order, authorizes such
foreign option to be offered or sold in the United States.
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Except as otherwise permitted under the Commodity Exchange Act
and regulations thereunder, * * * no offer or sale of any Montreal
Exchange option product in the United States shall be made until
thirty days after publication in the Federal Register of notice
specifying the particular option(s) to be offered or sold pursuant
to this Order.
By letter dated February 9, 1994 the Montreal Exchange represented
that it would be introducing an option contract based on the 3-month
Canadian Bankers' Acceptance Futures Contract. The Montreal Exchange
has requested that the Commission supplement its Initial Order and
subsequent Order\2\ authorizing Options on the Government of Canada
Bond Futures by also authorizing the Montreal Exchange's Option
Contract on the 3-month Canadian Bankers' Acceptance Futures Contract
to be offered or sold to persons in the United States. Upon due
consideration, and for the reasons previously discussed in the Initial
Order, the Commission believes that the request for authorization to
offer or sell an option contract on the 3-month Canadian Bankers'
Acceptance Futures Contract should be granted.
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\2\See 56 FR 3207 (January 29, 1991).
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Accordingly, pursuant to Commission rule 30.3(a) and the
Commission's Initial Order issued on July 20, 1988, and subject to the
terms and conditions specified therein, the Commission hereby
authorizes the Montreal Exchange's Option Contract on the 3-month
Canadian Bankers' Acceptance Futures Contract to be offered or sold to
persons located in the United States thirty days after publication of
this Order in the Federal Register.
Contract Specifications
Options on 3-Month Canadian Bankers' Acceptance Futures
Underlying Interest
One (1) 3-month Canadian Bankers' Acceptance Futures (BAX) contract
representing C$1,000,000 principal of 3-month Canadian Bankers'
Acceptances.
Description
A buyer of one option on 3-month Bankers' Acceptance Futures may
exercise the option to assume a position in one 3-month Bankers'
Acceptance Futures (BAX) contract (long position if the option is a
call and short position if the option is a put) of a specified contract
month at a specified strike price.
The seller of one option on 3-month Bankers' Acceptance Futures has
the obligation of assuming, if the option is exercised by the buyer, a
position in one 3-month Bankers' Acceptance Futures (BAX) contract
(short position if the option is a call and long position if the option
is a put) of a specified contract month at a specified strike price.
Price Quotation
Quoted in points where each .01 of a point (1 basis point)
represents C$25. For example, a quote of 0.46 represents a total option
premium of C$1,150 (i.e. 46 basis points x C$25).
Minimum Price Increment (Tick Size and Value)
0.01 point (also known as one tick)=C$25 per contract (same as for
underlying futures).
Strike Prices
Strike prices are set at maximum 0.50 point intervals.* Two
(2) in-the-money and two (2) out-of-the-money strike prices will
generally be available (for example, if a specific BAX futures
settlement price is 90, option strike prices may be set at 89, 89.50,
90, 90.50, 91).
*Strike prices of the nearest contract month may be set at
.25 point interval.
Contract Months
Options available on the four nearest months in the BAX futures
quarterly cycle, i.e. March, June, September and December.
Trading Hours
8:20 a.m. to 3 p.m. (EST/EDT)
Last Trading Day
Options trading shall terminate at the same date and time as the
underlying futures contract, i.e. at 10:00 a.m. (EST/EDT) on the second
London (U.K.) business day prior to the third Wednesday of the contract
month.
Exercise
American style, i.e. buyers of futures options may exercise their
options on any business day up to and including the expiration date
(prior to the daily cut-off time). The Clearing Corporation assigns
exercise notices to sellers of options according to a random selection
process. In-the-money options are automatically exercised by the
Clearing Corporation at expiry (unless otherwise instructed). The final
settlement price of the underlying futures contract will be used as a
reference to determine which options may be exercised automatically at
expiry.
Expiration
The last trading day.
Minimum Margin Requirements
The minimum margin is subject to periodic changes.
Buyers of Options
Premium must be paid in full when the option is bought.
Uncovered Writers of Options
Market value of the option plus the margin required for
the underlying futures contract less half of the amount that the option
is out-of-the-money. Minimum: market value of the option plus 50% of
the margin required on the underlying futures contract (futures
speculator or hedger rate, as the case may be).
Options-Futures Spread
Short Call-Long Futures or Short Put-Short Futures.
The underlying market value of the option plus the margin
required for the underlying futures contract less half of the amount
that the option is in-the-money. Minimum: market value of the option
plus 50% of the margin required on the underlying futures contact
(futures speculator or hedger rate, as the case may be).
Long Call-Short Futures or Long Put-Long Futures.
The margin required is the greater of the market value of
the option or the margin required on the futures contract.
Other Combinations
Special rules apply to calculate margin requirements for
other combinations.
Position Limits
The maximum number of options and underlying futures contract net
on the same side of the market in all contract month combined which a
person may own or control shall be as follows:
(a) For speculators: 5,000 futures equivalent contracts.
(b) For hedgers: The greater of 7,000 futures equivalent contracts
or of such a limit to be established and published on a monthly basis
by the Exchange based on 20% of the average daily open interest for all
Canadian Bankers' Acceptance futures contract during the preceding
three calendar months or such other position limits as may be
determined by the Exchange.
For the purpose of calculating these limits, positions in the
options contracts are aggregated with positions in the underlying
futures contract. For aggregation purposes, the futures-equivalent of
one in-the-money options contract is one futures contract and the
futures-equivalent of one at-the-money option or out-of-the-money
contract is half a futures contract.
Reporting Levels
300 options or 300 futures equivalent contracts for positions
involving the option and the underlying futures contract.
Ticker Symbol
OBX.
Clearing Corporation
Trans Canada Options Inc.
List of Subjects in 17 CFR Part 30
Commodity futures, Commodity options, Foreign transactions.
Accordingly, 17 CFR part 30 is amended as set forth below:
PART 30--FOREIGN FUTURES AND FOREIGN OPTION TRANSACTIONS
1. The authority citation for part 30 continues to read as follows:
Authority: Secs. 2(a)(1)(A), 4, 4c, and 8a of the Commodity
Exchange Act, 7 U.S.C. 2, 6, 6c and 12a.
Appendix B to Part 30 [Amended]
2. Appendix B to part 30 is amended by adding the following entry
after the existing entries for the ``Montreal Exchange'' to read as
follows:
Appendix B--Option Contracts Permitted To Be Offered or Sold in the
U.S. Pursuant to Sec. 30.3(a)
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Exchange Type of contract FR date and citation
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* * * * * * *
Montreal Exchange...... Options on the 3-month 1994; ________ FR
Canadian Bankers' ________
Acceptance Futures
Contract.
* * * * * * *
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Issued in Washington, DC, on March 1, 1994.
Jean A. Webb,
Secretary to the Commission.
[FR Doc. 94-5044 Filed 3-3-94; 8:45 am]
BILLING CODE 6351-01-P