[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] ======================================================================= ----------------------------------------------------------------------- COMMODITY FUTURES TRADING COMMISSION 17 CFR Part 30 Foreign Option Transactions AGENCY: Commodity Futures Trading Commission. ACTION: Order. ----------------------------------------------------------------------- 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. --------------------------------------------------------------------------- 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. --------------------------------------------------------------------------- \2\See 56 FR 3207 (January 29, 1991). --------------------------------------------------------------------------- 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) ------------------------------------------------------------------------ Exchange Type of contract FR date and citation ------------------------------------------------------------------------ * * * * * * * Montreal Exchange...... Options on the 3-month 1994; ________ FR Canadian Bankers' ________ Acceptance Futures Contract. * * * * * * * ------------------------------------------------------------------------ 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
