[Federal Register Volume 60, Number 50 (Wednesday, March 15, 1995)]
[Notices]
[Pages 14042-14043]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 95-6351]
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SECURITIES AND EXCHANGE COMMISSION
[Release No. 34-35463; International Series Release No. 790; File No.
SR-CBOE-95-12]
Self-Regulatory Organizations; Notice of Filing of Amendment No.
1 to Proposed Rule Change by the Chicago Board Options Exchange, Inc.,
Relating to Margin Levels for Currency Warrants Based on the Value of
the U.S. Dollar in Relation to the Mexican Peso
March 9, 1995.
Pursuant to Section 19(b)(1) of the Securities Exchange Act of 1934
(``Act''),\1\ and rule 19b-4 thereunder,\2\ notice is hereby given that
on March 6, 1995, the Chicago Board Options Exchange, Inc. (``CBOE'' or
``Exchange'') filed with the Securities and Exchange Commission
(``Commission'') Amendment No. 1 to the proposed rule change as
described in Items I, II, and III below, which Items have been prepared
by the Exchange. The Exchange filed the original proposal with the
Commission on January 27, 1995. Notice of the proposed rule change
appeared in the Federal Register on February 8, 1995.\3\ The Commission
is publishing this notice to solicit comments on Amendment No. 1 to the
proposed rule change from interested persons.
\1\15 U.S.C. 78s(b)(1) (1988).
\2\17 CFR 240.19b-4 (1991).
\3\See Securities Exchange Act Release No. 35324 (February 2,
1995), 60 FR 7599 (February 8, 1995).
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I. Self-Regulatory Organization's Statement of the Terms of
Substance of the Proposed Rule Change
The CBOE proposes margin levels for warrants traded on the Exchange
that are based upon the value of the U.S. dollar in relation to the
Mexican peso (``Mexican Peso Warrants''). The text of Amendment No. 1
to the proposed rule change is available at the Office of the
Secretary, CBOE, and at the Commission.
II. Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In its filing with the Commission, the Exchange included statements
concerning the purpose of and basis for Amendment No. 1 to the proposed
rule change and discussed any comments it received on the amendment.
The text of these statements may be examined at the places specified in
Item IV below. The CBOE has prepared summaries, set forth in Sections
(A), (B), and (C) below, of the most significant aspects of such
statements.
(A) Self-Regulatory Organization's Statement of the Purpose of, and
Statutory Basis for, the Proposed Rule Change
In the Exchange's proposal to list and trade Mexican Peso Warrants,
the CBOE represented that ``Exchange will require that customer
positions in Mexican Peso Warrants be subject to the margin
requirements applicable to foreign currency options.''\4\ The Exchange
is now amending that proposal to specify objective margin levels that
will be applicable to Mexican Peso Warrants trading on the Exchange.
\4\Id.
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The Exchange represents that it has calculated frequency
distributions reflecting U.S. dollar/Mexican peso returns for all one,
seven, and 21 day periods for the period from January 2, 1992, through
January 25, 1995 (``three year period''), and for the period from
January 3, 1994, through January 25, 1995 (``one year period''). The
Exchange further represents that these distributions demonstrate that
97.5% of all seven day returns for the three year period would have
been covered by 4.5% of the underlying peso value and that 95% of all
seven day returns for the one year period would have been covered by
approximately 10% of the underlying peso value. Based upon these
results, the Exchange is proposing [[Page 14043]] to set the margin
``add-on'' percentage for Mexican Peso Warrants at 12% for both initial
and maintenance margin, with a minimum add-on for out-of-the-money
warrants of 8%. If, as a result of the Exchange's routine monitoring of
margin adequacy, the CBOE determines that a different percentage would
be appropriate, the Exchange will file a proposal with the Commission
pursuant to section 19(b) of the Act to modify the margin add-on
percentages applicable to Mexican Peso Warrants.
The Exchange believes that Amendment No. 1 to the proposed rule
change is consistent with section 6 of the Act, in general, and
furthers the objectives of section 6(b)(5) oft he Act,\5\ in
particular, in that the proposal will promote just and equitable
principles of trade and will contribute to the protection of investors
and the public interest.
\5\15 U.S.C. 78f(b)(5) (1988).
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(B) Self-Regulatory Organization's Statement on Burden on Competition
The Exchange does not believe that Amendment No. 1 to the proposed
rule change will impose any inappropriate burden on competition.
(c) Self-Regulatory Organization's Statement on Comments on the
Proposed Rule Change Received From Members, Participants, or Others
Written comments on Amendment No. 1 to the proposed rule change
were neither solicited nor received.
III. Date of Effectiveness of the Proposed Rule Change and Timing
for Commission Action
Within 35 days of the date of publication of this notice in the
Federal Register or within such longer period (i) as the Commission may
designate up to 90 days of such date if it finds such longer period to
be appropriate and publishes its reasons for so finding or (ii) as to
which the Exchange consents, the Commission will:
(a) By order approve such proposed rule change, as amended, or
(b) Institute proceedings to determine whether the proposed rule
change, as amended, should be disapproved.
IV. Solicitation of Comments
Interested persons are invited to submit written data, views and
arguments concerning Amendment No. 1 to the proposed rule change.
Persons making written submissions should file six copies thereof with
the Secretary, Securities and Exchange Commission, 450 Fifth Street
NW., Washington, DC 20549. Copies of the submission, all subsequent
amendments, all written statements with respect to the proposed rule
change, as amended, that are filed with the Commission, and all written
communications relating to the proposed rule change, as amended,
between the Commission and any person, other than those that may be
withheld from the public in accordance with the provisions of 5 U.S.C.
552, will be available for inspection and copying in the Commission's
Public Reference Section, 450 Fifth Street NW., Washington, DC. Copies
of such filing will also be available for inspection and copying at the
principal office of the CBOE. All submissions should refer to File No.
SR-CBOE-95-12 and should be submitted by April 5, 1995.
For the Commission, by the Division of Market Regulation,
pursuant to delegated authority.\6\
\6\17 CFR 200.30-3(a)(12) (1994).
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Margaret H. McFarland,
Deputy Secretary.
[FR Doc. 95-6351 Filed 3-14-95; 8:45 am]
BILLING CODE 8010-01-M