EFTA01393152.pdf

foreign currency. For example. at the date of this booklet, premiums for currently available dollar-denominated Swiss franc options we expressed in U.S. cents, and premiums for currently available dollar-denominated Japanese yen options are expressed in hundredths of U.S. cents. On page 39, the following are deleted: (a) the sen- tence immediately following the first "EXAMPLE," (b) the second "EXAMPLE," and (c) the sentence Immediately following the second "EXAMPLE." On page 39, the following is inserted immediately before the last paragraph: Readers should note, however, that certain exchanges may express premiums in other unconven- tional ways. Readers need to be sure they fully under- stand the various conventions used by the exchanges on which they trade in quoting premiums. The first paragraph under the heading "Cash-Settled Foreign Currency Options," which is the last paragraph on page 43, is deleted and the following sentence is added at the beginning of the first paragraph on page 44: At the date of this booklet, dollar-denominated cash-settled foreign currency options have also been approved for trading. The last four paragraphs on page 44 are deleted and replaced with the following: EXAMPLE: If the exercise price of a cash-settled, dollar-denominated call option on euros is $1.2500 per euro, the exercise settlement value of the euro is deter- mined to be $1.2607 and the option covers 10,000 euros, then the cash settlement amount for the option will be ($1.2607 - $1.2500) x 10,000 = $107.00. Cash-settled foreign currency options may be auto- matically exercised on the expiration date if in the money or if in the money by a certain amount. See the discus- sion in Chapter VIII under "How to Exercise." The exercise settlement value for cash-settled foreign currency options will be based on an exchange rate for the underlying foreign currency from a source selected by the market on which the options trade as set forth in exchange rules. In the case of rate-modified foreign cur- rency options, the options market on which the options are traded would calculate and disseminate the underly- ing rate. In either case this rate may be based on a rate annoinced by the Federal Reserve Bank of New York, bid and offer quotations from a sampling of participants in the interbank spot market for the underlying foreign currency, the rate reported by a recogrized pricing service, or some 101 CONFIDENTIAL - PURSUANT TOCF6ESCIR11O1MS6586 P. 6(e) CONFIDENTIAL SDNY_GM_00244770 EFTA01393152