EFTA01353441.pdf

their high and low prices, an average of opening and closing prices, an average over a stated period of time, or another average that conforms with the parameters established by the options market. However, under the OCC rules in effect at the date of this booklet, the method of determining the exercise settlement value for an exercise that occurs on a day other than the expiration date is not a variable term. The exercise settlement value for such exercises of flexibly struc- tured Index options will be the value derived from the closing prices of the constituent securities on the day of exercise (as reported by the reporting authority). and the exercise settlement value of other flexibly structured options will be determined in the same man- ner as it is determined for other options on the same underlying interest that are traded on the options mar- ket where the opening transaction in the flexibly struc- tured option occurred. SETTLEMENT CURRENCY--The settlement cur- rency may be a variable term to be fixed by the parties out of those currencies specified by the options market on which the transaction occurs as being available for flexibly structured options. The settlement currency may be the currency in which the premium is payable. In addition, brokerage firms may require their custom- ers to make margin payments in the settlement currency. If the settlement currency and premium currency are not U.S. dollars. settlement of premiums and exercises is generally made through the procedures and ar- rangements established by OCC for cross-rate foreign currency options. See "Special Features of Cross- Rate Options" in Chapter VI. If ECUs are the settle- ment currency, settlements can occur in the country or countries designated by OCC. 48 CONFIDENTIAL - PURSUANT TODEESERL1O508f.809 P. 6(e) CONFIDENTIAL SDNY_GM_00183993 EFTA01353441