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

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