Appendix A to Subpart C of Part 41 - Guidance on and Acceptable Practices for Position Limits and Position Accountability for Security Futures Products
17:2.0.1.1.1.3.1.7.1 : Appendix A
Appendix A to Subpart C of Part 41 - Guidance on and Acceptable
Practices for Position Limits and Position Accountability for
Security Futures Products
(a) Guidance for estimating deliverable supply. (1) For
an equity security, deliverable supply should be no greater than
the free float of the security.
(2) For a debt security, deliverable supply should not include
securities that are committed for long-term agreements
(e.g., closed-end investment companies, structured products,
or similar securities).
(3) Further guidance on estimating deliverable supply, including
consideration of whether the underlying security is readily
available, is found in appendix C to part 38 of this chapter.
(b) Guidance and acceptable practices for setting limits on
cash-settled equity index security futures products - (1)
Guidance for setting limits on cash-settled equity index
security futures products. For a security futures product cash
settled to a narrow-based security index of equity securities, a
designated contract market:
(i) May set the level of a position limit to that of a similar
narrow-based equity index option listed on a national security
exchange or association; or
(ii) Should consider the deliverable supply of equity securities
underlying the index, and should consider the index weighting and
contract multiplier.
(2) Acceptable practices for setting limits on cash-settled
equity index security futures products. For a security futures
product cash settled to a narrow-based security index of equity
securities weighted by the number of shares outstanding, a
designated contract market may set a position limit as follows:
First, determine the limit on a security futures product on each
underlying equity security pursuant to § 41.25(b)(3)(i); second,
multiply each such limit by the ratio of the 100-share contract
size and the shares of the equity securities in the index; and
third, determine the minimum level from step two and set the limit
to that level, given a contract size of one U.S. dollar times the
index, or for a larger contract size, reduce the level
proportionately. If under these procedures each of the equity
securities underlying the index is determined to be eligible for
position accountability levels, the security futures product on the
index itself is eligible for a position accountability level.
(c) Guidance and acceptable practices for setting limits on
debt security futures products - (1) Guidance for setting
limits on debt security futures products. A designated contract
market should set the level of a position limit to no greater than
the equivalent of 12.5 percent of the par value of the estimated
deliverable supply of the underlying debt security. For a security
futures product on more than one debt security, the limit should be
based on the underlying debt security with the lowest estimated
deliverable supply.
(2) Acceptable practices for setting limits on debt security
futures products. [Reserved]
(d) Guidance on position accountability. A designated
contract market may adopt a position accountability rule for any
security futures product, in addition to a position limit rule
required or adopted under § 41.25. Upon request by the designated
contract market, traders who hold positions, either net or on the
same side of the market, greater than such level specified pursuant
to the rules of the designated contract market must provide
information to the designated contract market and consent to halt
increasing their positions when so ordered by the designated
contract market.
(e) Guidance on exemptions from position limits. A
designated contract market may approve exemptions from these
position limits pursuant to rules that are consistent with § 150.5
of this chapter, or to rules that are consistent with rules of a
national securities exchange or association regarding exemptions to
securities option position limits or exercise limits.
[84 FR 51022, Sept. 27, 2019]