Equity

Converge^® is available to clear OTC options on single-name equities and exchange-traded funds (ETFs).

Specifications of OTCI Transactions Acceptable for Clearing

Specifications	Description
Underlying Interest	OTC Equity Options: Eligible Underlyings
Market Center	Bilateral
Product Type	Option
Type of Option	Call or put option
Instrument Type/Expiration	Maximum 5 years
Exercise Rule	American or European
Exercise Price	All
Settlement Type	Cash or physical
Unit of Measure/Unit of Trading	100
Settlement Currency	Canadian dollar
Settlement Rule	Current month – OTCI single-name equity: t+1 in cash; t+3 in physical
Reference Index	Opening or Closing level of the Underlying Interest
Reset Frequency	Daily
Notional Quantity	Minimum 500 contracts if the Underlying Interest is a single name equity or an ETF

Option Pricing

For margin calculation purposes, CDCC computes a daily theoretical price for each OTC equity option cleared through Converge^®.

Option Pricing Models

• American-style
  Barone-Adesi & Whaley
• European-style
  Black-Scholes

Volatility

• Underlying has a listed option at MX
  Implied volatility derived from listed option prices
• Underlying does not have a listed option at MX
  Historical volatility of underlying (Annual)

Minimum Size

Products	Minimum Size
Single-Name Equity Options	500 contracts
ETF Options	500 contracts

Fee Structure

Products	Clearing Member Cost1	Client Cost1	Maximum Clearing Member Cost2	Maximum Client Cost2
All underlyings (Single-Name Equity Options and ETF Options)	$0.30	$0.70	$3,000	$7,000

1. Per contract
2. Total, cap at 10,00 contracts