Futures and Options on Futures  (effective September 30, 2002)


Effective September 30, 2002.  First incorporated into the 3Q02 capital classification released by OFHEO 12/30/02.


1.  Settle positions on their expiration dates.  Exercise only in-the-money options (settlement value greater than zero).

2.  Settle all contracts for cash.

3.  Calculate the cash settlement amount--the change in price of a contract from the contract trade date to its expiration date.  Calculate the price on the expiration date based on stress test interest rates (or, as necessary, forward rates extrapolated from these rates).

4.  Amortize amounts received or paid at the expiration date into income or expense on a straight-line basis over the life of the underlying instrument (in the case of an option on a futures contract, the life of the instrument underlying the futures contract).

5.  Amortize an option premium on a straight-line basis over the life of the option. (Amortize any remaining balances upon option exercise.)