| Market: | All |
| Products: | Derivatives |
| Date: | 27 February 2006 |
Corporate Actions Policy of Euronext.liffe
Management of the corporate event package method in the C21 clearing system
LCH.Clearnet hereby provides clearing members with the documentation regarding the Management of the Corporate event package method which is going to be improved. The new automated process in C21 aims to simplify the management of corporate events and will limit the effects of it on the clearing member processes.
The document attached describes the new features: Package method Guide V1.01
Scope of the Process
Principle
Euronext.liffe has published its Corporate Actions Policy in October 2004 including a Corporate event called “Package method” (combo)
The underlying of the equity options is composed of several shares
Last Package method: UMICOR on S1 2005
Goals of LCH.Clearnet project “Combo/spin-off”
Before Corporate events period
Set-up a full automated process on the Derivatives & Cash markets
It will allow to process huge volumes of exercises/assignments
Members Impacts
No impact on the format of the Clearing message, fees and reporting
New feature of the Exercise/Assignment automation
On D
The exercise/assignment will automatically generate the appropriate Cash trade legs
One cash trade leg will be generated per underlying component
Reminder of current process
On D: the exercise/assignment generates only 1 trade leg message.
On D+1: This trade leg is manually counter passed by LCH.Clearnet and the appropriate number of Cash trade legs is keyed manually by LCH.Clearnet.
Advantages
End of manual procedure
More secure and accelerated process
Form of the adjustment has been chosen so that the result at the time of the adjustment will equal zero
Facilitate the reconciliation of the clearing members (information is automatically reported in the clearing file)
Milestones
End of February: Members’ communication
April: Testing period dedicated to Clearing members (not mandatory, but recommended)
May: Go live
For further information, please contact: your LCH.Clearnet SA product implementation manager: Philippe Pedro: +33 (0) 1 70 37 66 78 or your local relationship manager
Customer and Market Management LCH.Clearnet SA