| Market: | Paris, Brussels |
| Products: | Derivatives |
| Date: | 28 December 2007 |
NYSE Euronext (Liffe) - Series on Request Project
Announcement: Go-live 22 January 2008
Context and Summary
Liffe has announced (see attached communications) that it will introduce a Series On Request (SOR) policy as from 22 January 2008 regarding equity options and index options.
The SOR policy already exists on the Amsterdam Derivatives markets but will be slightly revised and extended to the Paris and Brussels (still under regulatory approval) Derivatives Markets.
The SOR policy consists for Liffe in creating intra-day series with different strike prices on trading members' request by respecting the standard contract specifications.
Technical Impacts
The 5X ITD are sent by Liffe to the clearing system at approximately 5:30pm, but they are not downloaded in the eCCW product referential. If the Clearing Members have executed a trade on the contract, the trade will appear with some question marks (?) at the contract reference level on trade date. As from D+1, the contract will appear normally in the eCCW. The product referential will have been downloaded within the night with the trades and the corresponding normal contracts that have been created on the previous evening.
The Production Derivatives Referential (Intra day vacation) will be available on the eCCW in the "Reporting FTP Transfer" area at approximately 5:30pm.
| Production Derivatives Referential 1st vacation on 1st day of the year. | EPPUBLICXXLCDD01day |
| Production Derivatives instrument characteristics for the current business date (intra-day - 005A) | EPPUBLICXXLCDI01day |
This currently existing file will be enhanced with the series that have been created within the day on Paris and Brussels.
Clearing Members should integrate this additional file (as usual for those who are used to doing so on Amsterdam) as well as the corresponding trades (only for those who have requested the introduction). Members who have not requested any introduction will not receive the trades corresponding to the contracts.
As a reminder, this file is sent automatically to members that use eCCW, but is sent on request (via FTR) for members using only CAPI or MAPI solutions.
Members' Testing
It will be possible for members to test as from 7 January 2008. Testing is not mandatory and scripted tests will not be provided. However it is your responsibility to check the changes or impacts it may cause for you and type of test you need to perform.
Testing details will be provided in due course and will be coordinated by Liffe.
We draw your attention to the fact that only a limited number of products are available on the EUA (External User Acceptance) platform. Please find the list below:
Paris
| Contract Name | Clrg Seg | ISIN code | Mnemo Short term option | Ctrct val factor | Mnemo Long term option | Eur/US | Currency |
|---|---|---|---|---|---|---|---|
| BNP PARIBAS | EQTYO | FR0000131104 | BN1 | 100 | BN3 | E/A | EUR |
| CAC 40 MASTER UNIT | EQTYO | FR0007052782 | CAC | 100 | A | EUR | |
| ALCATEL | EQTYO | FR0000130007 | CG1 | 100 | CG3 | E/A | EUR |
| AXA | EQTYO | FR0000120628 | CS1 | 100 | CS9 | E/A | EUR |
| ELECTRICITE DE France | EQTYO | FR0010242511 | DF1 | 100 | DF3 | E/A | EUR |
| TOTAL FINA ELF | EQTYO | FR0000120271 | FP1 | 100 | FP2 | E/A | EUR |
| France TELECOM | EQTYO | FR0000133308 | FT1 | 100 | FT3 | E/A | EUR |
| ARCELOR | EQTYO | NSCFR000MTP9 | LO1 | 100 | LO3 | E/A | EUR |
| TOTAL FINA ELF | EQTYO | FR0000120271 | TO1 | 100 | TO2 | A | EUR |
| INDICE PXA | INDEO | PXA | 10 | E | EUR |
Brussels
| Contract Name | Clrg segment | ISIN Code | Mnemo | Ctrct val factor | Eur/US | Currency |
|---|---|---|---|---|---|---|
| BELGACOM | EQTOB | BE0003810273 | BLG | 100 | A | EUR |
| DEXIA Belgique | EQTOB | BE0003796134 | DXB | 100 | A | EUR |
| FORTIS | EQTOB | BE0003801181 | FRB | 100 | A | EUR |
| KBC BANK | EQTOB | BE0003565737 | KBC | 100 | A | EUR |
| TOTAL FINA ELF | EQTOB | NSCBE0120275 | TOT | 100 | A | EUR |
| BEL 20 INDEX OPTION BXO | INDEB | BXO | 2 | E | EUR |
Amsterdam
| Contract Name | Clrg segment | ISIN Code | Mnemo | Ctrct val factor | Eur/US | Currency |
|---|---|---|---|---|---|---|
| ABN AMRO HOLDING NV | EQTON | NL0000301109 | AAB | 100 | A | EUR |
| AEGON NV | EQTON | NL0000303709 | AGN | 100 | A | EUR |
| FORTIS | EQTON | NSCNL5104159 | FOR | 100 | A | EUR |
| GETRONICS NV | EQTON | NL0000355915 | GTN | 100 | A | EUR |
| GETRONICS NV | EQTON | NL0000355915 | GTX | 14 | A | EUR |
| GETRONICS NV | EQTON | NL0000355915 | GTZ | 2 | A | EUR |
| CERTIFICATES ING GROEP NV | EQTON | NL0000303600 | ING | 100 | A | EUR |
| NOKIA OYJ | EQTON | FI0009000681 | NAI | 100 | A | EUR |
| KON PHILIPS ELECTRONICS NV | EQTON | NL0000009538 | PHI | 100 | A | EUR |
| NV KON NED PETROLEUM MIJ | EQTON | GB00B03MLX29 | RD | 100 | A | EUR |
| ROYAL DUTCH NV | EQTON | GB00B03MM408 | RDB | 100 | A | EUR |
| STORK NV | EQTON | NL0000390672 | STO | 100 | A | EUR |
| STORK NV | EQTON | NL0000390672 | STX | 9 | A | EUR |
| CERTIFICATES UNILEVER NV | EQTON | NL0000009355 | UN | 100 | A | EUR |
| AMSTERDAM EXCHANGE INDEX LIGHT | INDON | AEL | 100 | E | EUR | |
| AMSTERDAM EXCHANGE INDEX | INDON | AEX | 100 | E | EUR | |
| INDEX OPTION AMSTERDAM 1er VENDREDI | INDON | AX1 | 100 | E | EUR | |
| INDEX OPTION AMSTERDAM 2e VENDREDI | INDON | AX2 | 100 | E | EUR | |
| INDEX OPTION AMSTERDAM 4e VENDREDI | INDON | AX4 | 100 | E | EUR | |
| INDEX OPTION AMSTERDAM 5e VENDREDI | INDON | AX5 | 100 | E | EUR | |
| USD / EUR CONTRACT | CRCYN | DEX | 100 | E | EUR | |
| EUR / USD CONTRACT | CRCYN | EDX | 100 | E | USD | |
| FUTURE ON POTATOES APR / JUN 2005 | CMDTN | FAP | 25 | EUR |
For further information, please contact:
your LCH.Clearnet SA product implementation manager:
Dorothée Fresneau: +33 (0) 1 70 37 66 05 – dorothee.fresneau@lchclearnet.com
or
your local relationship manager
Customer and Market Management LCH.Clearnet SA