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.

Click to view a PDF version of this information, or view the attached Package Method Guide v1.01.