| Market: | All |
| Products: | Cash |
| Date: | 28 March 2008 |
News on cash and derivatives markets further to the Implementation of MiFID
Launch of the NYSE Euronext Multi Decimal trading on French and Dutch Cash markets: 7 April 2008
As a reminder, Nyse Euronext implemented since 28 January 2008 a tick size of €0.005 for a limited and fixed number of stocks on the Belgian and Portuguese cash markets.
As from 7 April 2008, the same tick size of €0.005 will be applied on a limited and fixed number of stocks on the French and Dutch markets.
LCH.Clearnet SA would like to draw your attention to the fact that there is no direct impact for its Clearing Members on the cash market. However, some minor impacts have been identified on derivatives (please refer to the paragraph here after named: “Multi Decimal trading impacts on the Derivatives Markets: 7 April 2008” for further details on the subject)
Harmonisation of amounts on the French Cash market: 7 April 2008
Further to the multi-decimal compliance of our systems, LCH.Clearnet SA took the opportunity to harmonise the amounts calculation in its clearing system.
Trade amounts will no longer be truncated for the French market and will be rounded up as it is already the case for the other NYSE Euronext markets (Belgian, Dutch and Portuguese markets).
The production launch is confirmed and will occur on 7 April 2008, jointly with the NYSE Euronext Multi Decimal trading launch.
Multi Decimal trading impacts on the Derivatives Markets: 7 April 2008
Due to the extension to 3 decimals (Tick size of €0.005) of the prices on a limited number of stocks on French and Dutch markets, Clearing Members active on the Paris, Brussels and Amsterdam derivatives markets (Equity options) will have to be particularly careful about the automatic process of exercise and abandonment at maturity date and pay attention to the following points:
- Only part of the underlying prices will move to three decimal positions (refer to the NYSE Euronext’s list of elected securities)
- The automatic process of exercise and abandonment at maturity date will continue to be based on the prices sent by Liffe, i.e. underlying prices reported into the public file named “EPPUBLICXXLCDC01001”.
EPPUBLICXXLCDC01001 is sent by LCH.Clearnet and includes the clearing elements reported by Liffe. In this file:
- For 7 April 2008, underlying prices of the options will continue to be truncated to two decimal positions (EUR 9.70 for EUR 9.705).
Please note that the price is currently sent to two decimal positions. As a result, no technical changes are expected for this file.
- For 21 April 2008, underlying prices of the options will no longer be truncated and will be displayed with 3 decimals
In this file, the field “decimal point locator” will then get the value 3 (decimals) instead of 2.
Please note that the format of the file and its fields remain unchanged.
- The amount of profit and loss on exercise will continue to be based on the prices sent by Liffe and reported into the private file named “POSJX” ( OPEJ - Monep daily operations files).
POSJX is sent by LCH.Clearnet and includes the clearing elements reported by Liffe. In this file:
For 7 April 2008, the amount of profit and loss on exercise will be calculated with underlying prices truncated to two decimal positions.
For 21 April 2008, the amount of profit and loss on exercise will be calculated with the underlying prices on three decimal positions.
Also in this file, the following data records:
- “EXAS”, “EAVR” containing the field “Settlement or closing price” on position 95
- “VAVA”, containing the field “Closing price” on position 17
will continue to report underlying prices rounded up to 2 decimals after the 7 and 21 April 2008.
Regarding the public file EPPUBLICXXLCCC01001 that contains the underlying prices, this file is based on prices sent by NYSE Euronext (cash) and prices will be on three decimal positions (further to the implementation of the “Multi Decimal trading Project” by 7 April 2008). No technical changes are expected for this file. The format of the file and its fields remain unchanged.
As a conclusion LCH.Clearnet SA advises Members to use the public file EPPUBLICXXLCDC01001 that contain the price references reported by Liffe, used for the automatic process of exercise and abandonment and for the calculation of profit and loss on exercise.
For further information, please contact your LCH.Clearnet SA product implementation manager:
Bénédicte Fourrier: +33 (0) 1 70 37 65 36 – benedicte.fourrier@lchclearnet.com
or
your local relationship manager.
Customer and Market Management LCH.Clearnet SA