NYSE Euronext Multi Decimal trading Impact on Derivatives market

NYSE Liffe announcement of the launch of Multi Decimal trading to 3 decimal places: 25 May 2009

NYSE Liffe has announced 25 May 2009 as the launch date for three decimal place support in LIFFE CONNECT ®. Please refer to the NYSE Liffe announcements that accompany this Info Flash for more details.

As a reminder, since 7th April 2008 NYSE Euronext has extended to three decimal places (tick size €0.005) the prices on a limited number of stocks on French and Dutch markets. LCH.Clearnet advises Clearing Members active on the Paris, Brussels and Amsterdam derivatives markets (equity options) to be particularly careful about the automatic processing of exercise and abandonment on the maturity date and to pay attention to the following changes:

1. Only some of the underlying prices have been moved to three decimal places (refer to NYSE Euronext’s list of elected securities)

2. The automatic processing of exercise and abandonment on the maturity date continue to be based on the prices sent by NYSE Liffe, i.e. underlying prices
   reported into the public file named “EPPUBLICXXLCDC01001”.
   
   The EPPUBLICXXLCDC01001 file is sent by LCH.Clearnet and includes the clearing elements reported by NYSE Liffe. In this file:
   
    - From 25 May 2009, prices for the equity underlying an option will no longer be truncated to two decimal places but will be reported with three decimal places.
   
   In this file, the field “decimal point locator” will then have the value three (decimal places) instead of two. Please note that the format of the file and fields will remain unchanged.

3. The amount of profit and loss on exercise will continue to be based on the prices sent by NYSE 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 NYSE Liffe from 25 May 2009. In this file:
   
    - The amount of profit and loss on exercise will be calculated with the underlying prices quoted to three decimal places (instead of underlying prices truncated being to two decimal places.);
   
   Also in this file the following data records:
   
    - “EXAS”, “EAVR”, containing the field “Settlement or closing price” (starting at position 95) will also be quoted to three decimal places;
    - “VAVA”, containing the field “Closing price” (starting at position 17) will also be quoted to three decimal places.
   
   
   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 quoted to three decimal places (further to the implementation of the NYSE Euronext “Multi Decimal trading Project” on 7 April 2008). The format of this file and fields will remain unchanged.

In conclusion, LCH.Clearnet SA advises Members to use the public file EPPUBLICXXLCDC01001 that contain the reference prices, reported by NYSE Liffe, used for the
automatic processing 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:
Tom Badman: +33 (0) 1 70 37 67 69 – [email protected]
or
your local relationship manager

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