LONDON NOTICE No. 3565

EURONEXT DERIVATIVES MARKETS
LONDON NOTICE No. 3565
ISSUE DATE:
EFFECTIVE DATE:
15 February 2012
12 March 2012
FTSE 100 INDEX FUTURES CONTRACT
THREE MONTH EURO (EURIBOR) INTEREST RATE FUTURES CONTRACT
U.S. DOLLAR SWAPNOTE® FUTURES CONTRACTS
UNIVERSAL STOCK FUTURES CONTRACTS, FLEXIBLE UNIVERSAL STOCK
FUTURES CONTRACTS AND FLEXIBLE INDIVIDUAL EQUITY OPTION CONTRACTS
BASED ON U.S. SHARES
TRADING ARRANGEMENTS FROM 12 MARCH 2012 TO 23 MARCH 2012 INCLUSIVE
Executive Summary
This Notice informs Members of the trading arrangements for certain Exchange Contracts for the
period from 12 March 2012 to 23 March 2012 inclusive.
1.
Introduction
1.1
Members will be aware that Daylight Saving Time in the United States commences on
Sunday 11 March 2012, whereas British Summer Time and Central European Summer Time
do not begin until Sunday 25 March 2012. This Notice informs Members of the trading
arrangements for certain Exchange Contracts during the period Monday 12 March 2012 to
Friday 23 March 2012 only.
2.
FTSE 100 Index Futures and Euribor Futures Contracts
2.1
For the period of Monday 12 March 2012 to Friday 23 March 2012, the FTSE 100 Index
Futures Contract and the Three Month Euro (EURIBOR) Interest Rate Futures Contract
(“Euribor Futures”) will operate standard trading hours1.
2.2
This is a change from the arrangements in previous years, when the Contracts closed early
during the similar calendar period.
2.3
Due to the changed time difference, Members may expect liquidity in the last hour of trading
during the Period to be at a lower level than is normally available in the Contracts.
1
London Notice No. 3563, issued on 9 February 2012, informed Members that the Asian Trading Hours for
Euribor Futures will be revised from 01:00 - 06:00, to 01:00 - 06:45 (London time) effective on and from 20
February 2012.
Web site: www.nyx.com/liffe
The Euronext Derivatives Markets comprise the markets for derivatives operated by Euronext Amsterdam, Euronext
Brussels, Euronext Lisbon, Euronext Paris and LIFFE Administration and Management, referred to respectively as the
Amsterdam, Brussels, Lisbon, Paris and London markets. Euronext is part of the NYSE Euronext group.
Euronext N.V. | PO Box 19163 | 1000 GD Amsterdam | The Netherlands
3.
U.S. Dollar Swapnote® Contracts
3.1
The Exchange has determined to amend the trading hours of the Two Year, Five Year and
Ten Year U.S. Dollar Swapnote® Futures Contracts for the period Monday 12 March 2012 to
Friday 23 March 2012, such that these Contracts shall close at 19:00 hours (London time).
Furthermore, the daily settlement prices for the U.S. Dollar Swapnote® Futures Contracts
shall be established one hour earlier than usual, at 19:00 hours (London time). Members
should note this is a change from the arrangements in previous years, when the U.S. Dollar
Swapnote® Futures Contracts operated under standard trading hours during the similar
calendar period (but daily settlement prices for the Contracts were established one hour
earlier).
3.2
The Reference Rates used by the Exchange to establish the Exchange Delivery Settlement
Price (“EDSP”) in accordance with the Contract Specification shall continue to be published
at 11:00 hours (New York time), which for the March 2012 delivery month will be 15:00
hours (London time).
3.3
The Last Trading Day for the March 2012 delivery month is 19 March 2012. Trading in the
March 2012 delivery month shall cease at 11:00 hours (New York time) in accordance with
the Contract Specification, which will also be 15:00 hours (London time).
4.
USFs, Flexible USFs and Flexible Individual Equity Options Contracts based on U.S.
Shares
4.1
The EDSP of standard USFs based on U.S. shares is determined on the basis of the Official
Opening Price of the underlying shares on the New York Stock Exchange or the NASDAQ
Stock Market (as the case may be) on the Last Trading Day of the relevant delivery month.
The Official Opening Price is normally established at approximately 14:30 hours (London
time). Furthermore, the List of Contract Details in respect of USFs based on U.S. shares
states that trading in a delivery month shall cease at 14:30 hours (London time) on its Last
Trading Day. However, due to the daylight saving changes, in respect of the March 2012
delivery month the Official Opening Price to be used for EDSP purposes shall be established
at approximately 13:30 hours (London time). As a consequence, the time trading ceases on
the Last Trading Day in respect of the March 2012 delivery month for such Contracts shall be
13:30 hours (London time). These changes also apply to flexible USFs and flexible Individual
Equity Options Contracts based on U.S. shares available on Bclear with a Last Trading Day
that falls in the period 12 March 2012 to 23 March 2012 inclusive2.
5.
LIFFE CONNECT® Session Times
5.1
Full details of the LIFFE CONNECT® session times for these Contracts during the relevant
period are contained in the Attachment to this Notice. These Contracts shall revert to their
normal session times on Monday 26 March 2012.
For further information in relation to this Notice, Members should contact:
Equity Derivatives
+ 44 (0)20 7379 2200
[email protected]
Fixed Income Derivatives
+44 (0)20 7379 2222
[email protected]
2
In the case of flexible Individual Equity Options Contracts based on U.S. shares, the expiry reference price for
the purposes of auto exercise will be established at 13:30 hours (London time).
2
Attachment to London Notice No. 3565
LIFFE CONNECT® Session Times: 12 March 2012 to 23 March 2012 inclusive
Three Month Euro (EURIBOR) Futures
Session
Start
ATH*
PreOpen
ATH*
Open
MTH*
PreOpen
MTH*
Open
PreClose
Settlement
Close
Session
Close
00:30
00:45
01:00
06:45
07:00
20:58
16:15
21:00
21:35
* ATH = Asian Trading Hours; MTH = Main Trading Hours
Two Year, Five Year and Ten Year U.S. Dollar Swapnote® Futures
Session
Start
PreOpen
Open
PreClose
Settlement
Close
Session
Close
00:30
06:03
07:00
19:58
19:00
19:00
21:35
FTSE 100 Index Futures
Session
Start
Early
PreOpen
Early
Open
PreOpen
Open
PreClose
Settlement
Close
Session
Close
00:30
00:45
01:00
07:50
08:00
20:58
16:30
21:00
21:35
3
MARCHÉS DÉRIVÉS D’EURONEXT
BULLETIN DE PARIS No. 2012 – 003
DATE:
DATE EFFECTIVE:
15 février 2012
12 mars 2012
HORAIRES DE NÉGOCIATION DU 12 MARS 2012 AU 23 MARS 2012 INCLUS
CONTRAT CAC 40® FUTURE
Sommaire:
Ce Bulletin informe les membres que le contrat CAC40® Futures sera ouvert aux heures habituelles
de négociation du 12 mars 2012 au 23 mars 2012 inclus, malgré la réduction du décalage horaire entre
les USA et l’Europe pendant cette période.
1.
Introduction
1.1
Les horaires d’été commencent le dimanche 11 mars 2012 aux USA alors qu’en Grande
Bretagne et en Europe (“CET”) ils ne commencent que le dimanche 25 mars 2012.
1.2
Ce Bulletin informe les membres que le contrat CAC40 ® Future (“le Contrat”) sera ouvert
aux heures habituelles de négociation pendant cette période, à savoir du lundi 12 mars 2012
au vendredi 23 mars 2012 inclus.
1.3
Il s’agit là d’un changement par rapport aux années précédentes où le contrat fermait plus tôt
pendant cette période. Ce changement vient en complément du Bulletin 2012 - 002 publié le
11 janvier 2012 qui annonçait que le Contrat sera également ouvert aux heures habituelles de
négociation durant les jours fériés US.
1.4
Le contrat sera ouvert à la négociation aux heures habituelles comme suit. (Tous les horaires
sont en heure de Paris) ;
Ouverture de la
session
Pré-Ouverture
Ouverture
PréClôture
Compensation
Clôture
Clôture de
session
01:30
07:04
08:00
21:58
17.35
22:00
22:35
Web site: www.euronext.com/derivatives
Les marchés dérivés d'Euronext ("Euronext.liffe”) incluent les marchés dérivés gérés par Euronext Amsterdam, Euronext
Bruxelles, Euronext Lisbonne, Euronext Paris et LIFFE Administration & Management respectivement les marchés
d’Amsterdam, Bruxelles, Lisbonne, Paris et Londres. Euronext fait partie du groupe NYSE Euronext
Euronext N.V. | PO Box 19163 | 1000 GD Amsterdam | The Netherlands
2.
Liquidité
2.1
En conséquence du décalage horaire, les membres doivent s’attendre à rencontrer des niveaux
de liquidité réduits sur le Contrat par rapport à l’habitude pendant la dernière heure de
négociation.
Pour toute question concernant ce Bulletin, merci de bien vouloir contacter:
Equity Derivatives
+ 44 (0)20 7379 2200
[email protected]
EURONEXT DERIVATIVES MARKETS
PARIS NOTICE No. 2012 – 003
ISSUE DATE:
EFFECTIVE DATE:
15 February 2012
12 March 2012
TRADING ARRANGEMENTS FROM 12 MARCH 2012 TO 23 MARCH 2012 INCLUSIVE
CAC 40® FUTURE CONTRACT
Executive Summary
This Notice informs Members that the CAC40® Futures Contract will operate standard trading hours
between 12 March 2012 and 23 March 2012 inclusive, despite the shortened time difference between
the US and Europe during this period.
1.
Introduction
1.1
Members will be aware that Daylight Saving Time (“DST”) in the United States commences
on Sunday 11 March 2012 whereas British Summer Time (“BST”) and Central European
Summer Time (“CEST”) do not begin until Sunday 25 March 2012.
1.2
This Notice informs Members that the CAC40® Futures Contract (“the Contract”) will
operate standard trading hours on the trading days in this period. These trading days are
between Monday 12 March 2012 and Friday 23 March 2012 inclusive.
1.3
This is a change from the arrangement in previous years when the Contract closed early on
this period of time. This change is intended to complement Paris Notice 2012 - 002 issued on
11 January 2012 which clarified that the Contract will also operate standard trading hours
during US holidays.
1.4
The standard session times for the Contract will apply on these days, as follows. All times are
Paris time.
Session
Start
PreOpen
Open
PreClose
Settlement
Close
Session
Close
01:30
07:04
08:00
21:58
17.35
22:00
22:35
2.
Liquidity Conditions
2.1
Due to the changed time difference, Members may expect liquidity during the last trading
hour during the period to be at a lower level than is normally available in the Contract.
For further information in relation to this Notice, Members should contact:
Equity Derivatives
+ 44 (0)20 7379 2200
[email protected]