In Brief: TOPIX index contract to be listed on NYSE Liffe on 18 October 2010
NYSE Technologies would like to inform clients that TOPIX Index Futures will be made available for trading in the LIFFE CONNECT® Central Order Book, and for reporting to the Exchange via Bclear, on and from Monday 18 October 2010. The TOPIX Index Contract ("the Contract") is being launched in partnership with the Tokyo Stock Exchange ("TSE") under Link arrangements, such that open positions on LIFFE in effect will be transferred overnight to TSE's clearing house, the Japan Securities Clearing Corporation. TOPIX Index Futures positions transferred in this way will then become subject to the Rules of the TSE.
Clients should be aware that the contract code that will be used for TOPIX Index Futures will be TPI, contrary to what was provided in the previous notice.
The TOPIX Index
The TOPIX Index is a free-float adjusted market capitalisation weighted index. It is composed of all companies in the First Section of the TSE, currently comprising over 1,600 stocks.
The TOPIX Index is produced by TSE according to a transparent and publicly available set of index methodology and calculation procedures which can be found at www.tse.or.jp/english/market/topix/calculation.html.
On and from Monday 18 October 2010, the Contract shall be made available on LIFFE CONNECT® and Bclear under the terms of Exchange Contract No. 305.
A summary Contract Specification is shown below:
||TOPIX Index Futures
|Exchange Contract Code
||Contract valued at ¥10,000 per index point
||The nearest four of the Mar/Jun/Sep/Dec cycle
|Trading Tick Size / Tick Value
|Last Trading Day ("LTD")
||One London Business Day prior to the TSE Last Trading Day for the equivalent TSE TOPIX Futures contract month (therefore normally the Wednesday prior to the second Friday)
||Overnight transfer of positions to the TSE's Clearing House Japan Securities Clearing Corporation ("JSCC")
|TSE Final Settlement Price
||Determined by TSE on the business day following the TSE Last Trading Day
||06:00 - 21:00 GMT (Winter), 07:00 - 21:00 BST (Summer) on LIFFE CONNECT®
08.00 - 17.00 hours on Bclear (Winter and Summer)
|Time trading ceases on LTD on LIFFE CONNECT®
|Latest time trades may be reported via Bclear on LTD
||LIFFE CONNECT® & Bclear
||NYSE Liffe Clearing
All times are London time.
The Link Arrangements
The Contract will be cleared initially under the normal LIFFE arrangements and marked to market against a LIFFE Daily Settlement Price. Following the clearing process each day, in the normal course of events open positions will be transferred overnight to the JSCC by way of the closure of the LIFFE Contract and opening of an equivalent contract on the TSE. Positions transferred to the JSCC will be fungible with TOPIX Futures positions created at the JSCC following trading on the TSE, creating a single pool of open interest at the JSCC, and subject to the Rules of the TSE. In order to facilitate this arrangement, the Last Trading Day of the Contract is one day before the Last Trading Day of the equivalent TOPIX Futures contract delivery month on the TSE.
Clients may wish to note that this arrangement is conceptually very similar to the current operation of the LIFFE Euroyen (TIBOR) Futures contract, where positions are transferred nightly to the Tokyo Futures Exchange ("TFX") for clearing.
The position transfer arrangement means that, in the normal course of events, final settlement of contracts will occur in Tokyo at the JSCC. Final settlement of Contracts will occur in NYSE Liffe Clearing only in the event that there is a Link Emergency during, or immediately prior to, the Last Trading Day of a Contract delivery month.
Block Trade Facility
The Contract will be included in the Exchange's Block Trade Facility. The minimum volume threshold will be 50 lots. Clients are reminded that the minimum volume threshold applies to each leg of a strategy trade.
An updated list of Block Trade minimum volume thresholds will be made available on the NYSE Euronext website in due course www.nyx.com/liffe.
Bclear Minimum Volume Requirement
The minimum volume requirement for Contracts reported via Bclear will be 50 lots.
Business Days, Trading Hours and Reporting Hours
On and from Monday 18 October 2010, the Contract will be available for trading/reporting on all remaining market days in 2010. Details of the trading availability of the Contract for subsequent years will be published by separate Notice.
Detailed session times for the trading of the Contract on LIFFE CONNECT® are as follows (all times are London time):
Summer is defined as during British Summer Time ("BST"), which starts on the last Sunday in March and ends on the last Sunday in October. Winter is all other times of the year.
Clients may report transactions in the Contract to the Exchange via Bclear between 08:00 and 17:00 hours (London time) on market days throughout the year.
For further information in relation to this Notice, clients should contact Equities and OTC Product Development
+44 (0)20 7379 2200
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