Harmonisation of opening kinematics of blue chip and other indices

Transcription

1 Harmonisation of opening kinematics of blue chip and other indices 8 December 2010 version 1.1 NYSE Euronext. All Rights Reserved.

2 Introduction The Global Index Group of NYSE Euronext is in the process of harmonising the opening kinematics of its European main indices: CAC 40, AEX, BEL 20, and PSI 20. Therefore it is planned to change the sequence and the meaning of several public messages or fields in these public messages of the CAC 40 and indices that use the same kinematics as the CAC 40. Description slides In the below slides the current and target kinematics of the public messages are described for the CAC 40, AEX and other indices. Several different situations are given per index. Dates will be announced shortly. 2

3 Definition of public messages UTP MD protocol 505 instrument state change 553 instrument referential 554 index composition 543 index summary Manual indicative index level First index level Real time index level Forerunner (%) / automatic indicative level (number) reference index level Options Clearing Index (settlement level) forerunner index level Opening forerunner index 542 A Opening index level 542 B reference for opening index level 542 C Opening reference index level 3

4 Overview current IndexLevelCodes bluechip indices 1/2 IndexLevelCode Manual Indicative Index Level. Type of prices taken into account Last traded prices or Adjusted prices are taken into account Condition Only available for certain indices. Decision of compiler in case circumstances prevent the proper calculation of the index Time of sending During trading hours, every 15 seconds following decision of compiler First Index Level. Last traded prices or Adjusted prices are taken into account Only available for certain indices.following the opening of the market and once the minimum % of market cap of the index has traded. For the CAC 40 the minimum market cap is 60%. During trading hours, if minimum threshold was breached. Only 1 level 1 message is sent per index Real Time Index Level. Last traded prices or Adjusted prices are taken into account Once the opening conditions of the index are met and after level 1 or level A are sent During trading hours, every 15 seconds after level 1 or level A Forerunner (%) / Automatic Indicative Level (number). Type of trades that are used depend of index. Type of IndexLevelCode (% or number) depend on of index. Following the opening of the market and as soon as less than the minimum market cap of the index is available During trading hours, every 15 seconds if minimum conditions are no longer met reference index level Last traded prices or Adjusted prices are taken into account Every morning before the opening of the index. Every evening at the close of the index Three level 5 messages are sent: - 1 before the opening of the index (containing price of index the previous trading day) - 1 at the of the index - 1 at the end of the temporary phase Forerunner Index Level. Theoretical opening prices or Adjsuted prices are taken into account Only available for certain indices. Index is in status pre-opening and at least 1 theoretical opening price is available Before opening of the index every 15 seconds 4

5 Overview current IndexLevelCodes bluechip indices 2/2 IndexLevelCode Type of prices taken into account Condition Time of sending Options Clearing Index Average of index level for settlement Only available for CAC 40 index Index is not in Suspended status. Between 16:40 and 17:00 (CET) every 15 seconds Options Liquidation Index Average of index level for settlement Only available for CAC 40 and AEX. Index is not in Indicative or Suspended status AEX: Between 15:45 and 16:00 (CET) every minute CAC 40: Every 3 d week of the month, between 15:40 and 16:00 (CET) every 15 seconds 542 A Opening Index Level. Type of trades that are used depend of index. For CAC 40 only opening trades are taken into account. For AEX, BEL 20 and PSI 20 all type of trades are taken into account including previous adjusted prices. Following the opening of the market and once the minimum market cap of the index has traded. For the CAC 40 the minimum market cap is 60%. For the AEX, BEL 20 and PSI 20 the minimum market cap is at the opening of the index and becomes 80% after 09:05 (CET). During trading hours, if minimum threshold was breached. Only 1 level A message is sent per index. 542 B Reference For Opening Index Level. Only opening trades are used for calculation Only available for CAC 40. Once of the non regulated halted constituents of the index have traded During trading hours, if minimum threshold of was reached. Only 1 level B message is sent per index 542 C Opening Reference Index Level. Only opening trades are used for calculation minus any cancelled opening trades Only available for CAC 40 once the index is closed. Two level C messages are sent: - 1 at the of the index - 1 at the end of the temporary phase 5

6 Kinematics CAC 40 Index In the below slides examples are given of the current and target kinematics of the messages at different situations of the CAC 40 Index NYSE Euronext. All Rights Reserved.

7 Summary changes CAC 40 per message type Message/IndexLevelCode Description Manual Indicative Index Level First Index Level Real Time Index Level Forerunner (%) / Automatic Indicative Level (number) Current situation Not available Available Available Available as a percentage in two situations: Following opening and intraday Target situation Available Discontinued Available. No changes Available as a number in one situation: Following opening reference index level Available Available. No changes Options Clearing index Available Discontinued Options Liquidation Index Available Available. No changes Forerunner Index Level Available Discontinued Opening forerunner index Not available Not available 542 A Opening Index Level Available. Only opening trades and adjusted prices are used in the calculation Available. Only last trades and adjusted prices are used in the calculation. Official opening level of CAC B Reference For Opening Index Level Available. Official opening level of CAC 40 Available. No longer official opening of CAC C Opening Reference Index Level Available. Official adjusted opening level of CAC 40 Available. No longer official opening of CAC 40. Please note that the Official opening level of the CAC 40 will be sent in 542 message type A (instead of B and C) 7

8 Impact in further detail for CAC 40 - forerunner discontinued - forerunner (level 8) will no longer be sent prior to the opening of the index and will not be replaced by any other type of message - Opening forerunner harmonised with «automatic indicative level» of AEX - Currently an opening Forerunner index level (level 3) is sent every 15 seconds following the opening if the minimum market cap of 65% of the index is not obtained at the opening of the index. The opening forerunner gives the variation in percentage of the index level with the previous day s level percentage using opening trades and last adjusted trades in its calculation. In the target situation, instead of sending the forerunner, the automatic indicative level (same as AEX) will be sent under the same conditions as the current forerunner of the CAC 40. This means that instead of a percentage, a numeric level is sent which is calculating by using last known trades of all constituents. - Automatic suspension replaced with manual indicative - Currently the CAC 40 suspends automatically intraday if less than 65% of the market cap of the index is available for trading (not taking into account any regulated halted instruments). In this case a suspension forerunner (level 3) is sent during this period every 15 seconds. This level is a percentage of the index level calculated by using last traded prices. In the target situation the CAC 40 will no longer suspend automatically. Instead the compiler will make the decision if there is reason to suspend the publication of the CAC 40. They can decide to do so if it is believed that circumstances prevent the proper calculation of the index. In this case a manual indicative level (level 0) is published during this period every 15 seconds with the same fields as that are being used currently for the AEX. This level 0 is calculated by using the last traded price or the last adjusted price if a last traded price is not available. The index levels that are calculated during the indicative status of an index are not taken into account to update high and the low levels of the index. The Options Clearing Index (level 6) is not disseminated during the indicative status of an index. In case the CAC 40 remains in the status of manual indicative until the of the index, the compiler has the choice to recalculate and broadcast the level during the temporary phase. - Reduction and harmonisation of number of opening levels - First Index level (level 1) will no longer be sent - Currently there is a difference between the calculation of the Opening index level (level A) of the AEX and the CAC 40. For the current level A of the CAC 40 only the opening trades are taken into account. For the current level A of the AEX all last trades are taken into account. This can be opening trades, normal trades or cross trades. In the target situation, all last trades will be used for the calculation of the level A opening level of the CAC Different IndexLevelCode for Official Opening level of CAC 40 - In the target situation the level A of the CAC 40 will be calculated in the same way as the AEX The official opening price of the CAC 40 will be the level A. Currently the official opening is sent via the level B and C. 8

9 Current KINEMATICS 1.A. CAC 40 situation of standard opening PHASES Opening 7:15 9:00 18:02 +/-18: A 2 B 2 C C % Note: Level B is disseminated when of the market cap of the non regulated halted instruments in the index has traded 0% 9

10 Target KINEMATICS 1.B. CAC 40 situation of standard opening PHASES Opening 7:15 9:00 18:02 +/-18:07 5 A 2 B 2 C C % Note: Level 8 and level 1 are no longer sent. Calculation of level A equals level A of AEX 10

11 Current KINEMATICS 2.A. CAC 40 situation when threshold of 65% of market cap is not met at 09:00 PHASES Opening 7:15 9:00 18:02 +/-18: A 2 B 2 C C % Note: The level 1 and A are only sent once 65% of the market cap has traded 11

12 Target KINEMATICS 2.B. CAC 40 situation when threshold of 65% of market cap is not met at 09:00 PHASES Opening 7:15 9:00 18:02 +/-18: A 2 B 2 C C Note: See page 8 for the list of changes 65% 12

13 Current KINEMATICS 3.A. CAC 40 - situation of intraday forerunner PHASES Opening 7:15 9:00 18:02 +/-18: min A B C C % 0% Note: If less than 65% of the market cap is available intraday the CAC 40 automatically suspends (level 3) 13

14 Target KINEMATICS 3.B. CAC 40 - situation of intraday forerunner PHASES Opening 7:15 9:00 18:02 +/-18:07 5 A B C C % 0% Note: The session forerunner (level 3) is no longer sent if the market cap goes below 65% intraday and level 2 continuous to be sent 14

15 Target KINEMATICS 3.B. CAC 40 - intraday manual indicativate mode PHASES Opening 7:15 9:00 18:02 +/-18:07 5 A B C C % 0% Note: Only when the compiler decides that the index level is no longer representative will the index change to a «indicative status» (level 0) 15

16 Kinematics AEX, BEL 20 and PSI 20 Index NYSE Euronext. All Rights Reserved.

17 Changes on AEX, PSI 20 and BEL 20 Index - There will be no changes on the current opening kinematics for the AEX, PSI 20 or BEL 20 - The kinematics of these indices have already been harmonised and are not using the same kind as opening kinematics or forerunner as the CAC

18 Current KINEMATICS AEX standard opening PHASES Opening 7:15 9:00 9:05 18:02 +/-18:07 5 A 2 A % 0% Note: The target kinematics will remain the same as the current ones for the AEX, PSI 20 and BEL 20 18

19 Current KINEMATICS AEX both thresholds are not breached at 09:05 PHASES Opening 7:15 9:00 9:05 18:02 +/-18: A % 0% Note: The target kinematics will remain the same as the current ones for the AEX, PSI 20 and BEL 20 19

20 Current KINEMATICS AEX intraday manual indicativate mode PHASES Opening 7:15 9:00 9:05 18:02 +/-18:07 5 A % 0% Note: The manual Indicativate level is a decision of GIG and is not sent at a certain % of market cap 20

21 Kinematics of indices using IndexLevelCode 9 NYSE Euronext. All Rights Reserved.

22 IndexLevelCode 9 will be replaced with level 3 - Certain indices are not disseminated every 15 seconds but only once during the day. Most of these are sent at 11:40 (CET). In order for some of these indices to publish an opening level a minimum percentage of the market cap needs to have trades. This percentage is mostly 65% like the CAC In the current situation, if the threshold is breached before the fixed time an Opening Index Level is disseminated to the market (level A). If the threshold is not met before the fixed time a type of forerunner is sent. For indices that are broadcast once a day this forerunner has the IndexLevelCode 9. This forerunner is a percentage of the index level code and is calculated using opening trades and last adjusted trades like the IndexLevelCode 3 of the CAC 40. In the target situation, instead of sending the forerunner, the automatic indicative level (same as AEX) will be sent (IndexLevelCode 3). This means that instead of a percentage, a numeric level is sent which is calculating by using last known trades of all constituents. - Example of an index that works in this way currently are: French sector indices and the CAC IT Index. 22

23 Current KINEMATICS Index broadcast at a fixed time situation of standard opening PHASES Opening 7:15 9:00 11:40 18:02 18:07 5 A C 543 C % 0% 23

24 Target KINEMATICS Index broadcast at a fixed time situation of standard opening PHASES Opening 7:15 9:00 11:40 18:02 18:07 A C C 5 65% 0% Note: No changes in case of standard opening. Minimum market cap is 65% for this example 24

25 Current KINEMATICS Index broadcast at a fixed time situation when first threshold is not breached PHASES Opening 7:15 9:00 11:40 18:02 18: C 543 C % 0% Note: Minimum market cap is 65% for this example. As the minimum threshold has not been breached the forerunner (level 9) is sent 25

26 Target KINEMATICS Index broadcast at a fixed time Situation when threshold is not reached at fixed time PHASES Opening 7:15 9:00 11:40 18:02 18: C C 5 65% Note: Instead of level 9, Automatic Indicative (level 3) is sent 0% 26

27 AEX, BEL 20, CAC 40 and PSI 20 are registered trademarks of NYSE Euronext or its subsidiaries.