CORPORATE ACTION NOTICE
Liffe Market
Notice No. CA/2014/319/Lo
Issue Date:
15 July 2014
Effective Date:
To be announced
Contracts:
Flexible Individual Equity Options (201F)
MUD, MUH, MUW
Flexible Universal Stock Futures (66F)
MUF, MUK
Company:
Lorillard Inc
Corporate action:
Takeover
Reference:
Press release of 15 July 2014 from Reynolds American Inc.
ISIN:
US5441471019
Details:
Reynolds American Inc. (“RAI”) and Lorillard Inc. (“ Lorillard”) today announced that
they have entered into a definitive agreement in which RAI has agreed to acquire
Lorillard . Under the terms of the transaction, Lorillard shareholders will receive, for
each Lorillard share, USD 50.50 in cash and 0.2909 of a share in RAI (“The Offer”).
Adjustments:
Provided that the Offer becomes Effective, the contracts shall be de-listed with
immediate effect. The contracts will be settled using the Fair Value method whereby
the Offer price shall be used as reference price for the underlying value. In
determining the Fair Value the following will apply:
■
Offer price: The Offer price shall be determined using the reference price of the
RAI on the New York Stock Exchange (NYSE) on the business day prior to the
Effective date, as follows:
Offer price = USD 50.50 + (0.2909 * RAI reference price)
Options:
■ Implied Volatilities: Given that there is no open interest, no implied volatilities
have been calculated. For further series a fixed implied volatility of 28.11% has
been set in accordance with London Notice No. 3619.
■ Dividends: The dividend payments (as published by Markit Dividends) which are
shown in the Attachment will be used in determining the Fair Value.
■ Interest Rates: US Deposit interest rates shall be used in determining the Fair
Value.
Futures:
■ Dividends: The dividend payments (as published by Markit Dividends) which are
shown in the Attachment will be used in determining the Fair Value.
■ Interest Rates: US Deposit interest rates shall be used in determining the Fair
Value.
LIFFE Administration and Management (“Liffe”) is a Recognised Investment Exchange under the Financial Services and Markets Act 2000.
LIFFE Administration and Management, 5th Floor, Milton Gate, 60 Chiswell Street, London EC1Y 4SA
globalderivatives.nyx.com
CORPORATE ACTION NOTICE
This Notice is issued pursuant to the Corporate Actions Policy for Liffe which is available on the website at
globalderivatives.nyx.com/regulation/nyse-liffe. It requires the immediate attention of Members’ staff
involved with the trading and settlement of equity products on these markets. Members should ensure
that clients are made aware of the arrangements detailed in this Notice.
For further information in relation to this Notice and/or the Corporate Action Services (“CAS”) provided by
Liffe in respect to OTC Derivatives, Members should contact:
Euronext:
EMS Corporate Actions
+31 (0) 20 550 4296
Corporate Action Services
+31 (0) 20 550 4296
NYSE Liffe Clearing:
Business Operations
+44 (0)20 7429 7185
[email protected]
Web: Corporate Actions
[email protected]
Web: CAS
[email protected]
Web: NYSE Liffe Clearing
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CORPORATE ACTION NOTICE
Attachment to Corporate Action Notice No. CA/2014/319/Lo
Lorillard Inc
Corporate action: Takeover
Dividends
Dividend (USD): Ex-date:
0.615
0.615
0.670
0.670
0.670
0.670
0.730
0.730
0.730
0.730
27 Aug 14
25 Nov 14
25 Feb 15
27 May 15
26 Aug 15
24 Nov 15
24 Feb 16
25 May 16
24 Aug 16
22 Nov 16
3