Explore the Archive
- Risk Notices Ltd
- Risk Notices SA
- Default Fund Notices SA
- Circulars
- Flash infos Bonds & Repos
- Flash infos Derivatives
- Flash infos Equities
- Flash infos Other
- Fixed Income Notices Ltd
- Legal Notices SA
- Membership Notices SA
- General Information
- General Member Meetings
- Press Releases
- SA Completion of Application Documentation
- SA Clearing Specifications
- SwapClear Legal Documentation
| Originating department: | Commercial Services |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2621 |
| Service Circular No: | LCH EnClear No 287 |
| Date: | 11 May 2010 |
| To: | All LCH.Clearnet EnClear Clearing Members |
Introduction of new contracts in the LCH.Clearnet OTC Forward Freight Agreement (FFA) Clearing Service
LCH.Clearnet is pleased to announce the launch of clearing for two new contracts, which will fall within the existing FFA clearing service. The Handysize Dry Timecharter Basket Route Option and S7 Timecharter Voyage Route contracts will be launched on Monday 17 May 2010.
1. Contract specifications - please see tables below
2. The LCH.Clearnet registration fee for the HTO contract will be $5/lot and for S7 will be $7/lot
3. The contract codes in ECS will be HTO and S7
All Clearing Members already active on the FFA service will be automatically granted access to the new HTO and S7 contracts.
If you have any questions please do not hesitate to contact Holly Shaw on +44 20 7426 7027 or [email protected].
Yours sincerely
Isabella Kurek-Smith
Director, Head of Energy and Freight Markets
Commercial Services
| Dry Timecharter Basket Route Option | |
| Description | Cash settled Premium Paid Option on the following Dry Timecharter Basket Routes: HTO (Handysize TC Avg 6 routes) These contracts, if “in the money” expire into their underlying freight forward contracts with a traded price equal to the Strike Price (see below) |
| Lot size | 1 day |
| Currency | US Dollars |
| Pricing | US $ per day |
| Minimum tick | US $1 per day |
| Option type | Options are European style and will be automatically exercised on the expiry day if they are “in the money”. If an option is “out of the money” it will expire automatically. It is not permitted to exercise the option on any other day or in any other circumstances. No manual exercise is permitted. |
| Option Premium | The Premium is paid at the time of purchase |
| Last Trading Day | At 17:00 hours UK time on last business day of each month within the contract series. Exception – December contracts will expire on the 24th December, or previous business day, where the 24th December is a non-working day. |
| Expiry | 17:00 hours UK time on the Last Trading Day Automatic exercise settings are pre-set to exercise contracts which are one minimum price fluctuation or greater “in-the-money” when compared to the relevant reference price. Members are not permitted to override automatic exercise settings or manually enter exercise instructions for this contract. The reference price will be a price in US dollars, cents and hundredths of a cent ($0.0001), per day equal to the final settlement price for the underlying freight forward contracts. For these purposes “final settlement price” means the final settlement price on the expiry day of the underlying freight forward contracts. |
| Contract series | Front 1 or 2 Months (remaining from expired front quarter) Front 4 Quarters, Front 3 Calendar Years |
| Strike Price | HTO - Thirty strike prices in increments of $500 per day both above and below the “at-the-money” strike price in all contract series.
Where the “at the money” strike price of the underlying commodity moves, additional strikes will be added each business day. |
| Business days | UK business days |
| Timecharter Voyage Route | |
| Description | Cash settled freight forward contract on the following Timecharter Voyage Route: S7 (East coast India – China) |
| Lot size | 1 day |
| Currency | US Dollars |
| Pricing | US $ per day |
| Minimum tick | US $ 0.0001 to account for final settlement |
| Fixed price | The traded price or the previous day’s settlement price as supplied end of day by the Baltic Exchange. |
| Floating price | In respect of daily settlement, the floating price will be the end of day price as supplied by the Baltic Exchange. In respect of final settlement, the floating price will be the mean of the daily Baltic Exchange spot price assessments for every trading day in the expiry month. |
| Last trading day | At 18:00 hours UK time on the business day of each month within the contract series. Exception – December contracts will expire on the 24th December, or previous business day, where the 24th December is a non-working day. |
| Contract series | Current quater and following 4 quaters |
| Final payment | The first business day following the last trading day |
| Business days | UK business days |