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| Originating department: | Commercial Services |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2713 |
| Service Circular No: | LCH EnClear No 311 |
| Date: | 04 November 2010 |
| To: | All LCH.Clearnet EnClear Clearing Members |
Changes to strike prices for the HTO Option and extension of the C3E and C5E contract series within the OTC clearing service for freight
Members are advised that as of Friday 05 November 2010, the tradable strike prices for the Cash Settled Premium Paid Option HTO will be available in increments of $100 per day.
Currently HTO option strikes are available in increments of $500 with thirty strikes available above and below the “at the money” strike price. The number of strikes available above and below will remain unchanged. Strike prices for CTO, PTO and STO contracts will remain unchanged also.
Additionally, as from today, the C3E and C5E contracts are tradeable out to the end of Cal 11.
The full contract specifications are available on our website www.lchclearnet.com under the FFA section.
If you have any questions, please do not hesitate to contact Holly Shaw on +44 20 7426 7027 or [email protected].
Isabella Kurek-Smith
Director, Head of Energy and Freight Markets
Commercial Services
| Description | Cash settled Premium Paid Option on any of 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
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 $100 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 |
| Description | Cash settled freight forward contracts on any of the following Dry Voyage Routes: C3E (Tubarao – Qingdao)
|
| Lot size | 1,000mt |
| Currency | US Dollars |
| Pricing | US $/mt, $0.01 |
| 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 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. |
| Contract series | C3E and C5E – Front 3 months, 4 whole quarters |
| Final payment | The first business day following the expiry day |
| Business days | UK business days |