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| Originating department: | Commercial Services |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2894 |
| Service Circular No: | LCH EnClear No 341 |
| Date: | 04 July 2011 |
| To: | All LCH.Clearnet EnClear Members |
Changes to the LCH EnClear European Hot Rolled Coil contracts
Members are advised that following The Steel Index’s (TSI) move to publish a daily index, the European Hot Rolled Coil contracts will now expire on the last business day of each month, with effect from the July 2011 contract.
Please see the amended contract spec below
| European Hot Rolled Coil | |
| Description | Cash settled steel swaps – settled against The Steel Index: Hot Rolled Coil – Northern Europe, domestic (SCN) Hot Rolled Coil – Southern Europe, domestic (SCS) |
| Lot size | 20 mt |
| Currency | Euros |
| Pricing | € per metric tonne |
| Minimum tick | €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 FIS, or any other such source as LCH may determine |
| Floating price | In respect of daily settlement, the floating price will be the end of day price as supplied by FIS, or any other such source as LCH may determine In respect of final settlement, the floating price will be the mean of the daily prices for the contract route as published by The Steel Index during the contract month |
| Contract series | Front 1 or 2 months (remaining from front quarter), 5 whole quarters, 2 whole calendar years |
| Expiry / Last Trading Day | Last UK business day of the contract month |
| Delivery | Cash settled monthly against the arithmetic average of all the indices in the contract month |
| Final payment | The first business day following the expiry day |
| Business days | UK business days |
Full contract specifications for all other Steel contracts and EnClear products are available on our website www.lchclearnet.com.
If you have any questions related to this circular, 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