| Originating department: | Customer & Market Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2104 |
| Service Circular No: | LCH EnClear No 158 |
| Date: | 18 December 2006 |
| To: | All LCH EnClear Clearing Members |
Launch of 4 new contracts in the LCH.Clearnet OTC Freight Forward Agreement Clearing Service
Members are advised that LCH.Clearnet will be adding four new contracts to its Freight clearing service, with the launch planned for 12 January 2007.
The four new contracts are:
i) C4E (Capesize Richards Bay - Rotterdam), settled on the average of the daily Baltic Exchange spot price assessments for every trading day in the expiry month
a) Within the Extensible Clearing System (ECS) quarter trades can be registered where they relate to the front month of each quarter (ie Jan, Apr, Jul, Oct) or where they relate to all months within the quarter (ie Jan-Mar, Apr-June, Jul-Sep, Oct-Dec).
b) Consequently calendar trades can be registered where they relate to the front month of each quarter within the calendar (ie Jan, Apr, Jul, Oct) or where they relate to all months within the calendar (ie Jan-Dec).
ii) C7E (Capesize Bolivar - Rotterdam), settled on the average of the daily Baltic Exchange spot price assessments for every trading day in the expiry month
a) Quarters as per 1.i
b) Calendars as per 1.ii.
NB These will be in addition to the existing 2 contracts C4 and C7 currently cleared with settlement based on the average of the last 7 Baltic spot price assessments in the expiry month
iii) Baltic TC4 (30,000mt Singapore - Japan)
iv) Baltic TC5 (55,000mt ME- Japan)
The LCH.Clearnet Registration Fees for the new routes will be :
C4E $5/lot C7E $5/lot TC4 $4/lot TC5 $6/lot The contract codes in ECS will be :
C4 settlement on all days in expiry month: C4E C7 settlement on all days in expiry month: C7E TC4: TC4 TC5: TC5 Contract description – Dry Routes
Description Cash settled freight forward contracts on the following Dry Voyage Routes :C4E (Capesize Richards Bay – Rotterdam)C7E (Capesize Bolivar – Rotterdam) Lot size 1,000 mt Currency US $ 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 product of the unweighted arithmetic mean of the daily Baltic Exchange spot price assessments for every trading day in the expiry month Last Trading Day At 17:00 (UK) hours 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 C4E and C7E – out to a time horizon of 3 whole Calendar years (max 47 months) traded as either monthly contracts, Quarters or Calendar years. The quarters and calendars can be made up either of the front month of each quarter (ie Jan, Apr, Jul, Oct) or all months respectively Final Payment Date Day proceeding the Last business day of expiry month Business Days UK Business days Contract description- Tanker Routes
Description Cash settled freight forward contracts on the following Tanker Voyage Routes: Baltic TC4 (30,000mt Singapore - Japan)Baltic TC5 (55,000mt ME - Japan) Lot size 1,000 mt Minimum tick US $ 0.0001 to account for final settlement Fixed Price The traded Worldscale Rate (Worldscale points) Fixed Amount The fixed price/100 multiplied by the Flat Rate for each pricing date in the settlement period, multiplied by the quantity Floating Amount In respect of daily mark to market, the floating amount is the end of day Worldscale rate as supplied by the Baltic Exchange/100 multiplied by the Flat Rate on that day multiplied by quantity
In respect of final settlement, the floating amount is the unweighted arithmetic mean of the Baltic Exchange WS rate spot price/100 multiplied by the Flat Rate for each pricing date in the settlement period, multiplied by quantity
Last Trading Day At 17:00 (UK) hours 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 Front 6 Months, Front 4 Quarters, Front 2 Whole Calendar years. Out to a maximum of 36 months Final Payment Day proceeding the last business day of expiry month Business Days UK Business days Members wishing to clear the above contracts from the launch date need to complete and return the attached static data form by Tuesday 8 January 2007
If you have any questions regarding these changes, please contact me on +44 (0)20 7426 7460, Isabella.kurek-smith@lchclearnet.com.
Yours Sincerely
Isabella Kurek-Smith
Exchange and commodity derivatives