NOS adjusts dry bulk and tanker margins
[First published: Tuesday 17 April 2007 2:43:15 am]As a result of the monthly review of our margins for the freight derivatives market, NOS (the Norwegian Futures and Options Clearing-house) is adjusting the daily margin requirements for Dry Bulk and Tanker derivatives contracts available for clearing at NOS.
NOS has recently made changes to the method used for calculating margins reflecting a more mature freight derivatives market. The main change in our calculation is weighting of historical daily price changes which has given us reason to lower the margin for many of the routes on both dry and tankers in addition to a lower volatility in the market.
The following dry bulk contracts are affected by the margin adjustments:
- CS4TC
- PM4TC
- SM5TC
- C4 , C7
The following tanker contracts are affected by the margin adjustments:
- TC2, TC4, TC5
- TD3, TD5, TD7
(For the exact margin percentages please see the NOS daily margin reports and the NOS Clearing Online Application).
The margin adjustments are also applied to the freight options, as all option contracts use the margin curve of the relevant underlying futures.
The changes will come into effect from end of business Wednesday 18th April 2007 for margins to be posted by 15.00 CET Thursday April 19th.
For more information on the NOS margining method and risk management procedures are available in our NOS Credit Primer on the Commodity Portal:
Any questions can be directed to NOS Clearing ASA:
-
Hanne Bævre Johansson
Vice Presiden
+47 23 25 93 20
-
Morten Larsen
Risk Manager
+47 23 25 93 09
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