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NOS reduces margin requirements for tanker FFAs

[First published: Thursday 25 October 2007 12:56:57 am]

 

NOS (the Norwegian Futures and Options Clearinghouse) has carried out its monthly review of margin parameters for the freight derivatives.

 

As a result of the review, NOS is reducing the initial margin levels for all the tanker routes and bunker contracts as listed below.

 

We are also increasing the Inter Commodity Spread Credits for the tank dirty and clean contracts available for clearing at NOS, and adjusting the volatility parameter applied in option margining.

 

1. Reduced the margin for the following tanker routes and bunker contracts:

 

  • TC4
  • TD3
  • TD5
  • RDM35FO
  • NWE10FO

 

The new margin curves are shown in Appendix 1 to this newsletter. (For the exact margin percentages please see the daily margin reports or the 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.

 

2. Increased Inter Commodity Spread Credit

 

NOS increase the Inter Commodity Spread Credit offsets given for spread positions in different tanker contracts due to low spread volatility in the tank market.

 

In general, the number of credit steps given is increased by one. As an example, this means that the initial margin for a spread position in the TD3/TD5 Calendar 08 contract will be reduced by approximately 25%. The revised Inter Commodity Spread credit matrix is shown in appendix 2.

 

3. Adjusting the volatility parameter applied in option margining

 

We are adjusting the volatility shift parameter applied in option margining for all the routes where we are offering options. As an example the margin requirement of a sold PM4TC CAL08 ATM call option will be reduces by 10 %. Similar a held option will increase in positive margin value.

 

The changes will come into effect from end of business Thursday 25th October 2007 for margins to be posted by 15.00 CET Friday 26th October.

 

Questions can be directed to NOS Clearing ASA:

 

  • Hanne Bævre Johansson
    Vice President
    +47 23 25 93 20

 

  • Morten Larsen
    Vice President Risk Management
    +47 23 25 93 09

Please see attachment below for full details:

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