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Cross-Margining between OTC Iron Ore Swap and Dry FFA Time Charter Contracts available from 3 Aug 09

More than US$ 120 million worth of OTC Iron Ore Swap contracts has been cleared since its inception on 27 Apr 09.

We are pleased to inform that with effect from Monday, 3 Aug 09, SGX OTC Iron Ore Swaps will be included as one of the products eligible for inter-commodity spread margin credit with the Capesize and Panamax Time Charter FFAs. The spread pairs and their respective credit rate given are based on the following table:

Inter-Comm. Spread

Credit Rate

Priority

Half-Day PTC(PM) vs Half-Day STC(SM)

0.35

1

Half-Day CTC (CM) vs Half-Day PTC (PM)

0.27

2

Half-Day CTC (CM) vs Iron Ore Swap (FE)

0.25

3

Half-Day PTC(PM) vs Iron Ore Swap (FE)

0.25

4

Half-Day CTC (CM) vs Half-Day STC (SM)

0.20

5

Half-Day STC (SM) vs Half-Day HTC (HM)

0.20

6

Half-Day PTC (PM) vs Half-Day HTC (HM)

0.15

7


* Note:
(1) The above spread priority and credit rate is subjected to change during our regular margin review.
(2) The Full-Day and Half-Day Dry FFA Time Charter contracts are fully fungible

Kindly refer to the actual margin schedule for more information Read more »

For example, Trader A bought 1 Iron Ore Swap Sep 09 contract and sold 1 Half-day CTC Sep 09 contract.

Maintenance margins for Iron Ore Swap Sep 09 = 2,500; Maintenance margins for Half-day CTC Sep 09 = 5,250; Inter-commodity spread credit = 0.25; Delta Spread Ratio = 1 CM v 1 FE

Previous maintenance margin requirements = 5, 250 + 2,500 = US$7,750

With inter-commodity spread credit,
New maintenance margin requirements = 7,750 – (0.25*5,250*1) – (0.25*2,500*1)
= US$5,812.50


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