Risk parameters for all Commodity Derivatives Contracts have been updated based on a monthly review.
The updated parameters will have impact on the calculation of the daily margin requirement for which collateral must be posted by 10:30 CET on Thursday, September 4, 2014.
Margin curve is decreased for Seafood contracts due to decrease of number of lead days from five to four days while for other products the margin curves are changed in accordance with the observed changes in volatility. Major parts of the curves have relatively minor changes, with limited impact on margin requirements. Margin curves for German EPADs, Swedish and Norwegian Electricity Certificates, Nordic Power, a part of Tanker Clean (TC5USD, TC6USD) will be decreased while some curves for Dry Freight (C4, C9), Allowances (CER), UK Power, UK Natural Gas, and Tanker Dirty (TD17USD) will be increased. The resulting changes in margin requirements are expected to be rather small.
Risk parameters have been defined for a new tanker freight route (TD20USD). For more information about TD20USD see Exchange and Clearing Information no 69/14.
Updated margin curves can be found at:
Details about the new risk parameters can also be found on our File Transfer Protocol (FTP) server.
For further information, please contact NASDAQ OMX Commodities:
Kjersti Ulset, Head of Risk Management Commodities, phone +47 6710 8415/+47 4828 1600, firstname.lastname@example.org
Sara Aadnesen, Director Corporate Communications, phone +47 9060 0759, email@example.com
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