Thomson Reuters European Crude and Products Swap ...

THOMSON REUTERS EUROPEAN AND U.S.
CRUDE AND PRODUCTS SWAP METHODOLOGY
AND SPECIFICATION GUIDE
Contents
OVERVIEW
NEW IMPROVED FEATURES
HOW TO FIND?
FID MAPPING
RIC STRUCTURE EXPLANATION
CALCULATION METHODOLOGY
STEP 1 – CALENDAR STRIP CALCULATIONS
STEP 2 – “SPREAD” CALCULATIONS
STEP 3 –OUTRIGHT SWAP CALCULATIONS
HOW TO CHART THE TERM STRUCTURE?
LIST OF CALENDAR STRIPS AND PRODUCT SWAPS AVAILABLE
CONVERSION FACTOR
EXPIRY SCHEDULES

Overview
Thomson Reuters provides extended forward curve assessments for the European and US Crude
and Oil Products. As a further enhancement, Thomson Reuters is introducing a change in the
source for the Calendar Strip calculations and is also introducing Balance of Month (BOM),
Balance of Quarter (BOQ) and Balance of Year (BOY) RICs for all the Calendar Strips and Swaps.
The Calendar Strips which were being calculated using the respective Future Contracts will be
calculated using the respective Future Fair Value Curves going forward.
The Fair Value curves that Thomson Reuters launched recently are independently sourced and
rigorously crafted, in real time. The Fair Value algorithm uses a combination of real-time bid,
ask, intermonth and/or interproduct spread and other data to arrive at a theoretical price level
for each individual traded contract. These are published in real time throughout the day as the
markets change, so there is access to accurate forward-curve data for decision making. The Fair
Value curves can be accessed from the page .
The Calendar Strip assessments include ICE Brent Crude Oil, Gasoil, Heating Oil, RBOB Gasoline,
WTI crude oil and NYMEX Light Sweet Crude Oil, Heating Oil, RBOB Gasoline.
The calendar strip assessments are provided for as many months as the respective future
contracts, 10 Quarters and 3 Years forward.
The Products Swap assessments include Propane, Naphtha, Mogas, Unleaded Gasoline, Gasoil
0.1%, Gasoil 10ppm, Jet Fuel, Diesel, Heating Oil, High Sulphur Fuel Oil and Low Sulphur Fuel Oil.
The Product Swap assessments are provided for 24 Months, 10 Quarters and 3 Years forward.
BFO CFD and Dated Swap assessments are also provided for 6 Weeks, 24 Months, 10 Quarters
and 3 Years forward.
The Calendar Strips are calculated as the weighted average of the respective future fair value
contracts.
The Product Outright Swaps are always calculated by applying the corresponding crack spreads
and differential swap spreads to the respective calendar strips. The new methodology aims at
providing the outright values through the “spreads” rather than just the direct outright value.
In order to do so the “spreads” are assessed during the day from the price discovery process by
the editorial also including data from different sources and brokers, thus providing the latest
“spreads” for each of the products. These “spreads” when applied to the calendar strips provide
a real time live outright swap data in line with the trades on the future contracts. So each of the
products has “spreads” and outright swaps both assessed real time.
The Light Distillates- Propane, Naphtha, Mogas and Unleaded Gasoline are calculated by
applying the crack spreads to the calendar strips.
The Mid Distillates- Gasoil 0.1%, Gasoil 10ppm, Jet Fuel, Diesel, Heating Oil are calculated by
applying the differential swap spreads to the calendar strips.
The Heavy products -High Sulphur Fuel Oil and Low Sulphur Fuel Oil are calculated by applying
the crack spreads to the calendar strips.

The close value for the calendar strips are calculated from the settle/close value of the future
fair value contracts. The close for the calendar strips and corresponding swaps is updated at
00:30 GMT for EU and 23:30 GMT for US.
The close is snapped to the historical database at 00:45 GMT for EU and 23:45 GMT for US.
The net change between the previous day’s close and current day’s latest price is available on
FID 11 (NETCHNG_1).
New Improved Features
Extended Forward Curves.
The calendar strip assessments provided for as many months as the respective future
fair value contracts, 10 Quarters and 3 Years forward.
Rolling and Continuous form of RICs with calendar rolling pattern.
Real time updates refreshed as and when there is an update on either the future fair
value contracts or the differential swaps and crack spreads.
Improved calculation methodology using the “spreads”.
Use of interpolation and extrapolation techniques taking into account the seasonality
and convenience yield where relevant for assessing the forward curves.
Individual pages providing composite view specific to products and markets.
All Crude Swaps expressed in USD/BBL. All Product Swaps expressed in USD/TONNE.
For some of the future contracts which are quoted in USD/U GAL, the corresponding
calendar strips assessments are provided in both USD/U GAL and USD/TONNE.
Introduction of BOM, BOQ and BOY RICs for Calendar Strips and Swaps.
Use of Future Fair Value Curves as source for calculating Calendar Strips.
How to find?
in Kobra quote object will display the overview menu for the EU, US and AS
calendar strips and swaps categorized by regions into crude swaps; products swaps - in the
order of light distillates, mid distillates, heavy products and individual composite views.

FID Mapping
PRIMACT_1 (FID 393) - The latest update value
PRIMACT_2 (FID 394) – The second latest update value
PRIMACT_3 (FID 395) – The third latest update value
VALUE_DT1 (FID 875) – The date of the latest update in FID 393
VALUE_DT2 (FID 876) – The date of the second latest update in FID 394
VALUE_DT3 (FID 877) – The date of the third latest update in FID 395
VALUE_TS1 (FID 1010) – The time of the latest update in FID 393
VALUE_TS2 (FID 1011) - The time of update in FID 394
VALUE_TS3 (FID 1012) – The time of update in FID 395
HST_CLOSE (FID 21) – The close value of the previous day
HSTCLSDATE (FID 79) – The date of the previous day’s close value
DATE _RANGE (FID 859) – The contract month, quarter or year
CURRENCY (FID 15) – The currency in which the swaps are expressed
LOTSZNITS (FID 54) – The units in which the swaps are expressed

RIC Structure Explanation
Calendar Strips
Rolling RICs and Chains
The rolling RICs for calendar strips use the code of the respective future contracts followed by
‘CAL’ then ‘M’ for Month, ‘Q’ for Quarter, ‘Y’ for Year; each of them followed by the
corresponding one letter code and the last digit of the year.
Example: ICE Brent Crude LCO Calendar Strip
LCO + CAL + M + K + 0 -----> LCOCALMK0 ------ > May 2010 Month contract
LCO + CAL + Q + U +0 ----- > LCOCALQU0 --------> 3 Quarter 2010 contract
LCO + CAL + Y + Z + 1 ------ > LCOCALYZ1 ---------> 2011 Year contract
The composite chain for the calendar strip rolling RICs follows the same structure with the
future contract code followed by ‘CAL’ and then a ‘:’ and all this preceded by a ‘0#’
Example:
Individual chains for the months, quarters and years are also available, where they follow the
same structure as the composite chain followed by ‘M:’ for month, ‘Q:’ for quarter, ‘Y:’ for year.
Example:
Continuous RICs and Chains
The continuous RICs for calendar strips use the code of the respective future contracts followed
by ‘CAL’ then ‘M’ for Month, ‘Q’ for Quarter, ‘Y’ for Year; each of them followed by ‘c’ and 1, 2,..
Example: ICE Brent Crude LCO Calendar Strip
LCO + CAL + M + c + 1 -----> LCOCALMc1 ------ > the first Month contract continuation
LCO + CAL + Q + c +1 ----- > LCOCALQc1 --------> the first Quarter contract continuation
LCO + CAL + Y + c + 1 ------ > LCOCALYc1---------> the first Year contract continuation
The composite chain for the calendar strip continuous RICs follows the same structure with the
future contract code followed by ‘CAL’ and then a ‘c’ and all this preceded by a ‘0#’
Example:
Crack Spreads from Calendar Strips
Rolling RICs and Chains
The rolling RICs for crack spread from calendar strips use the code of the respective future
contracts followed by ‘C’ then ‘M’ for Month, ‘Q’ for Quarter, ‘Y’ for Year; each of them
followed by the corresponding one letter code and the last digit of the year.
Example: ICE Gasoil LGO Crack Spread
LGO + C+ M + K + 0 -----> LGOCMK0 ------ > May 2010 Month contract
LGO + C + Q + U +0 ----- > LGOCQU0 --------> 3 Quarter 2010 contract
LGO + C + Y + Z + 1 ------ > LGOCYZ1 ---------> 2011 Year contract

The composite chain for the crack spread rolling RICs follow the same structure with the future
contract code followed by ‘C’ and then a ‘:’ and all this preceded by a ‘0#’
Example:
Individual chains for the months, quarters and years are also available, where they follow the
same structure as the composite chain followed by ‘M:’ for month, ‘Q:’ for quarter, ‘Y:’ for year.
Example:
Continuous RICs and Chains
The continuous RICs for crack spread of calendar strips use the code of the respective future
contracts followed by ‘C’ then ‘M’ for Month, ‘Q’ for Quarter, ‘Y’ for Year; each of them followed
by ‘c’ and 1, 2,..
Example: ICE Gasoil LGO Crack Spread
LGO + C + M + c + 1 -----> LGOCMc1 ------ > the first Month contract continuation
LGO + C + Q + c +1 ----- > LGOCQc1 --------> the first Quarter contract continuation
LGO + C+ Y + c + 1 ------ > LGOCYc1---------> the first Year contract continuation
The composite chain for the crack spread continuous RICs follows the same structure with the
future contract code followed by ‘C’ and then a ‘c’ and all this preceded by a ‘0#’
Example:
Product Outright Swaps
Rolling RICs and Chains
The first three characters in the rolling RICs for product swaps denote the product; followed by
‘C’ for CIF or ‘F’ for FOB; the next three characters for region; then ‘M’ for Month, ‘Q’ for
Quarter, ‘Y’ for Year; each of them followed by the corresponding one letter code and the last
digit of the year.
Example: Naphtha CIF Cargo NWE Outright Swap
NAP + C + NWE + M + K + 0 -----> NAPCNWEMK0 ------ > May 2010 Month contract
NAP + C + NWE + Q + U +0 ----- > NAPCNWEQU0 -------> 3 Quarter 2010 contract
NAP + C + NWE + Y + Z + 1 ------ >NAPCNWEYZ1 ---------> 2011 Year contract
The composite chain for the product outright swap rolling RICs follows the same structure with
first three characters denoting the product; followed by ‘C’ for CIF or ‘F’ for FOB; the next three
characters for region; then a ‘:’ and all this preceded by a ‘0#’
Example:
Individual chains for the months, quarters and years are also available, where they follow the
same structure as the composite chain followed by ‘M:’ for month, ‘Q:’ for quarter, ‘Y:’ for year.
Example:

Continuous RICs and Chains
The first three characters in the continuous RICs for product swaps denote the product;
followed by ‘C’ for CIF or ‘F’ for FOB; the next three characters for region; then ‘M’ for Month,
‘Q’ for Quarter, ‘Y’ for Year; each of them followed by ‘c’ and 1, 2,..
Example: Naphtha CIF Cargo NWE Outright Swap
NAP + C + NWE + M + c + 1 -----> NAPCNWEMc1 ------ > the first Month contract continuation
NAP + C + NWE + Q + c + 1 ----- > NAPCNWEQc1 --------> the first Quarter contract continuation
NAP + C + NWE + Y + c+ 1 ------ >NAPCNWEYc1 ---------> the first Year contract continuation
The composite chain for the product outright swap continuous RICs follows the same structure
with first three characters denoting the product; followed by ‘C’ for CIF or ‘F’ for FOB; the next
three characters for region; then a ‘c’ and all this preceded by a ‘0#’
Example:
Product Crack Spreads
Rolling RICs and Chains
The first three characters in the rolling RICs for product crack spread denote the product;
followed by ‘C’ for CIF or ‘F’ for FOB; the next three characters for region; ‘C’ for Crack; then ‘M’
for Month, ‘Q’ for Quarter, ‘Y’ for Year; each of them followed by the corresponding one letter
code and the last digit of the year.
Example: Naphtha CIF Cargo NWE Crack Spread
NAP + C + NWE + C + M + K + 0 -----> NAPCNWECMK0 ------ > May 2010 Month contract
NAP + C + NWE + C + Q + U +0 ----- > NAPCNWECQU0 --------> 3 Quarter 2010 contract
NAP + C + NWE + C + Y + Z + 1 ------ >NAPCNWECYZ1 ---------> 2011 Year contract
The composite chain for the product crack spread rolling RICs follows the same structure with
first three characters denoting the product; followed by ‘C’ for CIF or ‘F’ for FOB; the next three
characters for region; ‘C’ for Crack; then a ‘:’ and all this preceded by a ‘0#’
Example:
Individual chains for the months, quarters and years are also available, where they follow the
same structure as the composite chain followed by ‘M:’ for month, ‘Q:’ for quarter, ‘Y:’ for year.
Example:
Continuous RICs and Chains
The first three characters in the continuous RICs for product crack spread denote the product;
followed by ‘C’ for CIF or ‘F’ for FOB; the next three characters for region; ‘C’ for Crack; then ‘M’
for Month, ‘Q’ for Quarter, ‘Y’ for Year; each of them followed by ‘c’ and 1, 2,..
Example: Naphtha CIF Cargo NWE Crack Spread
NAP + C + NWE + C+M + c+ 1 -----> NAPCNWECMc1------ > the first Month contract continuation
NAP + C + NWE + C+ Q + c+ 1 ----> NAPCNWECQc1--------> the first Quarter contract continuation
NAP + C + NWE + C+ Y + c+ 1 ------ >NAPCNWECYc1 ---------> the first Year contract continuation

The composite chain for the product crack spread continuous RICs follows the same structure
with first three characters denoting the product; followed by ‘C’ for CIF or ‘F’ for FOB; the next
three characters for region; ‘C’ for Crack; then a ‘c’ and all this preceded by a ‘0#’
Example:
Product Differential Swap Spreads
Rolling RICs and Chains
The first three characters in the rolling RICs for product differential swap spread denote the
product; followed by ‘C’ for CIF or ‘F’ for FOB; the next three characters for region; ‘D’ for
Differential; then ‘M’ for Month, ‘Q’ for Quarter, ‘Y’ for Year; each of them followed by the
corresponding one letter code and the last digit of the year.
Example: Jet Fuel CIF Cargo NWE Differential Swap
JET + C + NWE + D + M + K + 0 -----> JETCNWEDMK0 ------ > May 2010 Month contract
JET + C + NWE + D + Q + U +0 ----- > JETCNWEDQU0 --------> 3 Quarter 2010 contract
JET + C + NWE + D + Y + Z + 1 ------ >JETCNWEDYZ1 ---------> 2011 Year contract
The composite chain for the product differential swap spread rolling RICs follows the same
structure with first three characters denoting the product; followed by ‘C’ for CIF or ‘F’ for FOB;
the next three characters for region; ‘D’ for Differential; then a ‘:’ and all this preceded by a ‘0#’
Example:
Individual chains for the months, quarters and years are also available, where they follow the
same structure as the composite chain followed by ‘M:’ for month, ‘Q:’ for quarter, ‘Y:’ for year.
Example:
Continuous RICs and Chains
The first three characters in the continuous RICs for product differential swap spread denote the
product; followed by ‘C’ for CIF or ‘F’ for FOB; the next three characters for region; ‘D’ for
Differential; then ‘M’ for Month, ‘Q’ for Quarter, ‘Y’ for Year; each of them followed by ‘c’ and 1,
2,..
Example: Jet Fuel CIF Cargo NWE Differential Swap
JET + C + NWE + D+M + c+ 1 -----> JETCNWEDMc1------ > the first Month contract continuation
JET + C + NWE + D+ Q + c+ 1 -----> JETCNWEDQc1--------> the first Quarter contract continuation
JET + C + NWE + D+ Y + c+ 1 ------ >JETCNWEDYc1 ---------> the first Year contract continuation
The composite chain for the product differential swap spread continuous RICs follows the same
structure with first three characters denoting the product; followed by ‘C’ for CIF or ‘F’ for FOB;
the next three characters for region; ‘D’ for Differential; then a ‘c’ and all this preceded by a ‘0#’
Example:

RIC Structure Explanation for BOM, BOQ and BOY RICs
Rolling RICs
The rolling RICs for BOM, BOQ and BOY calendar strips and swaps use the same code as the
existing calendar strips and swaps but with an additional ‘B’ for ‘Balance’ in the RIC name.
Example: ICE Brent Crude LCO Calendar Strip BOM, BOQ and BOY RICs
LCO + CAL + B + M + G + 3 -----> LCOCALBMG3 ------ > Feb 2013 Balance of Month contract
LCO + CAL + B + Q + H + 3 ----- > LCOCALBQH3 --------> 2013 Balance of Quarter contract
LCO + CAL + B + Y + Z + 3 ------ > LCOCALBYZ3 ---------> 2013 Balance of Year contract
The BOM, BOQ and BOY RICs can be accessed from the respective existing composite chains.
Example: , , can be accessed from the chain
Continuous RICs
The continuous RICs for BOM, BOQ and BOY calendar strips and swaps use the same code as the
existing calendar strips and swaps but with a ‘c0’ (and without ‘B’) in the RIC name. So the BOM,
BOQ and BOY continuous RICs will be denoted by ‘c0’ and the first, second and consecutive
forwards by c1, c2 etc., respectively.
Example: ICE Brent Crude LCO Calendar Strip BOM, BOQ and BOY RICs
LCO + CAL + M + c + 0 -----> LCOCALMc0 ------ > Balance of Month contract continuation
LCO + CAL + Q + c +0 ----- > LCOCALQc0 --------> Balance of Quarter contract continuation
LCO + CAL + Y + c + 0 ------ > LCOCALYc0---------> Balance of Year contract continuation
The BOM, BOQ and BOY RICs can be accessed from the respective existing composite chains.
Example: , , can be accessed from the chain

Calculation Methodology
Step 1 – Calendar Strip Calculations
i) BOM Calendar Strip Calculation
The BOM calendar strips are calculated as the weighted average of the future fair value
contracts (weight: based on working days)
Illustration:
ICE Brent Crude LCO Calendar Strip BOM calculation for the month of FEB 2013
The below formula is used:
(D1 * LCOFVH3 + D2 * LCOFVJ3) / (D1 + D2)
Where:
is the future fair value contract for the month of March 2013
is the future fair value contract for the month of April 2013
D1 is the number of days from the day the calendar strip is calculated till the expiry date of the
first future fair value contract; excluding the expiry date, Saturday, Sunday and holiday.
D2 is the number of days from the expiry date till the end of the month, including the expiry
date and excluding Saturday, Sunday and holiday.
expires 13th Feb 2013
expires 14th Mar 2013
D1 is the number of working days from 1st Feb 2013 to 13th Feb 2013 (exclusive of 13th Feb)
D2 is the number of working days from 13th Feb 2013 to 28th Feb 2013 (inclusive of 13th Feb)
When the first leg of the calendar strip BOM i.e., expires on 13th Feb 2013, the
calendar strip BOM value from 14th Feb to 28th Feb 2013 will be equal to the second leg i.e.,
.
Note: For Nymex contracts, the D1 will include the expiry date and is excluded from D2.
ii) Forward Months Calendar Strip Calculation
The calendar strips for forward months are calculated as the weighted average of the future fair
value contracts (weight: based on working days)
Illustration:
ICE Brent Crude LCO Calendar Strip calculation for the month of MAR
The below formula is used:
(D1 * LCOFVJ3 + D2 * LCOFVK3) / (D1 + D2)

Where:
is the future fair value contract for the month of April 2013
is the future fair value contract for the month of May 2013
D1 is the number of days from the day the calendar strip is calculated till the expiry date of the
first future fair value contract; excluding the expiry date, Saturday, Sunday and holiday.
D2 is the number of days from the expiry date till the end of the month, including the expiry
date and excluding Saturday, Sunday and holiday.
Note: For Nymex contracts, the D1 will include the expiry date and is excluded from D2.
The calendar strips for quarters are calculated as the average of the month calendar strips
applying in that quarter.
The calendar strips for years are calculated as the average of the month/quarter calendar strips
applying in that year.
Step 2 – “Spread” Calculations
The “spreads” – crack and differential for the products are assessed from the price discovery
process during the day.
The process involves assessing data from different sources, brokers, traders and editorial.
The aim is to determine the “spreads” for each of the products.
During the course, if an outright value is available for any of the products from any of the
sources, then the “spread” implied by that outright value at that point of time is derived.
If the implied “spread” cannot be derived from an outright value, then it is not considered.
The implied “spread” is then applied to the calendar strips to obtain the outright swaps.
Step 3 –Outright Swap Calculations
The “spreads” obtained from step 2 for each of the products is applied to the respective
calendar strips to calculate the outright swap for each of those products.
Illustration:
Naphtha CIF Cargo NWE Outright Swap Calculation for the month of MAY
1. Identify the reference calendar strip.
As Naphtha is a light distillate, the reference calendar strip is the Brent crude
2. Identify the crack spread. Here there can be two possibilities.
a) The crack spread is available.
In this case the crack spread is available on the RIC
b) The crack spread is not available.

3. Calculate the outright swap. Here again there can be two possibilities.
a) The crack spread is available.
Apply the crack spread on the RIC to the calendar strip on the RIC
. Both the calendar strip and crack spread are expressed in USD/BBL. The
conversion factor has to be applied to obtain the outright swap in USD/TONNE.
b) The crack spread is not available.
In this case the interpolation and extrapolation techniques are employed.
Interpolation – If the data has to be calculated for maturity period(s) in between two
periods having data then interpolation is used.
Extrapolation – If the data has to be calculated for maturity period(s) before periods
having data (rare case) or further than periods having data then extrapolation is used.

If the crack spread for some month maturities is not available, then the data for those
months are extrapolated (screenshot below)
Extrapolated
as no Crack
Spreads

If the crack spread for some quarter maturities is not available, then the data for the
months applying in that quarter is extrapolated and then the quarter is calculated from
the months. (screenshot below – where the 2Q12 is calculated from the extrapolated
month values)
Extrapolated
as no Crack
Spreads

How To Chart The Term Structure?
1. Insert in new frame (or pop-up) an empty chart object.
2. Right click on the chart object and select ‘Insert Analysis’

3. From the list select ‘Term Structure’
4. Under the tab ‘General’, in the box under ‘Instrument’ type in the chain for which the
term structure is required.
5. Under the ‘Parameters’ section, in the box for ‘Forward Contracts’ type in the number
of months, quarters or years depending upon the instrument used.
6. Click on ‘ADD’

7. The Term Structure will be displayed.
8. The Term Structure for another instrument can be displayed in the same chart by
repeating the above steps.

List of Calendar Strips and Product Swaps Available
EU – Crude Swap
ICE Brent Crude Oil Calendar Strip
ICE WTI Crude Oil Calendar Strip
BFO CFD
BFO DATED Swap
EU – Product Swap
Propane CIF NWE Outright Swap
Propane CIF NWE Crack Spread
Naphtha CIF Cargo NWE Outright Swap
Naphtha CIF Cargo NWE Crack Spread
ICE RBOB Gasoline Calendar Strip (US Gallons)
ICE RBOB Gasoline Calendar Strip (Tonnes)
Mogas FOB Barge ARA Outright Swap
Mogas FOB Barge ARA Crack Spread
Mogas FOB MED Outright Swap
Mogas FOB MED Crack Spread
Mogas FOB NWE Outright Swap
Mogas FOB NWE Crack Spread
Jet Fuel CIF Cargo NWE Outright Swap
Jet Fuel CIF Cargo NWE Differential Swap
Jet Fuel FOB ARA Outright Swap
Jet Fuel FOB ARA Differential Swap
ICE Gasoil Calendar Strip
ICE Gasoil Crack Spread
GasOil 0.1% CIF Cargo NWE Outright Swap
GasOil 0.1% CIF Cargo NWE Differential Swap
GasOil 0.1% FOB NWE Outright Swap
GasOil 0.1% FOB NWE Differential Swap
GasOil 0.1% FOB MED Outright Swap
GasOil 0.1% FOB MED Differential Swap
GasOil 0.1% FOB ARA Outright Swap
GasOil 0.1% FOB ARA Differential Swap
GasOil 10ppm CIF Cargo NWE Outright Swap
GasOil 10ppm CIF Cargo NWE Differential Swap
GasOil 10ppm CIF MED Outright Swap
GasOil 10ppm CIF MED Differential Swap
GasOil 10ppm FOB Barge ARA Outright Swap
GasOil 10ppm FOB Barge ARA Differential Swap
ICE Heating Oil Calendar Strip (US Gallons)
ICE Heating Oil Calendar Strip (Tonnes)

Fuel Oil 3.5% CIF NWE Outright Swap
Fuel Oil 3.5% CIF NWE Crack Spread
Fuel Oil 3.5% CIF MED Outright Swap
Fuel Oil 3.5% CIF MED Crack Spread
Fuel Oil 3.5% FOB MED Outright Swap
Fuel Oil 3.5% FOB MED Crack Spread
Fuel Oil 3.5% FOB Barge ARA Outright Swap
Fuel Oil 3.5% FOB Barge ARA Crack Spread
Fuel Oil 1.0% FOB Cargo NWE Outright Swap
Fuel Oil 1.0% FOB Cargo NWE Crack Spread
Fuel Oil 1.0% FOB ARA Outright Swap
Fuel Oil 1.0% FOB ARA Crack Spread
Fuel Oil 1.0% FOB MED Outright Swap
Fuel Oil 1.0% FOB MED Crack Spread
ICE Sulphur Gas Calendar Strip
EU – Natgas Swap
ICE Natgas NGLN Calendar Strip
US – Crude Swap
Nymex WTI Crude Calendar Strip
US – Product Swap
Nymex RBOB Gasoline Calendar Strip (US Gallons)
Nymex RBOB Gasoline Calendar Strip (Tonnes)
Nymex RBOB Gasoline Crack Spread
Unleaded Gasoline FOB USG Crack Spread
Unleaded Gasoline FOB USG Outright Swap
Jet Fuel FOB USG Outright Swap
Jet Fuel FOB USG Differential Swap
ULSD FOB NYH Outright Swap
ULSD FOB NYH Differential Swap
ULSD FOB USG Outright Swap
ULSD FOB USG Differential Swap
Nymex Heating Oil Calendar Strip (US Gallons)
Nymex Heating Oil Calendar Strip (Tonnes)
Nymex Heating Oil Crack Spread
Heating Oil FOB USG Outright Swap
Heating Oil FOB USG Differential Swap
Fuel Oil 3.5% FOB Barge USG Outright Swap
Fuel Oil 3.5% FOB Barge USG Crack Spread
Fuel Oil 1.0% FOB NYH Outright Swap
Fuel Oil 1.0% FOB NYH Crack Spread
US – Natgas Swap
Nymex Natgas NG Calendar Strip

Conversion Factor
Expiry Schedules
BBL/TONNE
Brent Crude 7.4
WTI Crude 7.33
Propane 12.409
Naphtha 8.9
RBOB Gasoline 8.45
Gasoline 8.405
Jet Fuel 7.88
Gas Oil 7.45
Heating Oil 7.5
Diesel 7.5
High Sulphur Fuel Oil 6.317
Low Sulphur Fuel Oil 6.368
All the calendar strips and swaps which were previously following the expiry pattern of the
respective future contracts will now follow calendar expiry pattern.
Expiry pattern for Forward contracts
All forward month contracts will expire on last day of the month preceeding the contract month.
Ex: will expire last day of Feb i.e., 28th Feb 2013.
All forward quarter contracts will expire on last day of the preceeding quarter.
Ex: will expire last day of March i.e., 31st March 2013.
All forward year contracts will expire on last day of the preceeding year.
Ex: will expire last day of December i.e., 3st Dec 2013.
Expiry pattern for ‘Balance Of’ contracts
The BOM (Balance of Month) contract will expire last day of the contract month.
Ex: will expire last day of Feb i.e., 28th Feb 2013.
The BOQ (Balance of Quarter) contract will expire last day of the quarter.
Ex: will expire last day of March i.e., 31st March 2013.
The BOY (Balance of Year) contract will expire last day of the year.
Ex: will expire last day of December i.e., 31st Dec 2013.
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