Thomson Reuters European Crude and Products Swap ...

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)