Thomson Reuters European Crude and Products Swap ...

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.