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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
Page 1 and 2: THOMSON REUTERS EUROPEAN AND U.S. C
Page 3: The close value for the calendar st
Page 7 and 8: Continuous RICs and Chains The firs
Page 9 and 10: RIC Structure Explanation for BOM,
Page 11 and 12: Where: is the future fair value co
Page 13 and 14: If the crack spread for some month
Page 15 and 16: How To Chart The Term Structure? 1.
Page 18 and 19: 7. The Term Structure will be displ
Page 20 and 21: Fuel Oil 3.5% CIF NWE Outright Swap

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