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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
Page 1 and 2: THOMSON REUTERS EUROPEAN AND U.S. C
Page 3 and 4: The close value for the calendar st
Page 5: RIC Structure Explanation Calendar
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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