Thomson Reuters European Crude and Products Swap ...

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: