ICE OTC Contract Specs for Oil Contract Changing on May 16 ... · Description A monthly cash settled swap based on the Platts daily ... and cents per Metric Tonne based on the arithmetic

ICE OTC

Cleared Product Specifications for Redecimalisation

May 16, 2011

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ICE OTC Contract Specifications for Contract Changes on May 16, 2011 Page 2 of 23

Table of Contents 1 Fuel Oil Outright - Fuel Oil 1% FOB NWE Cargoes Swap ............................................................................. 3

2 Fuel Oil Outright - Fuel Oil 1% FOB Rotterdam Barges Swap ...................................................................... 4

3 Fuel Oil Outright - Fuel Oil 1% FOB Rotterdam Barges Swap Balmo .......................................................... 4

4 Fuel Oil Diff - Fuel Oil 1% FOB Rotterdam Barges vs 1% FOB NWE Cargoes Swap ................................. 6

5 Fuel Oil Outright – 180 Singapore Swap ........................................................................................................... 7

6 Fuel Oil Outright – 180 Singapore Swap Balmo ............................................................................................... 8

7 Fuel Oil Diff - 180 Singapore vs 380 Singapore Swap ....................................................................................... 9

8 Fuel Oil Diff – 1% FOB NWE Cargoes vs 3.5% FOB Rotterdam Barges Swap .......................................... 10

9 Fuel Oil Outright – 3.5% FOB Rotterdam Barges Swap ............................................................................... 11

10 Fuel Oil Diff – 3.5% FOB MED Cargoes vs 3.5% FOB Rotterdam Barges Swap ....................................... 12

11 Fuel Oil Outright – 380 Singapore Swap ......................................................................................................... 13

12 Fuel Oil Outright – 380 Singapore Swap Balmo ............................................................................................. 14

13 Fuel Oil Diff – 180 Singapore vs 3.5% FOB Rotterdam Barges Swap .......................................................... 15

14 Crude Outright – Brent 1st Line Swap ............................................................................................................. 16

15 Crude Outright – Brent Average Price Option ............................................................................................... 17

16 Crude Outright – WTI 1st Line Swap ............................................................................................................... 19

17 Crude Outright – WTI Average Price Option ................................................................................................. 20

18 Crude Oil Outright – Brent 1st Line Balmo ..................................................................................................... 22

19 Crude Oil Diff – WTI 1st Line vs Brent 1

st Line Swap .................................................................................... 23

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OIL

1 Fuel Oil Outright - Fuel Oil 1% FOB NWE Cargoes Swap

Description A monthly cash settled swap based on the Platts daily assessment price

for Fuel Oil 1% FOB NWE Cargoes.

Contract Symbol CAR

Contract Size per lot 1000 mt

Unit of Trading Any multiple of 1000 mt

Currency USD and cents

Trading Price Quotation One cent ($0.01) per Metric Tonne for Blocks ($0.25 on Screen)

Settlement Price Quotation One tenth of one cent ($0.001) per Metric Tonne

Minimum Price Fluctuation One tenth of one cent ($0.001) per Metric Tonne

Last Trading Day First Business Day following the settlement period

Fixed Price The traded price or the previous day’s settlement price.

Floating Price In respect of daily settlement, the Floating Price will be determined by

ICE using price data from a number of sources including spot, forward,

and derivative markets for both physical and financial products.

Contract Series A maximum of 60 consecutive months will be listed commencing with

the next calendar month. Quarterly and calendar tenors will be listed

within the total number of listed monthly contract month as appropriate.

An additional 12 months will be added to the end of the series upon the

expiry of prompt December contract.

Final Settlement Price In respect of final settlement, the Floating Price will be a price in USD

and cents per Metric Tonne based on the average of the assessment prices

appearing in the "Platts European Marketscan" under the heading

"Northwest Europe cargoes" subheading "FOB NWE" for the "Fuel oil

1.0%" quotation for each Business Day in the determination period.

Final Payment Date One Business Day following the Last Trading Day

Business Days UK Business Days

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2 Fuel Oil Outright - Fuel Oil 1% FOB Rotterdam Barges Swap


for Fuel Oil 1% FOB Rotterdam Barges.

Contract Symbol FOB




















"Northwest Europe cargoes" subheading "FOB Rotterdam" for the "Fuel

oil 1.0%" quotation for each Business Day in the determination period.



3 Fuel Oil Outright - Fuel Oil 1% FOB Rotterdam Barges Swap Balmo


for Fuel Oil 1% FOB NWE Cargoes.

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Contract Symbol AWA-AWZ and AXA-AXE

Contract Symbols are sequentially assigned to 31 consecutive balance of

month swaps. Each symbol represents a balance of month swap

equivalent to the nominal calendar day in the contract name through the

end of the month of the corresponding period. For example, a 15-EOM

would represent the pricing days in the respective contract month

inclusive of the 15th calendar day of the month through the end of the

month.

The first 26 balmo swaps are prefixed with alpha characters "AW"

followed by an A, B, C, etc. corresponding to balmo periods 1st calendar

date through the end of month, 2nd calendar date through the end of

month, etc. through 26 periods. The remaining 5 balmo swaps are

prefixed with alpha characters "AX" followed by an A, B, C, etc.

corresponding to balmo periods 27th calendar date through the end of a

31 day month.












Contract Series Up to 2 consecutive months




"Northwest Europe cargoes" subheading "FOB Rotterdam" for the "Fuel




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4 Fuel Oil Diff - Fuel Oil 1% FOB Rotterdam Barges vs 1% FOB NWE Cargoes Swap

Description A monthly cash settled swap based on the difference between the Platts

daily assessment price for Fuel Oil 1% FOB Rotterdam Barges and the

Platts daily assessment price for Fuel Oil 1% FOB NWE Cargoes.

Contract Symbol FBC



















appearing in "Platts European Marketscan" under the heading "Northwest

Europe barges" subheading "FOB Rotterdam" for the "Fuel oil 1.0%"

quotation minus the average of the assessment prices appearing in the

"Platts European Marketscan" under the heading "Northwest Europe

cargoes" subheading "FOB NWE" for the "Fuel Oil 1.0%" quotation for

each Business Day in the determination period.

Non-Common Pricing Applies


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5 Fuel Oil Outright – 180 Singapore Swap


for 180 CST Singapore Fuel Oil.

Contract Symbol SZS


















and cents per Metric Tonne based on the arithmetic mean of the relevant

high and low quotations appearing in the "Platts Asia-Pacific/Arab Gulf

Marketscan" under the heading "Asia Products" subheading "Singapore"

and "FOB Singapore" for the "HSFO 180 CST ($/mt)" quotation for each

Business Day in the determination period.


Business Days Singapore Business Days

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6 Fuel Oil Outright – 180 Singapore Swap Balmo



Contract Symbol BLA-BLZ and BMA-BME







month.

The first 26 balmo swaps are prefixed with alpha characters "BL"




prefixed with alpha characters "BM" followed by an A, B, C, etc.


31 day month.


















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7 Fuel Oil Diff - 180 Singapore vs 380 Singapore Swap

Description A monthly cash settled swap based on the between the Platts daily

assessment price for 180 CST Singapore Fuel Oil and the Platts daily

assessment price for 380 CST Singapore Fuel Oil

Contract Symbol STS


















and cents per Metric Tonne based on the difference between the mean of

the relevant high and low quotations appearing in the "Platts Asia-

Pacific/Arab Gulf Marketscan" under the heading "Asia Products"

subheading "Singapore" and "FOB Singapore" for the "HSFO 180 CST

($/mt)" quotation minus the arithmetic mean of the relevant high and low

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quotations appearing in the "Platts Asia-Pacific/Arab Gulf Marketscan"

under the heading "Asia Products" subheading "Singapore" and "FOB

Singapore" for the "HSFO 380 CST ($/mt)" quotation for each Business

Day in the determination period.

Non-Common Pricing Applies.



8 Fuel Oil Diff – 1% FOB NWE Cargoes vs 3.5% FOB Rotterdam Barges Swap


daily assessment price for Fuel Oil 1.0% FOB NWE Cargoes and the

Platts daily assessment price for Fuel Oil 3.5% FOB Rotterdam Barges

Contract Symbol FOS

















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and cents per Metric Tonne based on the difference between the average

of the assessment prices appearing in the "Platts European Marketscan"

under the heading "Northwest Europe cargoes" subheading "FOB NWE"

for the "Fuel oil 1.0%" quotation minus the average of the assessment

prices appearing in the "Platts European Marketscan" under the heading

"Northwest Europe barges" subheading "FOB Rotterdam" for the "Fuel





9 Fuel Oil Outright – 3.5% FOB Rotterdam Barges Swap

Description A monthly cash settled swap based on Platts daily assessment price for

Fuel Oil 3.5% FOB Rotterdam Barges

Contract Symbol BAR
















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"Northwest Europe barges" subheading ‘FOB Rotterdam’ for the "Fuel




10 Fuel Oil Diff – 3.5% FOB MED Cargoes vs 3.5% FOB Rotterdam Barges Swap


daily assessment price for Fuel Oil 3.5% FOB MED Cargoes and the

Platts daily assessment price for Fuel Oil 3.5% FOB Rotterdam Barges

Contract Symbol NVS

















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and cents per Metric Tonne based on the difference between the average

of the assessment prices appearing in the "Platts European Marketscan"

under the heading "Mediterranean cargoes" subheading "FOB Med

(Italy)" for the "Fuel oil 3.5%" quotation minus the average of the

assessment prices appearing in the "Platts European Marketscan" under

the heading "Northwest Europe barges" subheading "FOB Rotterdam"

for the "Fuel oil 3.5%" quotation for each Business Day in the

determination period.




11 Fuel Oil Outright – 380 Singapore Swap



Contract Symbol SYS
















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12 Fuel Oil Outright – 380 Singapore Swap Balmo



Contract Symbol BJA-BKE







month.

The first 26 balmo swaps are prefixed with alpha characters "BJ"




prefixed with alpha characters "BK" followed by an A, B, C, etc.


31 day month.






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13 Fuel Oil Diff – 180 Singapore vs 3.5% FOB Rotterdam Barges Swap


daily assessment price for 180 CST Singapore Fuel Oil and the Platts

daily assessment price for 3.5% FOB Rotterdam Barges Fuel Oil.

Contract Symbol SFS








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and cents per Metric Tonne based on the difference between the mean of

the relevant high and low quotations appearing in the "Platts Asia-

Pacific/Arab Gulf Marketscan" under the heading "Asia Products"

subheading "Singapore" and "FOB Singapore" for the "HSFO 180 CST

($/mt)" quotation minus the arithmetic mean of the relevant high and low

quotations appearing in the "Platts European Marketscan" under the

heading "Northwest Europe barges" subheading "FOB Rotterdam" for

the "Fuel oil 3.5%" quotation for each Business Day in the determination

period.




14 Crude Outright – Brent 1st Line Swap

Description A monthly cash settled swap based on the ICE daily settlement price for

ICE Brent Futures

Contract Symbol I

Contract Size per lot 1000 bbl

Unit of Trading Any multiple of 1000 bbl


Trading Price Quotation One cent ($0.01) per Barrel

Settlement Price Quotation One tenth of one cent ($0.001) per Barrel

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Minimum Price Fluctuation One tenth of one cent ($0.001) per Barrel

Last Trading Day Close of business on the last US Business Day of the contract series





Contract Series Up to 72 consecutive months will be listed commencing with the next

calendar month. Quarterly and calendar tenors will be listed within the

total number of listed monthly contract month as appropriate. An

additional 12 months will be added to the end of the series upon the



and cents per Barrel based on the average of the settlement prices as

made public by ICE for the front-month Brent Crude Futures quotation

for each Business Day in the determination period.

Roll Adjust Provision In order to use the correct Floating Price quotations, the nearby month

quotation for ICE Gasoil Futures specified in the Floating Price terms

above will be used except for the expiration date of the commodity's

underlying delivery month's futures contract. On such date, the

applicable pricing quotation will be rolled to the following month's

futures contract.


Business Days ICE Business Days

15 Crude Outright – Brent Average Price Option

Description The Brent Average Price Option Contract is based on the underlying

Brent 1st Line Swap (I) (BSP) and will automatically exercise into the

settlement price of the underlying swap on the day of expiry of the

options contract. This contract can only be exercised on the Last Trading

Day.

Beyond the Average-Price Option described in this contract specification,

ICE can also clear Brent European-style Cash Settled Options (BUL)

which are based on the underlying Brent Bullet Swap and lists ICE Brent

Crude American-style Options that exercise into the ICE Brent Crude

Future.

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Contract Symbol I








Hedge Instrument The delta hedge for the Brent Average Price Option is the Brent 1st line

swap (BSP).

Option Type Options are Asian-style and will be automatically exercised on the expiry

day if they are in-the-money. The swap resulting from exercise

immediately goes to cash settlement relieving market participants of the

need to concern themselves with liquidation or exercise issues. If an

option is out-of-the-money it will expire automatically. It is not permitted

to exercise the option on any other day or in any other circumstances than

the Last Trading Day. No manual exercise is permitted.

Option Premium/Daily

Margin

The premium on the Brent Average Price Option is paid/received on the

day following the day of trade. Option positions, as with swap positions,

are marked-to-market daily giving rise to positive or negative realized

potential variation margin flows. Once the premium is paid there is no

additional variation or initial margin payable by the buyer of the option.

Initial margin is payable by the buyer and seller of the option, but for the

buyer the initial margin will not exceed the value of the premium paid. In

addition, the buyer may use the value of the premium of an in-the-money

option collateral against other ICE/ICE Futures margin obligations at

ICE Clear Europe

Expiry 19:30 London Time.

Automatic exercise settings are pre-set to exercise contracts which are

one minimum price fluctuation or more in-the-money with reference to

the relevant reference price. Members cannot override automatic exercise

settings or manually enter exercise instructions for this contract. The

reference price will be a price in USD and cents per barrel and will equal

the settlement price of the ICE Brent 1st Line Swap (I) for the contract

month. When exercised against, the Clearing House, at its discretion,

selects sellers against which to exercise on a pro-rata basis.

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Contract Series Brent Average Price Options run for up to 72 consecutive months

Quarterly, half yearly and Calendar year option tenors extend as far as 60

months forward. An additional 12 months will be added to the end of the

series upon the expiry of prompt December contract at the end of

December each year.

Strike Price Intervals Effective 1/18/2011 this contract will support Custom Option Strikes

with strikes in increments of $0.01 within a range of $20 to $200. This

range may be revised from time to time according to futures price

movements.

The at-the-money strike price is the closest interval nearest to the

previous business day's settlement price of the underlying contract.


Business Days ICE Business Days

16 Crude Outright – WTI 1st Line Swap

Description A monthly cash settled swap based on the ICE daily settlement price for

ICE West Texas Intermediate Light Sweet Crude Oil Futures

Contract Symbol R







Last Trading Day Close of business on the last US Business Day of the contract series





Contract Series Up to 72 consecutive months will be listed commencing with the next

calendar month. Quarterly and calendar tenors will be listed within the

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total number of listed monthly contract month as appropriate. An

additional 12 months will be added to the end of the series upon the




made public by ICE for the front-month WTI Crude Futures quotation

for each Business Day in the determination period.



17 Crude Outright – WTI Average Price Option

Description The WTI Average Price Option Contract is based on the underlying WTI

1st Line Swap (R) (WSP) and will automatically exercise into the

settlement price of the underlying swap on the day of expiry of the

options contract. This contract can only be exercised on the Last Trading

Day.

Beyond the Average Price Option described in this contract specification,

ICE can also clear European-style WTI Cash Settled Options (WUL),

which are based on the underlying WTI Bullet Swap and lists ICE WTI

Crude American-style Options that exercise into the ICE WTI Crude

Future.

Contract Symbol R








Hedge Instrument The delta hedge for the WTI Average Price Option is the WTI 1st line

swap (WSP).

Option Type Options are Asian-style and will be automatically exercised on the expiry

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day if they are in-the-money. The swap resulting from exercise

immediately goes to cash settlement relieving market participants of the

need to concern themselves with liquidation or exercise issues. If an

option is out-of-the-money it will expire automatically. It is not permitted

to exercise the option on any other day or in any other circumstances than

the Last Trading Day. No manual exercise is permitted.

Option Premium/Daily

Margin

The premium on the WTI Average Price Option is paid/received on the

day following the day of trade. Option positions, as with swap positions,

are marked-to-market daily giving rise to positive or negative realized

potential variation margin flows. Once the premium is paid there is no

additional variation or initial margin payable by the buyer of the option.

Initial margin is payable by the buyer and seller of the option, but for the

buyer the initial margin will not exceed the value of the premium paid. In

addition, the buyer may use the value of the premium of an in-the-money

option collateral against other ICE/ICE Futures margin obligations at

ICE Clear Europe

Expiry 19:30 London Time.

Automatic exercise settings are pre-set to exercise contracts which are

one minimum price fluctuation or more in-the-money with reference to

the relevant reference price. Members cannot override automatic exercise

settings or manually enter exercise instructions for this contract. The

reference price will be a price in USD and cents per barrel and will equal

the settlement price of the ICE WTI 1st Line Swap ® for the contract

month. When exercised against, the Clearing House, at its discretion,

selects sellers against which to exercise on a pro-rata basis.

Contract Series WTI Average Price Options run for up to 72 consecutive months

Quarterly, half yearly and Calendar year option tenors extend as far as 60

months forward. An additional 12 months will be added to the end of the

series upon the expiry of prompt December contract at the end of

December each year.

Strike Price Intervals Effective 1/18/2011 this contract will support Custom Option Strikes

with strikes in increments of $0.01 within a range of $20 to $200. This

range may be revised from time to time according to futures price

movements.

The at-the-money strike price is the closest interval nearest to the

previous business day's settlement price of the underlying contract.



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18 Crude Oil Outright – Brent 1st Line Balmo

Description A balance of the month cash settled swap based on the settlement prices

for the Brent 1st Line.

Contract Symbol CMA-CNE







month.

The first 26 balmo swaps are prefixed with alpha characters "CM"




prefixed with alpha characters "CN" followed by an A, B, C, etc.


31 day month.






Minimum Price Fluctuation One tenth of one cent ($0.001) per barrel









made public by ICE for the Brent 1ST Line Swap quotation for each


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19 Crude Oil Diff – WTI 1st Line vs Brent 1st Line Swap

Description Monthly cash settled Financial Crude Differential - WTI First Line Swap

vs. Brent First Line Swap

Contract Symbol BTD






Minimum Price Fluctuation One tenth of one cent ($0.001) per barrel

Last Trading Day Close of business on the last Business Day of the contract month




and derivative markets for both physical and financial products. In

respect of final settlement, the Floating Price will be a price in USD and

cents per bbl based on the difference of the average of the settlement

prices as made public by NYMEX for the front month Light Sweet Crude

Oil futures contract for the month of production per ISDA commodity

definitions, minus the average of the settlement prices as made public by

ICE for the front month ICE Brent Crude Oil futures contract for the

month of production as per ISDA commodity definitions for the contract

month. Non-common Pricing.

Contract Series A maximum of 72 consecutive calendar months will be listed.


Business Days US Business Days

Documents

ICE OTC Contract Specs for Oil Contract Changing on May 16 ... · Description A monthly cash settled swap based on the Platts daily ... and cents per Metric Tonne based on the arithmetic