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The price settlement of the Northwest Europe crack spread swap futures contract is based on the arithmetic average of the mid-point between the high and low quotations from Platts European Marketscan for cargoes of 1% heavy fuel oil under the heading "Cargoes FOB NWE" minus the ICE Brent crude oil futures first nearby contract settlement month for each business day that both are determined during the contract month. The contract is available for trading on Clearport; off-exchange transactions can be submitted for clearing only. All contracts are cash-settled.
All positions are aggregated and margined according to the value at risk as calculated by the SPAN® system. Cross margining of offsetting positions across markets can result in reduced margin obligations.
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