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Rotterdam 3.5% fuel oil crack swap futures are a cleared financial instrument that allows market participants to hedge their price risk for barge lots of high-sulfur heavy fuel oil used in the bunker and utility markets.
The price settlement for each contract month is equal to the arithmetic average of the mid-point of the high and low quotations from Platts European Marketscan for 3.5% fuel oil under the heading "Barges FOB Rotterdam" minus the Brent crude oil (ICE) futures first nearby contract settlement price for each business day that both are determined during the contract month.
For purposes of determining the Floating Price, the Platts fuel oil assessment price will be converted each day to U.S. dollars and cents per barrel, rounded to the nearest cent. The conversion factor is 6.35 barrels per metric ton. The 1,000-barrel (42,000-gallon) lot size for the contract represents a commonly traded market unit.
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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