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The dated to frontline Brent calendar swap is the spread between the dated Brent price minus the front (spot) month of the Brent ICE futures contract. Through this contract, the Exchange offers the marketplace an instrument that can either be traded competitively or submitted solely for clearing to the Exchange clearinghouse through the NYMEX ClearPort® electronic trading platform. The contract is 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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