• Product Modification Summary

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 14-314
      • Notice Date
      • 11 August 2014
      • Effective Date
      • 24 August 2014

    • Effective Sunday, August 24, 2014 for trade date Monday, August 25, and pending all relevant CFTC regulatory review periods, please be advised that the New York Mercantile Exchange (EXCHANGE) will amend the Floating Price definition and expand the listing of contract months for the products listed below on CME Globex, Open Outcry and available for submission for clearing on CME ClearPort.

       

      Contract Title

      Clearing/Globex Code

      Current Globex, ClearPort and NX Pit Listing Schedule

      Proposed Listing Schedule – Globex, ClearPort and NX Pit

      Floating Price

      Gasoil Crack Spread (1000mt) Financial Futures

      GOC/GOC

      The last contract month is December 2014

      Monthly contracts shall be listed for the current year +6

      The Floating Price for each contract month up to and including the December 2014 contract is equal to the arithmetic average of the ICE Gasoil Futures first nearby contract settlement price minus the ICE Brent Crude Oil Futures first nearby contract settlement price for each business day during the contract month (using Non-common pricing).

       

      The Floating Price for each contract month for January 2015 and beyond is equal to the arithmetic average of the ICE Low Sulphur Gasoil Futures first nearby contract settlement price minus the ICE Brent Crude Oil Futures first nearby contract settlement price for each business day during the contract month (using Non-common pricing).

       

      The settlement price of the first nearby Brent Crude Oil Futures contract month will be used except on the last day of trading for the expiring Brent Crude Oil Futures contract when the settlement price of the second nearby contract month will be used.

       

      For purposes of determining the Floating Price, the ICE Gasoil or Low Sulphur Gasoil Settlement Price will be converted each day to U.S. dollars and cents per barrel, rounded to the nearest cent. The conversion factor will be 7.45 barrels per metric ton.

       

       

      European Gasoil Brent Crack Spread Futures

      GZ/GZ

      The last contract month is December 2014

      Monthly contracts shall be listed for the current year +6

      The Floating Price for each contract month up to and including the December 2014 contract is equal to the arithmetic average of the Gasoil (ICE) first nearby contract month settlement price minus the Brent Crude Oil (ICE) first nearby contract month settlement price for each business day during the contract month (using Non-common pricing),

       

      The Floating Price for each contract month for January 2015 and beyond is equal to the arithmetic average of the Low Sulphur Gasoil (ICE) first nearby contract month settlement price minus the Brent Crude Oil (ICE) first nearby contract month settlement price for each business day during the contract month (using Non-common pricing).

       

      For purposes of determining the Floating Price, the Gasoil and or ICE Low Sulphur Gasoil price will be converted each day to U.S. dollars and cents per barrel, rounded to the nearest cent. The conversion factor will be 7.45 barrels per metric ton.

       

      The settlement prices of the 1st nearby contract month will be used except on the last day of trading for the expiring Brent Crude Oil

       

      European Gasoil Financial Futures

      GX/AGX

      Monthly contracts shall be listed for the current year +1

      Monthly contracts shall be listed for the current year +6

      N/A

       

       

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      For the printer friendly version of this advisory, please click here.

       

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