part ii: specific standard terms for swap futures ... attach 3.pdf · part ii: specific standard...

SECTION TTT PART II E: FREIGHT, IRON ORE AND LNG

© ICE Futures Europe 2014 1

TTT PART II: SPECIFIC STANDARD TERMS FOR SWAP FUTURES CONTRACTS:

E. FREIGHT, IRON ORE AND LNG

1. TC2 FFA - Northwest Europe to USAC (Baltic) Swap Future ................................................................. 2

2. TC4 FFA - Singapore to Japan (Platts) Swap Future ................................................................................ 3

3. TC5 FFA - ArabianGulf to Japan (Platts) Swap Future ............................................................................ 4

4. TC6 FFA - Skikda to Lavera (Cross Med) (Baltic) Swap Future .............................................................. 5

5. TC14 FFA - USGC to Continent (Baltic) Swap Future ............................................................................. 6

6. TD3 FFA - Arabian Gulf to Japan (Baltic) Swap Future ........................................................................... 7

7. TD5 FFA - West Africa to USAC (Baltic) Swap Future ........................................................................... 8

8. TD7 FFA - UK North Sea to Continent (Baltic) Swap Future .................................................................. 9

9. TD11 FFA - Cross Mediterranean (Baltic) Swap Future ......................................................................... 10

10. TD9 FFA - Caribbean to USGC (Baltic) Swap Future ....................................................................... 11

11. TD19 FFA – Cross Med (Ceyhan to Lavera) (Baltic) Future ............................................................. 12

12. TC2 FFA-Northwest Europe to USAC (Baltic) Average Price Option............................................... 13

13. TC4 FFA-Singapore to Japan (Platts) Average Price Option .............................................................. 15

14. TC5 FFA-Arabian Gulf to Japan (Platts) Average Price Option ......................................................... 17

15. TC6 FFA-Skikda to Lavera (Cross Med) (Baltic) Average Price Option ........................................... 19

16. TC14 FFA-USGC to Continent (Baltic) Average Price Option .......................................................... 21

17. TD3 FFA-Arabian Gulf to Japan (Baltic) Average Price Option ........................................................ 23

18. TD5 FFA-West Africa to USAC (Baltic) Average Price Option ........................................................ 25

19. TD7 FFA-UK North Sea to Continent (Baltic) Average Price Option ............................................... 27

20. Capesize Timecharter (Baltic) Freight Swap Future ........................................................................... 29

21. Panamax Timecharter (Baltic) Freight Swap Future ........................................................................... 30

22. Supramax Timecharter (Baltic) Freight Swap Future ......................................................................... 31

23. Handysize Timecharter (Baltic) Freight Swap Future ......................................................................... 32

24. Iron Ore – Iron Ore 62% Fe (Platts IODEX) Swap Future ................................................................. 33

25. Iron Ore - Iron Ore 62% Fe (TSI), CFR Tianjin Swap Future ............................................................ 34

26. Iron Ore – Iron Ore 62% Fe (TSI), 500 dmt CFR Tianjin Future ....................................................... 35

27. Iron Ore Diff - Iron Ore 62% Fe (Platts IODEX) vs Iron Ore 62% Fe (TSI), CFR Tianjin Swap

Future 36

28. JKM LNG SWAP FUTURE ............................................................................................................... 37

29. TC2_37 FFA Triangulation with TC14 FFA – CPP/UNL Continent to USAC (Baltic) Future ......... 37

30. TC2 FFA - Northwest Europe to USAC (Baltic) Balmo Future ......................................................... 38

31. TC4 FFA - Singapore to Japan (Platts) Balmo Future ........................................................................ 39

32. TC5 FFA – Arabian Gulf to Japan (Platts) Balmo Future ................................................................... 40

33. TC6 FFA - Skikda to Lavera (Cross Med) (Baltic) Balmo Future ...................................................... 40

34. TC14 FFA - USGC to Continent (Baltic) Balmo Future .................................................................... 41


2 © ICE Futures Europe 2014

TTT 1. TC2 FFA - NORTHWEST EUROPE TO USAC (BALTIC) SWAP FUTURE

Description A monthly cash settled freight swap future based on the Baltic

Exchange index for TC2 - Northwest Europe to US Atlantic Coast.

Contract Symbol WNU

Contract Size 1,000 metric tonnes

Unit of Trading Any multiple of 1,000 metric tonnes

Currency US Dollars and cents

Trading Price Quotation One tenth of one cent ($0.01) per metric tonne

Settlement Price Quotation One hundredth of one cent ($0.0001) per metric tonne

Minimum Price Fluctuation One hundredth of one cent ($0.0001) per metric tonne

Last Trading Day Last Trading Day of the contract month

Note: the December swap will expire on the 24th of December or the

previous business day where the 24th of December is a non-working

day.

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.

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

assessments as made public by the Baltic Exchange for the relevant

route for each business day (as specified below) in the determination

period.

Contract Series Up to 48 consecutive months

Final Payment Dates Two Clearing House Business Days following the Last Trading Day

business days Publication days for Baltic Exchange



TTT 2. TC4 FFA - SINGAPORE TO JAPAN (PLATTS) SWAP FUTURE

Description A monthly cash settled freight swap future based on the Platts daily

assessment price for TC4 - Singapore to Japan.

Contract Symbol WSJ




Trading Price Quotation One cent ($0.01) per metric tonne







products.



assessments appearing in the “Platts Clean Tankerwire” under the

heading “$/MT Freight Assessments East of Suez” for the

Singapore to Japan 30kt route for each business day (as specified

below) in the determination period.



business days Publication days for Platts Clean Tankerwire



TTT 3. TC5 FFA - ARABIANGULF TO JAPAN (PLATTS) SWAP FUTURE

Description A monthly cash settled freight swap future based on the Platts daily

assessment price for TC5 – Arabian Gulf to Japan.

Contract Symbol WMJ











products.



assessments appearing in the “Platts Clean Tankerwire” under the

heading “$/MT Freight Assessments East of Suez” for the AG to

Japan 55kt route for each business day (as specified below) in the

determination period..






TTT 4. TC6 FFA - SKIKDA TO LAVERA (CROSS MED) (BALTIC) SWAP FUTURE


Exchange index for TC6 – Cross Mediterranean.

Contract Symbol WSL










day.




products.





period.






TTT 5. TC14 FFA - USGC TO CONTINENT (BALTIC) SWAP FUTURE


Exchange index for TC14 - USGC to Continent.

Contract Symbol WCN










day.




products.





period.






TTT 6. TD3 FFA - ARABIAN GULF TO JAPAN (BALTIC) SWAP FUTURE


Exchange index for TD3 – Arabian Gulf to Japan.

Contract Symbol WGJ










day.




products.





period.






TTT 7. TD5 FFA - WEST AFRICA TO USAC (BALTIC) SWAP FUTURE


Exchange index for TD5– West Africa to USAC

Contract Symbol WAU










day.




products.





period.






TTT 8. TD7 FFA - UK NORTH SEA TO CONTINENT (BALTIC) SWAP FUTURE


Exchange index for TD7 – UK North Sea to Continent.

Contract Symbol WNC










day.




products.





period.






TTT 9. TD11 FFA - CROSS MEDITERRANEAN (BALTIC) SWAP FUTURE


Exchange index for TD11 – Cross Mediterranean.

Contract Symbol WCM








Note: the December swap will expire on the 24th of December or

the previous business day where the 24th of December is a non-

working day.




products.





period.






TTT 10. TD9 FFA - CARIBBEAN TO USGC (BALTIC) SWAP FUTURE


Exchange index for TD9 – Caribbean to US Gulf Coast.

Contract Symbol WCU








Note: the December swap will expire on the 24th of December or


working day.




products.





period.






TTT 11. TD19 FFA – CROSS MED (CEYHAN TO LAVERA) (BALTIC) FUTURE

1

Description A monthly cash settled freight future based on the Baltic Exchange

index for TD19 – Cross Med

Contract Symbol WCL








Note: the December contract will expire on the 24th of December or


working day




products





period




1 Inserted 12 August 2013



TTT 12. TC2 FFA-NORTHWEST EUROPE TO USAC (BALTIC) AVERAGE PRICE OPTION

2

Description The TC2 FFA Average Price Option is based on the underlying TC2 FFA

Future (WNU) and will automatically exercise into the settlement price of

the Future on the day of expiry of the options contract.

Contract Symbol WNU

Hedge Instrument The delta hedge for the TC2 FFA Average Price Option is the TC2 FFA

Future (WNU).





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 Last Trading Day of the contract month.



working day

Option Type Options are average priced and will be automatically exercised into the

TC2 FFA Future on the expiry day if they are "in the money". The Future

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 TC2 FFA Average Price Options are premium-paid-upfront options.

The traded premium will therefore be debited by the Clearing House from

the Buyer and credited to the Seller on the morning of the Business Day

following the day of trade. Members who are long premium-paid-upfront

options will receive a Net Liquidating Value (NLV) credit to the value of

the premium which is then used to offset the initial margin requirement

flowing from both these options and positions in other energy contracts.

Members who are short premium-paid-upfront options will receive an

NLV debit in addition to their initial margin requirement. NLV is

calculated daily with reference to the settlement price of the option.

Expiry 16:30 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.

2 Inserted 24 June 2013



TTT The reference price will be a price in USD and cents per metric tonne

equal to the arithmetic average of the settlement prices of the Baltic TC2

FFA for the contract month. When exercised against, the Clearing House,

at its discretion, selects sellers against which to exercise on a pro-rata

basis.

Strike Price Intervals This contract will support Custom Option Strikes with strikes in

increments of $0.01 within a range of $5 to $50. This range may be

revised from time to time according to future 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.






TTT 13. TC4 FFA-SINGAPORE TO JAPAN (PLATTS) AVERAGE PRICE OPTION

3


Future (WSJ) and will automatically exercise into the settlement price of


Contract Symbol WSJ


Future (WSJ).

















Margin
















The reference price will be a price in USD and cents per metric tonne

equal to the arithmetic average of the settlement prices of the Platts TC4






TTT basis.











TTT 14. TC5 FFA-ARABIAN GULF TO JAPAN (PLATTS) AVERAGE PRICE OPTION

4


Future (WMJ) and will automatically exercise into the settlement price of


Contract Symbol WMJ


Future (WMJ).

















Margin
















The reference price will be a price in USD and cents per metric tonne

equal to the arithmetic average of the settlement prices of the Platts TC5






TTT basis.











TTT 15. TC6 FFA-SKIKDA TO LAVERA (CROSS MED) (BALTIC) AVERAGE PRICE OPTION

5


Future (WSL) and will automatically exercise into the settlement price of


Contract Symbol WSL


Future (WSL).










working day










Margin























basis.











TTT 16. TC14 FFA-USGC TO CONTINENT (BALTIC) AVERAGE PRICE OPTION

6

Description The TC14 FFA Average Price Option is based on the underlying TC14

FFA Future (WCN) and will automatically exercise into the settlement

price of the Future on the day of expiry of the options contract.

Contract Symbol WCN


Future (WCN).










working day


TC14 FFA Future on the expiry day if they are "in the money". The

Future 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



Margin























basis.











TTT 17. TD3 FFA-ARABIAN GULF TO JAPAN (BALTIC) AVERAGE PRICE OPTION

7

Description The TD3 FFA Average Price Option is based on the underlying TD3 FFA

Future (WGJ) and will automatically exercise into the settlement price of


Contract Symbol WGJ

Hedge Instrument The delta hedge for the TD3 FFA Average Price Option is the TD3 FFA

Future (WGJ).










working day


TD3 FFA Future on the expiry day if they are "in the money". The Future








Margin

The TD3 FFA Average Price Options are premium-paid-upfront options.



















equal to the arithmetic average of the settlement prices of the Baltic TD3



basis.











TTT 18. TD5 FFA-WEST AFRICA TO USAC (BALTIC) AVERAGE PRICE OPTION

8


Future (WAU) and will automatically exercise into the settlement price of


Contract Symbol WAU


Future (WAU).










working day










Margin























basis.











TTT 19. TD7 FFA-UK NORTH SEA TO CONTINENT (BALTIC) AVERAGE PRICE OPTION

9


Future (WNC) and will automatically exercise into the settlement price of


Contract Symbol WNC


Future (WNC).










working day.










Margin























basis.











TTT 20. CAPESIZE TIMECHARTER (BALTIC) FREIGHT SWAP FUTURE

Description A monthly cash settled freight swap future based on the Capesize

Timecharter Index as made public by the Baltic Exchange.

Contract Symbol TCC

Contract Size 1 day of time charter

Unit of Trading Any multiple of 1 day of time charter


Trading Price Quotation $1.00 per Charter Day

Settlement Price Quotation One cent ($0.01) per Charter Day

Minimum Price Fluctuation One cent ($0.01) per Charter Day




day.



day.




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

USD and cents per day based upon the average of the spot assessments

as made public by the Baltic Exchange for the Capesize Timecharter

Index for each business day (as specified below) in the

determination period.






TTT 21. PANAMAX TIMECHARTER (BALTIC) FREIGHT SWAP FUTURE

Description A monthly cash settled freight swap future based on the Panamax


Contract Symbol TCP










day.




products.

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

USD and cents per day based upon the average of the spot

assessments as made public by the Baltic Exchange for the

Panamax Timecharter Index for each business day (as specified







TTT 22. SUPRAMAX TIMECHARTER (BALTIC) FREIGHT SWAP FUTURE

Description A monthly cash settled freight swap future based on the Supramax


Contract Symbol TCS










day.




products.



as made public by the Baltic Exchange for the Supramax Timecharter

Index for each business day (as specified below) in the







TTT 23. HANDYSIZE TIMECHARTER (BALTIC) FREIGHT SWAP FUTURE

Description A monthly cash settled freight swap future based on the Handysize


Contract Symbol TCH










day.




products.



as made public by the Baltic Exchange for the Handysize

Timecharter Index for each business day (as specified below) in the







TTT 24. IRON ORE – IRON ORE 62% FE (PLATTS IODEX) SWAP FUTURE

10

Description A monthly cash settled Iron Ore swap future based on the Platts

IODEX 62% Fe daily index.

Contract Symbol IOR

Contract Size 1,000 dry metric tonnes

Unit of Trading Any multiple of 1,000 dry metric tonnes


Trading Price Quotation One cent ($ 0.01) per dry metric tonne

Settlement Price Quotation One tenth of one cent ($0.001) per dry metric tonne

Minimum Price Fluctuation One tenth of one cent ($ 0.001) per dry metric tonne





products.


USD and cents per dry metric tonne based on the average of the

relevant High/Low daily quotations published by Platts within their

real-time data service “Platts Metal Alert” (PMA) under the heading

“IODEX: 62% Fe CFR North China”, subheading “IODEX 62% Fe”

for each business day during the determination period.

If a Singapore public holiday should fall on what would otherwise be

the final monthly publication day, the final day's quotation will be

published on PMA on the last business day immediately prior to the

holiday at 20.00 Singapore time (12.00 GMT).

Final Settlement Time: The final published price by Platts will be made

available from 20.00 Singapore time (12:00 GMT) on the last

business day of the calendar month. If a Singapore public holiday

should fall on what would otherwise be a business day, the

publication of the final quotation will be published on PMA on the

last business day immediately prior to the Singapore holiday at 20.00

Singapore time (12.00 GMT).



business days Singapore business days

1010 Amended 14 March 2013



TTT 25. IRON ORE - IRON ORE 62% FE (TSI), CFR TIANJIN SWAP FUTURE

11

Description A monthly cash settled swap future based on The Steel Index

(TSI) daily assessment price for Iron Ore (62% Fe, CFR Tianjin)




Trading Price Quotation One cent ($0.01) per dry metric tone

Settlement Price

Quotation

One tenth of one cent ($0.001) per dry metric tone

Minimum Price

Fluctuation

One tenth of one cent ($0.001) per dry metric tonne


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.



relevant quotations published in The Steel Index’s “Iron Ore

Daily Edition” under the heading “TSI Iron Ore Reference

Prices”, subheading “Iron Ore Fines, Chinese Imports (CFR

Tianjin Port)”, for the “62% Fe” quotation for each business day

(as specified below) in the determination period.


Final Payment Date Two Clearing House Business Days following the Last Trading

Day

business days Publication Days for The Steel Index Iron Ore Daily Edition

11 Inserted 11 February 2013



TTT 26. IRON ORE – IRON ORE 62% FE (TSI), 500 DMT CFR TIANJIN FUTURE

12

Description A monthly cash settled future based on The Steel Index (TSI) daily

assessment price for Iron Ore (62% Fe, CFR Tianjin).

Contract Symbol IOT

Contract Size 500 dry metric tonnes

Unit of Trading Any multiple of 500 dry metric tonnes


Trading Price Quotation One cent ($0.01) per dry metric tonne

Settlement Price Quotation One tenth of one cent ($0.001) per dry metric tonne

Minimum Price Fluctuation One tenth of one cent ($0.001) per dry metric tonne





products.



relevant quotations published in The Steel Index’s “Iron Ore Daily

Edition” under the heading “TSI Iron Ore Reference Prices”,

subheading “Iron Ore Fines, Chinese Imports (CFR Tianjin Port)”,

for the “62% Fe” quotation for each business day (as specified



Final Payment Dates Two Clearing House Business Days following the Last Trading

Day

business days Publication days for The Steel Index Iron Ore Daily Edition

12 Inserted 29 April 2013



TTT 27. IRON ORE DIFF - IRON ORE 62% FE (PLATTS IODEX) VS IRON ORE 62% FE (TSI), CFR

TIANJIN SWAP FUTURE13

Description A monthly cash settled swap future based on the difference

between the Platts daily assessment price for IODEX 62% Fe and

The Steel Index (TSI) daily assessment price for Iron Ore (62%

Fe, CFR Tianjin)

Contract Symbol IOS




Trading Price Quotation One cent ($0.01) per dry metric tone

Settlement Price

Quotation


Minimum Price

Fluctuation



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.


USD and cents per dry metric tonne based on the difference

between the average of the mean of the high and low quotations

published by Platts within their real-time data service “Platts Metal

Alert” (PMA) under the heading “IODEX: 62% Fe CFR North

China”, subheading “IODEX 62% Fe” and the average of the

relevant quotations published in The Steel Index’s “Iron Ore

Daily Edition” under the heading “TSI Iron Ore Reference

Prices”, subheading “Iron Ore Fines, Chinese Imports (CFR

Tianjin Port)”, for the “62% Fe” quotation for each business day



Final Payment Date Two Clearing House Business Days following the Last Trading

Day

business days Singapore business days

13 Inserted 11 February 2013, Amended 14 March 2013



TTT 28. JKM LNG SWAP FUTURE

Description A monthly cash settled swap future based on the Platts daily assessment for the Japan/Korea Marker (JKM).

Contract Symbol JKM

Contract Size 10,000 MMBtu

Unit of Trading Any multiple of 10,000 MMBTUs


Trading Price Quotation One tenth of one cent ($0.001) per MMBtu

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

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





products.

Final Settlement Price In respect of final settlement, the Floating Price will be a price in USD and cents per MMBtu based on the average of the quotations appearing

in “Platts LNG Daily” under the heading "Platts daily LNG markers

($/MMBtu)” subheading “DES Japan/Korea Marker (JKM)" for “JKM

(month)” for each business day (as specified below) in the


The final daily Platt’s JKM LNG for a particular month occurs on the

15th, or if a holiday the business day preceding the 15th, of the month

prior to the settlement month.

Contract Series 24 consecutive months


business days Publication days for Platts LNG Daily

29. TC2_37 FFA TRIANGULATION WITH TC14 FFA – CPP/UNL CONTINENT TO USAC

(BALTIC) FUTURE

Description A monthly cash settled freight future based on the Baltic Exchange index

for TC2_37 FFA Triangulation with TC14 – CPP/UNL Continent to

USAC

Contract Symbol TCD




TTT Unit of Trading Any multiple of 1 day of time charter


Trading Price Quotation One dollar ($1.00) per day of time charter

Settlement Price Quotation One cent ($0.01) per day of time charter

Minimum Price Fluctuation One cent ($0.01) per day of time charter


Note: the December contract will expire on the 24th of December or the

previous business day where the 24th of December is a non-working day.

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.

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

cents per day of time charter based on the average of the assessments as

made public by the Baltic Exchange for the relevant route for each business

day (as specified below) in the determination period.




30. TC2 FFA - NORTHWEST EUROPE TO USAC (BALTIC) BALMO FUTURE

Description A balance of the month cash settled freight future based on the Baltic

Exchange index for TC2 - Northwest Europe to US Atlantic Coast.

Contract Symbol 1A0-1AU









previous business day where the 24th of December is a non-working day



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


and derivative markets for both physical and financial products


cents per metric tonne based on the average of the assessments as made

public by the Baltic Exchange for the relevant route for each business day

(as specified below) in the determination period




31. TC4 FFA - SINGAPORE TO JAPAN (PLATTS) BALMO FUTURE

Description A balance of the month cash settled freight future based on the Platts

index for TC4 - Singapore to Japan.

Contract Symbol 1CL-1DF












cents per metric tonne based on the average of the assessments appearing

in the “Platts Clean Tankerwire” under the heading “$/MT Freight

Assessments East of Suez” for the Singapore to Japan 30kt route for each

business day (as specified below) in the determination period.






TTT 32. TC5 FFA – ARABIAN GULF TO JAPAN (PLATTS) BALMO FUTURE

Description A balance of the month cash settled freight future based on the Platts

index for TC5 - Arabian Gulf to Japan

Contract Symbol 1BQ-1CK












cents per metric tonne based on the average of the assessments appearing

in the “Platts Clean Tankerwire” under the heading “$/MT Freight

Assessments East of Suez” for the AG to Japan 55kt route for each

business day (as specified below) in the determination period.




33. TC6 FFA - SKIKDA TO LAVERA (CROSS MED) (BALTIC) BALMO FUTURE


Exchange index for TC6 - Skikda to Lavera (Cross Med)

Contract Symbol 1DG-1EA








TTT Minimum Price Fluctuation One hundredth of one cent ($0.0001) per metric tonne














34. TC14 FFA - USGC TO CONTINENT (BALTIC) BALMO FUTURE


Exchange index for TC14 - USGC to Continent

Contract Symbol 1AV-1BP


















TTT (as specified below) in the determination period.




part ii: specific standard terms for swap futures ... attach 3.pdf · part ii: specific standard...

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