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Description

A daily cash settled future based on the difference between the Calendar Month Average (CMA) of Midland WTI (HOU) and the prompt month Midland WTI (HOU) Future and the second and third month Midland WTI (HOU) Future.

Market Specifications

Trading Screen Product Name

Crude Diff Futures

Trading Screen Hub Name

Midland WTI to CMA Roll

Contract Symbol

CLV

Contract Size

1,000 barrels

Unit of Trading

Any multiple of 1,000 barrels

Currency

US Dollars and cents

Trading Price Quotation

One cent ($0.01) per barrel

Settlement Price Quotation

One tenth of one cent ($0.001) per barrel

Minimum Price Fluctuation

One tenth of one cent ($0.001) per barrel

Last Trading Day

Second Business Day after the nominal contract date

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

The Final Settlement shall be the average of the Daily CMA Diff values for the nominal ICE Trade Month, where the Daily CMA Diff is defined as

Daily CMA Diff=((A*B)+(C*D))/E

Where: A = The difference between the daily settlement of the front month and second month of the Midland WTI American Gulf Coast Future
B = The number of business days in the nominal month from the first calendar day of the month to the expiration date of the front expiry of the Midland WTI American Gulf Coast Future
C = The difference between the daily settlement of the front month and the third month of the Midland WTI American Gulf Coast Future
D = The number of business days in the nominal month from the day following the expiration date of the front expiry of the Midland WTI American Gulf Coast Future
E = The total number of business days in the nominal month (i.e.. the sum of B and D)

Contract Series

Up to 120 consecutive days, or as otherwise determined by the Exchange

Final Payment Date

Two Clearing House Business Days following the Last Trading Day

Business Days

ICE Business Days

MIC Code

IFED

Clearing Venues

ICEU

Related Products

• Midland WTI American Gulf Coast Future
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• Crude Diff - Midland WTI American Gulf Coast Diff to CMA ICE Trade Month Future
• Crude Diff - Midland WTI American Gulf Coast Diff to CMA ICE Trade Month Balmo Future
• Crude Diff – Midland WTI American Gulf Coast 1st Line vs WTI 1st Line Future
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Trading Hours

Codes