IntercontinentalExchange (ICE) Reference Guide
Contract Codes - Cash Settled Contracts
Launch date = 3 August 2007
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| TRS Physical Commodity Code | TRS Logical Commodity Code | Contract Name | TRS Contract Code | Contract Size | Basis | Minimum Fluctuation | Minimum Fluctuation and Contract Size | Tick Value |
|---|---|---|---|---|---|---|---|---|
| I | BSP | Brent First Line Oil Swap | F | 1000 Barrels | Dollars or cents per barrel | $0.001 | $10.00 | $10.00 |
| R | WSP | WTI First Line Oil Swap | F | 1000 Barrels | Dollars or cents per barrel | $0.001 | $10.00 | $10.00 |
| DBF | DBF | Dated Brent/Brent 1st Line Swap | F | 1000 Barrels | Dollars or cents per Barrel | $0.01 | $10.00 | $10.00 |
| DBI | DBI | Dubai First Line Swap | F | 1000 Barrels | Dollars or cents per barrel | $0.01 | $10.00 | $10.00 |
| GSP | GSP | Gas Oil First Line Swap | F | 100 Tonnes | Dollars or cents per tonne | $0.01 | $1.00 | $1.00 |
| H | HNG | Henry Hub Natural Gas | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| PHH | PHH | Penultimate Henry Hub NG | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| PHH | PHH | Penultimate Henry Hub NG Options | O | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| A | SOC | SoCal Gas Basis Swap | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| U | CCG | Chicago Citygate Gas Basis Swap | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| K | PCG | PG&E Citygate Gas Basis Swap | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| X | ALG | Alberta Gas Basis Swap | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| MAL | MAL | Malin Gas Basis Swap | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| HHD | HHD | Henry Hub Swing Swap Daily Gas | D | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| SCL | SCL | SoCal Border Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| NWR | NWR | NWP, Rocky Mountains Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| AEC | AEC | AECO Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| PGE | PGE | PG&E Citygate Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| MLN | MLN | Malin Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| NSU | NSU | NWP, Sumas Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| DGD | DGD | Chicago Citygate Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| HEN | HEN | Henry Hub Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| HXS | HXS | Houston Ship Channel Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| HIS | HIS | Henry Hub Index Swap | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| TMT | TMT | Texas Eastern Zone M-3 Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| TZS | TZS | Transco Z6 Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| PAN | PAN | Panhandle Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| DOM | DOM | Dominion South Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| TCO | TCO | Columbia TCO Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| WAH | WAH | Waha Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| PER | PER | El Paso Permian Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| NTO | NTO | NGPL, TexOk Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| CRI | CRI | CIG, Rocky Mountain Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| SNJ | SNJ | El Paso San Juan Natural Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| NVE | NVE | Ventura Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| DEM | DEM | NNG Demarcation Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| MCO | MCO | Mid-Continent Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| NMC | NMC | Michcon Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| ASS | ASS | AECO Swing Swap | D | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| SXT | SXT | Tetco S Tex Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| STA | STA | Transco Sta. 65 Gas Basis | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| SHS | SHS | Houston Ship Channel Index | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| TZZ | TZZ | Tennessee Zone 0 Natural Gas Basis Swap | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| CTP | CTP | CentrePoint Natural Gas Basis Swap | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| DWN | DWN | Dawn, Ontario Natural Gas Basis Swap | F | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| PHE | PHE | Premium Paid Penultimate Henry Hub Natural Gas Option | O | 2500 MM Btus | Dollars or cents per MM Btu | $0.001 | $2.50 | $2.50 |
| OMC | OMC | Mid-C Off Peak | F | 25 MWh | Dollars per MWh | $0.01 | $0.25 | $0.25 |
| OVP | OVP | Palo Off Peak | F | 25 MWh | Dollars per MWh | $0.01 | $0.25 | $0.25 |
| ONP | ONP | NP-15 Off Peak | F | 25 MWh | Dollars per MWh | $0.01 | $0.25 | $0.25 |
| SQP | SQP | SP-15 Daily Off-Peak Power | F | 25 MWh | Dollars or cents per MWh | $0.01 | $0.25 | $0.25 |
| QVP | QVP | Palo Verde Daily Off-Peak Power | F | 25 MWh | Dollars or cents per MWh | $0.01 | $0.25 | $0.25 |
| MXO | MXO | Mid Columbia Daily Off-Peak Power | F | 25 MWh | Dollars or cents per MWh | $0.01 | $0.25 | $0.25 |
| UNP | UNP | NP-15 Daily Off-Peak Power | F | 25 MWh | Dollars or cents per MWh | $0.01 | $0.25 | $0.25 |
| OFP | OFP | SP-15 Off Peak | F | 25 MWh | Dollars per MWh | $0.01 | $0.25 | $0.25 |
| CPO | CPO | MISO Off Peak | F | 50 MWh | Dollars per MWh | $0.01 | $0.50 | $0.50 |
| POP | POP | NePool Mass Off-Peak Daily Power | D | 50 MWh | Dollars or cents per MWh | $0.01 | $10.00 | $10.00 |
| APO | APO | NYISO Zone A Off-Peak Daily Power | D | 50 MWh | Dollars or cents per MWh | $0.01 | $10.00 | $10.00 |
| IOP | IOP | MISO Cinergy Off-Peak Daily Power | D | 50 MWh | Dollars or cents per MWh | $0.01 | $10.00 | $10.00 |
| OPJ | OPJ | PJM Off Peak Power | F | 50 MWh | Dollars per MWh | $0.01 | $0.50 | $0.50 |
| NOP | NOP | NEPOOL Mass Hub Off Peak Power | F | 50 MWh | Dollars per MWh | $0.01 | $0.50 | $0.50 |
| AOP | AOP | NYISO Zone A Off Peak Power | F | 50 MWh | Dollars per MWh | $0.01 | $0.50 | $0.50 |
| ODP | ODP | PJM West Daily Off Peak Power | D | 50 MWh | Dollars per MWh | $0.01 | $0.50 | $0.50 |
| PVM | PVM | Palo Verde Peak Power | F | 400 MWh | Dollars per MWh | $0.01 | $4.00 | $4.00 |
| SPM | SPM | SP15 Peak Power | F | 400 MWh | Dollars per MWh | $0.01 | $4.00 | $4.00 |
| MDC | MDC | Mid Columbia Peak Power | F | 400 MWh | Dollars per MWh | $0.01 | $4.00 | $4.00 |
| NPM | NPM | NP-15 Peak Power | F | 400 MWh | Dollars per MWh | $0.01 | $4.00 | $4.00 |
| SDP | SDP | SP-15 Daily Peak Power | F | 400 MWh | Dollars or cents per MWh | $0.01 | $4.00 | $4.00 |
| VDP | VDP | Palo Verde Daily Peak Power | F | 400 MWh | Dollars or cents per MWh | $0.01 | $4.00 | $4.00 |
| MPD | MPD | Mid Columbia Daily Peak Power | F | 400 MWh | Dollars or cents per MWh | $0.01 | $4.00 | $4.00 |
| DPN | DPN | NP-15 Daily Peak Power | F | 400 MWh | Dollars or cents per MWh | $0.01 | $4.00 | $4.00 |
| NAY | NAY | NYISO Zone A Peak Power | F | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| NGY | NGY | NYISO Zone G Peak Power | F | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| NJY | NJY | NYISO Zone J Peak Power | F | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| CIN | CIN | MISO Cinergy Peak Power | F | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| PJM | PJM | PJM West Peak Power | F | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| NEP | NEP | NEPOOL Mass Hub Peak Power | F | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| PNL | PNL | PJM N. Illinois Peak Power | F | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| MSO | MSO | AEP Dayton Peak Power | F | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| DDP | DDP | PJM AEP-Dayton Daily Peak Power | D | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| IDP | IDP | MISO Daily Peak Power | D | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| NDP | NDP | PJM N.Illinois Daily Peak Power | D | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| PDP | PDP | PJM West Daily Peak Power | D | 800 MWh | Dollars per MWh | $0.01 | $8.00 | $8.00 |
| ERH | ERH | ERCOT, Houston Zone Monthly Financial Power | F | 800 MWh | Dollars or cents per MWh | $0.01 | $10.00 | $10.00 |
| ERN | ERN | ERCOT, North Zone Monthly Financial Power | F | 800 MWh | Dollars or cents per MWh | $0.01 | $10.00 | $10.00 |
| ERS | ERS | ERCOT, South Zone Monthly Financial Power | F | 800 MWh | Dollars or cents per MWh | $0.01 | $10.00 | $10.00 |
| ADP | ADP | NYISO Zone A Peak Daily Power | D | 800 MWh | Dollars or cents per MWh | $0.01 | $10.00 | $10.00 |
| JDP | JDP | NYISO Zone J Peak Daily Power | D | 800 MWh | Dollars or cents per MWh | $0.01 | $10.00 | $10.00 |
| GDP | GDP | NYISO Zone G Peak Daily Power | D | 800 MWh | Dollars or cents per MWh | $0.01 | $10.00 | $10.00 |
| EDP | EDP | NePool Mass Peak Daily Power | D | 800 MWh | Dollars or cents per MWh | $0.01 | $10.00 | $10.00 |
| FOS | FOS | 1% NWE FOB Cargo Swap/3.5% Rotterdam Barges Swap | F | 1000 Mt | Dollars or cents per Mt | $0.01 | $10.00 | $10.00 |
| BOB | BOB | 3.5% Rotterdam Barges Swap/Brent 1st Line Swap | F | 1000 Mt | Dollars or cents per Mt | $0.0001 | $0.635 | $0.635 |
| NVS | NVS | 3.5% MED FOB Cargo Swap/3.5% Rotterdam Barges Swap | F | 1000 Mt | Dollars or cents per Mt | $0.01 | $10.00 | $10.00 |
| SFS | SFS | 180 cst Singapore Swap/3.5% Rotterdam Barges Swap | F | 1000 Mt | Dollars or cents per Mt | $0.01 | $10.00 | $10.00 |
| JET | JET | NWE CIF Cargo/GO 1st Line Swap | F | 1000 Mt | Dollars or cents per Mt | $0.01 | $10.00 | $10.00 |
| CAR | CAR | 1% NWE FOB Cargo Swap | F | 1000 Mt | Dollars or cents per Mt | $0.01 | $10.00 | $10.00 |
| SZS | SZS | 180 cst Singapore Swap | F | 1000 Mt | Dollars or cents per Mt | $0.01 | $10.00 | $10.00 |
| SYS | SYS | 380 cst Singapore Swap | F | 1000 Mt | Dollars or cents per Mt | $0.01 | $10.00 | $10.00 |
| BAR | BAR | 3.5% Rotterdam Barges Swap | F | 1000 Mt | Dollars or cents per Mt | $0.01 | $10.00 | $10.00 |
| GOC | GOC | Gas Oil First Line Swap/Brent First Line Swap | F | 7450 Barrels | Dollars or cents per Mt | $0.0001 | $0.745 | $0.745 |
CONTRACT CODES – DELIVERABLE CONTRACTS
| TRS Physical Commodity Code | TRS Logical Commodity Code | Contract Name | TRS Contract Code | Contract Size | Basis | Minimum Fluctuation | Minimum Fluctuation and Contract Size | Tick Value |
|---|---|---|---|---|---|---|---|---|
| Q | UKM | UK NBP Natural Gas Monthly | M | 25000 Therms | pence per Therm | £0.01 | £2.50 | £2.50 |
| S | UKD | UK NBP Natural Gas Daily | D | 25000 Therms | pence per Therm | £0.01 | £2.50 | £2.50 |
Margining
Initial Margin
Initial Margin requirements for all contracts are calculated using the standard London SPAN algorithm. Scanning Ranges are set in accordance with the standard policy, and are detailed in the standard updated margin rate circular.
Variation Margin
Variation Margin is mark to market and calculated and paid in the normal way with the exception of PHE where the traded premium is paid up-front on the business day after the day of trade and the non-realised Variation Margin is referred to as Net Liquidating Value.
Inter-Commodity Offsets
Inter-commodity offsets are offered between these products and others. Offset rates and the applicable commodities are detailed in the standard updated margin rate circular.
Inter-Month Spreads
Inter-month spreads are offered on all products. Inter-month spread rates are detailed in the standard updated margin rate circular.
Spot-Month Top Up
Additional initial margin may occasionally be called in the form of ‘spot-month top up’. This is an extra amount that is added to the Scanning Range to cover higher levels of volatility on nearby months.
Buyer's and Seller's Security
Deliverable contracts are liable to buyer’s and seller’s security. This security is collected from both longs and shorts who allow an open position to expire. The security is collected in full at the commencement of the delivery period, and repaid upon successful fulfilment of all delivery obligations.
Further Information
Details of contract terms can be found on the LCH.Clearnet Limited website: www.lchclearnet.com by selecting: Rules and Regulations / Ltd / General Regulations - LCH EnClear Regulations and LCH EnClear OTC Regulations (Regulations 68 - 73).
Details of Clearing and Delivery Procedures can be found on the LCH.Clearnet Limited website: www.lchclearnet.com by selecting: Rules and Regulations / Ltd / Section 2E – LCH EnClear and Section 6A – LCH EnClear Deliveries.
Contacts
| Business Operations: | Kevin Watts | Margining: | John Kelly |
| Telephone: | +44 (0)20 7426 7689 | Telephone: | +44 (0)20 7426 7052 |
| Email: | kevin.watts@lchclearnet.com | Email: | john.kelly@lchclearnet.com |
| Membership and Customer Training: | Lisa Colclough | ICE: | John Harding |
| Telephone: | +44 (0)20 7426 7063 | Telephone: | +1 312 214 2012 |
| Email: | lisa.colclough@lchclearnet.com | Email: | john.harding@theice.com |