ICE commodity swap

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ICE commodity swap

Megh
Dear all, here I was studying the commodity swap contracts traded at ICE, one of them is "Singapore 0.5% Gasoil Swap", contract specification is here : https://www.theice.com/productguide/ProductDetails.shtml?specId=1206

Here in daily settlement process, it is written as "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"

Can anyone please provide me any details what is the formula they are using to determine that and exactly what spot, forward quotes they are using? Is there any data-sources to find the historical daily quotes as well?

Thanks and regards,
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Re: ICE commodity swap

braverock
Megh wrote:

> Dear all, here I was studying the commodity swap contracts traded at ICE, one
> of them is "Singapore 0.5% Gasoil Swap", contract specification is here :
> https://www.theice.com/productguide/ProductDetails.shtml?specId=1206
>
> Here in daily settlement process, it is written as "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"
>
> Can anyone please provide me any details what is the formula they are using
> to determine that and exactly what spot, forward quotes they are using? Is
> there any data-sources to find the historical daily quotes as well?
>
> Thanks and regards,

The point is, they don't tell you.

I've dealt with ICE before, and it can be maddening trying to get details out
of them.

So, maybe if you call the exchange support folks and ask them, you *might* get
an answer, but probably not.

Or, you can guess.  There are only so many markets where natural gas and
heating oil are traded.  Clearly, for this one, I'd start with Singapore
prices.  See how close you can get using observable market factors.  That might
let you know whether you want ICE as a counterparty.

And what did this have to do with R anyway?

Cheers,

    - Brian

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

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Re: alternative lists (was : ICE commodity swap)

Patrick Burns-2
On 28/01/2010 10:14, Brian G. Peterson wrote:

  ...

>
> And what did this have to do with R anyway?

I also inferred a minimal R content.  But it is
hard for me to blame people too much for posting
off-topic questions if we don't offer them any
alternatives.

For basic R questions we obviously have R-help.
Can we suggest any finance-related lists as suitable
alternatives?


>
> Cheers,
>
> - Brian
>

--
Patrick Burns
[hidden email]
http://www.burns-stat.com

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Re: alternative lists (was : ICE commodity swap)

braverock
Patrick Burns wrote:

> On 28/01/2010 10:14, Brian G. Peterson wrote:
>
>  ...
>
>>
>> And what did this have to do with R anyway?
>
> I also inferred a minimal R content.  But it is
> hard for me to blame people too much for posting
> off-topic questions if we don't offer them any
> alternatives.
>
> For basic R questions we obviously have R-help.
> Can we suggest any finance-related lists as suitable
> alternatives?

Well, clearly anything googled as 'trading forum' have discussions like this
all the time. YMMV as to the quality of information to be found on these forums.

Of course, every research question is different, and forums (or lists such as
this one) do not always have credible information.  What process would the
interested researcher follow to get reliable (tradable) information?

Specific to the inquiry about ICE, or any other exchange traded product, the
first resource *should* be to call the exchange.  They have support numbers for
a reason, this is one of them.  So the exchange should be the *first* avenue of
inquiry for product details on products traded on that exchange.

Next, try calling your data vendors.  One of the reasons you pay a bunch of
money to Reuters, Bloomberg, QAI, etc. is so that you can call them and ask
them questions.

In doing product research on derivative products, I usually find it useful to
work your way back up the chain closer to the underlying instrument.

So, for this example.

Singapore 0.5% GasOil Swap

The contract spec says that:
"In respect of final settlement, the Floating Price will be a price in USD and
cents per barrel based on the average of the mean of the relevant high and low
quotations appearing in the 'Platts Asian-Pacific MarketScan' under the heading
`FOB Singapore of Gasoil Reg 0.5% sulfur' for the contract month."

The Platts reports are subscription products.  The interested user would call
their clearing broker and custody broker and ask them to send you copies.  Most
brokers have access to more research reports than one would ever want to
actually read. An old copy of the Platts report may be seen for reference here:
www.platts.com/IM.Platts.Content/ProductsServices/Products/apagscan.pdf

This raises another interesting research opportunity.  Call your brokers.  They
want you to trade more things in higher volume.  They'll be happy to trot out a
'asset class expert' or some-such to talk to you.  They might even know
something about the products in question.

Let's assume none of that works out.  One might continue working back towards
the underlying products.

The Department of Energy posts helpful daily close prices on energy products.

http://tonto.eia.doe.gov/dnav/pet/PET_PRI_SPT_S1_D.htm

Our tax dollars even provide copious amounts of historical data.  Singapore Gas
and Singapore Heating Oil are both listed, as is Singapore GasOil (I assume the
spread, but maybe the original exchange even sells a swap, and ICE is just
freeloading with a US$ product).  If one spoke Chinese, I'm sure even more
market quotations would be available.

Research is a process (as Patrick clearly knows).  Hopefully my spending a
little time to elucidate that process has been useful for our readers.

Regards,

    - Brian

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

_______________________________________________
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