CCP NCC is changing the rules for excluding Brent and Light Sweet Crude Oil futures from the inter-month spread shortly before the expiration:
Underlying code
Futures contract
Number of settlement periods* before the futures expiration for its exclusion from the inter-month spread
Current rules
New rules
BR
BRENT oil futures
2 settlement periods
4 settlement periods
CL
Light Sweet Crude Oil
1 settlement period
3 settlement periods
*Settlement period means either:
intraday settlement period – the period from the beginning of the main trading session until the Exchange suspends trades to hold the intraday clearing session;
evening settlement period – the period from the trading resumption after such suspension until the Exchange suspends trades to hold the evening clearing session.
New rules will be applied starting with the expiration of BR-4.20 and CL-3.20 futures and subsequent futures contracts on respective underlying assets.
The rules for excluding futures contracts on all underlying assets from the inter-month spread shortly before the expiration are available on the website.
