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- Frank Oswald Goodwin
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1 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, March 18, 2010 To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to and subscribe to the Performance Bond Rates Advisory Notice listserver. As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago Mercantile Exchange Inc., Clearing House Risk Management staff approved the performance bond requirements for the following products listed below. The rates will be effective after the close of business on Friday, March 19, rates as of: Thursday, March 18, 2010.
2 CC Outright Rates Description ISO NATURAL GAS HENRY HUB FUTURE (, NN, HP) NYMEX NATURAL GAS PRODUCTS - Outright Rates Spec Tier 1 Decrease USD 6,750 5,000 6,075 4,500 Hedge/Member Tier 1 Decrease USD 5,000 5,000 4,500 4,500 Spec Tier 2 Decrease USD 6,413 4,750 5,738 4,250 Hedge/Member Tier 2 Decrease USD 4,750 4,750 4,250 4,250 Spec Tier 3 Decrease USD 6,075 4,500 5,400 4,000 Hedge/Member Tier 3 Decrease USD 4,500 4,500 4,000 4,000 Spec Tier 4 Decrease USD 5,400 4,000 4,725 3,500 Hedge/Member Tier 4 Decrease USD 4,000 4,000 3,500 3,500 Spec Tier 5 Decrease USD 5,063 3,750 4,388 3,250 Hedge/Member Tier 5 Decrease USD 3,750 3,750 3,250 3,250 Spec Tier 6 Decrease USD 4,050 3,000 3,375 2,500 Hedge/Member Tier 6 Decrease USD 3,000 3,000 2,500 2,500 Spec Tier 7 Decrease USD 3,713 2,750 3,038 2,250 Hedge/Member Tier 7 Decrease USD 2,750 2,750 2,250 2,250 Spec Tier 8 Decrease USD 3,375 2,500 2,700 2,000 Hedge/Member Tier 8 Decrease USD 2,500 2,500 2,000 2,000 Spec Tier 9 Decrease USD 3,375 2,500 2,700 2,000 Hedge/Member Tier 9 Decrease USD 2,500 2,500 2,000 2,000 Page 2 of 21
3 CC Intra Spreads Description ISO NYMEX NATURAL GAS PRODUCTS - Intra Spreads Henry Hub Natural Gas - Tier 1 vs. Tier 3 (NATURAL GAS HENRY HUB FUTURE) Spec Decrease USD 1,688 1,250 1,350 1,000 Hedge/Member Decrease USD 1,250 1,250 1,000 1,000 Henry Hub Natural Gas - Tier 1 vs. Tier 5 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD , Hedge/Member Increase USD Henry Hub Natural Gas - Tier 1 vs. Tier 6 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD Hedge/Member Increase USD Henry Hub Natural Gas - Tier 1 vs. Tier 7 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD , Hedge/Member Increase USD Henry Hub Natural Gas - Tier 1 vs. Tier 8 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD Hedge/Member Increase USD Henry Hub Natural Gas - Tier 1 vs. Tier 9 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD Hedge/Member Increase USD Henry Hub Natural Gas - Tier 3 vs. Tier 5 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD 1, ,688 1,250 Hedge/Member Increase USD ,250 1,250 Henry Hub Natural Gas - Tier 3 vs. Tier 6 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD , Hedge/Member Increase USD Henry Hub Natural Gas - Tier 3 vs. Tier 7 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD , Hedge/Member Increase USD Henry Hub Natural Gas - Tier 3 vs. Tier 8 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD , Hedge/Member Increase USD Henry Hub Natural Gas - Tier 3 vs. Tier 9 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD ,350 1,000 Hedge/Member Increase USD ,000 1,000 Henry Hub Natural Gas - Tier 4 vs. Tier 5 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD 1,350 1,000 2,025 1,500 Hedge/Member Increase USD 1,000 1,000 1,500 1,500 Page 4 of 21
4 CC Intra Spreads Description ISO Henry Hub Natural Gas - Tier 4 vs. Tier 6 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD , Hedge/Member Increase USD Henry Hub Natural Gas - Tier 4 vs. Tier 7 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD 1, ,688 1,250 Hedge/Member Increase USD ,250 1,250 Henry Hub Natural Gas - Tier 4 vs. Tier 8 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD ,350 1,000 Hedge/Member Increase USD ,000 1,000 Henry Hub Natural Gas - Tier 4 vs. Tier 9 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD ,350 1,000 Hedge/Member Increase USD ,000 1,000 Henry Hub Natural Gas - Tier 5 vs. Tier 5 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD , Hedge/Member Increase USD Henry Hub Natural Gas - Tier 5 vs. Tier 6 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD Hedge/Member Increase USD Henry Hub Natural Gas - Tier 5 vs. Tier 7 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD Hedge/Member Increase USD Henry Hub Natural Gas - Tier 6 vs. Tier 6 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD Hedge/Member Increase USD Henry Hub Natural Gas - Tier 7 vs. Tier 7 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD Hedge/Member Increase USD Henry Hub Natural Gas - Tier 8 vs. Tier 8 (NATURAL GAS HENRY HUB FUTURE) Spec Increase USD Hedge/Member Increase USD Page 5 of 21
5 CC Intra Spreads Description ISO NYMEX PETROLEUM PRODUCTS - Intra Spreads Heating Oil Financial Futures - Tier 1 vs. Tier 3 (HEATI OIL FUTURES NYMEX) HO HO Spec Decrease USD 1, Hedge/Member Decrease USD Heating Oil Financial Futures - Tier 1 vs. Tier 4 (HEATI OIL FUTURES NYMEX) HO HO Spec Decrease USD 1,688 1,250 1,350 1,000 Hedge/Member Decrease USD 1,250 1,250 1,000 1,000 Heating Oil Financial Futures - Tier 3 vs. Tier 3 (HEATI OIL FUTURES NYMEX) HO HO Spec Increase USD Hedge/Member Increase USD NY Harbor RBOB Gasoline - Tier 1 vs. Tier 2 (RBOB GASOLINE FUTURES) RB RB Spec Decrease USD 1, Hedge/Member Decrease USD NY Harbor RBOB Gasoline - Tier 2 vs. Tier 3 (RBOB GASOLINE FUTURES) RB RB Spec Increase USD , Hedge/Member Increase USD NY Harbor RBOB Gasoline - Tier 3 vs. Tier 4 (RBOB GASOLINE FUTURES) RB RB Spec Increase USD Hedge/Member Increase USD NY Harbor RBOB Gasoline - Tier 4 vs. Tier 4 (RBOB GASOLINE FUTURES) RB RB Spec Increase USD Hedge/Member Increase USD Page 6 of 21
6 CBOT ENERGY PRODUCTS - ETHANOL (PLATTS) T1 FOB ROTTERDAM EX DUTY SWAP (NYM-2M - vs ETHANOL (EH - Spread Credit Rate +1:-1 45% 45% ETHANOL (PLATTS) T2 FOB ROTTERDAM INCLUDI DUTY SWAP (NYM-Z1 - vs ETHANOL (EH - Spread Credit Rate +1:+1 45% 45% NYMEX CRACKS AND SPREADS - EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs GASOIL ARB: SIAPORE GASOIL (PLATTS) VS. ICE RDAM GASOIL SWAP (NYM-GA - Spread Credit Rate +15:-2 40% 40% EUROPEAN GASOIL CRACK SPREAD SWAP (NYM-GZ - vs HEATI OIL ARB SWAP: NYMEX HO V. RDAM GASOIL (NYM-HA - vs WTI - BRENT (ICE) CALENDAR SWAP (NYM-BK - vs NEW YORK HARBOR HEATI OIL CRACK SPREAD CALENDAR (NYM-HK - Spread Credit Rate Decrease +1:-1:+1:-1 50% 50% 0% 0% EUROPEAN GASOIL CRACK SPREAD SWAP (NYM-GZ - vs WTI - BRENT (ICE) CALENDAR SWAP (NYM-BK - Spread Credit Rate Increase +1:-1 30% 30% 50% 50% GULF COAST #6 FUEL OIL CRACK SWAP (NYM-MG - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 85% 85% 45% 45% GULF COAST #6 FUEL OIL CRACK SWAP (NYM-MG - vs LOS AELES CARB GASOLINE SWAP (NYM-MH - Spread Credit Rate Decrease +1:-1 85% 85% 0% 0% GULF COAST #6 FUEL OIL CRACK SWAP (NYM-MG - vs NEW YORK 0.3% FUEL OIL SWAP (NYM-VQ - Spread Credit Rate Decrease +1:-1 85% 85% 0% 0% GULF COAST #6 FUEL OIL CRACK SWAP (NYM-MG - vs NY HARBOR RESIDUAL FUEL 1.0% SWAP (NYM-MM - Spread Credit Rate Decrease +1:-1 85% 85% 0% 0% GULF COAST GASOLINE VS. GULF COAST HEATI OIL (PLATTS) SPREAD SWAP (NYM-MD - vs U.S. GULF COAST UNLEADED 87 (PLATTS) CRACK SPREAD CALENDAR SWAP (NYM-RU - vs U.S. GULF COAST NO.2 HEATI OIL CRACK SPREAD CALENDAR SWAP (NYM-RD - Spread Credit Rate Decrease +1:-1:+1 98% 98% 95% 95% GULF COAST NO. 6 FUEL OIL 3.0% SULFUR (PLATTS) SWAP (NYM-MF - vs GULF COAST NO. 6 FUEL OIL (PLATTS) CRACK SWAP (NYM-MG - Spread Credit Rate Decrease +1:-1 85% 85% 45% 45% GULF COAST ULSD CRACK SPREAD SWAP (NYM-GY - vs GULF COAST ULTRA LOW SULFUR DIESEL (ULSD) SWAP (NYM-LY - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Decrease +1:-1:+1 98% 98% 95% 95% Page 7 of 21
7 SPAN MINIMUM PERFORMANCE BOND REQUIREMENTS GULF COAST UNLEADED 87 GASOLINE CRACK SPREAD CALEN (NYM-RU - vs NEW YORK HARBOR HEATI OIL CRACK SPREAD CALENDAR (NYM-HK - vs GULF COAST GAS VS. GULF COAST HO SPREAD SWAP (NYM- MD - vs NO. 2 HEATI OIL UP-DOWN SPREAD CALENDAR SWAP (PL (NYM Spread Credit Rate Decrease +1:-1:-1:-1 98% 98% 95% 95% HEATI OIL (NYM-HO, BH, MP) vs RBOB CRACK SPREAD SWAP (NYM-RM - Spread Credit Rate Decrease +1:-1 75% 75% 45% 45% HEATI OIL ARB SWAP: NYMEX HEATI OIL VS. ROTTERDAM GASOIL (NYM-HA - vs N.Y. HARBOR HEATI OIL CRACK SPREAD CALENDAR SWAP (NYM-HK - Spread Credit Rate +1:-1 35% 35% HEATI OIL ARB SWAP: NYMEX HO V. RDAM GASOIL (NYM-HA - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) vs EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) Spread Credit Rate Increase +15:-15:+2 70% 70% 95% 95% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs BRENT CRUDE OIL BULLET SWAP FINANCIAL (NYM-BB, BZ, CY) vs WTI - BRENT (ICE) CALENDAR SWAP (NYM-BK - Spread Credit Rate Increase +1:-1:-1 90% 90% 95% 95% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs BRENT CRUDE OIL BULLET SWAP FINANCIAL (NYM-BB, BZ, CY)) vs WTI - BRENT (ICE) CALENDAR SWAP (NYM-BK - Spread Credit Rate Increase +1:-1:-1 90% 90% 95% 95% NEW YORK HARBOR HEATI OIL CRACK SPREAD CALENDAR (NYM-HK - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 55% 55% 45% 45% NEW YORK HARBOR HEATI OIL CRACK SPREAD CALENDAR (NYM-HK - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:+1:-1 98% 98% 95% 95% NO. 2 HEATI OIL UP-DOWN CALENDAR SPREAD SWAP (NYM-UT - vs U.S. GULF COAST NO.2 HEATI OIL CRACK SPREAD CALENDAR SWAP (NYM-RD - vs N.Y. HARBOR HEATI OIL CRACK SPREAD CALENDAR SWAP (NYM-HK - Spread Credit Rate Decrease +1:-1:+1 98% 98% 95% 95% NO. 2 HEATI OIL UP-DOWN SPREAD CALENDAR SWAP (NYM-UT - vs US GULF COAST #2 HO CRACK SPREAD CALENDAR SWAP (NYM-RD - vs NEW YORK HARBOR HEATI OIL CRACK SPREAD CALENDAR (NYM-HK - Spread Credit Rate Decrease +1:-1:+1 98% 98% 95% 95% RBOB CRACK SPREAD SWAP (NYM-RM - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) Spread Credit Rate Decrease +1:+1:-1 98% 98% 95% 95% RBOB UP-DOWN CALENDAR SWAP (NYM-RV - vs U.S. GULF COAST UNLEADED 87 (PLATTS) CRACK SPREAD CALENDAR SWAP (NYM-RU - vs RBOB CRACK SPREAD SWAP (NYM-RM - Spread Credit Rate Decrease +1:-1:+1 98% 98% 95% 95% U.S. GULF COAST UNLEADED 87 (PLATTS) CRACK SPREAD CALENDAR SWAP (NYM-RU - vs N.Y. HARBOR HEATI OIL CRACK SPREAD CALENDAR SWAP (NYM-HK - vs GULF COAST JET FUEL VS. NYMEX NO. 2 HEATI OIL (PLATTS) SPREAD SWAP (NYM-ME - Spread Credit Rate Decrease +1:-1:-1 60% 60% 35% 35% Page 8 of 21
8 UP-DOWN GULF COAST ULTRA LOW SULFUR DIESEL (ULSD) VS. NYMEX HEATI OIL (HO) SPREAD SWAP (NYM- LT - vs GULF COAST ULTRA LOW SULFUR DIESEL ((USLD) PLATTS) CALENDAR SWAP (NYM-LY - vs HEATI OIL (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1:+1 98% 98% 95% 95% US GULF COAST #2 HO CRACK SPREAD CALENDAR SWAP (NYM-RD - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 55% 55% 45% 45% Page 9 of 21
9 NYMEX CRUDE PRODUCTS - ARGUS LLS TRADE MONTH SWAP (NYM-A4 - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Decrease +1:-1 80% 80% 70% 70% ARGUS WTI TRADE MONTH SWAP (NYM-V7 - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Decrease +1:-1 80% 80% 70% 70% BRENT CRUDE OIL BULLET SWAP FINANCIAL (NYM-BB, BZ, CY) vs DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - Spread Credit Rate Increase +1:-1 70% 70% 80% 80% DATED BRENT (PLATTS) DAILY SWAP (NYM-7G - vs SIAPORE NAPHTHA SWAP (NYM-SP - Spread Credit Rate Decrease +1:-1 50% 50% 0% 0% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs DATED BRENT CRUDE OIL CALENDAR SWAP (NYM-UB - Spread Credit Rate Decrease +1:-1 80% 80% 60% 60% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs SIAPORE FUEL OIL 180CST CALENDAR SWAP (NYM- UA - Spread Credit Rate Increase +33:-5 60% 60% 70% 70% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs JAPAN C&F NAPHTHA (PLATTS) SWAP (NYM-JA - Spread Credit Rate Increase +9:-1 65% 65% 70% 70% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) Spread Credit Rate Decrease +1:-1 65% 65% 60% 60% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs SIAPORE GASOIL SWAP (NYM-SG - Spread Credit Rate Increase +1:-1 60% 60% 70% 70% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs SIAPORE JET KEROSENE SWAP (NYM-KS - Spread Credit Rate Increase +1:-1 60% 60% 70% 70% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs SIAPORE NAPHTHA SWAP (NYM-SP - Spread Credit Rate Decrease +9:-1 65% 65% 50% 50% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Increase +2:-15 50% 50% 70% 70% EUROPEAN NAPHTHA CALENDAR SWAP (NYM-UN - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Decrease +1:-9 65% 65% 60% 60% GULF COAST SOUR CRUDE OIL FUTURES (NYM-MB - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Increase +1:-1 60% 60% 70% 70% Page 10 of 21
10 GULF COAST ULSD CRACK SPREAD SWAP (NYM-GY - vs GULF COAST ULTRA LOW SULFUR DIESEL (ULSD) SWAP (NYM-LY - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Decrease +1:-1:+1 98% 98% 95% 95% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs BRENT CRUDE OIL BULLET SWAP FINANCIAL (NYM-BB, BZ, CY) vs WTI - BRENT (ICE) CALENDAR SWAP (NYM-BK - Spread Credit Rate Increase +1:-1:-1 90% 90% 95% 95% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs BRENT CRUDE OIL BULLET SWAP FINANCIAL (NYM-BB, BZ, CY)) vs WTI - BRENT (ICE) CALENDAR SWAP (NYM-BK - Spread Credit Rate Increase +1:-1:-1 90% 90% 95% 95% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs EIA FLAT TAX ON-HIGHWAY DIESEL SWAP (NYM-A5 - Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs EIA ON-HIGHWAY RETAIL DIESEL SWAP (NYM-HI - Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs GULF COAST ULTRA LOW SULFUR DIESEL ((USLD) PLATTS) CALENDAR SWAP (NYM-LY - Spread Credit Rate Increase +1:-1 70% 70% 75% 75% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Increase +1:-1 80% 80% 85% 85% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs MARS (ARGUS) CALENDAR SWAP (NYM-MX - Spread Credit Rate Decrease +1:-1 90% 90% 70% 70% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs NEW YORK 0.3% FUEL OIL HIPR (PLATTS) SWAP (NYM- 8N - Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs NEW YORK 0.7% FUEL OIL (PLATTS) SWAP (NYM-Y4 - Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Increase +3:-2:-1 75% 75% 80% 80% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs RUSSIAN EXPORT BLEND CRUDE OIL (REBCO) (NYM-RE - Spread Credit Rate Increase +1:-1 75% 75% 85% 85% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs RUSSIAN EXPORT BLEND CRUDE OIL (REBCO) FINANCIAL F (NYM-R2 - Spread Credit Rate Increase +1:-1 75% 75% 85% 85% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs WTS (ARGUS) TRADE MONTH SWAP (NYM-AY - Spread Credit Rate Decrease +1:-1 90% 90% 70% 70% Page 11 of 21
11 LLS (ARGUS) CALENDAR SWAP (NYM-XA - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Decrease +1:-1 90% 90% 70% 70% LLS (ARGUS) TRADE MONTH SWAP (NYM-LI - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Decrease +1:-1 80% 80% 70% 70% MARS (ARGUS) TRADE MONTH SWAP (NYM-MO - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Decrease +1:-1 90% 90% 70% 70% NEW YORK HARBOR HEATI OIL CRACK SPREAD CALENDAR (NYM-HK - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:+1:-1 98% 98% 95% 95% RBOB CRACK SPREAD SWAP (NYM-RM - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) Spread Credit Rate Decrease +1:+1:-1 98% 98% 95% 95% Page 12 of 21
12 NYMEX PETROLEUM PRODUCTS - ARGUS PROPANE FAR EAST INDEX SWAP (NYM-7E - vs EUROPEAN NAPHTHA CALENDAR SWAP (NYM-UN - Spread Credit Rate +1:-1 45% 45% ARGUS PROPANE FAR EAST INDEX SWAP (NYM-7E - vs JAPAN C&F NAPHTHA (PLATTS) SWAP (NYM-JA - Spread Credit Rate +1:-1 45% 45% ARGUS PROPANE FAR EAST INDEX SWAP (NYM-7E - vs SIAPORE NAPHTHA SWAP (NYM-SP - Spread Credit Rate +10:-1 45% 45% ARGUS RME BIODIESEL FOB ROTTERDAM SWAP (NYM-1A - vs FAME 0 (ARGUS) BIODIESEL FOB ROTTERDAM SWAP (NYM-2L - Spread Credit Rate Increase +1:-1 65% 65% 80% 80% ARGUS RME BIODIESEL FOB ROTTERDAM SWAP (NYM-1A - vs GASOIL 0.1 ROTTERDAM BARGES SWAP (NYM-VL - Spread Credit Rate Increase +1:-10 45% 45% 65% 65% CHICAGO ULSD (PLATTS) SWAP (NYM-4C - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 95% 95% 70% 70% CHICAGO UNLEADED GASOLINE (PLATTS) SWAP (NYM-2C - vs NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) Spread Credit Rate Decrease +1:-1 80% 80% 70% 70% DATED BRENT (PLATTS) DAILY SWAP (NYM-7G - vs SIAPORE NAPHTHA SWAP (NYM-SP - Spread Credit Rate Decrease +1:-1 50% 50% 0% 0% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs SIAPORE FUEL OIL 180CST CALENDAR SWAP (NYM- UA - Spread Credit Rate Increase +33:-5 60% 60% 70% 70% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs JAPAN C&F NAPHTHA (PLATTS) SWAP (NYM-JA - Spread Credit Rate Increase +9:-1 65% 65% 70% 70% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) Spread Credit Rate Decrease +1:-1 65% 65% 60% 60% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs SIAPORE GASOIL SWAP (NYM-SG - Spread Credit Rate Increase +1:-1 60% 60% 70% 70% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs SIAPORE JET KEROSENE SWAP (NYM-KS - Spread Credit Rate Increase +1:-1 60% 60% 70% 70% DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - vs SIAPORE NAPHTHA SWAP (NYM-SP - Spread Credit Rate Decrease +9:-1 65% 65% 50% 50% Page 13 of 21
13 EIA FLAT TAX ON-HIGHWAY DIESEL SWAP (NYM-A5 - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% ETHANOL (PLATTS) T1 FOB ROTTERDAM EX DUTY SWAP (NYM-2M - vs CHICAGO ETHANOL (PLATTS) SWAP (NYM-CU - Spread Credit Rate +8:-5 45% 45% ETHANOL (PLATTS) T1 FOB ROTTERDAM EX DUTY SWAP (NYM-2M - vs ETHANOL (EH - Spread Credit Rate +1:-1 45% 45% ETHANOL (PLATTS) T1 FOB ROTTERDAM EX DUTY SWAP (NYM-2M - vs NEW YORK ETHANOL (PLATTS) SWAP (NYM-EZ - Spread Credit Rate +5:-8 45% 45% ETHANOL (PLATTS) T2 FOB ROTTERDAM INCLUDI DUTY SWAP (NYM-Z1 - vs CHICAGO ETHANOL (PLATTS) SWAP (NYM-CU - Spread Credit Rate +1:-1 45% 45% ETHANOL (PLATTS) T2 FOB ROTTERDAM INCLUDI DUTY SWAP (NYM-Z1 - vs ETHANOL (EH - Spread Credit Rate +1:+1 45% 45% ETHANOL (PLATTS) T2 FOB ROTTERDAM INCLUDI DUTY SWAP (NYM-Z1 - vs NEW YORK ETHANOL (PLATTS) SWAP (NYM-EZ - Spread Credit Rate +1:-1 45% 45% EUROPEAN 1% FUEL OIL CALENDAR SWAP (NORTHWEST EURO (NYM-UF - vs SIAPORE FUEL OIL 180CST CALENDAR SWAP (NYM-UA - Spread Credit Rate Decrease +1:-1 95% 95% 60% 60% EUROPEAN 1% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UH - vs EUROPEAN 1% FUEL OIL CALENDAR SWAP (NORTHWEST EURO (NYM-UF - Spread Credit Rate Decrease +1:-1 95% 95% 90% 90% EUROPEAN 1% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UH - vs EUROPEAN 3.5% FUEL OIL MED CALENDAR SWAP (MEDITERR (NYM-UI - Spread Credit Rate Decrease +1:-1 95% 95% 80% 80% EUROPEAN 1% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UH - vs EUROPEAN 3.5% FUEL OIL MEDITERRANEAN (MED) CALENDAR SWAP (NYM-UI - Spread Credit Rate Decrease +1:-1 95% 95% 80% 80% EUROPEAN 1% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UH - vs SIAPORE FUEL OIL 180CST CALENDAR SWAP (NYM-UA - Spread Credit Rate Decrease +1:-1 95% 95% 60% 60% EUROPEAN 1% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UH - vs SIAPORE FUEL OIL 180CST CALENDAR SWAP (NYM-UA - Spread Credit Rate Decrease +1:-1 95% 95% 60% 60% EUROPEAN 3.5% FUEL OIL MED CALENDAR SWAP (MEDITERR (NYM-UI - vs EUROPEAN 1% FUEL OIL CALENDAR SWAP (NORTHWEST EURO (NYM-UF Spread Credit Rate Decrease +1:+1 90% 90% 80% 80% Page 14 of 21
14 EUROPEAN 3.5% FUEL OIL MED CALENDAR SWAP (MEDITERR (NYM-UI - vs SIAPORE FUEL OIL 180CST CALENDAR SWAP (NYM-UA - Spread Credit Rate Decrease +1:-1 95% 95% 60% 60% EUROPEAN 3.5% FUEL OIL MEDITERRANEAN (MED) CALENDAR SWAP (NYM-UI - vs EUROPEAN 1% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UH - Spread Credit Rate Decrease -1:+1 95% 95% 80% 80% EUROPEAN 3.5% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UV - vs EUROPEAN 3.5% FUEL OIL MED CALENDAR SWAP (MEDITERR (NYM-UI - Spread Credit Rate Decrease +1:-1 90% 90% 85% 85% EUROPEAN 3.5% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UV - vs EUROPEAN 3.5% FUEL OIL MED CALENDAR SWAP (NYM-UI - Spread Credit Rate Decrease +1:-1 90% 90% 85% 85% EUROPEAN 3.5% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UV - vs SIAPORE FUEL OIL 180CST CALENDAR SWAP (NYM-UA - Spread Credit Rate Decrease +1:-1 75% 75% 65% 65% EUROPEAN 3.5% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UV - vs GULF COAST #6 FUEL 3.0% SWAP (NYM-MF - Spread Credit Rate Decrease +3:-19 75% 75% 65% 65% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs 1.5% FUEL OIL BARGES FOB RDAM SWAP (NYM-Z3 - Spread Credit Rate Decrease +1:-1 75% 75% 65% 65% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs EUROPEAN 1% FUEL OIL NORTHWEST EUROPE (NWE) CALENDAR SWAP (PLATTS) (NYM-UF - Spread Credit Rate +1:-1 60% 60% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs EUROPEAN 1% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UH - Spread Credit Rate +1:-1 60% 60% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs EUROPEAN 3.5% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UV - Spread Credit Rate Decrease +1:-1 75% 75% 65% 65% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs GASOIL 0.1 BARGES FOB RDAM (NYM-VL - Spread Credit Rate Decrease +1:-1 95% 95% 85% 85% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs GASOIL 0.1 CIF MED SWAP (NYM-Z4 - Spread Credit Rate Decrease +1:-1 95% 95% 75% 75% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs GASOIL 10PPM CARGOES CIF NWE SWAP (NYM-TY - Spread Credit Rate Decrease +1:-1 95% 95% 85% 85% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs GASOIL ARB: SIAPORE GASOIL (PLATTS) VS. ICE RDAM GASOIL SWAP (NYM-GA - Spread Credit Rate +15:-2 40% 40% Page 15 of 21
15 EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Increase +2:-15 50% 50% 70% 70% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs SIAPORE FUEL OIL 180CST CALENDAR SWAP (NYM-UA - Spread Credit Rate +1:-1 40% 40% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs SIAPORE JET KEROSENE SWAP (NYM-KS - Spread Credit Rate +1:-9 50% 50% EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) vs ULSD 10PPM CIF MED SWAP (NYM-Z6 - Spread Credit Rate Decrease +1:-1 95% 95% 75% 75% EUROPEAN JET KERO NORTHWEST EUROPE (NWE) CALENDAR SWAP (PLATTS) (NYM-UJ - vs SIAPORE JET KEROSENE SWAP (NYM-KS - Spread Credit Rate Decrease +2:-15 60% 60% 45% 45% EUROPEAN JET KERO ROTTERDAM CALENDAR SWAP (NYM-UR - vs EUROPEAN JET KERO NWE CALENDAR SWAP (NORTHWEST EUR (NYM-UJ - Spread Credit Rate Decrease +1:-1 95% 95% 90% 90% EUROPEAN NAPHTHA CALENDAR SWAP (NYM-UN - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Decrease +1:-9 65% 65% 60% 60% EUROPEAN NAPHTHA CALENDAR SWAP (NYM-UN - vs SIAPORE NAPHTHA SWAP (NYM-SP - Spread Credit Rate Decrease +1:-9 65% 65% 45% 45% EUROPEAN PROPANE CIF ARA (ARGUS) SWAP (NYM-PS - vs EUROPEAN NAPHTHA CALENDAR SWAP (NYM- UN - Spread Credit Rate Decrease +1:-1 65% 65% 50% 50% FAME 0 (ARGUS) BIODIESEL FOB ROTTERDAM SWAP (NYM-2L - vs GASOIL 0.1 ROTTERDAM BARGES SWAP (NYM-VL - Spread Credit Rate Increase +1:-10 45% 45% 65% 65% FAME 0 (ARGUS) BIODIESEL FOB ROTTERDAM SWAP (NYM-2L - vs GASOIL 10PPM CARGOES CIF NWE SWAP (NYM-TY - Spread Credit Rate Increase +1:-10 45% 45% 65% 65% GASOIL 10PPM CARGOES CIF NWE SWAP (NYM-TY - vs ARGUS BIODIESEL RME FOB RDAM SWAP (NYM-1A - Spread Credit Rate Increase +1:-10 45% 45% 65% 65% GASOLINE EURO-BOB OXY (ARGUS) NWE BARGES SWAP (NYM-7H - vs EUROPEAN NAPHTHA CALENDAR SWAP (NYM-UN - Spread Credit Rate Decrease +1:-1 70% 70% 45% 45% GROUP THREE ULSD (PLATTS) SWAP (NYM-A7 - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 75% 75% 60% 60% Page 16 of 21
16 GROUP THREE UNLEADED GASOLINE (PLATTS) SWAP (NYM-A9 - vs NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) Spread Credit Rate Decrease +1:-1 80% 80% 65% 65% GULF COAST #6 FUEL 3.0% SWAP (NYM-MF - vs NEW YORK FUEL OIL 0.3% HP SWAP (NYM-8N - Spread Credit Rate Decrease +1:-1 85% 85% 75% 75% GULF COAST #6 FUEL OIL CRACK SWAP (NYM-MG - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 85% 85% 45% 45% GULF COAST #6 FUEL OIL CRACK SWAP (NYM-MG - vs LOS AELES CARB GASOLINE SWAP (NYM-MH - Spread Credit Rate Decrease +1:-1 85% 85% 0% 0% GULF COAST #6 FUEL OIL CRACK SWAP (NYM-MG - vs NEW YORK 0.3% FUEL OIL SWAP (NYM-VQ - Spread Credit Rate Decrease +1:-1 85% 85% 0% 0% GULF COAST #6 FUEL OIL CRACK SWAP (NYM-MG - vs NY HARBOR RESIDUAL FUEL 1.0% SWAP (NYM-MM - Spread Credit Rate Decrease +1:-1 85% 85% 0% 0% GULF COAST GASOLINE VS. GULF COAST HEATI OIL (PLATTS) SPREAD SWAP (NYM-MD - vs U.S. GULF COAST UNLEADED 87 (PLATTS) CRACK SPREAD CALENDAR SWAP (NYM-RU - vs U.S. GULF COAST NO.2 HEATI OIL CRACK SPREAD CALENDAR SWAP (NYM-RD - Spread Credit Rate Decrease +1:-1:+1 98% 98% 95% 95% GULF COAST HEATI OIL CALENDAR SWAP (NYM-GP - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 95% 95% 70% 70% GULF COAST NO. 6 FUEL OIL 3.0% SULFUR (PLATTS) SWAP (NYM-MF - vs GULF COAST NO. 6 FUEL OIL (PLATTS) CRACK SWAP (NYM-MG - Spread Credit Rate Decrease +1:-1 85% 85% 45% 45% GULF COAST NO. 6 FUEL OIL 3.0% SULFUR (PLATTS) SWAP (NYM-MF - vs HEATI OIL (NYM-HO, MP, BH) Spread Credit Rate Decrease +1:-1 85% 85% 80% 80% GULF COAST NO. 6 FUEL OIL 3.0% SULFUR (PLATTS) SWAP (NYM-MF - vs LOS AELES CARBOB GASOLINE (OPIS) OUTRIGHT SWAP (NYM-MH - Spread Credit Rate Decrease +1:-1 85% 85% 0% 0% GULF COAST NO. 6 FUEL OIL 3.0% SULFUR (PLATTS) SWAP (NYM-MF - vs NEW YORK 2.2% FUEL OIL (PLATTS) SWAP (NYM-Y3 - Spread Credit Rate +1:-1 70% 70% GULF COAST NO. 6 FUEL OIL 3.0% SULFUR (PLATTS) SWAP (NYM-MF - vs NEW YORK HARBOR 0.3% FUEL OIL SWAP (NYM-VQ - Spread Credit Rate Decrease +1:-1 85% 85% 65% 65% GULF COAST NO. 6 FUEL OIL 3.0% SULFUR (PLATTS) SWAP (NYM-MF - vs NY HARBOR RBOB (BLENDSTOCK) GAS (NYM-RB, RL, RT) Spread Credit Rate Decrease +1:-1 85% 85% 70% 70% Page 17 of 21
17 GULF COAST ULSD (ARGUS) CALENDAR SWAP (NYM-AJ - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 75% 75% 60% 60% GULF COAST ULSD CRACK SPREAD SWAP (NYM-GY - vs GULF COAST ULTRA LOW SULFUR DIESEL (ULSD) SWAP (NYM-LY - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) Spread Credit Rate Decrease +1:-1:+1 98% 98% 95% 95% GULF COAST UNLEADED 87 GASOLINE CRACK SPREAD CALEN (NYM-RU - vs NEW YORK HARBOR HEATI OIL CRACK SPREAD CALENDAR (NYM-HK - vs GULF COAST GAS VS. GULF COAST HO SPREAD SWAP (NYM- MD - vs NO. 2 HEATI OIL UP-DOWN SPREAD CALENDAR SWAP (PL (NYM Spread Credit Rate Decrease +1:-1:-1:-1 98% 98% 95% 95% HEATI OIL (NYM-HO, BH, MP) vs RBOB CRACK SPREAD SWAP (NYM-RM - Spread Credit Rate Decrease +1:-1 75% 75% 45% 45% HEATI OIL ARB SWAP: NYMEX HO V. RDAM GASOIL (NYM-HA - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) vs EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX, BG) Spread Credit Rate Increase +15:-15:+2 70% 70% 95% 95% HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) vs NEW YORK HEATI OIL (PLATTS) SWAP (NYM-YF - Spread Credit Rate Decrease +1:-1 95% 95% 80% 80% HEATI/CRUDE SPREAD COMBO (NYM-HC - vs HEATI OIL (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 55% 55% 45% 45% HEATI/CRUDE SPREAD COMBO (NYM-HC - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 55% 55% 45% 45% JAPAN C&F NAPHTHA (PLATTS) SWAP (NYM-JA - vs SIAPORE NAPHTHA SWAP (NYM-SP - Spread Credit Rate Decrease +1:-9 95% 95% 80% 80% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs EIA FLAT TAX ON-HIGHWAY DIESEL SWAP (NYM-A5 - Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs EIA ON-HIGHWAY RETAIL DIESEL SWAP (NYM-HI - Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs GULF COAST ULTRA LOW SULFUR DIESEL ((USLD) PLATTS) CALENDAR SWAP (NYM-LY - Spread Credit Rate Increase +1:-1 70% 70% 75% 75% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Increase +1:-1 80% 80% 85% 85% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs NEW YORK 0.3% FUEL OIL HIPR (PLATTS) SWAP (NYM- 8N - Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% Page 18 of 21
18 LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs NEW YORK 0.7% FUEL OIL (PLATTS) SWAP (NYM-Y4 - Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Increase +3:-2:-1 75% 75% 80% 80% LOS AELES CARB DIESEL (OPIS) OUTRIGHT SWAP (NYM-LX - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Increase +1:-1 50% 50% 60% 60% LOS AELES CARB GASOLINE SWAP (NYM-MH - vs NEW YORK 0.3% FUEL OIL SWAP (NYM-VQ - Spread Credit Rate Decrease +1:-1 85% 85% 0% 0% LOS AELES CARB GASOLINE SWAP (NYM-MH - vs NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) Spread Credit Rate Decrease +1:-1 85% 85% 35% 35% LOS AELES CARB GASOLINE SWAP (NYM-MH - vs NY HARBOR RESIDUAL FUEL 1.0% SWAP (NYM-MM - Spread Credit Rate Decrease +1:-1 85% 85% 0% 0% MONT BELVIEU PHYSICAL NATURAL GASOLINE (OPIS) (NYM-3R - vs NY HARBOR RBOB (BLENDSTOCK) GAS (NYM-RB, RL, RT) Spread Credit Rate Decrease +1:-1 90% 90% 55% 55% NEW YORK 0.3% FUEL OIL SWAP (NYM-VQ - vs EUROPEAN 1% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UH - Spread Credit Rate Decrease +7:-1 65% 65% 60% 60% NEW YORK 2.2% FUEL OIL (PLATTS) SWAP (NYM-Y3 - vs EUROPEAN 1% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UH - Spread Credit Rate +19:-3 60% 60% NEW YORK 2.2% FUEL OIL (PLATTS) SWAP (NYM-Y3 - vs NEW YORK HARBOR 0.3% FUEL OIL SWAP (NYM-VQ - Spread Credit Rate +1:-1 70% 70% NEW YORK 2.2% FUEL OIL (PLATTS) SWAP (NYM-Y3 - vs NEW YORK HARBOR RESIDUAL FUEL 1.0% SULFUR (PLATTS) SWAP (NYM-MM - Spread Credit Rate +1:+1 70% 70% NEW YORK 3.0% FUEL OIL (PLATTS) SWAP (NYM-H1 - vs EUROPEAN 1% FUEL OIL ROTTERDAM CALENDAR SWAP (NYM-UH - Spread Credit Rate Increase +7:-1 50% 50% 60% 60% NEW YORK 3.0% FUEL OIL (PLATTS) SWAP (NYM-H1 - vs GULF COAST #6 FUEL 3.0% SWAP (NYM-MF - Spread Credit Rate Decrease +1:-1 85% 85% 75% 75% NEW YORK 3.0% FUEL OIL (PLATTS) SWAP (NYM-H1 - vs NEW YORK 0.3% FUEL OIL SWAP (NYM-VQ - Spread Credit Rate Decrease +1:-1 90% 90% 75% 75% Page 19 of 21
19 NEW YORK 3.0% FUEL OIL (PLATTS) SWAP (NYM-H1 - vs NY HARBOR RESIDUAL FUEL 1.0% SWAP (NYM-MM - Spread Credit Rate Decrease +1:-1 85% 85% 75% 75% NEW YORK HARBOR HEATI OIL CRACK SPREAD CALENDAR (NYM-HK - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 55% 55% 45% 45% NEW YORK HARBOR HEATI OIL CRACK SPREAD CALENDAR (NYM-HK - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:+1:-1 98% 98% 95% 95% NORTHWEST EUROPE GASOLINE SWAP FUTURES (ARGUS) (NYM-AR - vs EUROPEAN JET KERO ROTTERDAM CALENDAR SWAP (NYM-UR - Spread Credit Rate Decrease +1:-1 65% 65% 35% 35% NORTHWEST EUROPE GASOLINE SWAP FUTURES (ARGUS) (NYM-AR - vs EUROPEAN NAPHTHA CALENDAR SWAP (NYM-UN - Spread Credit Rate Decrease +1:-1 70% 70% 50% 50% NORTHWEST EUROPE GASOLINE SWAP FUTURES (ARGUS) (NYM-AR - vs GULF COAST GASOLINE CALENDAR SWAP (NYM-GS - Spread Credit Rate Decrease +1:-9 70% 70% 50% 50% NY HARBOR RBOB (BLENDSTOCK) GAS (NYM-RB, RL, RT) vs GASOLINE EURO-BOB OXY (ARGUS) NWE BARGES SWAP (NYM-7H - Spread Credit Rate Decrease +25:-3 70% 70% 60% 60% NY HARBOR RBOB (BLENDSTOCK) GAS (NYM-RB, RL, RT) vs NEW YORK HARBOR RESIDUAL FUEL 1.0% SULFUR (PLATTS) SWAP (NYM-MM - Spread Credit Rate +1:-1 70% 70% NY HARBOR RBOB (BLENDSTOCK) GAS (NYM-RB, RL, RT)vs GASOLINE EURO-BOB OXY (ARGUS) NWE BARGES SWAP (NYM-7H - Spread Credit Rate Decrease +25:-3 70% 70% 60% 60% NY HARBOR RBOB (BLENDSTOCK) GAS (NYM-RB, RT, RL) vs EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM- GX, BG) Spread Credit Rate +2:-15 60% 60% NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) vs GULF COAST GASOLINE (ARGUS) CALENDAR SWAP (NYM-AW - Spread Credit Rate Decrease +1:+1 85% 85% 65% 65% NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) vs GULF COAST GASOLINE CALENDAR SWAP (NYM-GS - Spread Credit Rate Decrease +1:-1 90% 90% 65% 65% NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Increase +1:-1 65% 65% 75% 75% NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) vs NORTHWEST EUROPE GASOLINE SWAP FUTURES (ARGUS) (NYM-AR - Spread Credit Rate Decrease +9:-1 70% 70% 60% 60% Page 20 of 21
20 NY HARBOR RESIDUAL FUEL 1.0% SWAP (NYM-MM - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 85% 85% 80% 80% NY HARBOR RESIDUAL FUEL 1.0% SWAP (NYM-MM - vs NEW YORK 0.3% FUEL OIL SWAP (NYM-VQ - Spread Credit Rate Decrease +1:-1 90% 90% 70% 70% NY HARBOR RESIDUAL FUEL 1.0% SWAP (NYM-MM - vs NEW YORK FUEL OIL 0.3% HP SWAP (NYM-8N - Spread Credit Rate Decrease +1:-1 85% 85% 70% 70% PREMIUM UNL GASOLINE 10PPM (PLATTS) CIF MED SWAP (NYM-2G - vs PREMIUM UNL GASOLINE 10PPM (PLATTS) FOB MED SWAP (NYM-3G - Spread Credit Rate Decrease +1:-1 95% 95% 70% 70% RBOB CRACK SPREAD SWAP (NYM-RM - vs LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs NY HARBOR RBOB GASOLINE (NYM-RB, RL, RT) Spread Credit Rate Decrease +1:+1:-1 98% 98% 95% 95% SIAPORE GASOIL SWAP (NYM-SG - vs SIAPORE JET KEROSENE SWAP (NYM-KS - Spread Credit Rate Increase +1:-1 70% 70% 85% 85% SIAPORE GASOIL SWAP (NYM-SG - vs SIAPORE MOGAS 92 UNLEADED (PLATTS) SWAP (NYM-1N - Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% UP-DOWN GULF COAST ULTRA LOW SULFUR DIESEL (ULSD) VS. NYMEX HEATI OIL (HO) SPREAD SWAP (NYM- LT - vs GULF COAST ULTRA LOW SULFUR DIESEL ((USLD) PLATTS) CALENDAR SWAP (NYM-LY - vs HEATI OIL (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1:+1 98% 98% 95% 95% US GULF COAST #2 HO CRACK SPREAD CALENDAR SWAP (NYM-RD - vs HEATI OIL FINANCIAL FUTURES (NYM-HO, BH, MP) Spread Credit Rate Decrease +1:-1 55% 55% 45% 45% Page 21 of 21
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