SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-168

Organization: New York Mercantile Exchange, Inc. ("NYMEX")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 05/11/23 Filing Description: Increase of Spot Month Position 

Limits of Three (3) Brent Futures Contracts and Related Amendments to Aggregated 

Futures and Options Contracts

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: 

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected: See filing.

Rule Numbers: See filing.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

May 11, 2023

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Increase of Spot Month Position Limits of 

Three (3) Brent Futures Contracts and Related Amendments to Aggregated Futures 

and Options Contracts.

NYMEX Submission No. 23-168

Dear Mr. Kirkpatrick:

New York Mercantile Exchange, Inc. (“NYMEX” or “Exchange”) is certifying to the Commodity Futures 

Trading Commission (“CFTC” or “Commission”) an increase of spot month position limits of three (3) Brent 

futures contracts (the “Parent Contracts”) and related amendments to aggregated futures and options of 

the Parent Contracts (the “Child Contracts”) as noted in the Tables 1., 2. and 3. below (collectively the “Rule 

Amendments) effective on June 1, 2023.

Table 1. 

Contract Title Rulebook 

Chapter

CME 

Globex/

CME 

Clearport 

Code

Current 

Spot Month 

Position 

Limit

Increased 

Spot Month 

Position 

Limit

Parent Contract

Brent Crude Oil Last Day Financial Futures 698 BZ 5,000 7,000

Child Contracts

Brent Calendar Spread Option (One Month) 394 AA 5,000 7,000

Brent Calendar Spread Option (Two Month) 394 AB 5,000 7,000

Brent Calendar Spread Option (Three Month) 394 AC 5,000 7,000

Brent Calendar Spread Option (Six Month) 394 AM 5,000 7,000

Brent Calendar Spread Option (Twelve Month) 394 AZ 5,000 7,000

Brent Crude Oil Option 376 OS/OSX 5,000 7,000

Brent Crude Oil European Financial Option 378 BE 5,000 7,000

Brent Crude Oil Last Day Financial Calendar Spread 

Option (One Month) 398 9C

5,000 7,000

Brent Crude Oil Last Day Financial Calendar Spread 

Option (Six Month) 398 9L

5,000 7,000

Brent Crude Oil Last Day Financial Calendar Spread 

Option (Three Month) 398 9D

5,000 7,000
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Brent Crude Oil Last Day Financial Calendar Spread 

Option (Twelve Month) 398 9Y

5,000 7,000

Brent Crude Oil Last Day Financial Calendar Spread 

Option (Two Month) 398 9B

5,000 7,000

Brent Crude Oil Futures-Style Margin Option 504 BZO 5,000 7,000

Brent Crude Oil Weekly Option - week 1 1007 BW1 5,000 7,000

Brent Crude Oil Weekly Option - week 2 1007 BW2 5,000 7,000

Brent Crude Oil Weekly Option - week 3 1007 BW3 5,000 7,000

Brent Crude Oil Weekly Option - week 4 1007 BW4 5,000 7,000

Brent Crude Oil Weekly Option - week 5 1007 BW5 5,000 7,000

Table 2.

Contract Title Rulebook

Chapter

CME 

Globex/

CME 

Clearport

Code

Current 

Spot Month 

Position 

Limit

Increased 

Spot Month 

Position 

Limit

Parent Contracts

Brent Crude Oil Penultimate Financial Futures 692 BB 5,000 7,000

Child Contracts

3.5% Fuel Oil Barges FOB Rdam (Platts) Crack 

Spread (1000mt) Futures 141 BOB/BOO 500/5,000 500/7,000

1.0% Fuel Oil Cargoes FOB NWE (Platts) Crack 

Spread (1000mt) Futures 142 FVB 150/5,000 150/7,000

Low Sulphur Gasoil Crack Spread (1000mt) 

Financial Futures 143 GOC 1,500/5,000 1,500/7,000

Argus Gasoline Eurobob Oxy Barges NWE Crack 

Spread (1000mt) Futures 146 EOB 500/5,000 500/7,000

Naphtha Cargoes CIF NWE (Platts) Crack Spread 

(1000mt) Futures 148 NOB/NOO 500/5,000 500/7,000

Naphtha Cargoes CIF NWE (Platts) Crack Spread 

(1000mt) BALMO Futures 149 NBB 500/5,000 500/7,000

Singapore Fuel Oil 380cst (Platts) Brent Crack 

Spread (1000mt) Average Price Option 252 SCO 500/5,000 500/7,000

3.5 % Fuel Oil Barges FOB Rdam (Platts) Crack 

Spread (1000mt) Futures-Style Margined Average 

Price Option

253 BCO 500/5,000 500/7,000

LLS (Argus) vs. Brent BALMO Futures 314 LBB 3,000/5,000 3,000/7,000

LLS (Argus) vs. Brent Financial Futures 317 LLR 3,000/5,000 3,000/7,000

WTI-Brent Crude Oil Spread Option 377 BV/ABV NA/5,000 N/A/7,000

Brent Crude Oil Average Price Option 379 BA 5,000 7,000

Brent Crude Oil BALMO Futures 481 J9/AJ9 5,000 7,000

Gasoline Euro-bob Oxy NWE Barges (Argus) Crack 

Spread Average Price Option 530 GCE 500/5,000 500/7,000

RBOB Gasoline Brent Crack Spread Average Price 

Option 545 RBC 2,000/5,000 2,000/7,000
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Japan C&F Naphtha (Platts) Brent Crack Spread 

Futures 580 JB/AJB 500/5,000 500/7,000

European Naphtha (Platts) Crack Spread BALMO 

Futures 636 43/A43 500/5,000 500/7,000

WTI-Brent Bullet Futures 693 BY/ABY NA/5,000 N/A/7,000

WTI-Brent Financial Futures 694 BK 6,000/5,000 6,000/7,000

Dated Brent (Platts) to Frontline Brent Futures 695 FY/AFY 5,000/5,000 7,000/7,000

Brent Financial Futures 696 CY 5,000 7,000

Brent Crude Oil vs. Dubai Crude Oil (Platts) Futures 697 DB/ADB 5,000 / 

5,000 7,000/5,000

European Low Sulphur Gasoil Brent Crack Spread 

Futures 710 GZ 1,500/5,000 1,500/7,000

European Low Sulphur Gasoil Brent Crack Spread 

Average Price Option 710A 3U/A3U 1,500/5,000 1,500/7,000

European Naphtha (Platts) Crack Spread Futures 713 EN 500/5,000 500/7,000

3.5% Fuel Oil Barges FOB Rdam (Platts) Crack 

Spread Futures 726 FO 500/5,000 500/7,000

1% Fuel Oil Cargoes FOB NWE (Platts) Crack 

Spread Futures 727 FI/AFI 150/5,000 150/7,000

Gasoline Euro-bob Oxy NWE Barges (Argus) Crack 

Spread Futures 732 7K/T7K 500/5,000 500/7,000

Gasoline Euro-bob Oxy NWE Barges (Argus) Crack 

Spread BALMO Futures 733 7I/A7I 500/5,000 500/6,000

3.5% Fuel Oil Cargoes FOB MED (Platts) Crack 

Spread Futures 735 FL 150/5,000 150/7,000

Singapore Fuel Oil 180cst (Platts) Brent Crack 

Spread (1000mt) Futures 749 SF1 400/5,000 400/7,000

Brent Option on Calendar Futures Strip 826 BPC 5,000 7,000

Brent Option on Quarterly Futures Strip 827 BQP 5,000 7,000

Dated Brent (Platts) to Frontline Brent BALMO 

Futures 831 FE/AFE 5,000/5,000 7,000/7,000

Daily Brent Crude Oil Option 870 ODB 5,000 7,000

Mini 3.5% Fuel Oil Barges FOB Rdam (Platts) Crack 

Spread (100mt) Futures 987 MFR 500/5,000 500/7,000

Mini 1% Fuel Oil Cargoes FOB NWE (Platts) Crack 

Spread (100mt) Futures 988 MNS 150/5,000 150/7,000

Mini Brent Financial Futures 992 MBC 5,000 7,000

Gasoline Eurobob Non-Oxy NWE Barges (Argus) 

Crack Spread Futures 1029 GNS 150/5,000 150/7,000

Brent (Euro Denominated) Financial Futures 1055 IBE 5,000 7,000

Jet Fuel Cargoes CIF NWE (Platts) Crack Spread 

Futures 1056 JFC 300/5,000 300/7,000

Jet Fuel Cargoes CIF NWE (Platts) Crack Spread 

BALMO Futures 1057 JFB 300/5,000 300/7,000

European Low Sulphur Gasoil Brent Crack Spread 

BALMO Futures 1060 ESB 1,500/5,000 1,500/7,000
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Low Sulphur Gasoil Crack Spread (1000mt) BALMO 

Financial Futures 1061 ESS 1,500/5,000 1,500/7,000

Singapore Mogas 92 Unleaded (Platts) Brent Crack 

Spread Futures 1085 1NB/DN1 1,000/5,000 1,000/7,000

Brent Crude Oil vs. Dubai Crude Oil (Platts) BALMO 

Futures 1087 BDB 5,000 / 5,000 7,000/5,000

Singapore Fuel Oil 180 cst (Platts) 6.35 Brent Crack 

Spread Futures 1093 STR 400/5,000 400/7,000

RBOB Gasoline Brent Crack Spread Futures 1096 RBB 2,000/5,000 2,000/7,000

NY Harbor ULSD Brent Crack Spread Futures 1097 HOB 2,000/5,000 2,000/7,000

Gulf Coast HSFO (Platts) Brent Crack Spread 

Futures 1098 GCI 1,000/5,000 1,000/7,000

New York Harbor ULSD Brent Crack Spread 

Average Price Option 1099 HBO 2000/5000 2,000/7,000

Singapore Fuel Oil 380cst (Platts) Brent Crack 

Spread (1000mt) Futures 1110 SF3 500/5,000 500/7,000

Brent (Singapore Marker) Futures 1122 IBS 5,000 7,000

LLS (Argus) vs. Brent Crude Oil Average Price 

Option 1129 LRO 3,000/5,000 3,000/7,000

Mini Argus Gasoline Eurobob Oxy Barges NWE 

Crack Spread (100mt) Futures 1175 MAC 500/5,000 500/7,000

Gasoline 10 ppm FOB MED (Platts) Crack Spread 

Futures 1198 GKS 100/5,000 100/7,000

3.5% Fuel Oil Barges FOB Rdam (Platts) Crack 

Spread BALMO Futures 1204 FCB 500/5,000 500/7,000

3.5% Fuel Oil Cargoes FOB MED (Platts) Crack 

Spread BALMO Futures 1205 FOA 150/5,000 150/7,000

WTI Trade Month Financial Futures 1231 TBK 3,000/5,000 3,000/7,000

WTI Houston (Argus) vs. Brent Trade Month Futures 1311 WHB 3,000/5,000 3,000/7,000

WTI Houston (Argus) vs. Brent Calendar Month 

Futures 1312 WBR 3,000/5,000 3,000/7,000

WTI Midland (Argus) vs. Brent Trade Month Futures 1313 WMB 3,000/5,000 3,000/7,000

WTI Midland (Argus) vs. Brent Calendar Month 

Futures 1314 WMR 3,000/5,000 3,000/7,000

Mars (Argus) vs. Brent Trade Month Futures 1319 MBM 3,000/5,000 3,000/7,000

Mars (Argus) vs. Brent Calendar Month Futures 1320 MAB 3,000/5,000 3,000/7,000
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Table 3.

Contract Title Rulebook

Chapter

CME 

Globex/

CME 

Clearport

Code

Current 

Spot Month 

Position 

Limit

Increased 

Spot Month 

Position Limit

Parent Contract

Dated Brent (Platts) Financial Futures 647 UB 5,000 7,000

Child Contracts

Urals Med (Platts) vs. Dated Brent (Platts) CFD 

Futures* 226 UMD 1,500/5,000 1,500/7,000

Urals North (Platts) vs. Dated Brent (Platts) CFD 

Futures* 227 UNS 4,000/5,000 4,000/7,000

CPC Blend CIF Med Cargoes (Platts) vs. Dated 

Brent (Platts) Futures 228 CPD 4,000/5,000 4,000/7,000

Dated Brent (Platts) vs. Brent Second Month 

(BFOE) (Platts) Daily CFD Futures 316 59/A59 5,000/5,000 7,000/7,000

Dated Brent (Platts) vs. Brent First Month (BFOE) 

(Platts) Daily CFD Futures 699 6W/A6W 5,000/5,000 7,000/7,000

Dated Brent (Platts) Daily Futures 714 7G/A7G 5,000 7,000

WTI vs. Dated Brent (Platts) Calendar Month 

Futures 813 CLD 6,000/5,000 6,000/7,000

WTI vs. Dated Brent (Platts) Average Price Option 821 CLR 6,000/5,000 6,000/7,000

Dated Brent (Platts) to Frontline Brent BALMO 

Futures 831 FE/AFE 5,000/5,000 7,000/7,000

Mini Dated Brent (Platts) Financial Futures 993 MDB 5,000 7,000

Dated Brent (Platts) Average Price Option 1078 DBP 5,000 7,000

Dated Brent (Platts) BALMO Futures 1193 DBB 5,000 7,000

Urals Med (Platts) vs. Dated Brent (Platts) CFD 

BALMO Futures* 1214 UMB 1,500/5,000 1,500/7,000

Urals North (Platts) vs. Dated Brent (Platts) CFD 

BALMO Futures* 1215 UNB 4,000/5,000 4,000/7,000

CPC Blend CIF Med Cargoes (Platts) vs. Dated 

Brent (Platts) BALMO Futures 1216 CCM 4,000/5,000 4,000/7,000

*Contracts are temporarily suspended until further notice. Please see NYMEX Submission No, 22-554 dated December 16, 2022.

The increased spot month limits for the Brent Crude Oil Last Day Financial Futures contract (Code: BZ)

and the related Child Contracts and the Brent Crude Oil Penultimate Financial Futures and the related Child 

Contracts (Table 1. and Table 2., respectively) shall become effective commencing with the August 2023

contract month (the spot month) and beyond. The increased spot month position limits for the Dated Brent 

(Platts) Financial Futures contract (Code: UB) and the related Child Contacts (Table 3.) shall become 

effective commencing with the June 2023 contract month (the spot month) and beyond.

The Position Limit, Position Accountability and Reportable Level Table and Header Notes located in the 

Interpretations and Special Notices Section of Chapter 5 of the NYMEX Rulebook is being amended to 

reflect the changes in the position limits for the Contracts (see Exhibit A: Position Limit, Position 

Accountability, and Reportable Level Table in Chapter 5 of the NYMEX Rulebook (attached under a 

separate cover.)
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

6

Exhibit B below provides an updated the cash market overview and analysis of deliverable supply for the 

Parent Contracts. 

The Exchange reviewed the designated contract market core principles (“Core Principles”) as set forth in 

the Commodity Exchange Act (“Act” or “CEA”) and identified that the Rule Amendments may have some 

bearing on the following Core Principles:

• Contract Not Readily Susceptible to Manipulation: Due to the liquidity and robustness in the 

underlying physical market, the contracts are not readily susceptible to manipulation.

• Position Limitations or Accountability: The speculative position limits for the Contracts as 

demonstrated in this submission are consistent with the Commission’s guidance. 

• Availability of General Information: Information regarding the Rule Amendments will be 

disseminated to the marketplace via a Market Surveillance Notice which will also be posted on the 

CME Group website.

Pursuant to Section 5c(c) of the Act and CFTC Regulations 40.6(a), the Exchange hereby certifies that the 

Rule Amendments comply with the Act, including regulations under the Act. There were no substantive 

opposing views to the proposal.

The Exchange certifies that this submission has been concurrently posted on the CME Group website at

http://www.cmegroup.com/market-regulation/rule-filings.html.

Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200 

or via e-mail at CMEGSubmissionInquiry@cmegroup.com.

Sincerely, 

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A: Position Limits, Position Accountability and Reportable Level Table in Chapter

 5 of the NYMEX Rulebook (attached under separate cover)

Exhibit B: Cash Market Overview and Analysis of Deliverable Supply
7

Exhibit A

NYMEX Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limits, Position Accountability and Reportable Level Table 

(attached under separate cover)
8

Exhibit B

Cash Market Overview and Analysis of Deliverable Supply

New York Mercantile Exchange Inc. (“NYMEX” or Exchange) currently avails for trading and clearing a 

series of Brent crude oil futures contracts. The Exchange has reviewed the underlying deliverable supply 

for the core Parent contracts, into which related Child Contracts aggregate.

In June 2022, S&P Global Platts announced changes1 with support from the industry to amend the delivery 

terms of Brent to include the US Gulf coast crude oil stream WTI Midland from the June 2023 cash delivery 

month. Crucially, all crude oil streams that underpin the Brent contract will continue to reflect a FOB loading 

with associated freight adjustments to be applied to all grades that are sold on a CIF Rotterdam basis. Each 

grade will be assessed on a freight netback basis to a “synthetic” fob North Sea basis and in line with how 

they currently assess the other grades in the Brent basket, the cheapest grade to deliver on this basis will 

set the value of Dated Brent. Cargo sizes are also being amended to 700,000 barrels which better reflects 

cargoes that are exported out of the US Gulf and aligns more closely with the trend towards larger vessels 

trading in the Atlantic. 

The increased limits shall commence with the July 2023 contract month (the spot month) and beyond for 

NYMEX’s Brent Crude Oil Last Day Financial Futures (Code BZ and rulebook chapter 698) and Brent 

Crude Oil Penultimate Financial Futures (Code BB and rulebook chapter 692). The increased limits shall 

commence with the May 2023 contract month and beyond for NYMEX’s Dated Brent (Platts) Financial 

Futures (Code UB and rulebook chapter 647).

The addition of Midland crude oil allows for the possibility of higher flows into the Brent market and therefore 

the Exchange believes that an increase of the spot month position is warranted.

The Exchange recommends the following: 

• Increase the spot month position limit of the Parent Contracts: Brent Last Day Financial Futures

(Code BZ), Brent Crude Oil Penultimate Financial Futures (Code BB) and the Dated Brent (Platts) 

Financial Futures (commodity code UB) from 5,000 contracts to 7,000 contracts. 

• Adjust the position limits of the Child Contracts as detailed in Exhibit B provided under separate 

cover. 

The North Sea market is comprised of a series of smaller oil fields in the UK and Norwegian North oil 

sectors. Each of the “satellite fields” connect into the large production systems such as Brent, Forties, 

Oseberg or Ekofisk. Norwegian crude oil Troll was added to the basket of Brent deliverable streams from 

January 2018.

2

The most important streams in the North Sea are Brent, Forties, Oseberg, Ekofisk and Troll. Each stream 

has a main operator that is responsible for the day to the day control of the operations including the 

scheduling of the cargoes based on the production from each of the smaller producing fields. The Brent, 

Forties, Oseberg, Ekofisk and Troll fields collectively known as BFOET underpins the Brent complex. These 

crude grades make up the trading of Dated Brent – the international crude oil physical benchmark price. 

Brent and Forties lie in the UK sector of the North Sea with Ekofisk, Oseberg and Troll in the Norwegian 

sector.

Production of BFOET has been declining over the past few years due to the cost of drilling and the returns 

on investment compared to other regions in the world. This was one of the main reasons why the Troll 

crude stream was added to the Brent basket. All the Brent grades are segregated blends delivered at 

different locations in the North Sea, and each can be substituted by the seller in the BFOET cash market 

(“the forward market”).

1 S&P Global Platts includes WTI Midland into Brent https://www.spglobal.com/commodityinsights/en/our-methodology/subscribernotes/060822-platts-to-reflect-700000-barrel-cargo-sizes-in-dated-brent-cash-bfoe-from-june-2023

2 Platts press release – Troll into Brent basket https://www.platts.com/pressreleases/2017/022017
9

In the Brent market there are a series of linked derivatives markets such as the short-term weekly Contract 

for Difference or CFDs and the longer term dated to frontline or DFL contracts. The exchange of futures for 

physical or EFP is the direct link between the cash and futures market and the values will tend to fluctuate 

depending on the relative strength or weakness in the physical Brent market. This mix of derivatives 

markets allows for different price risks to be fully hedged in liquid markets and supported the further 

development of dated Brent as a benchmark price The cash BFOET (including WTI Midland) is assessed 

on a daily basis and is assessed at more regular intervals on the expiry day of the futures as the cash 

market trades for full cargo shipments forms the basis of the Brent index, which is used to cash settle the 

futures contracts in the Brent market. 

Cash Brent is the core of the forward market. Cargoes are traded as monthly contracts and do not have 

specific loading dates attached to them. In other words, the cargoes represent the value of a cash Brent for 

Brent, Forties, Oseberg, Ekofisk, Troll and the soon to be added WTI Midland for a specific delivery month. 

The seller has the right to nominate to the buyer of a forward cash BFOET cargo, one of the cargoes within 

the Brent basket including WTI Midland on a month ahead basis. At this point, cargoes are traded with 

loading dates attached and therefore, are traded as a dated Brent or dated BFOET (plus Midland cargo). 

The inclusion of WTI Midland has enabled seller’s option to deliver the grade under the terms of the forward 

contract. 

The cash Brent market is essentially a reseller market where buyers either: resell the oil to someone else; 

transport the cargo and resell it later; or transport the cargo to consume it. This creates chains of contracts, 

sometimes referred to as “chaining.” Typically, there is a chronology of sales and purchases of crude oil in 

the Brent cash market that starts with a sale from the equity producer in a spot market transaction and 

finishes with a purchase by an end-user to consume the crude oil. Equity producers typically utilize the 

robust spot market to sell their BFOET production at the cargo loading terminal, as a “Free on Board” (FOB) 

delivery. Most of the sales in the Brent market are conducted as spot-market transactions; in fact, Brent 

cargoes in the physical market are estimated to trade 10 or more times. Traders play an active role in the 

Brent market as middlemen with the expressed responsibility of reselling the oil. Further, the refiners 

typically rely on the spot market to purchase Brent crude oil, because there is vibrant liquidity in the spot 

market, and hence, the refiners have developed a preference for short-term spot market purchases, rather 

than long-term contracts. This applies to refiners affiliated with equity producers as well as those not 

affiliated; this is the standard practice, established and institutionalized since the inception of the Brent 

market in 1988.

To account for the nomination of WTI Midland crude oil into the Brent market, the size of each cargo 

assessed has been increased from 600,000 to 700,000 barrels to reflect the growing volume of export 

cargoes from the US Gulf coast. 

In the cash Brent forward market, precise loading dates are not provided with cargoes labelled as June 

BFOET including WTI Midland for example. However, the commercial contracts, which are standardized, 

underlying the forward market to specify the minimum notification a seller must provide to a buyer is 10

days, but the standard range is between 10 days and month ahead. After a holder of a BFOET including 

WTI Midland forward notifies the buyer as to the loading date and which stream is being loaded, the contract 

is now considered to have moved from the forward market to the Dated Brent market, historically this 

moment is referred to as the cargo going “wet” in other words it has loading dates attached to it and can 

therefore be sold as a Dated Brent cargo.

Quality adjustments ensure that all the North Sea grades (including WTI Midland) can be delivered to a 

buyer under the standardized forward contract. There are no plans at this point to include a quality 

adjustment for WTI Midland crude oil. The process of moving from a forward to the physical market where 

a forward cargo becomes a physical North Sea Dated Brent cargo happens as follows:

1. Refiners, producers, and traders enter into a forward agreement for a specific month.
10

2. For the North Sea grades, the relevant operator of each field will announce the loading programs 

for each contract month a few days prior to the beginning of the month (one month prior) to each 

loading month (i.e., cargoes in the delivery month start to load).

3. For example, for a June 2023 contract month, the field operators will announce the loading 

schedules a few days prior to the beginning of April 2023. The equity producers will begin the chain 

of nominating cargoes to buyers (or they can decide to keep the cargo). A buyer benefiting from a 

nomination can keep the cargo or pass it to another player with whom it has another forward 

contract. 

4. Buyers trade the cash BFOET plus WTI Midland on the basis that they will accept any cargo as 

nominated, provided it is done so within the agreed notice period (10 days to month ahead) by 

4:00pm London time. Any cargo not nominated by this time will remain with the participant last 

notified. After 4:00pm London time, the cargo becomes wet physical with precise loading dates 

attached.

5. Cargoes that are wet physical will be sold as a Dated Brent cargo with cargo loading dates between 

10 days and month ahead (forward).

6. Cargoes of WTI Midland are included as one of the delivery grades into the forward market from 

the June 2023 cash month. Cargoes that are nominated on a CIF delivered Rotterdam basis will 

have a Freight Adjustment Factor (FAF) applied which allows CIF and FOB cargoes to play an 

equivalent role in the Dated market. Since WTI Midland loads in the US Gulf Coast, Platts will 

determine the value of an FOB North Sea cargo of the grade based on 80% of the freight costs for 

a cargo loading on equivalent dates in the North Sea. For WTI Midland, this FAF will be applied to 

the sum of the cargo’s freight rate from an average of the five established Dated Brent North Sea

terminals to Rotterdam and associated port fees. 

7. To accommodate the delivery of WTI Midland, S&P Global Platts are in discussions with some of 

the terminal operators in the WTI Midland crude system to include them into its Dated Brent and 

cash BFOE market on close assessment process for June 2023. Where a terminal is included, a 

seller would nominate WTI Midland meeting the Platts specification loaded from a specific terminal 

for inclusion into the Dated Brent/cash BFOET assessment starting with the June 2023 delivery 

period. This also mirrors the same process that occurs at all the North Sea terminals. The inclusion 

of a US terminal is not a pre-requisite to enable the delivery of WTI Midland into the Brent delivery 

process. 

The terms which govern the trading in the cash Brent contract are based on the General Terms and 

Conditions (GT&Cs) from Shell Supply and Trading. The terms are referred to under SUKO 90 as Stasco 

BFOETM 2022 which become effective from the June 2023 delivery month. The revised terms allow for the 

delivery of WTI Midland under the forward contract.

3

The quality of the Forties crude oil stream changed in 2007 when a sour crude Buzzard began flowing into 

the blend that was delivered to the terminal. Buzzard remains the largest field within the forties pipeline 

system (FPS). Buzzard crude oil is a medium gravity, sour crude oil with an API of 32.6° and a sulphur 

content of 1.44% therefore the yield is very similar to that of Urals crude. INEOS FPS produces a monthly 

blend quality on a forward basis as laid out in the table below. They also provide indications to the market 

about the volume of forties crude oil that is expected to be made available on receipt of the data from all of 

the individual field operators within the FPS (see table below). 

Within the North Sea and beyond, grades are traded as a differential to Dated Brent or as a differential to 

cash Brent (BFOET). Each of the crude oil grades within BFOET are not the same quality, several 

adjustments have been made. In 2007 Platts included a sulphur de-escalator for Forties crude oil within its 

Dated Brent and Brent related instruments. The change was made in response to inclusion of sour crude 

Buzzard into the Forties pipeline system (see chart 1). The de-escalator of price is applied to deliveries 

above a minimum sulphur level of 0.6%. 

3 Shell https://www.shell.com/business-customers/trading-and-supply/trading/general-trading-terms-andconditions/_jcr_content/root/main/section/simple/call_to_action_18323/links/item2.stream/1677248183140/6ca2dac0476af0ded694d

adabc549fe4d9022b8f/stasco-bfoetm-2022-version-1.0.pdf
11

Every month, S&P Global establishes a USD and cents value de-escalator for every 0.1% of sulphur above 

the maximum level 0.6% (for Forties crude oil). The value of the de-escalator is established by reviewing 

evidence of significant and sustained changes in the crude market, as affected by refined products (crack 

spread values of both heavy fuel oils and light ends) and other relevant factors that affect the economics of 

Forties crude.

Table 1: The volume of Buzzard crude in the Forties Blend Estimates4(updated April 2023)

Date Buzzard percentage in Forties Forties Blend unstabilised 

crude oil (kbd)

April 2023 22.2% 219.8

May 2023 18.5% 206.4

June 2023 24.1% 225.3

July 2023 22.6% 231.4

The inclusion of WTI Midland into the Brent basket by S&P Global Platts has served to shore up production 

in the Brent contract with all the grades assessed on a fob basis. WTI Midland is generally offered on a 

delivered basis Rotterdam, and it is netted back to a fob basis which enables Midland to be valued alongside 

all the Brent grades on equal pricing terms. It also places WTI Midland on an equivalent fob North Sea 

pricing basis. The transatlantic freight is deducted from the delivered price in Rotterdam and North Sea 

freight is added instead. 

The latest data from the U.S Energy Information Administration (EIA) shows that the U.S produced 11.9 

million barrels per day in 2022. Forecasts show that total volumes could continue to rise and break new 

records in both 2023 and 2024. Much of the production growth increase is coming from the Permian basin 

with total production of 5.7 million barrels per day in 2022 and a further increase of 470,000 barrels per day 

in 20235. U.S crude exports reached 3.6 million barrels per day in 2022 which is around 640,000 barrels 

more than the previous record set in 2022.

6 The volume of US crude oil exported to Europe reached just 

under 1.51 million barrels per day in 2022 and of this around 563,000 barrels per day was exported to 

Northwest Europe.

Bloomberg LP (“Bloomberg”) provides details of the BFOET loading programs for the grades that comprise 

the Brent market. Based on the most recent 3-year average of the Bloomberg data on BFOET loadings 

(from December 2019 to November 2022). To provide a volume of exports to northwest Europe, the 

Exchange has used data from the US EIA for Belgium, France, Germany, and the Netherlands. A haircut 

of 50% has been applied to the US crude oil export volumes for France as the data source does not split 

out the volumes being imported into northwest Europe and the Mediterranean. Therefore, the Exchange 

has made a conservative assumption that around half the volumes are exported to northwest Europe. 

Based on the data, total loadings of Brent (BFOET) crude oil were approximately 785,370 barrels per day, 

which is equivalent to approximately 23.56 million barrels per month over the 3-year average period to 

November 2022. Looking at the U.S crude oil export data to Northwest Europe including Rotterdam, the 

deliverable volume for U.S crude into the region averaged 478,000 barrels per day (including the adjustment 

of 50% to the French import data) which equates to 14.34 million barrels per month. To account for WTI 

Midland deliveries only, the total volume of US exports has been reduced by 20% to derive a net WTI 

Midland import figure of 382,400 barrels per day or 11.472 million barrels per month. 

The Bloomberg data, in Exhibit A, shows the loaded volume of crude oil for Brent, Forties, Oseberg, Ekofisk 

and Troll (collectively known as BFOET). The volume of “net” delivered WTI Midland has also been added 

to this table. 

4

Ineos Forties Pipeline System – Forties Blend Assay https://www.ineos.com/businesses/ineos-fps/business/forties-blend-quality/

5 U.S EIA January 2023 – US crude production 

https://www.eia.gov/todayinenergy/detail.php?id=55299#:~:text=In%202022%2C%20U.S.%20crude%20oil,our%20forecast%20gro

wth%20in%20production

6 https://www.eia.gov/todayinenergy/detail.php?id=56020
12

The Brent market is priced in USD and cents per barrel. There are two significant Futures contracts based 

on trading activity in the forward BFOE market. NYMEX and ICE Futures Europe offer trading of Brent 

Futures on their respective Exchanges.

The cash market is traded in partials of 100,000 barrels or larger full-size cargo transactions of 700,000 

barrels. Physical convergence can occur through the partials market mechanism upon the trading of seven

parcels with the same counterparty in a single delivery month. If physical convergence does not occur,

trades are booked out at the prevailing cash value on the last day of trading day of the cash market for the 

specific delivery month (this is currently month ahead prior to the 1st loading date of the delivery month). 

Full sized physical cargo BFOET trades will be used by ICE in the establishment of the Brent Index which 

is the mechanism by which the futures open on expiry are cash settled.

7 The ICE Brent Index is a regulated 

benchmark under the UK Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 

2019.

The Dated Brent or Dated BFOET, as it is sometimes referred, reflects the value of the cheapest of Brent, 

Forties, Oseberg, Ekofisk and Troll (and WTI Midland), of 700,000 barrels, loading 10 days to Month Ahead. 

Dated Brent is estimated to price around 63% of the global exports.

8 The remaining crude oil exports are 

priced off WTI, Dubai/Oman and Sour crude basket ASCI. 

7 https://www.theice.com/publicdocs/futures/ICE_Futures_Europe_Brent_Index.pdf

8

https://www.theice.com/global-crude-benchmarks-brent-sets-the-standard
13

Analysis of Deliverable Supply

Appendix C to part 38 of the Commission’s regulations defines deliverable supply as “the quantity of the 

commodity meeting the contract’s delivery specifications that can reasonably be expected to be readily 

available to short traders and saleable by long traders at its market value in normal cash marketing channels 

at the derivative contract’s delivery points during the specified delivery period, barring abnormal movement 

in interstate commerce.”

The basis of the analysis in the Brent market is BFOET loadings in the North Sea and the volume of “net” 

WTI Midland crude oil exports to northwest Europe. The Exchange determined that the volume of loaded 

barrels of BFOE crude oil from Brent, Forties, Oseberg, Ekofisk and Troll best meets the definition of supply 

readily available for delivery. To account for the WTI Midland crude oil deliveries, the Exchange has looked 

at the published monthly crude oil export volumes by destination data from the U.S Energy Information 

Administration (EIA). For the U.S export data the imports into Belgium, France, Germany, and the 

Netherlands has been used. A haircut of 50% has been applied to the US crude oil export volumes for 

France as the data source does not split out the volumes being imported into northwest Europe and the 

Mediterranean. Therefore, the Exchange has made a conservative assumption that around half the volumes 

are exported to northwest Europe. 

To account for WTI Midland, the Exchange has applied a haircut of 20% to the total export volumes which 

is based on further analysis of the WTI exports with the market and on some of the shipping data which we 

have been provided from C-Flow. As the data is proprietary to S&P Global, the Exchange is not able to 

provide this data.

Based on the total volume of exports since May 2022, the average volume of WTI Midland crude oil as a 

percentage of total U.S crude oil exports was 80%. Over the three-year average period to November 2022, 

total US exports of WTI Midland delivered to northwest Europe after applying the haircut to the total volume 

equated to 382,400 barrels per day or 11.472 million barrels per month. This equates to 11,472 contract 

equivalents.

In addition, the Exchange has reduced the deliverable supply of Forties to account for the long-term 

commitment for crude oil purchases by the Grangemouth refinery. The Grangemouth oil refinery is located 

close to the delivery point of the Forties pipeline and volumes from the outer fields are connected directly 

via a series of pipelines to the refinery.

9 Based on the most recent 3-year average of the Bloomberg data 

on BFOET loadings (December 2019 to November 2022), total loadings of Brent (BFOET) crude oil were

approximately 785,370 barrels per day, which is equivalent to approximately 23.56 million barrels per 

month, or 23,560 contract equivalents (contract size: 1,000 barrels). Further, to account for the crude oil 

purchases by the Grangemouth refinery, the deliverable supply (using the three-year average BFOET

figures) would be reduced by 3 million barrels10 per month.

11 Therefore, the total deliverable supply of 

BFOET 20.560 million barrels per month or 20,560 contract equivalents. When the total volume of WTI 

Midland is added, the total volume of deliverable supply has been calculated as 32.032 million barrels or 

32,032 contract equivalents.

Based on the revised and higher deliverable supply in the Brent contract, the data supports an increased 

spot month limit. The Exchange proposes to increase the spot month position limit from 5,000 contracts to 

7,000 contracts which represents a total of 21.85% of deliverable supply. 

A breakdown of the data is shown in Exhibit A.

9 http://www.bp.com/en/global/forties-pipeline/about_fps/Technical/technical_information.html - BP Forties Pipeline system

10 UKPia – Petroineos Grangemouth Refinery capacity http://www.ukpia.com/industry_information/refining-and-ukrefineries/Petroineos-grangemouth-refinery.aspx

11 Market suggests 50% of the processing capacity for Grangemouth is Forties therefore we have reduced the deliverable supply of 

Forties by 3-million barrels per month (the full capacity of the refinery is 6 million barrels per month).
14

Exhibit A. 

North Sea crude oil loadings for Brent, Forties, Oseberg, Ekofisk and Troll. For the total U.S crude data, 

this represents the total volume of crude oil exported from the U.S to northwest Europe. The “net” WTI 

Midland represents the 20% haircut volume of the total U.S crude exports to northwest Europe. All volumes 

are shown in thousand barrels per day. 

The data shown is in barrels per day and to calculate a barrels per month figure, the exchange has used 

a total number of 30 days per month.

The data has been split by field to show the underlying volume for each constitute grade going into the 

total BFOET volume by month plus the volume of WTI Midland delivered to Northwest Europe. 

Brent Forties Oseberg Ekofisk Troll

Total US 

crude 

exported 

to NWE

“Net” WTI 

Midland

Total 

Deliverable 

Supply

Dec-19 77,419 367,742 135,484 232,258 145,161 584,000 467,200 1,425,264

Jan-20 58,065 367,742 96,774 270,968 185,484 374,000 299,200 1,278,233

Feb-20 62,069 372,414 103,448 268,966 144,828 633,000 506,400 1,458,125

Mar-20 96,774 348,387 96,774 232,258 193,548 495,500 396,400 1,364,141

Apr-20 20,000 320,000 100,000 260,000 100,000 414,500 331,600 1,131,600

May-20 58,065 309,677 96,774 270,968 174,194 288,500 230,800 1,140,478

Jun-20 60,000 300,000 120,000 280,000 120,000 268,000 214,400 1,094,400

Jul-20 96,774 329,032 96,774 212,903 135,484 539,000 431,200 1,302,167

Aug-20 58,065 251,613 116,129 270,968 135,484 572,000 457,600 1,289,859

Sep-20 60,000 220,000 100,000 260,000 80,000 436,000 348,800 1,068,800

Oct-20 77,419 290,323 96,774 232,258 135,484 410,000 328,000 1,160,258

Nov-20 60,000 280,000 80,000 220,000 140,000 455,000 364,000 1,144,000

Dec-20 77,419 270,968 116,129 290,323 135,484 364,500 291,600 1,181,923

Jan-21 77,419 270,968 96,774 270,968 135,484 220,500 176,400 1,028,013

Feb-21 64,286 278,571 85,714 257,143 150,000 621,000 496,800 1,332,514

Mar-21 58,065 251,613 96,774 251,613 154,839 288,000 230,400 1,043,304

Apr-21 60,000 220,000 80,000 260,000 80,000 551,000 440,800 1,140,800

May-21 38,710 174,194 96,774 270,968 96,774 377,000 301,600 979,020

Jun-21 80,000 20,000 100,000 200,000 160,000 492,000 393,600 953,600

Jul-21 38,710 251,613 96,774 251,613 135,484 409,000 327,200 1,101,394

Aug-21 58,065 212,903 77,419 251,613 135,484 376,500 301,200 1,036,684

Sep-21 60,000 200,000 80,000 240,000 160,000 501,500 401,200 1,141,200

Oct-21 38,710 290,323 96,774 251,613 154,839 462,000 369,600 1,201,859

Nov-21 40,000 260,000 80,000 260,000 160,000 456,000 364,800 1,164,800

Dec-21 38,710 251,613 96,774 270,968 96,774 517,000 413,600 1,168,439

Jan-22 58,065 270,968 96,774 232,258 154,839 344,000 275,200 1,088,104

Feb-22 42,857 235,714 64,286 214,286 150,000 455,500 364,400 1,071,543

Mar-22 58,065 251,613 96,774 232,258 135,484 460,500 368,400 1,142,594

Apr-22 40,000 260,000 80,000 200,000 100,000 615,500 492,400 1,172,400
15

May-22 58,065 232,258 96,774 212,903 116,129 538,000 430,400 1,146,529

Jun-22 40,000 240,000 80,000 40,000 120,000 648,000 518,400 1,038,400

Jul-22 38,710 193,548 96,774 232,258 154,839 677,500 542,000 1,258,129

Aug-22 38,710 212,903 77,419 309,677 135,484 543,500 434,800 1,208,993

Sep-22 20,000 220,000 40,000 220,000 110,000 574,000 459,200 1,069,200

Oct-22 19,355 212,903 96,774 270,968 116,129 610,500 488,400 1,204,529

Nov-22 80,000 200,000 80,033 260,000 180,000 621,500 497,200 1,297,233

3-year 

average

55,794 256,656 92,901 243,416 136,604 477,611 382,089 1,167,459

Source: Bloomberg data for the North Sea data and U.S EIA for the WTI export data