SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-446

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): 10/27/23 Filing Description: Initial Listing of the WTI-Brent 

Crude Oil Cross-Month Spread Option – (1-Month) Contract

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:

Rule Numbers: 
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

1

Timothy Elliott

Managing Director and Chief Regulatory Counsel

Legal Department

October 27, 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 40.2(a) Certification. Initial Listing of the WTI-Brent Crude Oil 

Cross-Month Spread Option - (1 Month) Contract.

NYMEX Submission No. 23-446

Dear Mr. Kirkpatrick:

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

Trading Commission (“CFTC” or “Commission”) the initial listing of the WTI-Brent Crude Oil Cross-Month 

Spread Option – (1 Month) contract (the “Contract”) for trading on the CME Globex electronic trading 

platform (“CME Globex”) and for submission for clearing via CME ClearPort, effective Sunday, December 

10, 2023, for trade date Monday, December 11, 2023 as described in the table below. 

Contract Title WTI-Brent Crude Oil Cross-Month Spread Option – (1 Month)

Commodity Code BVX

Rulebook 

Chapter 380

Underlying 

Futures 

Contracts / 

Commodity 

Codes

Light Sweet Crude Oil Futures / CL 

Brent Crude Oil Last Day Financial Futures / BZ

Contract Size 1,000 barrels

Price Quotation US dollars and cents per barrel

Minimum Price 

Fluctuation

$0.01

Value per Tick $10.00 

Option Exercise 

Style European – financially settled

Listing Schedule

Monthly contracts listed for the current year and the next 3 calendar years. List 

monthly contracts for a new calendar year following the termination of trading 

in the December contract of the current year. The Contract month for BVX will 

align with the underlying CL Contract Month.

Initial Listed 

Month January 2024
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

2

Strike Price 

Increments

Minimum 10 strikes at $0.25 per barrel increment above and below the at-themoney strike plus dynamic strikes at $0.25 per barrel increment for the nearest 

36 months. Dynamic strikes only at $0.25 per barrel increment for months 

37+.

Block Trade 

Minimum 

Threshold

5 contracts - subject to a 15-minute reporting window

Termination of 

Trading

Trading terminates 4 business day before the 25th calendar day of the month 

prior to the contract month. If the 25th calendar day is not a business day, 

trading terminates 5 business days before the 25th calendar day of the month 

prior to the contract month.

Trading and 

Clearing Hours

CME Globex Pre-Open: Sunday 4:00 p.m. - 5:00 p.m. Central Time / CT 

Monday - Thursday 4:45 p.m. - 5:00 p.m. CT

CME Globex: Sunday - Friday 5:00 p.m. CT with a daily maintenance period 

from 4:00 p.m. - 5:00 p.m. CT

CME ClearPort: Sunday - Friday 5:00 p.m. - 4:00 p.m. CT with no reporting 

Monday - Thursday from 4:00 p.m. - 5:00 p.m. CT

The Contract is a referenced contract and will be subject to federal position limits during the spot month. 

The core referenced futures contract is the Light Sweet Crude Oil Futures Contract (Commodity Code: CL; 

Rulebook Chapter 200).

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

the Commodity Exchange Act (“CEA” or “Act”) and identified that the Contract may have some bearing on 

the following Core Principles:

• Compliance with Rules: Trading in the Contract will be subject to the rules in Rulebook Chapter 

4 which includes prohibitions against fraudulent, noncompetitive, unfair and abusive practices. 

Additionally, trading in the Contract will also be subject to the full panoply of trade practice rules, 

the majority of which are contained in Chapter 5 and Chapter 8 of the Rulebook. As with all 

products listed for trading on one of CME Group’s designated contract markets, activity in the new 

product will be subject to extensive monitoring and surveillance by CME Group’s Market Regulation 

Department. The Market Regulation Department has the authority to exercise its investigatory and 

enforcement power where potential rule violations are identified.

• Contract Not Readily Subject to Manipulation: The Contract is not readily susceptible to 

manipulation and are based on the liquidity and robustness of the underlying cash market.

• Prevention of Market Disruption: Trading in the Contract will be subject to the Rules of NYMEX

which include prohibitions on manipulation, price distortion and disruptions of the delivery or cashsettlement process. As with all products listed for trading on one of CME Group’s designated 

contract markets, activity in the new products will be subject to extensive monitoring and 

surveillance by CME Group’s Market Regulation Department.

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

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

• Availability of General Information: The Exchange will publish on its website information 

regarding contract specifications, terms and conditions, as well as daily trading volume, open 

interest and price information for the Contract.

• Daily Publication of Trading Information: The Exchange will publish information contract trading 

volumes, open interest levels, and price information daily on its website and through quote vendors 

for the Contract.
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

3

• Execution of Transactions: The Contract will be listed for trading on the CME Globex electronic 

trading and for clearing through CME ClearPort. The CME Globex trading venue provides for 

competitive and open execution of transactions. CME Globex affords the benefits of reliability and 

global connectivity.

• Trade Information: All required trade information for the Contract will be included in the audit trail 

and is sufficient for the Market Regulation Department to monitor for market abuse.

• Financial Integrity of Contract: The Contract will be cleared by the CME Clearing House which 

is a registered derivatives clearing organization with the Commission and is subject to all 

Commission regulations related thereto.

• Protection of Market Participants: NYMEX Rulebook Chapters 4 and 5 contain multiple 

prohibitions precluding intermediaries from disadvantaging their customers. These rules apply to 

trading on all of the Exchange’s competitive trading venues and will be applicable to transactions 

in this Contract.

• Disciplinary Procedures: Chapter 4 of the Rulebook contains provisions that allow the Exchange 

to discipline, suspend or expel members or market participants that violate the rules. Trading in 

the Contract will be subject to Chapter 4, and the Market Regulation Department has the authority 

to exercise its enforcement power in the event rule violations in this Contract is identified.

• Dispute Resolution: Disputes with respect to trading in the Contract will be subject to the 

arbitration provisions set forth in Chapter 6 of the Rulebook. The rules in Chapter 6 allow all 

nonmembers to submit a claim for financial losses resulting from transactions on the Exchange to 

arbitration. A member named as a respondent in a claim submitted by a nonmember is required 

to participate in the arbitration pursuant to the rules in Chapter 6. Additionally, the Exchange 

requires that members resolve all disputes concerning transactions on the Exchange via arbitration.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.2(a), the Exchange hereby certifies that the 

Contract complies 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 (312) 466-7478

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

Sincerely, 

/s/ Timothy Elliott

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A: NYMEX Rulebook Chapter 380

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

 5 of the NYMEX Rulebook (attached under separate cover)

Exhibit C: Exchange Fees

 Exhibit D: NYMEX Rule 588.H. – (“Globex Non-Reviewable Trading Ranges”) Table 

Exhibit E: NYMEX Rule 589. – Special Price Fluctuation Limits and Daily Price Limits

 Table

Exhibit F: NYMEX Rule 300.20. – Strike Price Listing and Exercise Procedures Table 

Exhibit G: Cash Market Overview and Analysis of Deliverable Supply
4

Exhibit A

NYMEX Rulebook

Chapter 380

WTI-Brent Crude Oil Cross-Month Spread Option

380100. SCOPE OF CHAPTER

This chapter is limited in application to put and call inetercommodity spread options on the Light 

Sweet Crude Oil Futures contract (code: CL) and the Brent Crude Oil Last Day Financial Futures 

contract (code: BZ). In addition to the rules of this chapter, transactions in WTI-Brent Crude Oil 

Cross-Month Spread Option shall be subject to the general rules of the Exchange insofar as 

applicable.

380101. OPTION CHARACTERISTICS 

The number of contracts open for trading at a given time shall be determined by the Exchange. 

380101.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange.

380101.B. Trading Unit 

One (1) WTI-Brent Crude Oil Cross-Month Spread Option reflects the difference between the 

settlement price of one (1) Light Sweet Crude Oil Futures contract (code: CL) of the specified 

contract month, and the settlement price of one (1) Brent Last Day Financial Futures contract (code: 

BZ) of the contract month specified in the product title.

One (1) WTI-Brent Crude Oil Cross-Month Spread Option – (1 Month) contract reflects the difference 

between the settlement price of (1) Light Sweet Crude Oil Futures contract (code: CL) of the specified 

contract month, and the settlement price of one (1) Brent Last Day Financial Futures contract (code: 

BZ) whose contract month is one (1) month following the specified contract month.

380101.C. Price Increments 

Prices shall be quoted in dollars and cents per barrel and prices shall be in multiples of $0.01 per 

barrel. The minimum price increment will be $0.01. 

380101.D. Position Limits, Exemptions, Position Accountability and Reportable Levels

The applicable position limits and/or accountability levels, in addition to the reportable levels, are set 

forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations 

& Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market Regulation 

Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits

380102.E. Termination of Trading

A WTI-Brent Crude Oil Cross-Month Spread Option shall expire at the close of trading one (1) 

Business Day immediately preceding the expiration of the Light Sweet Crude Oil Futures contract 

(code: CL) in the spread. 

380101.F. Type Option 

The option is a financially-settled European-style option contract which cannot be exercised prior to 

expiration.

380102. EXERCISE PRICES AND CHARACTERISTICS

Transactions shall be conducted for option contracts as set forth in Rule 300.20.
5

Exhibit B

NYMEX Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limits, Position Accountability and Reportable Level Table 

(attached under separate cover)

Exhibit C

Exchange Fees

Exchange Fees Member Non-Member

CME Globex $0.70 $1.50

Block $1.85 $2.65

EFR/EOO $1.85 $2.65

Processing Fees Member Non-Member

Cash Settlement $0.90 $1.15

Facilitation Fee $0.60

Give-Up Surcharge $0.05

Position Adjustment/Position Transfer $0.10

Exhibit D

NYMEX Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Rule 588.H. (“Globex Non-Reviewable Trading Ranges”) Table

Outrights Spreads

Instrument Globex 

Symbol Globex Non-Reviewable Ranges (NRR)

NRR: 

Globex 

Format

NRR:

Minimum 

Ticks

NRR: Globex 

Format

NRR: 

Minimum 

Ticks

WTI-Brent 

Crude Oil 

Cross-Month 

Spread Option 

– (1 Month)

BVX The greater of the following:

•Delta multiplied by the underlying 

futures non-reviewable range

•20% of premium up to 1⁄4 of the 

underlying futures non-reviewable 

range
6

Exhibit E

NYMEX Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Rule 589. – Special Price Fluctuation Limits and Daily Price Limits Table

Product Rulebook 

Chapter

Commodity 

Code

Primary/ 

Associated

Associated 

With

Dynamically 

Calculated 

Variant

Daily Price 

Limit

WTI-Brent Crude 

Oil Cross-Month 

Spread Option

380 BVX Associated CL 

Exhibit F

NYMEX Rulebook

Chapter 300

(“Options Contracts”)

Rule 300.20.- Strike Price Listing and Exercise Procedure Table

 Exhibit G

Cash Market Overview and Analysis of Deliverable Supply

New York Mercantile Exchange, Inc. (“NYMEX” or “Exchange”) shall list the WTI-Brent Crude Oil CrossMonth Spread Option – (1 Month) contract (code: BVX), for trading on the CME Globex electronic trading 

platform (“CME Globex”) and for submission for clearing via CME ClearPort. 

WTI at Cushing, Oklahoma

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 

Commodity 

Code 

CME 

Globex 

Code

Product 

Name

Product 

Group

Product 

Subgroup Exchange Rulebook Chapter

Strike Price 

Listing Rule

Option 

Style

Contrary 

Instructions

Margin 

Style

Exact At-TheMoney 

Characteristi

Underlying 

Commodity 

Code

Underlying 

Product 

Name

BVX BVX

WTI-Brent 

Crude Oil 

CrossMonth 

Spread 

Option (1-

Month)

Energy Crude Oil NYMEX 380

Minimum 10 

strikes at $0.25 

per barrel 

increment above 

and below the atthe-money strike 

plus dynamic 

strikes at $0.25 

per barrel 

increment for the 

nearest 36 

months. Dynamic 

strikes only at 

$0.25 per barrel 

increment for 

months 37+. 

European No Equity

N/A - 

Financially 

Settled

BVX

WTI-Brent 

Crude Oil 

Cross-Month 

Spread (1-

Month)
7

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

in interstate commerce.”

I. Methodology and Data Sources

The Exchange considered three (3) components in evaluating deliverable supply estimates of the Domestic 

Light Sweet Common Stream Crude Oil for the Cushing, Oklahoma delivery location of the Light Sweet 

Crude Oil Futures contract: 

(1) Crude Oil Production; 

(2) Crude Oil Flows to the delivery area; and 

(3) Crude Oil Storage in the delivery area. 

While crude oil production information is, in part, available from other sources, particularly at the state level 

from energy or tax revenue authorities, the Exchange determined to use production information collected 

by the U.S. Department of Energy (“DOE”) Energy Information Administration (“EIA”). Specifically, the 

Exchange has chosen to rely on the EIA production data because it constitutes a single source, employing 

common standards, across all states. The EIA data are highly regarded but they do not provide sufficient 

breakdown on the quality characteristics of the oil production to determine the subset of total production 

that would qualify as Domestic Light Sweet under the terms of the futures contract.

A. Crude Oil Flows to the Cushing Delivery Area

To determine the flows of Domestic Light Sweet crude oil into the delivery area, NYMEX consulted with 

industry executives and professionals from pipeline and storage terminal operators in Cushing as well as 

other major industry participants. It is noteworthy that the estimates provided here are materially less than 

the production that can readily access the delivery mechanism and which could be delivered due to the fact 

that the sources we used were specifically knowledgeable about actual Cushing deliveries. Thus, the 

information provided is not what could be delivered — the standard which is in accordance with 

Commission’s policy and precedent — but what actually is delivered. The Exchange believes that the 

Cushing delivery mechanism for light sweet crude oil and corresponding commercial secondary market 

constitutes such a sophisticated and highly-developed commercial market mechanism that, at any time, the 

actual flows to and stocks in the delivery area represent precisely the deliverable supply sufficient to support 

the mechanism. In other words, even though at any time there is additional production that could be 

delivered to the delivery mechanism, we are only including what actually flows in our estimate of deliverable 

supply.

B. Crude Oil Storage in the Cushing Delivery Area

Storage data are provided on a weekly basis by EIA. Details are provided for the U.S. Petroleum 

Administration for Defense Districts (“PADDs”) and Cushing. There are five PADDs and, in some cases, 

they correspond to broad regions. PADD 2 broadly includes the Midwest; PADD 3 broadly includes U.S. 

Gulf Coast states and New Mexico; PADD 4 contains the Rocky Mountain States excluding New Mexico. 

Cushing is the only single location where crude oil official inventory numbers are collected and publicly 

disseminated on a regular basis anywhere in the world. The actual geographic market that is consistently 

most applicable to the NYMEX crude oil futures contract would, therefore, include much of PADD 2, not 

just Cushing. 

Nonetheless, NYMEX includes only inventories reported at Cushing, so these underestimate relevant 

storage. As with production, EIA does not provide details on the quality characteristics of stored crude oil, 

but the industry experts with whom NYMEX consulted consistently estimated that 60% to 70% of the crude 

oil stored at Cushing qualified as Domestic Light Sweet Common Stream (to be conservative, the Exchange 

will discount 40% of inventory in its calculation of deliverable supply estimates). 
8

II. The Cushing Physical Delivery Mechanism: Scope of Deliverable Crude Oil

The Cushing physical delivery mechanism is comprised of a network of nearly two dozen pipelines and 12 

storage terminals, with extensive inter-connectivity. Three of the storage facilities — Enterprise, Enbridge, 

and Plains — and their pipeline manifolds are the core of the Cushing physical delivery mechanism.1 

Physical volumes delivered against the Light Sweet Crude Oil Futures contract within the Enterprise, 

Enbridge, and Plains systems are at par value. Any deliveries made on futures contracts elsewhere in 

Cushing require the seller to compensate the buyer for the lower of the transportation netbacks from these 

facilities to where the delivery occurs. Detailed information about the inflowing and outflowing pipelines is 

contained below in Table 2.

Terminating obligations in the Light Sweet Crude Oil Futures contract are fulfilled by delivering WTI type 

light sweet crude oil designated as “Domestic Common Stream” by Enterprise Products LLC. Market 

participants commonly refer to the light sweet deliverable streams as “WTI.” In addition, the Domestic 

Common Stream includes a fungible blend of light sweet streams produced in the U.S. shale oil areas, 

including the Bakken, Niobrara, and Permian producing areas. Furthermore, each of these light sweet 

crude oil streams is fungibly blended and included as part of the “Domestic Common Stream” within the 

complex that comprises the Cushing delivery mechanism, as well as in the WTI physical market which calls 

for delivery in the Cushing delivery mechanism.

III. Physical Market Trading Structure and Term Contracts

A. Physical Market Trading Structure

Typically, there is a chronology of sales and purchases of crude oil in the onshore U.S. market that starts 

with a sale from producer and finishes with a purchase by an end-user to consume the crude oil. Firstsales are from producers to aggregators or other middleman-type firms with delivery at the property where 

it is produced. The first-sale buyer transports oil downstream from the point of sale. Usually the first-sale 

buyer resells the oil to someone other than the end-user but sometimes sells directly to the end-user. 

Final sales are sales to end-users who when they consume the oil remove it from the supply chain. Endusers, however, also resell oil. Such end-user re-sales sometimes occur during the same commercial cycle 

in which they purchased it; other times, they occur during a later commercial cycle after the oil has been 

stored for a period of time. Like end-users, other buyers of oil also can either resell it immediately or store 

it first for some period of time and then resell it later. Thus, it is a common commercial practice that the 

first-sale and multiple subsequent re-sales occur in the same delivery cycle. 

As discussed above, the Cushing delivery market is essentially a major reseller market where buyers either: 

resell the oil to someone else; store the oil and resell it later; store the oil and then consume it later; or 

transport it to consume it. The Cushing market is essentially downstream of first-sales. Most of the sales 

in the Cushing market are for resale and not for either storage or final-sale; in fact, the physical market in 

“WTI,” in which the standard form of delivery is within the pipeline system at Cushing, is estimated to be 

10-20 times the multiple of “WTI” oil that flows to Cushing. As such, it is clear that most sales are for resale 

because they constitute the selling, over-and-over (thus, re-selling), of the base physical oil that flows to 

Cushing. Argus Media documents about 5-8 times the flow in “WTI” sales but does not capture all of the 

sales.2

1 Three of the major sources for the cash-market information provided herein are Plains All America, Enterprise and Enbridge. 

Enterprise oversees the vast majority of deliveries in the Cushing Delivery Market and, as indicated, Enterprise and Enbridge are the 

core delivery mechanism operators, with Plains added as a delivery option in February 2022. Plains and Enbridge account for about 

60% of the storage available at Cushing. 

2 The commercial market for physical delivery of light sweet crude oil in Cushing is a secondary (or spot) market mechanism. The 

number of physical deliveries in this market each month is 240 million barrels or higher (240,000 futures contracts equivalent or 

higher).
9

B. Term Contracts

The Exchange has spoken with and interviewed a number of market participants regarding common 

commercial practices with respect to the use of term contracts in the U.S. onshore crude oil market.3 The 

responses we received were consistent and they can be summarized as follows:

• Almost all first-sales of production are sold term; as discussed in the previous section, typically for 

delivery on the property where it is produced (or nearest gathering pipeline or holding tank), and 

typically to middleman-firms or aggregators. These middleman-firms typically resell the crude oil 

to other middleman-firms (or participants performing that function) or to end-users. Typically, the 

first-sales contracts are “evergreen” contracts that can be discontinued by either party with notice. 

NYMEX is including evergreen contracts in the “term contracts” category.

• There are no restrictions applied to the resale of crude oil bought first-sale on a term basis from 

producers. In fact, that would clearly not be applicable because sales are typically to aggregators 

or others acting in a middleman-firm role with the expressed responsibility of reselling the oil.

• The Cushing market is downstream of first-sales; in other words, Cushing is downstream of any 

term sales from producers. Thus, even if barrels were sold term by the producer, in the Cushing 

market those barrels are re-sold and re-delivered by either the purchaser from the producer or a 

subsequent purchaser from that original purchaser. The Cushing market mechanism, which 

consists of trading and physical delivery of light sweet crude oil, is a commercial secondary (or 

spot) market which is extremely liquid, comprised of broad participation and results in a substantial 

quantity of physical delivery of crude oil.

• Some end-user refiners in the Cushing market purchase specific light sweet crude oil streams, such 

as Bakken or Niobrara Light Sweet crude oil, on a term basis, and these refiners tend to segregate 

a portion of the specific light sweet crude streams for processing at their refineries. Based on 

conversations with refiners in the Cushing market, the Exchange estimates that approximately 10% 

of the deliverable supply for Cushing is segregated and designated for use by end-user refiners, 

and therefore is not available for re-sale in the Cushing market. Consequently, the Exchange will 

reduce its estimate of deliverable supply in Cushing by 10% to account for the specific light sweet 

streams that are designated for processing and segregated by the end-user refiners.

• Our sources expressly advised us that any production sold long-term was available for potential resale, such as during periods of refinery maintenance, and this is especially the case in the Cushing 

market.

C. Crude Oil Production

The production area that supplies crude oil to Cushing via pipeline and rail is comprised of the following 

eight (8) states: North Dakota, Montana, Wyoming, Colorado, New Mexico, Onshore Texas, Oklahoma, 

and Kansas.

In the three (3)-year period of August 2020 through July 2023, the average production of crude oil available 

in the eight states was approximately 8.75 million barrels per day. Based on discussions with industry 

participants, our estimate of the portion of that average production which would qualify as Domestic Light 

Sweet Common Stream is 50% or higher— i.e., approximately 4.4 million barrels per day. The 4.4 million 

barrels per day of crude oil production is equivalent to approximately 131.3 million barrels per month, or 

131,300 futures contracts equivalents (contract size: 1,000 barrels).

Table 1 below provides annual production data available for production in the eight states that supply the 

Cushing crude oil market for the period referenced above. The data show that production has been rising. 

3 These include: Plains All America, a major Midcontinent aggregator and marketer and operator of pipeline and storage terminals 

including in Cushing; and an Energy Market Participant Group of several dozen market participants organized through Hunton & 

Williams LLP to discuss and comment on Regulatory issues.
10

As indicated above, the Exchange has determined to not utilize production data in its deliverable supply 

estimate, but the data demonstrates that production levels are more than sufficient to support the actual 

flows of deliverable product to the delivery location.

D. Crude Oil Flows to the Cushing Delivery Area

As of October 2023, there is approximately 4.1 million b/d of inflow pipeline capacity to Cushing and 3.2 

million barrels per day of outflow capacity. 

The Exchange collects inbound Cushing crude oil flows periodically but not on an on-going or scheduled 

basis as such information is proprietary and non-public. Based on information provided by industry sources 

in Table 2 below, as of December 2020, actual flows of crude oil to Cushing have ranged from 2.3 million 

to 2.6 million barrels per day, with Domestic Light Sweet Common Stream Crude Oil averaging between 

1.3 to 1.5 million barrels per day.4 On a 30-day monthly basis, actual flows of Domestic Light Sweet 

Common Stream Crude Oil ranged from 39 to 46.5 million barrels per month, or 39,000 to 46,500 Light 

Sweet Crude Oil futures contract equivalents. 

As of July 2018, actual flows of crude oil in-bound to Cushing have ranged from 2.2 million to 2.5 million 

barrels per day as shown in Table 3 below, with Domestic Light Sweet Common Stream Crude Oil 

averaging between 1.270 to 1.450 million barrels per day.5 On a 30-day monthly basis, actual flows of 

Domestic Light Sweet Common Stream Crude Oil ranged from 38.0 to 43.5 million barrels per month, or 

38,000 to 43,500 Light Sweet Crude Oil futures contract equivalents. 

As of March 2015, estimated in-bound flows of Domestic Light Sweet Common Stream Crude Oil into 

Cushing averaged between 920,000 and 1,000,000 barrels per day as illustrated in Table 4 below. On a 

30-day monthly basis, actual flows of Domestic Light Sweet Common Stream Crude Oil were 27.6 million 

to 30.0 million barrels per month or 27,600 to 30,000 Light Sweet Crude Oil Futures contract equivalents. 

Given that the Exchange only collects pipeline flow data on a periodic basis, the Exchange is unable to 

provide a three-year average of Domestic Light Sweet Common Stream Crude Oil flows into Cushing. As 

such, the Exchange determined to average the 2015, 2018 and 2020 estimated flows data collected. The 

average of the ranges for 2015, 2018 and 2020 for Domestic Light Sweet Common Stream Crude Oil flows 

into Cushing are 35,000 to 40,000 contract equivalents. The midpoint of the average of the ranges is 

approximately 37,500 contract equivalents. 

E. Crude Oil Storage in the Cushing Delivery Area

As of March 2023, EIA reported that shell storage capacity at Cushing was 98.695 million barrels and 

working storage capacity was 77.99 million barrels.6 Currently, there is substantial excess working capacity 

at Cushing (approximately 56 million barrels). Finally, it should be noted that, at least on a temporary basis, 

storage can exceed working capacity and it is common for an individual tank to reach 85-90% of shell 

capacity (which exceeds the 84.9% average underlying the EIA estimates).

Table 5 below provides monthly averages of weekly Cushing stocks for the inventory period beginning 

October 2, 2020 through September 29, 2023 (“the inventory period”) as published by the EIA. For the 

three-year average over the inventory period, stocks averaged 35.592 million barrels and on a weekly basis 

ranged from about 22 million to 60 million barrels. NYMEX asked operators of storage in Cushing if they 

would share specific data on quantities of Domestic Light Sweet Common Stream Crude Oil stored at their 

facilities and they responded that such data were confidential. As discussed above, the Exchange 

4 The sources were various pipeline operators and other industry sources.

5 The sources were: Plains All America, an aggregator and marketer of crude oil production and pipeline and storage terminal operator 

at Cushing; and other industry sources.

6 https://www.eia.gov/petroleum/storagecapacity/storagecapacity.xlsx - Table 2. Shell capacity is defined by EIA as the design

capacity of a petroleum storage tank which is always greater than or equal to working storage capacity. 
11

estimated that approximately 60% of the total oil stored at Cushing qualified as Domestic Light Sweet 

Common Stream Crude Oil. Based on the foregoing, for the inventory period, the monthly average 

Domestic Light Sweet Common Stream Crude Oil stored at Cushing was approximately 21.355 million 

barrels or 21,355 futures contract equivalents. 

The Exchange has further evaluated both operational practices at storage facilities as well as commercial 

practices by customers of storage facilities to determine if some components of inventoried product could 

rightfully be considered not to be readily deliverable. 

With respect to operational practices, based on discussions with some industry experts, the Exchange 

conservatively estimates that 6.75% of stored product, on average, is required for operational minimums.7 

This converts into discounting an estimated 1.44 million barrels of Domestic Light Sweet crude oil based 

on the three-year average storage level (or 1,440 contract equivalents). In applying a discount of 6.75% to 

account for operational minimums, average monthly Domestic Light Sweet Common Stream Crude Oil for 

the inventory period is further reduced to approximately 19,914 contract equivalents. 

With respect to commercial practices, the Exchange specifically sought whether storage customers were 

expressly allotting any stored barrels at Cushing for refining that were, therefore, unavailable for secondary 

market delivery. We consistently heard from market participants that was not the case; that barrels stored 

at Cushing are not specifically targeted for scheduled refining. Rather, refiners typically store barrels 

targeted for scheduled refining in tanks on the premises at their respective refineries or at other storage 

facilities. However, we did hear from one refiner that they keep barrels stored at Cushing for the 

contingency that there could be some unexpected interruption in their refinery supply; and, rather than 

refine the barrels stored at Cushing, they use them to trade for other barrels they would refine. Thus, the 

Exchange determined to further reduce the average monthly Domestic Light Sweet Common Stream crude 

oil stored at Cushing to account for this contingency storage in our estimate of deliverable supply. We 

estimate this quantity to be 2 million barrels (or 2,000 contract equivalents) of Domestic Light Sweet crude 

oil. Therefore, for the inventory period, the Exchange estimates stored product at Cushing (adjusted for 

quality specifications, operational minimums and contingency storage) and which is readily available for 

delivery against the Light Sweet Crude Oil Futures contract to be approximately 17,914 contract 

equivalents. 

Analysis of WTI Cushing Deliverable Supply

Based on the above analysis, the Exchange determined at this time to base its estimates of deliverable 

supply on the sum of:

• Storage: 17,914 contract equivalents (which represents the average monthly inventory for the 

October 2, 2020 – September 29, 2023 period adjusted to account for quality specifications, 

operational minimums and contingency storage); and

• Inflow: 37,500 contract equivalents (which represents the midpoint of the average of the ranges 

of the 2015, 2018 and 2020 Domestic Light Sweet Common Stream Crude Oil flows into Cushing). 

The total estimated deliverable supply, consisting of storage and pipeline inflows, 55,414 contract 

equivalents. Additionally, and as noted in the above analysis, the Exchange shall apply a 10% reduction

to the sum of inventory storage and inflows into Cushing in order to discount segregated barrels that may 

be designated for processing by end-user refiners and typically not available for re-sale in the Cushing 

market. Therefore, after applying the 10% reduction, the Exchange has determined the estimated 

7 We have been advised that, for older tanks, the operational minimum is 9% and, for newer tanks, it is 4.5%. Our assessment is that 

the majority of tanks at Cushing would qualify as newer. Nonetheless, to be conservative, we have applied the mid-point percentage—

6.75%-- for all of Cushing.
12

deliverable supply available for delivery against the Light Sweet Crude Oil Futures contract at approximately 

49,872 futures contract equivalents per month. 

Analysis of Spot-Month Position Limits

The WTI-Brent Crude Oil Cross-Month Spread Option (1-Month) contract is cash-settled based on the 

Crude Oil Last Day Financial Futures contract (code: 26), which is based on the settlement price of the 

Light Sweet Crude Oil Futures contract (code: CL). For the purposes of calculating compliance with position 

limits, the new contract will aggregate into the Crude Oil Last Day Financial Futures contract (code: 26). 

Based on the prior analysis for deliverable supply for WTI Cushing, the current spot month position limit for 

Light Sweet Crude Oil Futures of 6,000 contracts represents 12.0% of the total estimated monthly 

deliverable supply. 

Table 1

U.S. Crude Oil Production8

For Eight States that Supply Cushing, Oklahoma

(in Thousands of Barrels per Day)

Annual Averages 

based on Monthly 

EIA Data Crude Oil Production

From To Thousand Barrels/Day

Aug-20 Jul-21 8079

Aug-21 Jul-22 8710

Aug-22 Jul-23 9469

Three-Year Average 8753

Table 2 

Crude Oil Flows to Cushing (as of December 2020)

(Barrels/Day)9

Incoming Pipelines Capacity Owner Estimated Flows (in Barrels/Day)

Keystone XL (from Steele City, NE) 760,000 Transcanada 400,000 – 450,000 BD (100% Heavy Sour) 

Basin Pipeline (Permian) 550,000 Plains All American 250,000 – 325,000 (90% WTI, 10% Sour)

Centurion North Pipeline (Permian) 170,000 Occidental 40,000 – 50,000 (100% WTI)

Spearhead Pipeline (Canada) 195,000 Enbridge 180,000 – 195,000 (100% Heavy Sour)

Flanagan South (Canada/Bakken) 600,000 Enbridge 450,000 – 500,000 (10% WTI, 90% Heavy Sour)

White Cliffs Pipeline (Niobrara) 90,000 Rose Rock 85,000 – 90,000 (100% WTI)

Cashion, OK Pipeline 250,000 Plains All American 120,000 – 130,000 (100% WTI)

Mississippian Lime Pipeline 150,000 Plains All American 70,000 – 80,000 (100% WTI)

Pony Express Pipeline (Niobrara) 400,000 Tallgrass 350,000 – 375,000 (100% WTI)

Saddlehorn/Grand Mesa 450,000 Magellan/Plains 225,000 – 300,000 (100% WTI)

Glass Mountain 210,000 Navigator 50,000 – 60,000 (100% WTI)

Hawthorn (Stroud to Cushing) 90,000 Hawthorn 25,000 – 30,000 (100% WTI)

SCOOP Pipeline 70,000 Magellan 45,000 – 50,000 (100% WTI)

Great Salt Plains 35,000 Parnon 25,000 – 30,000 (100% WTI)

Eagle North 25,000 Blueknight 4,000 – 7,000 (100% WTI)

Red River 35,000 Plains All American 1,000 – 5,000 (100% WTI)

TOTAL In-Bound Capacity 4.1 Million Capacity WTI Flow: 1,310,000 – 1,550,000 B/D

Outgoing Pipelines Capacity (B/D) Owner

8 As of 10/17/23: The production listed here includes North Dakota, Montana, Wyoming, Colorado, New Mexico, Onshore Texas, 

Oklahoma, and Kansas. The web link is: http://www.eia.gov/dnav/pet/pet_crd_crpdn_adc_mbblpd_a.htm

9 Sources: pipeline operators and other industry sources. 
13

Seaway Pipeline 950,000 Enterprise

Keystone MarketLink 750,000 Transcanada

BP#1 (to Chicago) 180,000 BP

Ozark (to Wood River, IL) 360,000 Enbridge

Osage (to Eldorado, KS) 165,000 Magellan/NCRA 

Coffeyville CVR pipeline 110,000 CVR Energy

Phillips (to Ponca City, OK) 122,000 ConocoPhillips

Phillips (to Borger, TX) 59,000 NuStar

Plains Red River (to Longview) 235,000 Plains All American

Diamond Pipeline (to Memphis) 200,000 Plains All American

Sunoco (twin lines to Tulsa) 70,000 Sunoco

Magellan Tulsa 30,000 Magellan

TOTAL Out-bound Capacity 3.2 Million B/D

Table 3 

Crude Oil Flows to Cushing (as of July 2018)

(Barrels/Day)10

Incoming Pipelines Capacity Owner Estimated Flows (in Barrels/Day)

Keystone XL (from Steele City, NE) 590,000 Transcanada 350,000 - 400,000 BD (100% Heavy Sour) 

Basin Pipeline (Permian) 450,000 Plains 350,000 - 400,000 (80% WTI, 20% Sour)

Centurion North Pipeline (Permian) 170,000 Occidental 120,000 - 140,000 (100% WTI)

Spearhead Pipeline (Canada) 195,000 Enbridge 150,000 - 175,000 (100% Heavy Sour)

Flanagan South (Canada/Bakken) 600,000 Enbridge 400,000 - 450,000 (10% WTI, 90% Heavy Sour)

White Cliffs Pipeline (Niobrara) 215,000 Rose Rock 100,000 - 120,000 (100% WTI)

Plains Cashion, OK Pipeline 250,000 Plains 120,000 -145,000 (100% WTI)

Mississippian Lime Pipeline 150,000 Plains 95,000 - 100,000 (100% WTI)

Pony Express Pipeline (Niobrara) 325,000 Tallgrass 300,000 – 325,000 (100% WTI)

Saddlehorn-Grand Mesa 340,000 Magellan/Plains 140,000 – 150,000 (100% WTI)

Glass Mountain 210,000 Sem Group 30,000 – 40,000 (100% WTI)

Hawthorn (Stroud to Cushing) 90,000 Hawthorn 10,000 – 20,000 (100% WTI)

Great Salt Plains 35,000 Parnon 30,000 – 35,000 (100% WTI)

Eagle North 20,000 Blueknight 5,000 – 10,000 (100% WTI)

TOTAL In-Bound Capacity 3.6 Million Capacity WTI Flow: 1,270,000 – 1,450,000 B/D

Outgoing Pipelines Capacity (B/D) Owner

Seaway Pipeline 850,000 Enterprise

Keystone MarketLink 700,000 Transcanada

BP#1 (to Chicago) 180,000 BP

Ozark (to Wood River, IL) 345,000 Enbridge

Osage (to Eldorado, KS) 165,000 Magellan/NCRA 

Coffeyville CVR pipeline 110,000 CVR Energy

Phillips (to Ponca City, OK) 122,000 ConocoPhillips

Phillips (to Borger, TX) 59,000 NuStar

Plains Red River Pipeline (to Longview) 125,000 Plains All American

Plains Red River Pipeline 25,000 Plains All American

Sunoco (twin lines to Tulsa) 70,000 Sunoco

Plains Cherokee 20,000 Plains All American

Magellan Tulsa 30,000 Magellan

Diamond Pipeline (to Memphis) 200,000 Plains

TOTAL Out-bound Capacity 3.0 Million B/D

10 Sources: Plains All American Pipeline Company, and other industry sources. 
14

Table 4

Crude Oil Flows to Cushing (as of March 2015)

(Barrels/Day)11

Incoming Pipelines Capacity Owner Estimated Flows (in Barrels/Day)

Keystone XL (from Steele City, NE) 575,000 Transcanada 200,000 - 250,000 BD (Heavy sour) 

Basin Pipeline (Permian) 450,000 Plains 250,000 (80% WTI)

Centurion North Pipeline (Permian) 120,000 Occidental 95,000 - 100,000 (100% WTI)

Spearhead Pipeline (Canada) 210,000 Enbridge 150,000 - 175,000 (Canadian sour)

Flanagan South (Canada/Bakken) 585,000 Enbridge 400,000 - 450,000 (10% WTI, 90% Sour)

White Cliffs Pipeline (Niobrara) 150,000 Rose Rock 100,000 - 120,000 (100% WTI)

Plains Cashion, OK Pipeline 100,000 Plains 80,000 (100% WTI)

Mississippi Lime Pipeline 175,000 Plains 110,000 (100% WTI)

Pony Express Pipeline (Niobrara) 320,000 Tallgrass 180,000 – 200,000 (100% WTI)

Hawthorn (Stroud to Cushing) 90,000 Hawthorn 20,000 – 25,000 (100% WTI)

Great Salt Plains 30,000 JP Energy 15,000 – 20,000 (100% WTI)

Northern Cimarron 30,000 Rose Rock 15,000 – 20,000 (100% WTI)

Midcontinent Pipeline 30,000 Sunoco Logistics 25,000 – 30,000 (100% WTI)

Glass Mountain Pipeline 140,000 Rose Rock 40,000 – 50,000 (100% WTI)

TOTAL In-Bound Capacity 3.0 Million Capacity WTI Flow: 920,000 – 1,000,000 B/D

11 Sources: Plains All American Pipeline Company, JSK consulting, and other industry sources. 
15

Table 5

Cushing Storage12

Monthly Average of Weekly EIA Stocks Data

(in Thousand Barrels)

Month Stock

Sep-23 23,866

Aug-23 32,069

Jul-23 37,452

Jun-23 42,167

May-23 36,391

Apr-23 33,317

Mar-23 36,811

Feb-23 39,973

Jan-23 33,228

Dec-22 24,765

Nov-22 25,476

Oct-22 26,735

Sep-22 25,212

Aug-22 25,415

Jul-22 22,754

Jun-22 22,340

May-22 25,973

Apr-22 26,931

Mar-22 23,926

Feb-22 25,035

Jan-22 32,648

Dec-21 33,767

Nov-21 27,227

Oct-21 30,810

Sep-21 34,887

Aug-21 34,084

Jul-21 36,952

Jun-21 42,810

May-21 45,491

Apr-21 46,148

Mar-21 47,594

Feb-21 47,298

Jan-21 53,570

Dec-20 58,353

Nov-20 60,373

Oct-20 59,464

3-yr Average 35,592

12 http://www.eia.gov/dnav/pet/hist/LeafHandler.ashx?n=PET&s=W_EPC0_SAX_YCUOK_MBBL&f=W as of 4/21/2023
16

Cash Market Analysis of Brent Crude Oil

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 2018.13

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”).

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 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 

13 Platts press release – Troll into Brent basket https://www.platts.com/pressreleases/2017/022017
17

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.

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 
18

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.14

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%. 

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 Estimates15 (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. 

14 https://www.shell.com/business-customers/trading-and-supply/trading/general-trading-terms-andconditions/_jcr_content/root/main/section/simple/call_to_action_456169931/links/item0.stream/1692805078655/9bff1771c5c2e79f19

230207a5d3487b4551e6b1/stasco-bfoetm-2022-v1-two-revised.pdf

15 Ineos Forties Pipeline System – Forties Blend Assay https://www.ineos.com/businesses/ineos-fps/business/forties-blend-quality/
19

The latest data from the U.S. Energy Information Administration (EIA) shows that the U.S. exported a record 

high volume of 3.99 million barrels per day in the first half of 202316. This level of exports was the highest 

since 2015. The largest destination for U.S. crude oil was Europe with volumes reaching 1.75 million barrels 

per day in the first half of 2023. Asia remained a key destination for U.S. crude with total exports hitting 

1.68 million barrels per day over the first half of 2023. 

Estimates suggest that the U.S. will produce a record 12.76 million barrels of oil in 2023 and production 

could rise a further 330,000 barrels per day in 2024 to reach over 13.09 million barrels per day.

17

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 August 2020 to July 2023). 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 reduction 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 733,667 barrels per day, 

which is equivalent to approximately 22.01 million barrels per month over the 3-year average period to July 

2023. 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 580,556 barrels per day (including the adjustment of 50% 

to the French import data) which equates to 17,417 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 464,444 barrels per day or 13.933 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. 

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.18 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.19 The remaining crude oil exports are 

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

16 https://www.eia.gov/todayinenergy/detail.php?id=60622

17 https://www.reuters.com/business/energy/us-crude-output-rise-record-1276-mln-bpd-2023-eia-2023-08-08/

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

19 https://www.theice.com/global-crude-benchmarks-brent-sets-the-standard
20

Analysis of Brent Crude Oil 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 reduction 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 reduction 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 July 2023, total 

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

equated to 464,444 barrels per day or 13.933 million barrels per month. This equates to 13,933 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.20 Based on the most recent 3-year average of the Bloomberg data 

on BFOET loadings (August 2020 to July 2023), total loadings of Brent (BFOET) crude oil were 

approximately 733,667 barrels per day, which is equivalent to approximately 22.01 million barrels per 

month, or 22,010 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 (3)-year average BFOET 

figures) would be reduced by 3 million barrels21 per month.22 Therefore, the total deliverable supply of 

BFOET is 19.010 million barrels per month or 19,010 contract equivalents. When the total volume of WTI 

Midland is added, the total volume of deliverable supply is calculated as 32.943 million barrels or 32,943 

contract equivalents.

Based on the total monthly estimated deliverable supply of North Sea crude used in the Brent contract, the 

spot month position limit of 7,000 contracts equates to 21.25% of the total monthly deliverable supply. 

A breakdown of the data is shown in Exhibit A.

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

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

22 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).
21

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% reduction 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 Troll Ekofisk

Total US 

Crude 

Exported 

to NWE

"Net" WTI 

Midland

3-yr 

Average 51,937 225,363 84,744 132,366 239,258 580,556 464,444

Jul-23 45,161 180,645 67,742 112,903 248,387 1,028,000 822,400

Jun-23 46,667 163,333 70,000 140,000 186,667 1,039,000 831,200

May-23 58,065 193,548 77,419 135,484 251,613 661,000 528,800

Apr-23 60,000 200,000 60,000 140,000 180,000 611,000 488,800

Mar-23 38,710 232,258 77,419 96,774 251,613 920,000 736,000

Feb-23 64,286 192,857 64,286 150,000 257,143 614,000 491,200

Jan-23 38,710 212,903 77,419 116,129 251,613 886,000 708,800

Dec-22 38,710 212,903 58,065 154,839 251,613 621,000 496,800

Nov-22 80,000 200,000 80,033 180,000 260,000 623,000 498,400

Oct-22 19,355 212,903 96,774 116,129 270,968 601,000 480,800

Sep-22 20,000 220,000 40,000 110,000 220,000 607,000 485,600

Aug-22 38,710 212,903 77,419 135,484 309,677 509,000 407,200

Jul-22 38,710 193,548 96,774 154,839 232,258 1,002,000 801,600

Jun-22 40,000 240,000 80,000 120,000 40,000 652,000 521,600

May-22 58,065 232,258 96,774 116,129 212,903 459,000 367,200

Apr-22 40,000 260,000 80,000 100,000 200,000 575,000 460,000

Mar-22 58,065 251,613 96,774 135,484 232,258 416,000 332,800

Feb-22 42,857 235,714 64,286 150,000 214,286 542,000 433,600

Jan-22 58,065 270,968 96,774 154,839 232,258 343,000 274,400

Dec-21 38,710 251,613 96,774 96,774 270,968 768,000 614,400

Nov-21 40,000 260,000 80,000 160,000 260,000 759,000 607,200

Oct-21 38,710 290,323 96,774 154,839 251,613 416,000 332,800

Sep-21 60,000 200,000 80,000 160,000 240,000 438,000 350,400

Aug-21 58,065 212,903 77,419 135,484 251,613 406,000 324,800

Jul-21 38,710 251,613 96,774 135,484 251,613 356,000 284,800

Jun-21 80,000 20,000 100,000 160,000 200,000 494,000 395,200

May-21 38,710 174,194 96,774 96,774 270,968 373,000 298,400

Apr-21 60,000 220,000 80,000 80,000 260,000 495,000 396,000

Mar-21 58,065 251,613 96,774 154,839 251,613 279,000 223,200

Feb-21 64,286 278,571 85,714 150,000 257,143 856,000 684,800

Jan-21 77,419 270,968 96,774 135,484 270,968 181,000 144,800

Dec-20 77,419 270,968 116,129 135,484 290,323 532,000 425,600

Nov-20 60,000 280,000 80,000 140,000 220,000 443,000 354,400

Oct-20 77,419 290,323 96,774 135,484 232,258 389,000 311,200

Sep-20 60,000 220,000 100,000 80,000 260,000 409,000 327,200

Aug-20 58,065 251,613 116,129 135,484 270,968 597,000 477,600

Source: Bloomberg data for the North Sea data and U.S. EIA for the WTI export data
22

Analysis of Spot-Month Position Limits

Spot-month position limits for Brent do not apply as the WTI-Brent Crude Oil Cross-Month Spread Option 

(1-Month) contract expires prior to the spot-month period for Brent.