ICAP Energy site  
 

MBF Alpha Commodities Index

Date: 03/17/10
Contact: Richard Rosenberg
Phn: (502) 327-1405
Fax: (502) 327-1407
richard.rosenberg@us.icapenergy.com

CL Close 3/17 1day? 2day? 3day? 4day? 5day? Close 3/16 Close 3/15 Close 3/12 Close 3/11 Close 3/10   Crude Oil (Par = 100)
K0 83.21 1.24 3.13 1.67 0.78 0.78 81.97 80.08 81.54 82.43 82.43   6-month strip  
M0 83.56 1.25 3.13 1.68 0.78 0.77 82.31 80.43 81.88 82.78 82.79   CRD Rolled on 1st Bus. Day of Month
N0 83.89 1.24 3.09 1.64 0.71 0.70 82.65 80.80 82.25 83.18 83.19    
Q0 84.15 1.22 3.02 1.57 0.60 0.60 82.93 81.13 82.58 83.55 83.55   CRD ?CRD Calculation Adj CRD Val
U0 84.36 1.20 2.94 1.49 0.47 0.50 83.16 81.42 82.87 83.89 83.86 F11 1-Mar 85.58 (J0-V0)/6 -0.34 85.24
V0 84.52 1.17 2.86 1.39 0.34 0.39 83.35 81.66 83.13 84.18 84.13 F12 1-Mar 89.01 (J0-V0)/6 -0.34 88.67
  F13 1-Mar 99.47 (J0-V0)/6 -0.34 99.12
   
   
K0-V0 83.95 1.22 3.03 1.57 0.61 0.62 82.73 80.92 82.38 83.34 83.33
CRD F11 85.24           85.24 85.24 85.24 85.24 85.24
MACI F11 169.19 1.22 3.03 1.57 0.61 0.62 167.97 166.16 167.62 168.58 168.57
CRD F12 88.67 88.67 88.67 88.67 88.67 88.67
MACI F12 172.62 1.22 3.03 1.57 0.61 0.62 171.40 169.59 171.05 172.01 172.00
CRD F13 99.12 99.12 99.12 99.12 99.12 99.12
MACI F13 183.07 1.22 3.03 1.57 0.61 0.62 181.85 180.04 181.50 182.46 182.45
HO Close 3/17 1day? 2day? 3day? 4day? 5day? Close 3/16 Close 3/15 Close 3/12 Close 3/11 Close 3/10   Heating Oil (Par = 1)
K0 2.1513 0.0260 0.0821 0.0459 0.0255 0.0236 2.1253 2.0692 2.1054 2.1258 2.1277   6-month strip  
M0 2.1633 0.0276 0.0818 0.0457 0.0260 0.0232 2.1357 2.0815 2.1176 2.1373 2.1401   CRD Rolled on 1st Bus. Day of Month
N0 2.1790 0.0283 0.0809 0.0442 0.0249 0.0219 2.1507 2.0981 2.1348 2.1541 2.1571    
Q0 2.1950 0.0285 0.0796 0.0429 0.0237 0.0204 2.1665 2.1154 2.1521 2.1713 2.1746   CRD ?CRD Calculation Adj CRD Val
U0 2.2119 0.0290 0.0783 0.0418 0.0223 0.0185 2.1829 2.1336 2.1701 2.1896 2.1934 F11 1-Mar 0.5426 (J0-V0)/6 -0.0172 0.5254
V0 2.2299 0.0285 0.0751 0.0384 0.0185 0.0140 2.2014 2.1548 2.1915 2.2114 2.2159 F12 1-Mar 0.6985 (J0-V0)/6 -0.0172 0.6813
  F13 1-Mar 0.9860 (J0-V0)/6 -0.0172 0.9688
   
   
K0-V0 2.1884 0.0280 0.0796 0.0432 0.0235 0.0203 2.1604 2.1088 2.1453 2.1649 2.1681
CRD F11 0.5254           0.5254 0.5254 0.5254 0.5254 0.5254
MACI F11 2.7138 0.0280 0.0796 0.0432 0.0235 0.0203 2.6858 2.6342 2.6706 2.6903 2.6935
CRD F12 0.6813 0.6813 0.6813 0.6813 0.6813 0.6813
MACI F12 2.8697 0.0280 0.0796 0.0432 0.0235 0.0203 2.8417 2.7901 2.8266 2.8462 2.8494
CRD F13 0.9688 0.9688 0.9688 0.9688 0.9688 0.9688
MACI F13 3.1572 0.0280 0.0796 0.0432 0.0235 0.0203 3.1292 3.0775 3.1140 3.1337 3.1369
RB Close 3/17 1day? 2day? 3day? 4day? 5day? Close 3/16 Close 3/15 Close 3/12 Close 3/11 Close 3/10   RBOB Gasoline (Par = 1)
K0 2.3093 0.0355 0.0843 0.0512 0.0324 0.0225 2.2738 2.2250 2.2581 2.2769 2.2868   6-month strip  
M0 2.2992 0.0344 0.0801 0.0468 0.0272 0.0194 2.2648 2.2191 2.2524 2.2720 2.2798   CRD Rolled on 1st Bus. Day of Month
N0 2.2877 0.0338 0.0776 0.0444 0.0246 0.0174 2.2539 2.2101 2.2433 2.2631 2.2703    
Q0 2.2755 0.0331 0.0759 0.0430 0.0227 0.0158 2.2424 2.1996 2.2325 2.2528 2.2597   CRD ?CRD Calculation Adj CRD Val
U0 2.2621 0.0331 0.0747 0.0425 0.0215 0.0148 2.2290 2.1874 2.2196 2.2406 2.2473 F11 1-Mar 0.8139 (J0-V0)/6 0.0192 0.8331
V0 2.1506 0.0319 0.0721 0.0397 0.0178 0.0113 2.1187 2.0785 2.1109 2.1328 2.1393 F12 1-Mar 0.8802 (J0-V0)/6 0.0192 0.8994
  F13 1-Mar 0.9805 (J0-V0)/6 0.0192 0.9997
   
   
K0-V0 2.2641 0.0336 0.0774 0.0446 0.0244 0.0169 2.2304 2.1866 2.2195 2.2397 2.2472
CRD F11 0.8331           0.8331 0.8331 0.8331 0.8331 0.8331
MACI F11 3.0972 0.0336 0.0774 0.0446 0.0244 0.0169 3.0635 3.0197 3.0526 3.0728 3.0803
CRD F12 0.8994 0.8994 0.8994 0.8994 0.8994 0.8994
MACI F12 3.1634 0.0336 0.0774 0.0446 0.0244 0.0169 3.1298 3.0860 3.1188 3.1391 3.1466
CRD F13 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997
MACI F13 3.2638 0.0336 0.0774 0.0446 0.0244 0.0169 3.2301 3.1863 3.2192 3.2394 3.2469
NG Close 3/17 1day? 2day? 3day? 4day? 5day? Close 3/16 Close 3/15 Close 3/12 Close 3/11 Close 3/10   Natural Gas (Par = 10)
K0 4.371 -0.047 -0.096 -0.095 -0.135 -0.253 4.418 4.467 4.466 4.506 4.624   6-month strip  
M0 4.443 -0.050 -0.099 -0.095 -0.136 -0.253 4.493 4.542 4.538 4.579 4.696   CRD Rolled on 1st Bus. Day of Month
N0 4.533 -0.054 -0.103 -0.099 -0.139 -0.256 4.587 4.636 4.632 4.672 4.789    
Q0 4.603 -0.052 -0.100 -0.099 -0.137 -0.248 4.655 4.703 4.702 4.740 4.851   CRD ?CRD Calculation Adj CRD Val
U0 4.640 -0.053 -0.101 -0.100 -0.138 -0.246 4.693 4.741 4.740 4.778 4.886 F11 1-Mar 6.415 (J0-V0)/6 -0.074 6.341
V0 4.747 -0.051 -0.098 -0.095 -0.131 -0.234 4.798 4.845 4.842 4.878 4.981 F12 1-Mar 7.532 (J0-V0)/6 -0.074 7.459
  F13 1-Mar 9.958 (J0-V0)/6 -0.074 9.884
   
   
K0-V0 4.556 -0.051 -0.099 -0.097 -0.136 -0.248 4.607 4.656 4.653 4.692 4.805
CRD F11 6.341           6.341 6.341 6.341 6.341 6.341
MACI F11 10.897 -0.051 -0.099 -0.097 -0.136 -0.248 10.948 10.997 10.994 11.033 11.145
CRD F12 7.459 7.459 7.459 7.459 7.459 7.459
MACI F12 12.015 -0.051 -0.099 -0.097 -0.136 -0.248 12.066 12.114 12.112 12.151 12.263
CRD F13 9.884 9.884 9.884 9.884 9.884 9.884
MACI F13 14.440 -0.051 -0.099 -0.097 -0.136 -0.248 14.491 14.539 14.537 14.576 14.688