The Artis Fair Value Engine

1a. Determining Fair Value for futures

• Weighted averages: When the bid/offer spread for a specific tenure is within a predefined narrow width, Artis utilises volume-weighted values across outrights and timespreads.

• Advanced parameters utilisation: If the bid/offer spread exceeds the defined width for a specific tenure, Artis employs additional market parameters, called anchors, to determine the Fair Value, such as:
• • Long-dated time spreads
  • Outright strip prices
  • Last done
  • Close/settle prices

2. Calculating equivalent swap prices

• Swap derivation: Once the futures Fair Value is established, Artis calculates the equivalent swap prices (e.g NYMEX WTI) using standardised conversion methodologies and industry calendars.

3. Automated instrument management

• Auto-roll functionality: Artis automatically rolls into the new month and rolls futures contracts upon expiry, ensuring continuous and uninterrupted fair value calculations of both futures and associated swaps.

4. Generating derived curves

• Consistency across your organisation: Artis Fair Values provide a stable foundation for generating derived commodity curves, such as gasoline and naphtha outrights. By standardising inputs, it ensures that all departments within your organisation are using the same accurate data
• Third-party integration: Users can receive data feeds from third parties, including brokers who also leverage the Artis Fair Value Engine. This shared platform promotes consistency and reliability across the industry.