Market Making Program: NYMEX Crude Oil - MACI Index and NYMEX Crude Oil – Backwardation/Contango Index

Notice to Members

Notice No. 19 01/14/2008


With the upcoming launch of the NYMEX MACI and Backwardation/Contango Indices, NYMEX is soliciting market participants who are interested in market making opportunities for these products. In particular, NYMEX is seeking reasonably well capitalized participants who can demonstrate the capacity to make markets in electronic trading forums. Listed below are fact sheets regarding new product offerings. Qualified candidates should contact Pamela Fierman, NYMEX Marketing Associate, no later than the close of business on Friday January 25, 2008, in order to be considered for Market Maker status and to obtain additional information. * * * * * NYMEX Crude Oil MACI Index Helps Investors Mitigate Roll risk Made up of two Components: 1) A six month Rolling strip of futures 2) A smoothing index called the Cumulative Roll Differential (CRD) Contract will have an initial maturity of three years A new contract will be initiated annually MACI Strip Six consecutive months of futures contracts using the 2nd through 7th month at initiation The index rolls only 1/6th of total contracts each month On the first calendar business day of each month the Index rolls from the front contract to the 7th contract. The new strip is calculated as the difference of the front month minus the 7th month contracts divided by 6 There will be 35 rolls till maturity Cumulative Roll Differential (CRD) Set at a value of $100 at issuance of the MACI Adjusted monthly to offset the difference in value from the front month to the 7th month Roll differential is added to the current value of CRD (Current CRD + Roll Differential = New CRD) Each monthly change is accumulated and the final value is expressed at maturity of the CRD WTI Crude MACI Starting in January the initial index will start with NYMEX WTI Crude Oil contracts Contract size will be 200/barrels per contract Contracts will roll on a constant 200 barrel amount, not dollar amount Cash settled at maturity Advantages of MACI Index Superior to traditional commodity indexes which invest 100% of their assets into the spot month contract MACI rolls 1/6th of contract amount spreading risk over 6 contract months Allows investors to get a rolling strip and roll mitigation in one instrument Listed futures and Globex execution Exchange Listed Credit 60/40 Tax treatment if eligible Liquidity from the many NYMEX trading institutions and locals The MACI index will be starting with WTI Crude and adding separate products in the near future. NYMEX Crude Oil Backwardation/Contango Index Allows participants to trade the movement of the curve based upon Backwardation and Contango Has a maturity of three years equal to the MACI Index Cash settles at the final value of the Cumulative Roll Differential (CRD) Will trade at a price based upon market view of Backwardation/Contango WTI Crude B/C Contract Starting in January the initial index will start with NYMEX WTI Crude Oil contracts Contract size will be 200/barrels per contract Contracts will roll on a constant 200 barrel amount, not dollar amount Cash settled at maturity Cumulative Roll Differential (CRD) Set at a value of $100 at issuance of the MACI Adjusted monthly to offset the difference in value from the front month to the 7th month Roll differential is added to current value of CRD (Current CRD + Roll Differential = New CRD) Each monthly change is accumulated and the final value is expressed at maturity of the CRD Advantages of the B/C Index Allows participants to take a view or hedge the shape of the curve Listed futures and Globex execution Exchange Listed Credit 60/40 Tax treatment if eligible Liquidity from the many NYMEX trading institutions and locals The MACI index will be starting with WTI Crude and adding separate products in the near future.

Should you have any questions or require any further information, please contact exchangeinfo@nymex.com