• Margin and Delivery Processing for Delivered Natural Gas Futures Information Update #1

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 11-132
      • Notice Date
      • 11 April 2011
      • Effective Date
      • 11 April 2011
    • This advisory updates and replaces Advisory 11-45, originally published on February 3, 2011. On April 11, 2011, the Pine Prairie Energy Center Delivered Gas Futures will be re-launched with an important improvement which makes them much easier for clearing firms to process.
      Specifically, all contracts will have the same multiplier (“contract value factor”), the same tick value, and the same fee rate, regardless of how many gas delivery days they are for. Instead, the trade quantity is used to take into account the number of gas delivery days.
      All Pine Prairie Energy Center Delivered Gas Futures will have a fixed multiplier of 2,500, reflecting the fact that they are all for 2,500 MMBTU of gas per gas delivery day. The value of a tick will similarly be $6.25 for all contracts. (2,500 MMBTU per day times 0.0025 USD per MMBTU)

      For the full text of this advisory...