• NYMEX/COMEX Trading at Settlement (TAS) Contract Changes - Effective April 12, 2010

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      • Q2010-50
      • Notice Date
      • 11 March 2010
      • Effective Date
      • 12 April 2010
    • This notice details a number of changes that will become effective on CME Globex, Sunday, April 11, 2010, (trade date April 12) and via Open Outcry on Monday, April 12 for the following NYMEX and COMEX contracts:

       

      • Listing of New TAS- Eligible NYMEX Contracts
        • Intra-commodity energy futures calendar spreads (spot month/3rd month) in Light Sweet Crude Oil, New York Harbor No. 2 Heating Oil, Henry Hub Natural Gas and RBOB Gasoline
        • Henry Hub Natural Gas Swap Futures
        • European Gasoil (ICE) Futures 
      • Listing of COMEX TAS-Eligible  Gold and Silver Futures
      • Elimination of TAS for Gulf Coast Ultra Low Sulfur Diesel (ULSD) (LR) and Gulf Coast Gasoline Futures (LR)

       

      TAS Eligibility for NYMEX TAS Intra-Commodity Energy Futures Calendar Spreads  

       

      All four products shown in the following table will be listed for trading and TAS-eligible in the nearby month/third month spread beginning with the May 2010 contract month.  Intra-commodity spreads are currently listed and TAS-eligible in the nearby month/second month spread and the second month/third month spread.

       

      Product Name

      Clearing

      Product Code

      CME Globex

      Product Code

      Trading Floor Product Code

      Light Sweet Crude Oil

      CL

      CLT

      CL

      New York Harbor No. 2. Heating Oil

      HO

      HOT

      HO

      Henry Hub Natural Gas

      NG

      NGT

      NG

      RBOB Gasoline

      RB

      RBT

      RB

      TAS Calendar Spread Pricing

      The nearby leg of the spread will always be priced at the settlement price determined by CME Group for that contract month.  The far leg of the spread will be priced at the settlement price determined by CME Group for that contract minus the allowable TAS price increment traded (negative 10 through positive 10).

       TAS Eligibility for Henry Hub Natural Gas Swap Futures and European Gasoil (ICE) Futures

      The  spot month (except on the last trading day), 2nd and 3rd months of both the Henry Hub Natural Gas Swap Futures and European Gasoil (ICE) Futures will be TAS-eligible beginning with the May 2010 contract month.

      Product Name

      Clearing

       Product Code

       CME Globe

      Product Code

      Trading Floor Product Code

      Henry Hub Natural Gas Swap Futures

      NN

      NNT

      NN

      European Gasoil (ICE) Futures

      7F

      7FT

      7F

      COMEX Gold Futures (TAS Code GC for Floor; TAS Code GCT for CME Globex)

       

      The COMEX Gold Futures contract, excluding the October contract month, will be TAS-eligible beginning with the June 2010 contract month.  Specifically, TAS will be permitted on only one of these contract months: February, April, June, August, and December, per the convention shown below.

      When the Following Contract Becomes  Spot

      This Contract Becomes the TAS Month

      December

      February

      February

      April

      April

      June

      June

      August

      August

      December

      And so on…

       Silver Futures (TAS Code SI for Floor; TAS Code SIT for CME Globex)

       

      The COMEX Silver contract, excluding the January contract month, will be TAS-eligible beginning with the May 2010 contract month.  Specifically, TAS will be permitted on only one of these contract months: March, May, July, September, and December, per the following convention:

       

      When the Following Contract Month Becomes  Spot

      This Contract Becomes the TAS Month

      December

      March

      March

      May

      May

      July

      July

      September

      September

      December

      And so on…

       

       Contact Market Data Operations (MDO) at mdo@cmegroup.com, if you have any questions concerning this