REMINDER – Delisting of NYMEX AECO/NIT Basis Swap (NGX/CGPR) (NA) on August 31, 2009

DATE:            August 5, 2009

NOTICE # :   SER-4958

SUBJECT:    REMINDER – Delisting of NYMEX AECO/NIT Basis Swap (NGX/CGPR) (NA) on August 31, 2009

Please be reminded that the NYMEX AECO/NIT Basis Swap (NGX/CGPR) (commodity code NA) contract will be delisted on August 31, 2009.  Final settlement for the September 2009 contract month will be based on the Natural Gas Exchange (NGX) Canadian Gas Price Reporter (CGPR) (“NGX/CGPR”) index.  As previously communicated in NYMEX Notice to Members No. 08-672, dated December 31, 2008 and Energy Update, dated April 24, 2009, final settlement for all remaining contract months beginning with the October 2009 contract month will no longer be based on the NGX/CGPR index. As such, on August 31, 2009, the Exchange will conduct a final mark-to-market following the close of trading and cash settle all remaining open positions in all contract months for the AECO/NIT Basis Swap contract. 

In addition, please be reminded that as of April 28, 2009, the CME ClearPort^® clearing and trading fees for the NYMEX AECO/NIT Basis Swap (NGX/CGPR) contract were waived for all participants. 

Should you have any questions, please contact Tom Holleran at 212-299-2366, Brad Leach at 212-299-2609, Adila Mchich at 212 299-2270 or Bob Levin at 212-299-2390.

For your convenience, the Energy Update and Notice to Members No. 08-672 are being re-disseminated below and can also be found at the following links.

Energy Update: http://www.cmegroup.com/trading/energy-metals/online-marketing/energy-update-042409.html#1 

Notice No. 08-672: http://www.nymex.com/ntm672_2008.aspx

ENERGY UPDATE

4/24/2009

Delisting of NYMEX AECO/NIT Basis Swap (NGX/CGPR) Contract; Trading and Clearing Fee Waiver; and Change of Final Settlement Reference from Natural Gas Exchange (NGX)

Please be advised that the last trade date for NYMEX AECO/NIT Basis Swap (NGX/CGPR), commodity code NA, will be August 31, 2009. The September 2009 contract will be settled in accordance with the Natural Gas Exchange (NGX) Canadian Gas Price Reporter (CGPR) (NGX/CGPR) index. Beginning with the October 2009 contract month, the contract will no longer use references from the NGX/CGPR index to perform final settlement. On August 31, the Exchange will conduct a final mark-to-market following the close of trading and cash settle all remaining open positions in all contract months for the AECO/NIT Basis Swap contract. While the Exchange unwinds open interest positions for this contract, months with no open interest, January 2014 through December 2014, will be delisted. In addition, as of April 28, 2009, associated CME ClearPort fees will be waived for all participants.

(bold/underline indicates insertion; strikethrough indicates deletion)

NYMEX AECO/NIT Basis Swap (NGX/CGPR) Contract

516.01 Scope

The provisions of these rules shall apply to all contracts listed on the Exchange for cash settlement based on the Floating Price or the Termination Cash Settlement Price as described in 516.07B below.

516.02 Floating Price

For all contract months prior to and including the September 2009 contract month, Tthe Floating Price for each contract month will be equal to the Alberta Spot Price - AECO C/NIT (7A) priced in US$/MMBtu ("NGX/CGPR") published by Canadian Enerdata Limited ("CEL") in Canadian Gas Price Reporter ("CGPR") and published in real-time on the website of NGX Canada Inc. (www.ngx.com) minus the NYMEX (Henry Hub) Natural Gas Futures contract final settlement price for the corresponding contract month.

516.03 Contract Quantity and Value

The contract quantity shall be 2,500 MMBtu (million British thermal units).

Transaction sizes for trading in any delivery month shall be restricted to whole number multiples of the number of calendar days in that contract month, provided however this restriction on transaction size does not apply to either Exchange of Futures for, or in Connection with Product (EFP) or Exchange of Futures for, or in Connection With Swap Transactions (EFS).

Each futures contract based on the NYMEX Alberta Basis Swap (NGX-CGPR) contract shall be valued as the contract quantity (2,500 MMBtu) multiplied by the settlement price.

516.04 Contract Months

Posting of transactions shall be conducted in contracts in such months as shall be determined by the Board of Directors Exchange.

516.05 Prices and Fluctuations

Prices shall be quoted in U.S. dollars and cents per MMBtu. The minimum price fluctuation shall be $0.0025 per MMBtu.

Valid for contract months through to the September 2009 contract month. See Notice to Members 08-656 dated December 23, 2008.
http://www.nymex.com/ntm656_2008.aspx

516.06 Termination of Posting of Transactions

Posting of transactions shall cease on the last business day of the month prior to the contract month.  On August 31, 2009, trading will terminate for all listed contracts and all contracts will be cash-settled.

516.07 Final Settlement

For all contract months up to and including September 2009 contract month

A)   Delivery under the NYMEX AECO/NIT Basis Swap (NGX/CGPR) contract shall be by cash settlement. Final settlement, following termination of trading for a contract months through the September 2009 contract month, will be based on the Floating Price. The final settlement price will be the Floating Price calculated for each contract month, provided, however, that in the event that the Floating Price is not available to the Exchange for any reason, the President or the President's designee Exchange, based on the best information available to it the Exchange at the time, will determine a final settlement price, which in the judgment of staff, is intended to serve as the best substitute for the Floating Price.

Valid for contract months through to the September 2009 contract month. See Notice to Members 08-672 dated December 31, 2008. http://www.nymex.com/ntm672_2008.aspx

For all contract months beyond September 2009 contract month

B) Final settlement, following termination of trading for contract months beyond the September 2009 contract month, will be based on the termination cash settlement price (the “Termination Cash Settlement Price”).  The Termination Cash Settlement Price will be based on a survey of OTC Derivative Market Brokers performed by Exchange staff.  The survey will consist of at least four OTC Derivative Market Brokers and a simple arithmetic average of the brokers’ responses will be calculated to determine the Termination Cash Settlement Price.  The Termination Cash Settlement Price will reflect the current market values for each contract month based upon transactions in the off-exchange derivatives market.  In the event that a survey of OTC Derivative Market Brokers for any contract month is not available to the Exchange for any reason, the Exchange, based on the best information available to it at the time, will determine the current market values based upon transactions in the off-exchange derivatives market. 

516.08 Exchange of Futures for, or in Connection with Product and Exchange of Futures for, or in Connection with Swap Transactions

Any Exchange of Futures for, or in Connection with Product (EFP) or Exchange of Futures for, or in Connection with Swap Transactions (EFS) shall be governed by the provisions of Rules 6.21 and 6.21A, respectively.

516.09 Disclaimer

NEITHER THE NEW YORK MERCANTILE EXCHANGE, INC. (NYMEX), Canadian Enerdata Ltd. (CEL) NOR Natural Gas Exchange (NGX) GUARANTEE THE ACCURACY AND/OR COMPLETENESS OF THE SPOT PRICE OR ANY OF THE DATA INCLUDED THEREIN.

NYMEX, NGX AND CEL MAKE NO WARRANTIES, EXPRESS OR IMPLIED, AS TO THE RESULTS TO BE OBTAINED BY ANY PERSON OR ENTITY FROM USE OF THE SPOT PRICE, TRADING BASED ON THE SPOT PRICE, OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE TRADING OF THE NYMEX AECO/NIT BASIS SWAP (CGPR) CONTRACTS, OR, FOR ANY OTHER USE. NYMEX NGX AND CEL MAKE NO WARRANTIES, EXPRESS OR IMPLIED, AND HEREBY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE SPOT PRICE OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL NYMEX, NGX AND CEL HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

NGX OWNS ALL PROPRIETARY AND INTELLECTUAL PROPERTY RIGHTS TO THE NGX/CGPR PRICE WHICH IS AVAILABLE IN REALTIME ON NGX'S WEBSITE AND PUBLISHED BY CANADIAN ENERDATA LTD. IN CGPR.

For further information, please contact Brad Leach at 212-299-2609, Adila Mchich at 212 299-2270 or Bob Levin at 212-299-2390.

* * * * *

NOTICE NO. 08-672

12/31/2008

Change of Final Settlement Reference from Natural Gas Exchange (NGX) Canadian Gas Price Reporter (CGPR)

Please be advised, starting with the October 2009 contracts and continuing thereafter, the final settlement for the following contracts will change. These contracts will no longer use references from Natural Gas Exchange (NGX) Canadian Gas Price Reporter (CGPR) to perform final settlement; they will begin using references from a different source that will reflect the same underlying market mechanism-- a survey of the average transaction price during the calendar month for one-month forward delivery of natural gas at the AECO Hub. The Exchange will be providing additional information on the new survey and its provider in the near future. The contracts’ specifications will not otherwise change.

Should you have any questions or require any further information, please contact ExchangeInformation@cmegroup.com