Please be reminded that the NYMEX AECO/NIT Basis Swap (NGX/CGPR) (commodity code NA) (also commonly referred to as the “Alberta Basis Swap”) contract WILL BE DELISTED NEXT MONDAY, AUGUST 31, 2009.
LAST TRADE DATE
FINAL SETTLEMENT METHOD
August 31, 2009
October 2009 thru December 2013
August 31, 2009
Exchange Survey of Brokers
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. With regard to the final settlement for all remaining contract months (October 2009 thru December 2013), on Monday, 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 NYMEX AECO/NIT Basis Swap (NGX/CGPR) 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 continue to be waived for all participants.
Previous communication regarding this delisting can be found under NYMEX Notice to Members No. 08-672, dated 12/31/08, Energy Update, dated 4/24/09, Special Executive Report (SER) #4958, dated 8/5/09, SER #4963, dated 8/11/09, and SER #4978, dated 8/18/09 at www.cmegroup.com.
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, please find below the amended Rules for NYMEX AECO/NIT Basis Swap (NGX/CGPR) Contract which became effective on April 28, 2009.
(bold/underline indicates insertion;
strikethrough indicates deletion)
NYMEX AECO/NIT Basis Swap (NGX/CGPR) Contract
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)
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.
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.
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