Trading at Settlement in Henry Hub Natural Gas Swap Futures; European Gasoil (ICE) Futures; Gold Futures; Silver Futures; and Intra-Commodity Calendar Spreads in Crude Oil, Heating Oil, Natural Gas and RBOB Gasoline

Effective trade date Monday, April 12, 2010, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will launch Trading at Settlement (TAS) in: (i) four NYMEX intra-commodity energy futures calendar spreads; (ii) Henry Hub Natural Gas Swap Futures; and (iii) European Gasoil (ICE) Futures. 

Effective trade date Monday, April 12, 2010, the Commodity Exchange, Inc. (COMEX) will launch TAS in: (a) Gold Futures; and (b) Silver Futures. 

Also effective trade date Monday, April 12, 2010, the Exchange will eliminate TAS for Gulf Coast Gasoline Futures (LR) and Gulf Coast Ultra Low Sulfur Diesel (ULSD) Futures (LU).

I.        NYMEX Intra-Commodity Energy Futures Calendar Spreads Traded on CME Globex and NYMEX Pit

As of April 12, 2010, intra-commodity calendar spreads in the nearby month/third month spread in Light Sweet Crude Oil, New York Harbor No. 2 Heating Oil, Henry Hub Natural Gas and RBOB Gasoline may be executed on CME Globex and the NYMEX trading floor and priced at TAS, beginning with the May 2010 contract month for all four intra-commodity calendar spreads. 

The Exchange currently offers TAS in the nearby month/second month spread and the second month/third month spread in these commodities.

The commodity codes and respective venues are provided below for your convenience:

The pricing of the legs of a TAS calendar spread will be calculated as follows:

·         The nearby leg of the spread will always be priced at the settlement price determined by the Exchange for that contract month. 

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

Example: 

A May 2010/July 2010 (K/N) Light Sweet Crude Oil calendar spread trades at TAS -1.  Assume the May contract settles at 74.71 and the July contract settles at 75.15.

The May leg will be priced at the May settlement price of 74.71.  The July leg will be priced at 75.16, which is the July settlement price of 75.15 minus the TAS price increment of –1 (75.15 minus –.01 = 75.16).

II.        Henry Hub Natural Gas Swap Futures Traded on CME Globex and NYMEX Pit

As of April 12, 2010, spot month (except on the last trading day), 2^nd and 3^rd months in Henry Hub Natural Gas Swap Futures may be executed on CME Globex and the NYMEX trading floor and priced at TAS beginning with the May 2010 contract month.

III.        European Gasoil (ICE) Futures Traded on CME Globex and NYMEX Pit

As of April 12, 2010, spot month (except on the last trading day), 2^nd and 3^rd months in European Gasoil (ICE) Futures may be executed on CME Globex and the NYMEX trading floor and priced at TAS beginning with the May 2010 contract month.

A.    Gold Futures (GC) (CME Globex TAS code GCT) Traded on CME Globex and COMEX Pit

As of April 12, 2010 and beginning with the June 2010 contract month, COMEX will offer TAS on the active Gold Futures contract month excluding the October contract month.  Specifically, TAS will be permitted on only one of the following active contract months: February, April, June, August, and December.  

·         When the April contract becomes spot, the June contract becomes the TAS month.

·         When the June contract becomes spot, the August contract becomes the TAS month.

·         When the August contract becomes spot, the December contract becomes the TAS month.

·         When the December contract becomes spot, the February contract becomes the TAS month.

·         When the February contract becomes spot, the April contract becomes the TAS month, and so on.

Examples:

o    As of April 12, 2010, when the April 2010 contract is the spot month, the June 2010 contract month becomes the TAS month.

o    The June 2010 contract month remains the TAS month until the last trade date of the May 2010 contract month (5/26/10 – 3^rd last business day of the month).

o    On the next business day (5/27/10 – the 2^nd to last business day of the month), the June 2010 contract month becomes the spot month and the August 2010 contract becomes the TAS month.

o    The August 2010 contract month remains the TAS month until the last trade date of the July 2010 contract month (7/28/10 – 3^rd last business day of the month).

o    On the next business day (7/29/10 – the 2^nd to last business day of the month), the August 2010 contract month becomes the spot month and the December 2010 contract becomes the TAS month.

o    As the October cycle month is not included as a TAS month, the December TAS contract month will be TAS-eligible for a period of 4 months whereas the other active cycle contract months will be TAS-eligible for a period of 2 months.

B.    Silver Futures (SI) (CME Globex TAS code SIT) Traded on CME Globex and COMEX Pit