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US Seasonal Strip Weather Cooling Degree Day (CDD) Margins

Ratio Side Start Period End Period Maintenance
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
09/2021

09/2022

09/2023
11/2021

11/2022

11/2023
175 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2021

09/2022
11/2021

11/2022
140 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
09/2021

12/2022

03/2024
11/2021

02/2023

05/2024
200 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2021

12/2022
11/2021

02/2023
140 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2021

03/2023
11/2021

05/2023
150 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2021

06/2023
11/2021

08/2023
130 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2021

09/2023
11/2021

11/2023
125 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2021

12/2023
11/2021

02/2024
125 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2021

03/2024
11/2021

05/2024
125 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2021

06/2024
11/2021

03/2029
125 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2021

03/2022
02/2022

05/2022
60 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
12/2021

03/2022

06/2022
02/2022

05/2022

08/2022
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
12/2021

03/2022

06/2022

09/2022
02/2022

05/2022

08/2022

11/2022
110 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2021

06/2022
02/2022

08/2022
100 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
12/2021

06/2022

12/2022

06/2023
02/2022

08/2022

02/2023

08/2023
130 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
12/2021

06/2022

12/2022
02/2022

08/2022

02/2023
120 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2021

09/2022
02/2022

11/2022
120 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
12/2021

09/2022

06/2023

03/2024
02/2022

11/2022

08/2023

05/2024
150 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
12/2021

09/2022

06/2023
02/2022

11/2022

08/2023
150 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
12/2021

12/2022

12/2023
02/2022

02/2023

02/2024
175 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2021

12/2022
02/2022

02/2023
120 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
12/2021

03/2023

06/2024
02/2022

05/2023

03/2029
200 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2021

03/2023
02/2022

05/2023
120 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2021

06/2023
02/2022

08/2023
125 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2021

09/2023
02/2022

11/2023
120 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2021

12/2023
02/2022

02/2024
125 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2021

03/2024
02/2022

05/2024
125 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2021

06/2024
02/2022

03/2029
125 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2022

06/2022
05/2022

08/2022
60 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
03/2022

06/2022

09/2022
05/2022

08/2022

11/2022
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
03/2022

06/2022

09/2022

12/2022
05/2022

08/2022

11/2022

02/2023
110 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2022

09/2022
05/2022

11/2022
100 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
03/2022

09/2022

03/2023

09/2023
05/2022

11/2022

05/2023

11/2023
130 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
03/2022

09/2022

03/2023
05/2022

11/2022

05/2023
120 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2022

12/2022
05/2022

02/2023
100 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
03/2022

12/2022

09/2023

06/2024
05/2022

02/2023

11/2023

03/2029
150 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
03/2022

12/2022

09/2023
05/2022

02/2023

11/2023
150 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
03/2022

03/2023

03/2024
05/2022

05/2023

05/2024
175 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2022

03/2023
05/2022

05/2023
80 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2022

06/2023
05/2022

08/2023
75 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2022

09/2023
05/2022

11/2023
80 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2022

12/2023
05/2022

02/2024
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2022

03/2024
05/2022

05/2024
100 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2022

06/2024
05/2022

03/2029
100 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2022

09/2022
08/2022

11/2022
60 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
06/2022

09/2022

12/2022
08/2022

11/2022

02/2023
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
06/2022

09/2022

12/2022

03/2023
08/2022

11/2022

02/2023

05/2023
110 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2022

12/2022
08/2022

02/2023
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
06/2022

12/2022

06/2023

12/2023
08/2022

02/2023

08/2023

02/2024
130 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
06/2022

12/2022

06/2023
08/2022

02/2023

08/2023
120 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2022

03/2023
08/2022

05/2023
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
06/2022

03/2023

12/2023
08/2022

05/2023

02/2024
150 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
06/2022

06/2023

06/2024
08/2022

08/2023

03/2029
175 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2022

06/2023
08/2022

08/2023
75 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2022

09/2023
08/2022

11/2023
75 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2022

12/2023
08/2022

02/2024
80 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2022

03/2024
08/2022

05/2024
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2022

06/2024
08/2022

03/2029
100 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
09/2022

12/2022

03/2023

06/2023
11/2022

02/2023

05/2023

08/2023
110 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2022

12/2022
11/2022

02/2023
60 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
09/2022

12/2022

03/2023
11/2022

02/2023

05/2023
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2022

03/2023
11/2022

05/2023
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
09/2022

03/2023

09/2023

03/2024
11/2022

05/2023

11/2023

05/2024
130 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
09/2022

03/2023

09/2023
11/2022

05/2023

11/2023
120 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2022

06/2023
11/2022

08/2023
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
09/2022

06/2023

03/2024
11/2022

08/2023

05/2024
150 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2022

09/2023
11/2022

11/2023
75 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2022

12/2023
11/2022

02/2024
75 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2022

03/2024
11/2022

05/2024
80 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2022

06/2024
11/2022

03/2029
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
12/2022

03/2023

06/2023

09/2023
02/2023

05/2023

08/2023

11/2023
110 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2022

03/2023
02/2023

05/2023
60 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
12/2022

03/2023

06/2023
02/2023

05/2023

08/2023
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2022

06/2023
02/2023

08/2023
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
12/2022

06/2023

12/2023

06/2024
02/2023

08/2023

02/2024

03/2029
130 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
12/2022

06/2023

12/2023
02/2023

08/2023

02/2024
120 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2022

09/2023
02/2023

11/2023
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
12/2022

09/2023

06/2024
02/2023

11/2023

03/2029
150 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2022

12/2023
02/2023

02/2024
75 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2022

03/2024
02/2023

05/2024
75 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2022

06/2024
02/2023

03/2029
80 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
03/2023

06/2023

09/2023

12/2023
05/2023

08/2023

11/2023

02/2024
110 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2023

06/2023
05/2023

08/2023
60 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
03/2023

06/2023

09/2023
05/2023

08/2023

11/2023
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2023

09/2023
05/2023

11/2023
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
03/2023

09/2023

03/2024
05/2023

11/2023

05/2024
120 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2023

12/2023
05/2023

02/2024
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2023

03/2024
05/2023

05/2024
75 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2023

06/2024
05/2023

03/2029
75 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
06/2023

09/2023

12/2023

03/2024
08/2023

11/2023

02/2024

05/2024
110 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2023

09/2023
08/2023

11/2023
60 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
06/2023

09/2023

12/2023
08/2023

11/2023

02/2024
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2023

12/2023
08/2023

02/2024
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
06/2023

12/2023

06/2024
08/2023

02/2024

03/2029
120 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2023

03/2024
08/2023

05/2024
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
06/2023

06/2024
08/2023

03/2029
75 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1

1

1
A

B

B

A
09/2023

12/2023

03/2024

06/2024
11/2023

02/2024

05/2024

03/2029
110 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2023

12/2023
11/2023

02/2024
60 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
09/2023

12/2023

03/2024
11/2023

02/2024

05/2024
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2023

03/2024
11/2023

05/2024
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
09/2023

06/2024
11/2023

03/2029
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2023

03/2024
02/2024

05/2024
60 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

2

1
A

B

A
12/2023

03/2024

06/2024
02/2024

05/2024

03/2029
85 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
12/2023

06/2024
02/2024

03/2029
70 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
A

B
03/2024

06/2024
05/2024

03/2029
60 USD
CME INTEREST RATES 3M SOFR FUTURES SR3 1

1
B

A
06/2024

06/2024
03/2029

03/2029
90 USD
CME REAL ESTATE BOSTON HOUSING INDEX BOS 1

1
B

A
11/2019

11/2019
11/2023

11/2023
500 USD
CME REAL ESTATE CHICAGO HOUSING INDEX CHI 1

1
B

A
11/2019

11/2019
11/2023

11/2023
500 USD
CME REAL ESTATE COMPOSITE CITIES HOUSING INDEX CUS 1

1
B

A
11/2019

11/2019
11/2023

11/2023
500 USD
CME REAL ESTATE DENVER HOUSING INDEX DEN 1

1
B

A
11/2019

11/2019
11/2023

11/2023
500 USD
CME REAL ESTATE LAS VEGAS HOUSING INDEX LAV 1

1
B

A
11/2019

11/2019
11/2023

11/2023
700 USD
CME REAL ESTATE LOS ANGELES HOUSING INDEX LAX 1

1
B

A
11/2019

11/2019
11/2023

11/2023
600 USD
CME REAL ESTATE MIAMI HOUSING INDEX MIA 1

1
B

A
11/2019

11/2019
11/2023

11/2023
600 USD
CME REAL ESTATE NEW YORK HOUSING INDEX NYM 1

1
B

A
11/2019

11/2019
11/2023

11/2023
500 USD
CME REAL ESTATE SAN DIEGO HOUSING INDEX SDG 1

1
B

A
11/2019

11/2019
11/2023

11/2023
500 USD
CME REAL ESTATE SAN FRANCISCO HOUSING INDEX SFR 1

1
B

A
11/2019

11/2019
11/2023

11/2023
1,000 USD
CME REAL ESTATE WASHINGTON DC HOUSING INDEX WDC 1

1
B

A
11/2019

11/2019
11/2023

11/2023
650 USD
CME WEATHER LONDON MONTHLY HDD D0 1

1
B

A
11/2019

11/2019
10/2022

10/2022
600 GBP
CME WEATHER AMSTERDAM MONTHLY HDD D2 1

1
B

A
11/2019

11/2019
10/2022

10/2022
300 EUR
CME WEATHER LONDON CDD MONTHLY G0 1

1
B

A
04/2020

04/2020
10/2022

10/2022
200 GBP
CME WEATHER AMSTERDAM MONTHLY CDD G2 1

1
B

A
04/2020

04/2020
10/2022

10/2022
200 EUR
CME WEATHER LAS VEGAS MONTHLY HDD H0 1

1
B

A
11/2019

11/2019
10/2022

10/2022
200 USD
CME WEATHER ATLANTA MONTHLY HDD H1 1

1
B

A
11/2019

11/2019
10/2022

10/2022
250 USD
CME WEATHER CHICAGO MONTHLY HDD H2 1

1
B

A
11/2019

11/2019
10/2022

10/2022
200 USD
CME WEATHER CINCINNATI MONTHLY HDD H3 1

1
B

A
11/2019

11/2019
10/2022

10/2022
2,000 USD
CME WEATHER NEW YORK MONTHLY HDD H4 1

1
B

A
11/2019

11/2019
10/2022

10/2022
1,500 USD
CME WEATHER DALLAS MONTHLY HDD H5 1

1
B

A
11/2019

11/2019
10/2022

10/2022
200 USD
CME WEATHER MINNEAPOLIS MONTH HDD HQ 1

1
B

A
11/2019

11/2019
10/2022

10/2022
200 USD
CME WEATHER SACRAMENTON MONTHLY HDD HS 1

1
B

A
11/2019

11/2019
10/2022

10/2022
200 USD
CME WEATHER LAS VEGAS CDD K0 1

1
B

A
04/2020

04/2020
10/2022

10/2022
800 USD
CME WEATHER ALTANTA CDD K1 1

1
B

A
04/2020

04/2020
10/2022

10/2022
900 USD
CME WEATHER CHICAGO CDD K2 1

1
B

A
04/2020

04/2020
10/2022

10/2022
600 USD
CME WEATHER CINCINNATI CDD K3 1

1
B

A
04/2020

04/2020
10/2022

10/2022
300 USD
CME WEATHER NEW YORK CDD K4 1

1
B

A
04/2020

04/2020
10/2022

10/2022
300 USD
CME WEATHER DALLAS CDD K5 1

1
B

A
04/2020

04/2020
10/2022

10/2022
300 USD
CME WEATHER MINNEAPOLIS CDD KQ 1

1
B

A
04/2020

04/2020
10/2022

10/2022
200 USD
CME WEATHER SACRAMENTO CDD KS 1

1
B

A
04/2020

04/2020
10/2022

10/2022
600 USD