The following change that was scheduled to be implemented on Monday, May 11, 2009 has been postponed to Monday, June 8, 2009.
Effective Monday, June 8, 2009, intraday settlement prices will be disseminated for all NYMEX Henry Hub Natural Gas (symbol NG) contracts. These contract settlements will serve as one of the components used in the calculation of the new NYMEX National Balancing Point (or “NBP”) to Henry Hub Futures Swap Product (symbol E2). These prices will represent the Average Weighted Price of all NG trades between 11:00AM and 11:15AM ET.
Similar to regular settlement messages, intraday settlement messages are published with ITC2 Category ‘Q’ messages. Intraday Settlements will be distinguishable from end-of-day settlements not only by the time they are published, but also by the presence of price indicator ‘W’ in each message. Regular settlements messages have a blank price indicator.
Please be advised that intra-settlements may be disseminated on any given product in NYMEX’s version of ITC 2.1. It is important to ensure that intraday settlements do not overwrite the end-of-day settlements in your proprietary systems (and/or negatively impacts your net change calculations) when they are published. If you choose to support intraday settlements in your system, please prominently display them in Time & Sales or Summary views through the use of a unique indicator, so that customers can easily identify the prices as intraday settlements.
Example of an Intraday Natural Gas (NG) Settlement in ITC2 format:
N FQ F06527951123185  NG K09RJ093 0003201+ WF F
Please refer to the attached text file for more examples of both ITC2 intraday and ITC2 end-of-day settlements for NG.
Please contact Market Data Operations (MDO) at email@example.com, if you have any questions concerning this notice.
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