IMPORTANT: NYMEX Intraday What-If Report Now Available

A new report, the NYMEX Intraday What-If Report, is now available for clearing firms on EREP (CME’s new report distribution application) within the Firm Risk Staff role.  If you are unable to view this report, please contact FirmSupport@cmegroup.com or 312-930-3444 to request access to this role.  The report ID is CPB991. 

Trades cleared each day (“top-day” trades) in NYMEX and COMEX products (“New York products”) are not currently brought into the intraday settlement cycle.  Settlement variation amounts for New York products are determined solely from start-of-day positions, plus any transfers or as-of trades that have cleared.  And the positions used for calculating margin requirements at intraday for New York products are likewise determined solely from the start-of-day position, as adjusted, plus any transfers or as-of’s.

This behavior may be contrasted with that for CME and CBOT (“Chicago”) products.  For Chicago products, top-day trades cleared up to intraday cutoff time (11:00 am Chicago time, noon New York time) are brought into the intraday cycle.

CME Clearing intends in the future to harmonize this business practice difference, and to begin treating top-day activity for the New York products in exactly the same manner as for Chicago products.  In other words, when this change is made, at a future date, top-day activity in New York products will be brought into the intraday cycle.  No date has been set for making this change.

The new CPB991 report is intended to assist firms in understanding the likely effect of the future change on their intraday settlement amounts and margin requirements.

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