NASDAQ OMX Commodities would like to inform its customers about potential insignificant discrepancies in the theoretical daily fix for contracts in delivery. These discrepancies may appear for theoretical daily fixes which are obtained by using weighted average of daily fixes of shorter contracts (please see Appendix 1 in the Margin Guide http://www.nasdaqomx.com/digitalAssets/91/91464_nasdaq-omx-commodities-margin-guide-2014-03-31.pdf for more details on the calculation of theoretical daily fix) . Due to that prices in the price feeds from price providers may contain a different number of decimals (3-4 decimals) than used by NASDAQ OMX (2 decimals), the theoretical daily fix for contracts in delivery may slightly differ if manually replicated by using prices for shorter contracts from the SPAN* file, the margin data report or NASDAQ OMX web-page. This only apply to the Commodities energy contracts and does not affect freight, fuel and seafood contracts that were migrated into Genium INET on Monday, April, 7th
Please contact risk management for any questions regarding this.
"SPAN is a registered trademark of Chicago Mercantile Exchange Inc., used herein under license. Chicago Mercantile Exchange Inc. assumes no liability in connection with the use of SPAN by any person or entity."
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