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Product LoginTuesday, June 20, 2017
Futures Trader Alert #2017 - 13
Initial Listing & Margin Notice for 7 Minnesota MISO & 20 Mini Off-Peak Day-Ahead Futures Contracts for Trade Date June 30, 2017
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Markets Impacted:Contact Information:
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Upon the beginning of the Open Session on Tuesday, June 20, market participants will be able to establish risk limits in the NFX Genium INET TradeGuard system for the 7 Minnesota MISO and 20 Mini Off-Peak Day-Ahead Financial Futures (Power Financial Futures Contracts). Effective with the Open Session on June 29, the new Power Financial Futures Contracts will be available for trading:
How will speculative customer initial margin be determined? Pursuant to CFTC regulations, The Options Clearing Corporation (“OCC”) will set the speculative customer initial margin requirement on NFX futures and options on futures. CFTC regulations require OCC to set the customer initial margin requirement at an amount that is higher than OCC’s clearing member margin requirement. OCC has advised NFX that the customer initial margin requirement for NFX contracts will be set to a dollar amount that equals 110% of the greater of Value-at-Risk (VaR) level calculated using a 99% confidence interval for the daily price returns using a 2-year and 5-year look-back period (on a per contract basis). In addition, for products having an economically equivalent contract listed on another market center, OCC will not allow its rates to fall below that of the primary listing exchange. OCC has advised NFX that customer initial margin requirement are reset approximately every 90 calendar days and monitored daily, with rates being re-set should a one-day change in settlement price exceed the prevailing rate at the time. In addition, OCC has authority to update customer initial margin requirements at any time, if deemed warranted, and as dictated by market conditions. How will customer maintenance margin be determined? NFX has adopted OCC’s VaR calculation as described above as the customer maintenance margin requirement. How will hedge customer initial margin and futures participant initial margin be determined? NFX has adopted OCC’s VaR calculation as described above as the initial and maintenance margin requirement for hedge customers and Futures Participants. Where can I find the margin rates? NFX margin rates will be available on the OCC website at: www.theocc.com. For additional information, please contact NFX Market Operations or call 215.496.5409. |
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