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Product LoginWednesday, March 20, 2019
Futures Trader Alert #2019 - 8
Initial Listing & Margin Notice for NFX Dry Freight Futures for Trade Date March 28, 2019
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Pending all regulatory review, effective with the Open Session on March 27, 2019, for Trade Date March 28, 2019, Nasdaq Futures (NFX) will list the following futures contract.
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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