Nymex: Position Accountability Levels, Position Limits, Margins Announced For New Natural Gas Basis Swap Futures

The New York Mercantile Exchange, Inc. today announced accountability levels, expiration position limits, and margin rates for the three natural gas basis swap contracts that will be listed for trading or solely for clearing on the NYMEX ClearPort® electronic platform beginning with the September12 trading session.

The position accountability levels for the Sonat, FGT Zone 3, and Transco Zone 4 basis swap futures contracts will be 10,000 contracts for any single month or all months, with the exception of a 500–contract level for the last three days of the expiring contract. Clearing members must identify to the Exchange customers who hold 25 or more contracts.

Margins for all contract months for the three contracts will be $75 for clearing members, $83 for members, and $101 for customers. Intra–commodity spread margins will be $25 for clearing members, $28 for members, and $34 for customers.