According to a press release , the regulator accuses the Greenwich, Connecticut-based hedge fund of trying to lower natural gas prices in February and April 2006 on the New York Mercantile Exchange to benefit trading positions it held on the InterContinental Exchange Inc., an electronic futures exchange.
February 24, 2006 was the last day of trading for the March 2006 NYMEX natural gas futures contract and April 26, 2006 was the expiry day of the May 2006 NYMEX natural gas futures contract. The complaint alleges that on each of those days, the defendants acquired more than 3,000 NYMEX natural gas futures contracts in advance of the closing range, which they planned to, and for the most part did, sell during the closing range.
CFTC also alleges that defendants held large short natural gas financially-settled swaps positions, primarily held on the IntercontinentalExchange (ICE). The settlement price of the ICE swaps is based on the NYMEX natural gas futures settlement price determined by trading done during the closing range on expiry day.
According to the regulator, defendants intended to lower the prices of the NYMEX natural gas futures contracts to benefit their larger swaps positions on ICE and elsewhere.
CFTC also accuses Amaranth and Hunter of trying to conceal these practices by making false statements in an August letter to NYMEX officials about the trading.
The full complaint filed in the U.S. District Court for the Southern District of New York is here .