Notice to Members
Notice No. 122
03/10/2006
Amendments to Clearing Member Position Limits (NYMEX Rule 9.20)
The Board of Directors ("Board"), at its meeting on March 1, 2006, has approved a recommendation from the Clearing House Committee to amend certain provisions of NYMEX Rule 9.20 (Position Limits). The amendments serve to, among other things, change the components of the formula utilized by the Exchange to calculate Clearing Member position limits.

The Financial Surveillance Division Staff monitors our Clearing Members' compliance with required position limits on a daily basis. The formula currently utilized compares “net” margin requirements, on a per Division basis, versus a percentage of a firm's working capital. Two calculations are made: (1) an early warning (super margin) level, and (2) an absolute limit. There are different percentages used for customer, house, and combined positions.

The following highlights the amendments to Rule 9.20 which are effective on April 1, 2006.
  1. The working capital "ceiling" will be raised from $200 million to $1 billion.

  2. The margin risk associated NYMEX & COMEX positions will be combined.

  3. The maximum risk percentages of a firm's capital will be raised as follows:
    Early Warning (super margin):
    Customer —> from 150% to 200%
    House —> from 75% to 100%
    Combined —> from 200% to 250%
    Absolute Limit
    Customer —> from 200% to 300%
    House —> from 100% to 150%
    Combined —> from 250% to 350%
  4. Position limit exemptions granted Clearing Members will result in a surcharge to the firm's Guaranty Fund contribution.
The changes can be viewed here.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com