Notice No. 01-201
June 14, 2001

Note: To view a properly formatted copy of this notice, please visit http://www.nymex.com/refernce/notices/2001/ntm_201.htm

TO:
All Clearing Member Firms
All Compliance Officers and Operations Managers

FROM:
Neal Wolkoff; Executive Vice-President

RE:
Amendment to "Super Margin" Calculation
___________________________________________________________________________

Currently, Clearing Member firms are required to post original margin based on the gross positions of their customers. The margin requirement is calculated using the "SPAN" system which identifies two separate components for each portfolio, scan risk and option value. A portfolio's net short option value is added to the scan risk when determining margin requirements, while net long option value is subtracted from the scan risk amount.

NYMEX Rule 9.20 uses the amount calculated by the SPAN system to determine a Clearing Member's position limits. Super margin is actually a supplement to a Clearing Member's original margin and is required if a firm's "super risk" calculation exceeds a certain limit based on a percentage of the firm's capital (150% - customer; 75% - house). Super risk is calculated by determining a Clearing Member's SPAN margin requirement based on net positions. A Clearing Member must deposit as super margin the excess of super risk over the firm's limit, in effect, paying double margin for that increment.

*** Effective June 15, 2001, the formula currently used to determine a firm's super margin requirement will be amended so as to only include the "scan risk" of the overall net portfolio and omit the net option value. ***

As such, the following amendments have been made to NYMEX Rule 9.20

NYMEX Rule 9.20. POSITION LIMITS
 (Additions are in Bold and Underlined; Deletions are in {Brackets} and Underlined)

         "(A)(2) "Position Risk" shall mean the {amount} "Scan Risk" as calculated using the Exchange's Standard Portfolio Analysis ("SPAN") margin system analyzing the net positions carried by the Clearing Member."




The following example provides a comparison between the current calculation and the amended version.

Assumptions:
-Clearing Member "ABC" has working capital of $10 million.
-The firm clears one customer with a maintenance margin requirement of $18 million ($4M scan risk; $14M SOV).

Current Calculation:

"Super Risk" - $18M ($4M scan risk; $14M SOV)
"Risk Limit" -  $ 15M ($10M working cap. @150%)
     Super Margin Required - $3M

Original Margin Requirement - $18M
Super Margin Requirement -    $3M
     Total Margin Requirement - $21M

Amended Calculation:

**Super Risk - $4M ($4M scan risk only; omit the $14M SOV)
Risk Limit -  $ 15M ($10M working cap. @150%)
     **No Super Margin Required

Original Margin Requirement - $18M
**Super Margin Requirement - $0
     **Total Margin Required - 18M



__________________________________________________
Please click on the link below to indicate you have received this
email.

"http://208.206.41.61/email/email_log.cfm?useremail=tana.jones@enron.com&refdoc=(01-201)"

Note: If you click on the above line and nothing happens, please copy
the text between the quotes, open your internet browser,
paste it into the web site address and press Return.