Recent amendments to NYSE Rule 103.20 have served to reduce the obligations of designated market market units - changes went into effect 8/15 - as follows: 

• reduce the DMM units’ total net liquid assets requirement to $125 million (from $250mn);
• reduce the “market risk add-on” to the net liquid assets requirement from 3 times securities position haircuts to 1 times the haircuts; and
• eliminate the value at risk (“VaR”) market risk add-on alternative.

Background Information.   Currently, Rule 103.20 requires each DMM unit to maintain or have allocated to it “net liquid assets” (i.e., assets readily convertible into cash) pursuant to a formula that results in total net liquid assets of all DMM units equal to $250 million, plus a “market risk add-on” equal to three times the average of the prior 20 business days securities haircut on the DMM unit positions computed pursuant to Securities Exchange Act (“SEA”) Rule 15c3-1(2)(v)(1), exclusive of paragraph (N).

Under the amended Rule, the individual DMM unit percentage of the net liquid assets requirement will be fixed monthly based on a fraction for which the denominator is the total transaction dollar volume of all NYSE traded securities for the 20 trading days preceding the first day of a calendar month and the numerator is the DMM unit’s total NYSE transaction dollar volume of securities traded for such period.  In addition, the market risk add-on under renumbered Rule 103.20(b)(i)(B) would be set at one times the average of the prior 20 business days securities haircut on the DMM unit positions computed pursuant to SEA Rule 15c3-1(2)(v)(1), exclusive of paragraph (N).

NYSE-R and FINRA Staff Contacts.  Direct questions to: Clare Saperstein, VP, NYSE Reg. (212.656.2355; csaperstein@nyx.com;)  David De Gregorio, Chief Counsel, NYSE Reg. (212.656.4166;  ddegregorio@nyx.com);  Patrick Tominey, VP, FINRA Member Reg. (646.315.8601;  Patrick.Tominey@finra.org);  Michelle Battaglia, Surveillance Director, FINRA Member Reg. (646.315.8409;  Michelle.Battaglia@finra.org).   For further information, go to:   [NYSE Member Ed. Bulletin 11-7, 8/11/11]