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Notice I-14-01

January 06, 2014

Additional Reporting Requirements for FCMs for which NFA is DSRO

In order to improve NFA's risk monitoring of FCMs for which NFA is the DSRO, NFA is implementing new reporting requirements effective January 14, 2014. Under the new reporting requirements, FCMs for which NFA is the DSRO will be required to report certain specified information to NFA on a daily, monthly or quarterly basis through the daily segregation report filed through Winjammer™. In order to simplify the filing process, as described below, the FCM's daily segregation report will populate the required information requests on a daily, monthly or quarterly basis. Help text is provided within the form to assist FCMs with the filing. The newly required information should be data that is readily available to FCMs.

Daily Reporting Requirements

The first daily information request will be included in the January 14, 2014 segregation report filed through Winjammer™ and will require the information as of January 13, 2014. All subsequent daily filings will be for the required information as of the prior business day. The newly required daily information is as follows:

  • Total customer account gross margin deficiencies, in U.S. dollars, within the CFTC Regulation 1.20 segregated funds origin;
  • Total customer account gross margin deficiencies, in U.S. dollars, within the CFTC Regulation 30.7 secured funds origin;
  • Total customer account gross margin deficiencies, in U.S. dollars, within the CFTC Regulation 22.2 cleared swaps customer collateral funds origin;
  • Total non-customer and proprietary account gross margin deficiencies in U.S. dollars;
  • Number of customer accounts contributing to the total customer account gross margin deficiency within the CFTC Regulation 1.20 segregated funds origin;
  • Number of customer accounts contributing to the total customer account gross margin deficiency within the CFTC Regulation 30.7 secured funds origin;
  • Number of customer accounts contributing to the total customer account gross margin deficiency within the CFTC Regulation 22.2 cleared swaps customer collateral funds origin; and
  • Number of accounts contributing to the total non-customer and proprietary account gross margin deficiency.

Additionally, each FCM for which NFA is the DSRO will be required to upload a copy of the firm's daily margin report the FCM uses to issue margin calls.

Monthly Reporting Requirements

Monthly information will be due in the first daily segregation report filed each month. The first reporting will be due February 3, 2014 and will require information, as specified in the question, for the month of January or as of January 31, 2014. The newly required monthly information is as follows:

  • Identify entities where house commodity trading accounts were held and the number of accounts held at each entity (at any time during the prior month);
  • Identify all counterparties utilized by the FCM to any repurchase or reverse repurchase agreements (at any time during the prior month);
  • Identify any non-trade based fees the FCM charged to customers (at any time during the prior month);
  • Identify all forms of funding accepted by the FCM for customer trading accounts (at any time during the prior month);
  • Identify all formal lines of credit held by the FCM during the prior month and the amount of credit available from that line. Also report the total amount drawn from each line during the month regardless of whether the amount has been repaid;
  • Identify all market segments in which the FCM's customers trade and any products that make up 20% or greater of open interest carried by the FCM (as of the month end reporting date);
  • Number of customer accounts whose trading volume represents 10% or more of the firm's overall trading volume (as of the month end reporting date);
  • Number of proprietary and non-customer accounts whose trading volume represents 10% or more of the firm's overall trading volume (as of the month end reporting date);
  • If the firm allows employees to engage in outside business activities;
  • If the FCM offered any new products or services that the FCM did not offer in previous monthly reporting period;
  • If the FCM held customer segregated, secured or cleared swaps customer collateral, in cash, outside the United States (at any time during the month);
  • If the FCM held customer segregated, secured or cleared swaps customer collateral, in securities, outside the United States (at any time during the month);
  • Identify the total number of customer accounts that individually represents 5% or greater of the Segregated required balance (as of the month end reporting date);
  • Identify the total number of customer accounts that individually represents 5% or greater of the Secured required balance (as of the month end reporting date);
  • Identify the total number of customer accounts which individually represents 5% or greater of the Cleared Swaps Customer Collateral required balance (as of the month end reporting date);
  • Identify the number of proprietary/non-customers accounts that have direct market access to an exchange (at any time during the month); and
  • If the FCM increased margin rates for any customer accounts or products beyond exchange minimums in the reporting month.

Quarterly Reporting Requirements

The first quarterly information will be required in the April 1, 2014 daily segregation report. All subsequent quarterly information filings will be due on the first daily segregation report filed each quarter. The new information includes:

  • Any material administrative, civil, enforcement, or criminal complaints or actions filed against the firm where such complaints or actions have not concluded, or any enforcement complaints or actions filed against the firm during the last three years (after the first quarter, FCMs will only be required to report new information);
  • Identify the five Associated Persons who generated the greatest revenue during the last 3 months; and
  • Frequency with which the FCM performs scenario analyses to assess its financial condition and continued compliance with capital and other regulatory requirements (i.e., stress testing).

If you have any technical questions related the filings or WinJammer™, please contact Brian Rothfuss, Senior Manager, Compliance (brothfuss@nfa.futures.org or 312-781-1439). Other questions on these requirements should be directed to John Brand, Managing Director, Compliance (jbrand@nfa.futures.org or 312-781-1465).

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