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June 01, 2016
New SD/MSP Questionnaire due June 15
On June 1, 2016, swap dealers (SD) will see a link to a very brief Margin Questionnaire in NFA's EasyFile Registration Documentation Submission System (RDSS). Each SD must complete and submit this short questionnaire no later than June 15, 2016. At most, an SD will be required to respond to three questions related to its margin requirements for uncleared swaps. Responses to this questionnaire will identify SDs that must submit policies and procedures for the Section 4s(e) initial and variation margin requirements, as part of the Section 4s Implementing Regulations, by September 1, 2016, and those SDs that must submit policies and procedures for variation margin requirements by March 1, 2017. NFA will use the responses to the Margin Questionnaire to generate RDSS calls for SDs to use to submit policies and procedures by the applicable due date.
Question for SDs subject to oversight by a prudential regulator
If the SD is subject to oversight by a prudential regulator, it will be asked to respond to one question affirming this oversight. It can then submit the questionnaire. These SDs will not receive an RDSS call for Section 4s(e) initial and/or variation margin policies and procedures. All SDs subject to oversight by a prudential regulator will be asked to affirm this oversight annually in the Margin Questionnaire.
Questions for SDs not subject to oversight by a prudential regulator
If the SD does not have a prudential regulator, it should be prepared to address the following questions:
- Did the registrant combined with all its affiliates, and any of its counterparties combined with all its affiliates, have an average daily aggregate notional amount of uncleared swaps, uncleared security-based swaps, foreign exchange forwards, and foreign exchange swaps for March, April and May of 2016 that exceeded $3 trillion?
- If yes, will the registrant utilize a proprietary risk-based model, a third party industry standard risk-based model, or the table-based method to calculate its initial margin requirements?
- If no, the SD can submit the questionnaire.
Submitting responses to the Margin Questionnaire
To access the Margin Questionnaire, SDs should complete the following steps:
- Authorized users should log into EasyFile (RDSS).
- Once logged in, the RDSS Filing Index will appear. Click on the date in the Initiation Date column of the row that contains the Margin Questionnaire form, which will be pre-populated in your Filing Index.
- The questionnaire will display on the next screen. After responding to each question, click "Next" or "Submit Filing". You must answer every question, until no additional question appears.
- After clicking "Next" or "Submit Filing", the Summary of Errors and/or Warnings screen will appear to tell you whether or not errors were found. Correct errors, if applicable, by returning to the filing and responding to all questions in the questionnaire. Once there are no errors, click "Submit Filing".
- Affirm the oath that appears on the next screen by clicking "Submit Filing" to submit the Margin Questionnaire to NFA.
- Review the confirmation screen, and click "Filing Index".
- By returning to the Filing Index after reviewing the confirmation screen, you'll see both a Received Date and a status of Received associated with your filing.
Policy and Procedure Submission for SDs not subject to oversight by prudential regulator
After completing this questionnaire, the system will determine the compliance due date for submitting policies and procedures for initial and variation margin for uncleared swaps for SDs that are not subject to oversight by a prudential regulator.
The next business day, these SDs will see calls for initial margin and/or variation margin policies and procedures in their RDSS filing indices. The earliest compliance date for both initial and variation margin, is September 1, 2016. For variation margin, if an SD's compliance date is not September 1, 2016, it will be March 1, 2017. For initial margin, if the SD's compliance date is not September 1, 2016, the requirement to meet the CFTC's Margin Rules will be phased in each year based on successively smaller outstanding notional value amounts through September 1, 2020.
See NFA's 4s submission due dates webpage [hyperlink updated 10-25-2021] for a list of RDSS calls, which includes the corresponding rule references for all Section 4s Final Implementing Rule Descriptions, including initial and variation margin requirements for uncleared swaps.
SDs that are required to submit initial and variation margin policies and procedures by September 1, 2016 will only receive this questionnaire once. All other SDs will receive a similar questionnaire annually until they are required to submit their initial margin policies and procedures, if applicable.
If you have any questions regarding this Notice, please contact Alessandra Riccardi, Director of Capital and Risk (email@example.com or 212-513-6029) or Veronica Jedzejec, Associate Director (firstname.lastname@example.org or 312-781-1572).