Notices to Members

October 2, 2017

Filing instructions and webinar announcement regarding swap valuation dispute notices and monthly swap dealer risk data reports

Submission of standardized data for swap valuation dispute notices

In January 2016, the CFTC issued an order [hyperlink updated 10/25/21] authorizing NFA to receive, review, maintain and serve as the official custodian of swap valuation dispute notices that swap dealers (SD) are required to file pursuant to Regulation 23.502(c). Given NFA's experience with these notices, NFA determined that they would be more useful for SD monitoring, risk profiling and providing periodic reports to the CFTC, if they contained standardized information that could be tracked and monitored across SDs and the industry. The CFTC approved NFA's Interpretive Notice to NFA Compliance Rule 2-49 which, among other things, specifies the types of swap valuation disputes that must be reported and standardizes the information that SDs are required to report to NFA. The Interpretive Notice will be effective for dispute notices required to be filed on or after January 2, 2018. See Notice I-17-13.

SDs may now log into WinJammer^TM to access the XML Schema Definition (XSD) to build XML files in order to upload data for the dispute notices required to be filed on or after January 2, 2018. The XSD and corresponding instructions can be found under Swap Valuation Dispute Notices on the SD Filings Requirements page on NFA's website.

Monthly risk data reports

A key component of NFA's regulatory oversight program for SDs is the risk monitoring function, which allows NFA to identify firms that may pose heightened risk and allocate NFA's regulatory oversight resources accordingly. NFA's Board of Directors (Board) determined that NFA's risk monitoring function will be more effective if it includes the ability to monitor SD risk exposures on a regular basis. Therefore, NFA's Board approved a list of specific risk metrics that SDs will be required to report electronically to NFA on a monthly basis through EasyFile (Risk Data Filing). The first Risk Data Report as of December 29, 2017 will be due January 31, 2018. See Notice I-17-10.

SDs may now log into EasyFile (Risk Data Filing) to access the XSD to build XML files in order to upload data for the monthly risk data reports. The XSD and corresponding instructions can be found under Risk Data Reports on the SD Filings Requirements page on NFA's website.

Member Education

To provide more information and address Member questions regarding these filing requirements, NFA is holding a webinar on Thursday, October 12 at 9:00 a.m. CT/10:00 a.m. ET. There is no fee, but registration is required. Register now.

NFA encourages SDs to submit questions prior to October 12th, in order to provide answers during the webinar. To do so, please email feedback@nfa.futures.org.

If you have any questions on these requirements, please contact Rina Callisto, Quantitative Risk Manager (rcallisto@nfa.futures.org or 212-346-5603), or Alessandra Riccardi, Director of Capital and Risk (ariccardi@nfa.futures.org or 212-513-6029). Technical questions may be directed to Jamie Syrek, Senior Systems Manager (msyrek@nfa.futures.org or 312-781-1577).