Notices to Members

March 28, 2019

Reminder: Filing requirements for swap valuation dispute notices under NFA Compliance Rule 2-49 apply to all swap dealer Members

NFA's Interpretive Notice to NFA Compliance Rule 2-49, which became effective January 2, 2018, among other things, establishes a reporting requirement for certain swap valuation disputes involving swap dealers (SD). NFA staff has received several inquiries related to these filing requirements. This notice is a reminder that all NFA Member SDs, including non-U.S. SDs relying on substituted compliance with respect to CFTC Regulation 23.502(c), must comply with the filing requirements set forth in the Interpretive Notice.

The swap valuation dispute filings required by the Interpretive Notice satisfy a notice obligation under CFTC Regulation 23.502(c) and are received, reviewed and maintained pursuant to a CFTC order authorizing NFA to serve as the official custodian for these filings. (See Notice to Members I-17-30.) The Interpretive Notice also establishes an independent reporting obligation under NFA Compliance Rule 2-49, which provides that NFA may require SDs to submit any reports, documents or notices in the form and manner prescribed by NFA. This reporting obligation applies to all SD Members and allows NFA to incorporate information obtained from swap valuation dispute filings into its risk monitoring and profiling program.

For additional information, access the archived version of a webinar NFA held in October 2018. If you have any questions, 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).