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Notice I-21-29

September 20, 2021

Effective date for amendment to Financial Requirements Section 18

Swap dealers (SD) using NFA or CFTC approved capital models to calculate market and/or credit risk capital charges are required to file certain information specified in CFTC Regulation 23.105(k) with NFA and the CFTC. NFA Financial Requirements Section 18 also imposes these filing requirements on SD Members using approved capital models1. NFA has amended Financial Requirements Section 18 to specify that SD Members subject to the filing requirements under CFTC Regulation 23.105(k) will satisfy NFA's requirement by filing the information specified by NFA in the form and manner provided by NFA. This amendment will become effective October 6, 2021.

NFA adopted the proposed amendments for two reasons. First, NFA has developed standardized tables available in WinJammer™ to collect the specific information from SD Members. The tables will facilitate NFA's collection and analysis of the information and will also provide SD Members with certainty on the format for filing the information. Second, NFA has identified certain information required by CFTC Regulation 23.105(k) that is similar in nature to information that NFA will collect under CFTC Regulation 23.105(l). NFA's standardized tables will not collect this similar information.

The information that will be required by the standardized tables includes:

  • Product category and the amount of the deduction for market risk on each product for which the SD calculates a deduction for market risk other than in accordance with a model;
  • Daily intra-month VaR;
  • Product category and the deduction for market risk on each product for which the SD uses scenario analysis;
  • 10 largest commitments listed by counterparty;
  • Number of business days for which the actual daily net trading loss exceeded the corresponding daily VaR; and
  • Backtesting results of all internal models used to compute allowable capital, including VaR, and credit risk models, indicating the number of backtesting exceptions.

NFA's Swap Participant Advisory Committee supported the proposed new standardized tables and the related amendment to Financial Requirements Section 18. The amendment was unanimously approved by the Board.

NFA's August 31, 2021 submission letter to the CFTC contains more detailed information regarding these amendments. If you have any questions about these amendments, please contact George O'Donnell, Senior Risk Analyst II, OTC Derivatives ( or 212-513-6070) or Marcus Michelsen, Manager, Models & Risk ( or 212-346-5613).

1 This includes SDs using models approved by other regulators as specified in CFTC Regulation 23.102(f)(1).

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