Notices to Members

September 6, 2018

Information regarding NFA's review of swap valuation dispute submissions

NFA's Interpretive Notice to NFA Compliance Rule 2-49, which became effective January 2, 2018, specifies the types of swap valuation disputes and the relevant information that swap dealers (SD) are required to report to NFA. Among other things, SDs must identify the counterparty to any filed dispute.

Under the Interpretive Notice, if a reportable swap valuation dispute involves two SD counterparties, each SD must file a separate dispute notice with NFA. Recently, NFA has had instances where a swap valuation dispute notice that involves two SD counterparties is filed by one SD (filing SD) but no notice is filed by the other SD (non-reporting SD). This is a reminder that both SD counterparties must submit a swap valuation dispute notice when it involves two SD counterparties.

In the event that NFA receives a swap valuation dispute notice from one SD when the swap valuation dispute involves two SD counterparties, NFA will provide certain limited information regarding the swap valuation dispute (e.g., name of the filing SD, dispute reportable date, dispute type and disputed amount) to the non-reporting SD. This process will help NFA identify potential deficiencies in the non-reporting SD's swap valuation dispute submission process.

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).