SD Reporting Requirements
Description
Financial Reports (unaudited)(1)
When
Monthly, due within 17 business days of month end
An SD subject to the minimum capital requirements of CFTC Regulation 23.101(a)(2) (i.e., "tangible net worth method") files quarterly, due within 17 business days of month end.
Information Required
Statements of financial condition, income (loss), changes in liabilities subordinated to the claims of general creditors, changes in ownership equity, and a statement demonstrating compliance with and calculation of the applicable regulatory capital requirement. See NFA Financial Requirements Section 18 and CFTC Regulation 23.105(d).
How
WinJammerTM
An SD subject to the capital requirements of CFTC Regulation 23.101(a)(ii) (i.e., "net liquid assets method") and 23.101(a)(2) (i.e., "tangible net worth method") should use Form FR-CSE-NLA, while an SD subject to the capital requirements of CFTC Regulation 23.101(a)(1)(i) (i.e., "bank based method") may use either Form FR-CSE-NLA or FR-CSE-BHC.
An SD also registered as a broker/dealer, security-based swap dealer, or major security-based swap participant must file a FOCUS II. An SD also registered as an FCM must file Form 1-FR-FCM.
Description
Certified Financial Reports (audited)(1)
When
Annually, due within 60 days after fiscal year end
An SD following the tangible net worth method files annually, due within 90 days after fiscal year end.
Information Required
Statements of financial condition, income (loss), cash flows, changes in liabilities subordinated to the claims of general creditors, changes in ownership equity, footnote disclosures, a statement demonstrating compliance with and calculation of the applicable regulatory capital requirement, and a reconciliation of any material differences from the unaudited financial report of the same date. See NFA Financial Requirements Section 18 and CFTC Regulation 23.105(e).
How
WinJammerTM
An SD also registered as a broker/dealer, security-based swap dealer, or major security-based swap participant may file the certified financial report submitted to the SEC. An SD also registered as an FCM may file an audited Form 1-FR-FCM.
Description
Position and Counterparty Reports
When
Monthly, due within 17 business days of month end
An SD subject to the minimum capital requirements of CFTC Regulation 23.101(a)(2) (i.e., "tangible net worth method") files quarterly, due within 17 business days of month end.
Information Required
Reports of aggregate trading positions, credit concentration for fifteen largest exposures in derivatives, derivatives exposure by internal credit rating, and geographic distribution of derivatives exposures for ten largest countries. See CFTC Regulation 23.105(l).
How
WinJammerTM
Schedules 1-4 of Appendix B to Subpart E of Part 23. These schedules are included within forms FR-CSE-NLA, FR-CSE-BHC, and the FOCUS II.
Description
Margin Reports
When
Monthly, due within 17 business days of month end
Information Required
Breakdown of IM and VM held by custodians. See CFTC Regulation 23.105(m).
How
WinJammerTM
Description
Capital is less than amount required
When
Immediately
Information Required
Notification when capital falls below minimum amount(s) required. Documentation must be included to reflect capital position as of the date capital is less than the minimum required. See CFTC Regulation 23.105(c)(1).
How
WinJammerTM
Description
Capital is less than early warning amount
When
Within 24 hours
Information Required
Notification when capital falls below 120% of the minimum amount required. See CFTC Regulation 23.105(c)(2).
How
WinJammerTM
Description
Failure to keep current books and records
When
Same day
Information Required
Notification specifying the books and records which are not current. Written report stating corrective action due within 48 hours. See CFTC Regulation 23.105(c)(3).
How
WinJammerTM
Description
Reduction in excess capital of 30% or more
When
Within two business days
Information Required
Notification when the amount of capital in excess of minimum amount required decreases by 30% or more since the last reported amount. See CFTC Regulation 23.105(c)(4).
How
WinJammerTM
Description
Withdrawal of excess capital of 30% or more
When
Two business days prior to withdrawal
Information Required
Notification of intent to withdraw capital if such amount is equal to or greater than 30% of capital in excess of minimum amount required. See CFTC Regulation 23.105(c)(5).
How
WinJammerTM
Description
Notification to SEC
When
Same day
Information Required
Notification provided to the SEC under SEC Regulations 18a-8 or 17a-11 for SDs registered as a security-based swap dealer or major security-based swap participant. See CFTC Regulation 23.105(c)(6).
How
WinJammerTM
Description
Failure of a counterparty to post initial margin (IM) or variation margin (VM)
When
Within 24 hours
Information Required
Notification of failure by a counterparty (or group of counterparties under common ownership or control) to post IM or VM (in the aggregate) for swaps or security-based swaps positions in an amount equal to or greater than 25% of the SDs minimum capital requirement. See CFTC Regulation 23.105(c)(7)(i).
How
WinJammerTM
Description
Failure of a group of counterparties to post IM or VM
When
Within 24 hours
Information Required
Notification of failure by a group of counterparties to post IM or VM (in the aggregate) for swaps or security-based swaps positions in an amount equal to or greater than 50% of the SDs minimum capital requirement. See CFTC Regulation 23.105(c)(7)(ii).
How
WinJammerTM
Description
Failure of SD to post IM or VM with a counterparty
When
Within 24 hours
Information Required
Notification of failure by a SD to post IM or VM (in the aggregate) with a counterparty (or group of counterparties under common ownership or control) for swaps or security-based swaps positions in an amount equal to or greater than 25% of the SDs minimum capital requirement. See CFTC Regulation 23.105(c)(7)(iii).
How
WinJammerTM
Description
Failure of SD counterparties to post IM or VM with a group of counterparties
When
Within 24 hours
Information Required
Notification of failure by a SD to post IM or VM (in the aggregate) with a group of counterparties for swaps or security-based swaps positions in an amount equal to or greater than 50% of the SDs minimum capital requirement. See CFTC Regulation 23.105(c)(7)(iv).
How
WinJammerTM
Description
Change in capital election
When
If applicable
Information Required
Notification upon the approval from the Commission for the SD to change its capital election. See CFTC Regulation 23.101(a)(6).
How
WinJammerTM
Description
Capital Comparability Determination
When
If applicable
Information Required
Notification upon the confirmation from the Commission to rely on a Capital Comparability Determination. See CFTC Regulation 23.106(a)(4) and NFA Financial Requirements 18.
How
WinJammerTM
Description
Restriction on internal market or credit risk model usage
When
Immediately
Information Required
Notification of any order or regulatory restriction limiting or prohibiting the use of internal models. See CFTC Regulation 23.102 and NFA Financial Requirements 18.
How
WinJammerTM
Description
Financial Reports (unaudited)
When
Quarterly or semi-annually, as applicable, within timeframe permitted by prudential regulator for a U.S. Bank SD or within 15 days of filing with home country regulator for a non-U.S. Bank SD.
Information Required
Balance sheet, regulatory capital, and aggregate security-based swap and swap positions. See CFTC Regulation 23.105(p)(2) and CFTC No-Action Letter #21-18.
How
WinJammerTM
Description
Adjustment of capital category
When
Same day
Information Required
Notification of adjustment to capital category reported to FRB, OCC, FDIC, or home country supervisor. See CFTC Regulation 23.105(p)(3)(i).
How
WinJammerTM
Description
Capital is less than amount required
When
Immediately
Information Required
Notification when capital falls below minimum amount(s) required. See CFTC Regulation 23.105(p)(3)(ii).
How
WinJammerTM
Description
Failure to keep current books and records
When
Same day
Information Required
Notification specifying the books and records which are not current. Written report stating corrective action due within 48 hours. See CFTC Regulation 23.105(p)(3)(iii).
How
WinJammerTM
Description
IM Model Documentation (for an SD that has obtained approval to use an internal risk-based IM model)
When
If applicable
Information Required
Documentation demonstrating ongoing compliance with quantitative and qualitative requirements for the use of margin models. See CFTC Regulation 23.154(b) and Notice I-16-13.
Description
Capital Model Documentation (for an SD that has obtained approval to use internal market or credit risk models)
When
If applicable
Information Required
Documentation demonstrating ongoing compliance with quantitative and qualitative requirements for the use of capital models. See CFTC Regulation 23.102 and NFA Financial Requirements 18.
Description
Market and Credit Risk Reports (for a non-prudentially regulated SD using internal models to compute market or credit risk exposure requirements for capital)
When
Within 17 business days of month end
Information Required
Specific monthly and quarterly metrics related to VaR, scenario analysis, and credit exposures. See CFTC Regulation 23.105(k).
How
WinJammerTM
Description
Risk Data Filings
When
Monthly, due the last business day of the following month
Information Required
Specific metrics related to market and credit risk. See NFA Financial Requirements 17 and Notice I-17-10.
Description
Risk Management Program
When
As applicable (submitted upon registration and thereafter upon request)
Information Required
Policies and procedures designed to monitor and manage the risks associated with the activities of the SD. See CFTC Regulation 23.600.
How
Submit using WinJammerTM filing system.
Description
Risk Exposure Reports
When
Quarterly and whenever a material change occurs, due within five business days of providing to the SD's senior management
Information Required
Monitoring of applicable risk exposures of the SD. See CFTC Regulation 23.600(c)(2).
How
WinJammerTM
Description
NFA Questionnaire
When
Annually, to coincide with annual membership renewal process
Information Required
NFA questionnaire covering a range of business and operational topics. See Notice I-15-10.
How
Annual Questionnaire
Description
Business continuity / disaster recovery
When
Promptly
Information Required
Contact information for five employees with the authority to make key decisions on behalf of the SD, with knowledge of the firm's BCDR plan, and whom can be contacted in the case of an emergency or other disruption. See CFTC Regulation 23.603(e). as well as NFA Compliance Rule 2-38(b) and Notice I-15-10.
How
WinJammerTM
Description
Chief Compliance Officer Report
When
Annually, due within 90 days after fiscal year-end. Upon subsequent discovery of any material errors or omissions, amendment must be filed promptly.
Information Required
Written report covering the most recently completed fiscal year that includes topics such as (but not limited to), a description of policies and procedures, areas for improvement, compliance resources, and material non-compliance issues. See CFTC Regulation 3.3(e) and (f).
How
WinJammerTM
Description
Extension of time to file Chief Compliance Officer Report
When
If applicable
Information Required
Request for an extension of time to file an annual Chief Compliance Officer report. See CFTC Regulation 3.3(f)(5).
How
WinJammerTM
Description
Swap Valuation or Margin Disputes3
When
Promptly. Amendment and termination notices are required on the 15th of the month and on the last business day of the month, as applicable.
Information Required
Notification of any valuation dispute, including an IM or VM dispute, in excess of $20,000,000 if not resolved within 3 business days (if dispute is with another SD) or five business days (if dispute is with any other entity). See CFTC Regulation 23.502(c), NFA Interpretive Notice 9072 and Notice I-17-13.
How
WinJammerTM
Description
Reportable Positions
When
No later than 12:00 pm ET on the second business day following execution (T+2)
Information Required
Report of transaction data for reportable physical commodity swaps positions. See Part 20 of CFTC Regulations.
Description
Real-time public reporting
When
As soon as technologically practicable after execution
Information Required
Report of swap transaction and pricing data. See CFTC Regulation 23.205 and Parts 43 of CFTC Regulations.
Description
Swap data reporting
When
End of next business day following execution or applicable life-cycle event
Information Required
Report of swap creation and continuation data. See CFTC Regulation 23.204 and Part 45 of CFTC Regulations.
Description
Subordinated Loan Agreements (Covered SDs)
When
At least 30 days prior to the proposed execution date of the agreement
Information Required
The loan, including all changes and amendments, must be approved before the effective date. For firms also registered as a broker/dealer or security-based swap dealer, any approval from the SEC or the firm's designated examining authority (DEA) should also be filed. See NFA Financial Requirements Section 18 and NFA Interpretive Notice 9078.
How
WinJammerTM
Description
Subordinated Loan pre-payments (Covered SDs)
When
If applicable
Information Required
Request for pre-approval of pre-payment on a subordinated loan. For firms also registered as a broker/dealer or security-based swap dealer, any approval from the SEC or the firm's DEA should also be filed. See NFA Financial Requirements Section 18 and NFA Interpretive Notice 9078.
How
WinJammerTM
Description
Change of fiscal year end (Covered SDs)
When
If applicable
Information Required
Request to change the date of the fiscal year-end from that of its most recent annual certified financial report. See CFTC Regulation 23.105(g).
How
WinJammerTM
Description
Extension of time to file financial reports (Covered SDs)
When
If applicable
Information Required
Request for an extension of time to file a periodic unaudited financial report or annual certified financial report. See CFTC Regulation 23.105(j).
How
WinJammerTM
Description
Cybersecurity Incident
When
Promptly
Information Required
Notification of certain cybersecurity incidents that result in any loss of customer or counterparty funds, any loss of a Member's own capital, or the Member providing notice to customers or counterparties under state or federal law. See NFA Interpretive Notice 9070 and Cybersecurity FAQs.
How
EasyFile
1 An SD may petition the CFTC for a Capital Comparability Determination under CFTC Regulation 23.106 to file financial reports prepared in accordance with the rules of a foreign regulatory authority.
2 All filings must also be submitted to the SEC if the SD is also registered as a security-based swap dealer or major security-based swap participant.
3 All filings must also be submitted to any applicable prudential regulator and to the SEC (if the dispute is in regard to a security-based swap).