Archive for the ‘Cleared Swaps’ Category

FCM Data – November 2015

January 8, 2016

Well, here is the latest FCM Data and provided by the U.S. Commodity Futures Trading Commission, or CFTC.

By now you know the drill: CFTC publishes the FCM Financial Data on their website. I download the spreadsheet, sort it by Customer Seg Funds, and upload it here.

So, as discussed before: fewer and fewer FCMs are clearing customer business. Jefferies has wound down the customer portion of their FCM business as they continue to wind down the FCM, taking the venerable Bache and Prudential Bache names with it.

Currently there are 55 FCMs clearing customer business, but that will drop to 54 once the Xchange Financial Access FCM winds down, as it was ordered to do by NFA in that organization’s infinite wisdom.

In December 2013 there were 69 FCMs that reported Customer Seg. A list of them is here.

This sick trend continues apace, except when it periodically accelerates.


CFTC FCM Financial Data Report – July, 2014

October 13, 2014

Ahead of next month’s FIA Expo in Chicago, I figured it would be a good time to take a fresh look at the CFTC’s monthly FCM Financial Data report. I admit that I haven’t looked at it for some time – the last time I posted anything here about it was back in February for the 2013 year-end report. (A link is here.)

So, refreshing: the CFTC data is published here: CFTC Link.

I saved the spreadsheet version of the CFTC report and then sort the FCM list by categories.

fcmdata July 2014 Sorted by Seg Required

fcmdata July 2014 Sorted by Secured Required

And new this time, I learned from this review that since my last peek, CFTC has started including Swaps Seg Funds required:

fcmdata July 2014 Sorted by Swaps Seg Required

So, a quick look at the numbers, compared to 2013 year-end:

Customer Seg Required totals:
July 2014: $148,214,002,848
December 2013: $143,741,158,888

A small increase of $5B.

The top 5 FCMs measured by Customer Seg were:
Goldman Sachs $18B
JP Morgan $17.3B
Deutsche Bank $$12.4B
Newedge $12.1B
Morgan Stanley $10.6B

Those five firms hold 47.65% of all the Customer Seg Funds.

The next 5 FCMs are:
Merrill Lynch $10B
Credit Suisse $8.8B
UBS Securities $7B
Barclays $6.2B
Citigroup $5.3B

Those top-10, all in, hold 73% of all the US Customer Seg Funds Required.
There were 63 firms that reported Customer Seg on their July 2014 FOCUS (or FCM 1-FR) reports. That’s down SIX FCMs from the December 2013 year-end reports.

Customer Secured Required totals:
Total Secured Funds (or 30.7) Required in July 2014 was $31,721,736,168.

The top 5 FCMs measured by Customer Secured were:

Goldman Sachs $7.2B
Barclays $3.4B
UBS Securities $3.3B
Newedge $3B
JP Morgan $2.9B

Those five firms hold 62.8% of all the Customer Secured Funds.

The next 5 FCMs are:
Credit Suisse $2.6B
Merrill Lynch $2.6B
Morgan Stanley $2.1B
Deutsche Bank $1B
Citigroup $931MM

Those top-10, all in, hold 92.6% of all the US Customer Seg Funds Required.
There were 53 firms that reported Customer Secured on their July 2014 FOCUS (or FCM 1-FR) reports.

Finally, the Customer Swaps Seg Required totals:
Total Swaps Seg Funds Required in July 2014 was $37,573,414,231.

Since there were only 22 FCMs/BDs/SDs that reported these funds, and since this is the first time I’ve looked at this, all the firms, their reported amounts, and the percent of the totals are listed below:

1. Credit Suisse $7,583,982,994 (20%)
2. Barclays $5,824,094,747 (15.5%)
3. Citigroup $5,475,668,782 (14.5%)
4. Morgan Stanley $4,633,503,266 (12.3%)
5. JP Morgan $4,010,710,065 (10.7%)
6. Goldman Sachs $2,353,995,394 (6.3%)
7. Merrill Lynch $2,065,002,087 (5.5%)
8. Wells Fargo $1,509,345,655 (4%)
9. Deutsche Bank $1,502,136,236 (4%)
10. UBS Securities $829,082,727 (2.2%)
11. HSBC $522,398,676 (1.4%)
12. Newedge $422,435,013 (1.1%)
13. BNP Paribas Securities $370,185,150 (1%)
14. State Street $315,334,914 (0.8%)
15. Mizuho $43,755,732 (0.1%)
16. Jefferies $41,203,000 (0.1%)
17. RBS $39,683,871 (0.1%)
18. Nomura $24,047,555 (0%)
19. Macquarrie $3,316,120 (0%)
20. ADM $2,687,874 (0%)
21. BNP Paribas Brokerage Services $731,813 (0%)
22. CHS Hedging $112,560 (0%)

CFTC Proposed Rules: Capital Requirements of Swap Dealers and Major Swap Participants

June 6, 2011

Last Thursday CFTC added to the Federal Register proposed rules for OTC-cleared swaps (as in: cleared by Designated Clearing Organizations (DCOs), like CME and ICE-Trust). This is a long read, but is useful for at least one reason. The link below (pdf) includes a sample Statement of Cleared Swaps Customer Segregation Requirements and Funds in Cleared Swaps Customer Accounts under 4D(f) of the Commodity Exchange Act.

Link is here (pdf). See the very bottom, last page.

This is the 1FR report that Derivatives Clearing Members (DCMs) (or FCMs) must produce. Some DCMs and DCOs call the cleared-swaps funds “Sequestered” to differentiate them from Customer Seg Requirements for regulated futures contracts.

This link will be useful to compliance and regulatory staff at DCMs and FCMs that are, or intend to, clear OTC swaps on CFTC-regulated clearinghouses.

John P. Needham
June 6, 2011