National Futures Association (NFA) has adopted an interpretive notice that standardizes the process for filing swap valuation disputes with NFA. As set forth in the interpretive notice, swap dealers (SDs) generally are required to file with NFA notices of unresolved swap valuation disputes involving initial margin, variation margin and/or transaction or portfolio valuations if the amount in dispute exceeds $20 million. The interpretive notice also requires SDs to amend previously filed notices if the amount in dispute has increased or decreased by at least $20 million. SDs also must terminate previously filed notices when the matters are resolved or the amount in dispute falls below $20 million.
NFA’s interpretive notice also requires SDs to file the notices through WinJammer and standardizes the information that must be included in the notice, including (as applicable) NFA identifier, legal entity identifier (LEI), dispute reportable date, dispute type, dispute termination date, receiver/payer, disputed amount, CSA/netting agreement identifier, counterparty name, counterparty LEI or privacy law identifier, unique swap identifier, base currency notional amount, base currency code, notional value USD equivalent, asset class, and product type.
The interpretive notice will be effective for dispute notices required to be filed on or after January 2, 2018.
NFA’s interpretive notice is available here.