On May 30, the National Futures Association (NFA) issued Interpretive Notice I-17-1 (Notice), which sets forth the specific list of risk metrics that swap dealers (SDs) will be required to electronically report to NFA on a monthly basis, beginning with the initial January 31, 2018, reporting deadline. NFA intends to use this information to assess the market and credit risk exposure of member SDs. Metrics covered by the reports will include, but are not limited to: (1) interest rate sensitivity, (2) credit spread sensitivity and (3) commodity market sensitivities. Because of the differing business models used by member SDs, NFA has provided non-financial SDs with alternative reporting metrics with respect to certain reporting categories, such as total stressed VaR and commodity market sensitivities. NFA intends to offer educational programs regarding these requirements prior to their December 31effective date.

Interpretive Notice I-17-10 is available here.