CFTC Form 1-FR-IB Instructions - National Futures Association

FORM 1-FR-IB
Instructions
Appendix A
Charges - Repurchase and Reverse-Repurchase Agreements
Page A-3.
CHARGES FOR REPURCHASE AND REVERSE-REPURCHASE AGREEMENTS
This appendix is an excerpt from the SEC rule relating to net
capital treatment of reverse repurchase (asset) and repurchase
(liability) agreements, and the charges to be taken against such
amounts. See 17 CFR 240.15c3-1(c)(2)(iv)(F). The charges specified
herein are to be shown on page 4, lines 7.A and 7.B., of the Form 1-
FR-IB. While the rule refers to brokers and dealers, the charges are
applicable to IBs' positions also.
[DEFINITIONS]
(F)(1) For purposes of this paragraph:
(i) The term "reverse repurchase agreement deficit" shall mean
the difference between the contract price for resale of the securities
under a reverse repurchase agreement and the market value of those
securities (if less than the contract price).
(ii) The term "repurchase agreement deficit" shall mean the
difference between the market value of securities subject to the
repurchase agreement and the contract price for repurchase of the
securities (if less than the market value of the securities).
(iii) As used in paragraph (c)(2)(iv)(F)(1) of this section, the
term "contract price" shall include accrued interest.
(iv) Reverse repurchase agreement deficits and the repurchase
agreement deficits where the counterparty is the Federal Reserve Bank
of New York shall be disregarded.
[CHARGE FOR REVERSE REPURCHASE AGREEMENTS]
(2)(i) In the case of a reverse repurchase agreement, the
deduction shall be equal to the reverse repurchase agreement deficit.
(ii) In determining the required deductions under paragraph
(c)(2)(iv)(F)(2)(i) of this section, the broker or dealer may reduce
the reverse repurchase agreement deficit by:
(A) Any margin or other deposits held by the broker or dealer on
account of the reverse repurchase agreement;