MFA Comment Letters

Topic: VaR

MFA Submits Letter to SEC on Proposed Capital, Margin, and Segregation Rules02.22.13


MFA submitted a comment letter to the Securities and Exchange Commission (SEC) on its proposed rules on “Capital, Margin, and […]

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Topics: Securities and Exchange Commission SEC, margin, capital, segregation, Security-Based Swap Dealer, Major Security-Based Swap Participant, capital requirements, broker-dealer, risk, security-based swaps, customer collateral, Dodd-Frank Act, CFTC, Commodity Futures Trading Commission, Private Funds Managers, Investor Protection, regulation, international regulatory standards, efficiency, capital formation, liquidity, collateral, margin requirements, market participants, variation margin, netting, margining, Financial Industry Regulatory Authority, FINRA, international harmonization of regulations, regulatory arbitrage, federal register, bilateral exchange of variation margin, best practices, counterparty risk, systemic risk, risk management, portfolio margining, securities, cross-product master netting agreements, initial margin, financial system, asset class, counterparties, prudential regulators, leverage, derivatives, tri-party custodial arrangements, customer protection, omnibus segregation, default, fellow customer risk, legal segregation with operation commingling, LSOC, swap dealers, Major Swap Participant, Individual Segregation, buy-side firms, non-commercial end-users, hedge funds, credit risk, capital inefficiency, transparency, Basel Committee on Banking Supervision, International Organization of Securities Commissions, IOSCO, Working Group on Margining Requirements, central clearing, compliance, registered clearing agencies, mandatory clearing, compliance date, two-way margining, reform, collateral management, asymmetrical initial margin exchange, pension, endowments, university endowment, financial crisis, "too big to fail, too interconnected to fail, American International Group, AIG, House Committee on Financial Services, Ben Bernanke, Federal Reserve Board, 111th Congress, financial contagion, financial institutions, asymmetry, portfolio reconciliation, portfolio compression, Swap Trading Relationship Documentation, swap dealer, collateral management stystems, trading costs, complexity, settlement risk, credit default swap, CDS, OTC derivatives, forwards, repurchase agreements, Value at Risk, VaR, financial instrument, cross-margining, Options Clearing Corporation, Chicago Mercantile Exchange Holdings Inc., New York Portfolio Clearing LLC, LCH.Clearnet Ltd., customer replicability, proprietary information, reconciliation, market risk, haircuts, Cash Flow, pro-cyclical effects, creditworthiness, multiplier, customized risk management tools, sell-side firms, liquidation time horizon, product type, market practice, ISDA, U.S. dollar, settlement, money market instruments, eligible collateral, capital charge, Lehman Brothers, bankruptcy, bankruptcy estate, third-party custody arrangement, enhanced protections, Notice of Exclusive Control, Investment Company Institute, ICI, White Paper, Securities Industry and Financial Markets Association, SIFMA, liquidation, Federal Reserve Bank of New York, tentative net capital, dealers, Eric Chern, Chicago Trading Company, \, operational risk, Security-Based Swap Transactions, Darrell Duffie, Federal Reserve Bank of New York Staff Report No. 424, ICE Clear Europe Limited, segregation model, DCO, derivatives clearing organization, portability, insolvency, out-of-the-money, operational and legal commingling, default segregation model, MF Global Inc., Peregrine Financial Group, Fraud, investment risk, Russell Wasendorf, accounting, operational costs, Broker, Dealer, ISDA Margin Survey 2012, European Commission, European Parliament, Council of the European Union, central counterparty, CCP, trade repositories, commodity broker, Bart Chilton, Division of Clearing and Intermediary Oversight, Robert Wasserman, independent third party custodian, state bank regulator, state and federal laws,

Comment Letter to ESMA on its Draft Technical Advice to the European Commission for Implementing AIFMD09.13.11


MFA submitted comments to ESMA on its consultation on possible implementing measures of the Alternative Investment Fund Managers Directive (AIFMD). […]

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Topics: AIFMD the directive, Level 2, third party managers, European Commission, consultation paper, AIF, UCITS Directive, MiFID, professional investors, retail investors, marketing, counterparties, prime brokers, net asset value, Article 61, AUM, AUM Calculations, mark-to-market, EU investors, sub-investment managers, Dodd-Frank, U.S. Securities and Exchange Commission, SEC, Investment Advisers Act of 1940, Advisers Act, registration, private funds, G-20, international coordination, Article 3(2), Article 9(3), professional indemnity insurance requirements, Gross Method, exposure, leverage, foreign exchange hedging position, interest rate hedging position, Box 93, Box 2, Box 1, NAV, Advanced Method, Box 13, diligence requirement, OTC transaction, securities lending agreement, repurchase agreement, Box 19, Box 29, risk management, risk limits, operational risk, portfolio management, market risk, portfolio risk, liquidity risk, gates, side pockets, redemption policy, depositaries, depositary, bespoke system, Box 78, collateral directive, Box 79, liability standards, Financial Services Authority, FSA, re-hypothecation provisions, Box 81, Box 86, due diligence, sub-custodian, Box 88, segregation, Box 89, omnibus accounts, liability regime, Box 95, Box 99, Value at Risk, VaR, Commitment Method, European Central Bank, ECB, Committee on European Securities Regulators, CESR Guidelines, credit default swap, CDS, remuneration, EU Passport, transparency, Box 106, passport regime, safe-keeping function, confidentiality, proprietary information, systemic risk, semi-annual reporting, collateral, counterparty exposures, Form PF, reporting period, generally accepted accounting principles (GAAP), Level 2 inputs, Level 3 inputs, valuation agents, underwriters, unobservable,

Comment Letter on Joint Release Regarding Reporting by Investment Advisors to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors on Form PF04.08.11


MFA filed a comment letter with the SEC and CFTC in response to their joint proposal to require private fund […]

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Topics: private funds commodity pool operators, commodity trading advisors, Form PF, systemic risk, Financial Stability Oversight Council, market participants, managed futures, absolute return strategies, SEC, CFTC, Dodd-Frank Act, Council and Office of Financial Research, OFR, global regulators, overcounting, undercounting, threshold for enhanced performance, assets under management, reporting period, confidentiality protections, inadvertent disclosure, non-bank financial companies, lending institutions, interconnectedness, liquidity risk, maturity mismatch, regulatory scrutiny, systemically significant, Federal Reserve System, the Fed, Form CPO, Form PQR, Form CTA-PR, targeted requests, tiered reporting system, threshold, trading and investment strategies, borrowing arrangements, collateral practices, operational capabilities, illiquid assets, investment advisers, bespoke contracts, private equity, privately issued convertible bonds, equity derivatives, distressed debt, unaffiliated third party sources, generally accepted accounting principles, GAAP, Level 2 inputs, Level 3 inputs, Financial Accounting Standards Board, audited financial statements, UK Financial Services Authority, FSA, Form 13F, public companies, Form 10-K, Form 10-Q, portfolio management, CUSIP number, semi-annual reporting, counterparty exposures, market noise, short-term market fluctuations, margin requirements, hedge fund defaults, large private fund manager, qualifying fund, hedge fund assets under management, Form ADV, proposed reporting thresholds, interpretive guidance, private fund managers, recordkeeping requirements, section 404, confidentiality of information, proprietary information, Investment Adviser Registration Depository, Schedule 13G, individual certification, valuation methodology, proprietary methodology, alternative methodology, de minimis, master-feeder, parallel funds, equity prices, interest rates, currency rates, Form PF question 36, form PF questions 28 and 35, funds of funds, direct investments, aggregate gross asset value, collateral, operational efficiency, ten-year option, five-year option, master agreement, regulatory assets under management, net assets under management, leverage, parallel managed accounts, net asset value, gross asset value, creditor, net borrowings, aggregate borrowings, beneficial owners, record owners, fixed advisory fees, investment expenses, performance fees, inception class, statistical arbitrage-equity, other quantitative strategies, strategy exposure, risk capital allocation, NAV, futures commission merchants, FCMs, direct clearing members, DCMs, prime brokers, clause (iii), loan commitments, offsetting exposure, tri-party collateral accounts, market value, asset-backed securities, debt securities, swap contracts, futures contracts, foreign currency contracts, notional value of derivatives, notional amount, long positions, short positions, LMV, SMV, maturity brackets, short-term interest rate, DV01, CR01, duration, non-rated issues, short term high quality corporate debt, foreign exchange derivatives, turnover rate, GMV, Bloomberg, risk methodology, repos, sensitivity analyses, liquidity management, balance sheet value, delta adjusted, variation margin, equity exposure, rehypothecated initial margin, CCPs, central clearing counterparties, Value at Risk, VaR, CDS, CDX, default rates, corporate bonds, short borrowing, synthetic borrowing, uncommitted lines of credit, side pocket arrangement,
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