The Investment Company Institute, Managed Funds Association and several other trade organizations submitted a letter to the Commodity Futures Trading Commission requesting relief to permit sponsors of registered investment companies and hedge funds to net certain uncleared swaps held by the funds when applying the net notional test in amended Commodity Exchange Act Rule 4.5 or Rule 4.13(a)(3). The trade groups request that netting be permitted where:
• the termination dates of the offsetting swaps are the same; and
• the reference asset or rate for the offsetting swaps are the same.
The trade groups also requested that, if the notional amounts of the offsetting swaps are not the same, the amount netted should be equal to the smaller of the two notional amounts. In these circumstances, the offsetting swaps serve to reduce the fund’s exposure to commodity interests, which is fully consistent with the purpose of the trading thresholds in Rules 4.5 and 4.13(a)(3).
Click https://www.managedfunds.org/industry-resources/library/comment-letters/ to access the letter.