— The Commodity Futures Trading Commission today filed and settled charges against Credit Suisse International, Credit Suisse Securities Europe Limited, and Credit Suisse Capital LLC (Credit Suisse entities or respondents), provisionally registered swap dealers, for failing to comply with swap data reporting obligations as a swap dealer.

According to the CFTC order, since becoming provisionally registered swap dealers, the Credit Suisse entities submitted inaccurate daily valuation data for the majority of their equity swap transactions to a swap dealer repository (SDR). The order requires the respondents to pay a $1.5 million civil monetary penalty and to cease and desist from violating the Commodity Exchange Act and CFTC regulations as charged.

Case Background

The order finds that from at least January 10, 2013 to December 2018, one or more of the Credit Suisse entities inaccurately reported particular swap data under Part 45 of CFTC regulations.  Specifically, when reporting certain equity swap transactions to an SDR, the respondents failed to comply with the requirement that they report the “daily mark” of these swap transactions. Instead, they reported the mark-to-market notional value of the underlying equity. This valuation reporting error impacted approximately 91 percent of the Credit Suisse entities’ reportable equity swap positions, and 14 percent of their overall reportable swaps. This reporting error, which was caused by a single issue in the reporting engine the respondents used, also impacted approximately 22 million messages to the SDR.

The order also finds that the Credit Suisse entities discovered the reporting error in October 2018.  They have represented that they remediated the reporting error by mid-December 2018, and that their reporting of the daily valuation field for equity swaps was accurate from that date onward. The Credit Suisse entities have further represented that they corrected the historical record of all inaccurate reports by August 18, 2020.

The CFTC thanks and acknowledges the assistance of David Aron, Meghan Tente and Tom Guerin of the Division of Data, and Fern Simmons of the Market Participants Division. The CFTC also thanks and acknowledges the assistance of the National Futures Association with this matter.

The Division of Enforcement staff responsible for this case are James Deacon, Erica Bodin, Aimée Latimer-Zayets, and Rick Glaser, and former enforcement staff member Kim Bruno.

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Author: Editor
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