Macquarie Futures USA LLC Statement of Financial Condition and Supplemental Schedules March 31, 2016

Transcription

1 Statement of Financial Condition and Supplemental Schedules

2 Index Page(s) Report of Independent Registered Public Accounting Firm... 1 Financial Statements Statement of Financial Condition... 2 Notes to Statement of Financial Condition Supplemental Schedules Schedule I Reconciliation of Statement of Financial Condition to the Computation of the Minimum Capital Requirements Pursuant to Regulation 1.10(d) (3) Under the Commodity Exchange Act Schedule II Statement of Computation of the Minimum Capital Requirements under Regulation Schedule IIIa Statement of Segregation Requirements and Funds in Segregation for Customers Trading on U.S. Commodity Exchanges Schedule IIIb Statement of Segregation Requirements and Funds in Segregation for Customers Trading on U.S. Commodity Exchanges Schedule IVa Statement of Secured Amounts and Funds Held in Separate Accounts for Foreign Futures and Foreign Options Customers Pursuant to Commission Regulation Schedule IVb Statement of Secured Amounts and Funds Held in Separate Accounts for Foreign Futures and Foreign Options Customers Pursuant to Commission Regulation Schedule Va Statement of Cleared Swaps Customer Segregation Requirements and Funds in Cleared Swaps Customer Accounts under 4D(F) Of CEA Schedule Vb Statement of Cleared Swaps Customer Segregation Requirements and Funds in Cleared Swaps Customer Accounts under 4D(F) Of CEA... 18

3

4 Statement of Financial Condition Year Ended Assets Cash $ 10,772,088 Cash and securities segregated pursuant to federal regulations 2,364,381,764 Receivable from broker dealers and clearing organizations 539,971,080 Securities owned, at fair value 1,487,025 Receivable from customers, net 29,809,273 Receivable from affiliates 867,901 Current tax assets, net 2,678,145 Exchange memberships and stock, at cost, net 3,801,859 Deferred tax assets, net 2,316,809 Other assets 75,670 Total assets $ 2,956,161,615 Liabilities and Stockholder s Equity Liabilities Payable to customers $ 2,157,277,852 Payable to noncustomers 306,514,906 Payable to Parent and affiliates 87,837,318 Payable to clearing organizations 101,026,709 Accrued expenses and other liabilities 9,106,612 Total liabilities 2,661,763,397 Commitments and contingencies (Note 5) Subordinated borrowings (Note 9) 200,000,000 Stockholder s equity Common stock, $1.00 par value; 10,000 shares authorized; 2,500 shares issued and outstanding 2,500 Additional paid-in capital 104,217,219 Accumulated deficit (9,821,501) Total stockholder s equity 94,398,218 Total liabilities and stockholder s equity $ 2,956,161,615 2

5 Notes to Statement of Financial Condition 1. Organization Macquarie Futures USA LLC (the Company and MFUSA ) is a wholly owned subsidiary of Macquarie Trading Services Inc. (the Parent ), which is a subsidiary of Macquarie Funding Holdings Inc. (the U.S. Parent ) and an indirect subsidiary of Macquarie Group Limited ( MGL ), a nonoperating holding company located in Sydney, Australia. The Company is a member of the National Futures Association and is registered with the Commodity Futures Trading Commission ( CFTC ) as a Futures Commission Merchant. The Company is headquartered in New York and has its principal operations located in Chicago. The Company s principal business is to provide execution and clearing services of commodity futures and options transactions. The Company is a member of the New York Board of Trade ( NYBOT ). Membership requires the Company to hold both exchange seats, as well as shares of Intercontinental Exchange Inc ( ICE ). As of, the Company owned 9,486 ICE shares, of which 3,162 shares are restricted; to maintain membership rights these shares may not be sold. The Company is a clearing member of ICE Futures Europe and a clearing member of Nodal Exchange. The Company is a member of the Chicago Mercantile Exchange Group ( CME Group ). 2. Significant Accounting Policies Basis of Accounting and Use of Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ( U.S. GAAP ) requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Cash Cash only consists of amounts on deposit with three major U.S. banks. Given this concentration, the Company is exposed to credit risk. Cash and Securities Segregated Pursuant to Federal Regulations Pursuant to requirements of the Commodity Exchange Act ( CE Act ), funds deposited by customers relating to futures and option contracts in regulated commodities must be carried in separate accounts which are designated as segregated customers accounts. At, cash and segregated securities included cash of $1,276,250,275 and amounts in money market funds of $1,088,131,489 for deposit of customer funds. 3

6 Notes to Statement of Financial Condition Receivable From Broker Dealers and Clearing Organizations Receivable from broker dealers and clearing organizations represent amounts deposited with and receivable from broker dealers and clearing organizations, less any payables where any right of offset exists. This amount consists of $425,060,832 in money market funds and $114,910,248 in net receivables from broker dealers and clearing organizations. Of the total net receivables from broker dealers and clearing organizations, $54,742,295, $13,768,200, $13,473,856 and $762,595 are required security deposits held at CME, ICE, ICE Futures Europe and Nodal Exchange, respectively, and the remaining amounts can be withdrawn. Securities Owned, at Fair Value Securities owned, at fair value, consists of equity securities investments of $1,487,025 in common stock held by the firm at ICE in excess of amounts required to be held in order to maintain trading privileges. Receivable From and Payable To Customers Customer receivables consist of receivables from customers which arise from clearing and execution services. The Company may be exposed to credit risk regarding these receivables, which are carried at cost and adjusted for impairment, if necessary, by a charge to a specific provision reserve. The Company provides against receivables that are aged greater than 13 months. As of there was an allowance for doubtful accounts of $742,483. Payable to customers consists of funds received from customers plus accrued interest payable on relevant amounts of these funds. Exchange Memberships and Stocks The Company has exchange membership seats and exchange firm common stock held for clearing purposes, which provide the Company the right to process trades directly with the various exchanges. The exchange memberships and stock that are held for clearing purposes are recorded at cost unless impaired. Exchange memberships include seats on the CME and the NYBOT. Exchange stock includes shares of ICE common stock that the Company is required to hold in order to maintain certain trading privileges. The exchange memberships and stocks are measured at cost or at a lesser amount if there is other than temporary impairment in value. Payable to Noncustomers Payable to noncustomers consists of funds received from noncustomers plus accrued interest payable on relevant amounts of these funds. Noncustomers are related parties and other broker dealers whose funds are not required to be segregated. Payable to Clearing Organizations Payable to clearing organizations represent amounts payable to clearing organizations where any right of offset does not exist. Income Taxes The Company is a member of the Macquarie Services (USA) Partners ( MSUP or consolidated group ) consolidated group for U.S. federal income tax purposes and a member of a combined group for state and local income tax purposes. Where the consolidated group does not file a consolidated state and local income tax return, the Company must file on a standalone basis. The amount of current and deferred taxes payable or receivable is recognized as of the date of the Statement of Financial Condition utilizing currently enacted tax laws and rates. 4

7 Notes to Statement of Financial Condition Deferred income taxes are recorded for the effects of temporary differences between the reported amount in the financial statements and the tax basis of assets and liabilities that will result in taxable or deductible amounts in the future based on tax laws and rates applicable to the periods in which the differences are expected to reverse. The Company assesses its ability to realize deferred tax assets primarily based on the historical earnings, future earnings potential and the reversal of taxable temporary differences when recognizing deferred assets. Deferred tax assets are reduced by a valuation allowance when, in the opinion of management, it is more likely than not that some portion or all of the deferred tax assets will not be realized. The Company s deferred tax assets, to the extent they are not offset by the valuation allowance, are presented within the Statement of Financial Condition. The Company follows accounting principles related to the accounting for uncertainty in income taxes. In this regard, the Company is required to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation process, based on the technical merits of the position. The tax expense (benefit) to be recognized is measured as the largest amount of expense (benefit) that is greater than fifty percent likely of being realized upon ultimate settlement, which could result in the Company recording a tax liability. Translation of Foreign Currencies Assets and liabilities denominated in foreign currencies are translated at fiscal year-end rates of exchange. Share Based Compensation The Company participates in the share-based compensation plan of MGL. Under the MGL sharebased compensation plan, the awards are issued by the Parent with the costs pushed down to the Company. The Company measures share-based awards granted to employees at fair value as of grant date. Fair Value of Financial Instruments The Company is required to report the fair value of financial instruments, as defined. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value measurements are not adjusted for transaction costs. The recognition of block discounts for large holdings of unrestricted financial instruments where quoted prices are readily and regularly available in an active market is prohibited. The fair value hierarchy prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below: Level 1 Level 2 Level 3 Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. A financial instrument s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. 5

8 Notes to Statement of Financial Condition As of, the Company did not hold any financial instruments that are classified within Levels 3 of the fair value hierarchy. Recent Accounting Pronouncements In May 2014, the Financial Accounting Standards Board ( FASB ) issued Accounting Standards Update ( ASU ) No , Revenue from Contracts with Customers to supersede the majority of current revenue recognition guidance under U.S. GAAP. The core principle of this guidance is that an entity should recognize revenue for the transfer of goods or services to customers in an amount that reflects the consideration the entity expects to receive in exchange for those goods or services. The guidance also requires additional disclosure about the nature, amount, and timing of revenue arising from customer contracts including significant judgments. The guidance will be effective for the Company beginning April 1, The Company is in the process of determining the impact of this guidance on the financial statements. 3. Fair Value of Financial Instruments The following table summarizes securities and money market funds on the Statement of Financial Condition held at fair value within the fair value hierarchy levels. Assets Level 1 Level 2 Level 3 Equity securities $ 1,487,025 $ - $ - Money market funds 1,513,192,322 $ 1,514,679,347 $ - $ - Equity securities represent investments in common stock held by the firm at the exchange in excess of amounts required to be held in order to maintain trading privileges. Money market funds represent investments of customer funds in money market funds included in cash and securities segregated pursuant to federal regulations; money market funds held at clearing organizations included in receivable from broker dealers and clearing organizations. The Company also has other financial assets/liabilities that are not recorded at fair value excluding the subordinated liability (Note 9). These instruments are recorded at their contractual amounts which approximate their fair value as they are generally short term in nature and at market rates. They would also be considered Level 2 in the hierarchy as there is no active market price for the instruments. 4. Related Party Transactions As of, the Company had no cash on deposit with Macquarie Group entities. Payable to parent and affiliates of $87,837,318 consists of unpaid balances related to operating expenses. Receivable from affiliates $867,901 consists of transfer pricing in connection with reimbursement of costs incurred by the Fixed Income and Currency ( FI&C ) business. At March 31, 2016, the Company had an outstanding subordinated debt payable to the Parent (Note 9). Related party liabilities includes Payable to customers of $1,584,898,259 and Payable to noncustomers $395,881,802. Related party assets includes Cash and securities segregated pursuant to federal regulations of $3,625,365 and Receivable from broker dealers and clearing organizations of $737,287. 6

9 Notes to Statement of Financial Condition 5. Commitments and Contingencies The Company self clears through all of the exchanges in the CME Group. All non CME Group products on behalf of customers are cleared through a nonaffiliated U.S. clearing broker and all non U.S. futures markets are cleared through an affiliated clearing broker. Pursuant to the terms of the agreements between the Company and its clearing broker, the clearing broker has the right to charge the Company for losses that result from its failure to fulfill its obligations. In accordance with the terms of business between the Company and its customers, the Company may pass these charges to its customers counterparts and has the ability to pursue collection from or performance of its customers obligations. As the right to charge the Company has no maximum amount and is applied to all trades cleared through the clearing broker, the Company believes there is no maximum amount assignable to this right. As of, the Company did not record liabilities with regard to the right. The Company s policy is to monitor the credit standing of the clearing brokers and all customers with which it conducts business. In the normal course of business the Company enters into contracts that contain a variety of representations and warranties, which provide general indemnifications. The Company s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Company that have not yet occurred. However, based on experience, the Company expects the risk of loss to be remote and has not recorded an associated liability as of. The Company may be exposed to credit risk regarding its receivables, which are primarily receivable from financial institutions, including banks, clearing organizations and broker dealers. 6. Employee Benefit Plans The Company participates in the Parent s 401(k) Plan. Contributions to the 401(k) Plan are matched by the Company, up to specific limits. The Company matches 100% of the first 3% plus 50% of the next 2% of the employee s pre-tax contributions with a maximum contribution of 4% up to the matching limit of $10,600 (based on the maximum IRS compensation limit of $265,000). A vesting schedule applies to all matched contributions based on the number of years of service with the Company. Substantially all employees are eligible to participate in the plan. 7. Employee Share Based Compensation Macquarie Group Employee Retained Equity Plan The Macquarie Group Employee Retained Equity Plan ( MEREP ) is a flexible plan structure that offers different types of equity grants. Participation in the MEREP is currently provided to Associate Directors and above. The plan includes a decrease in the portion of the staff profit share paid in cash, an increase in the portion delivered as equity and an increase in the proportion of deferred remuneration. In most cases the equity grants are in the form of restricted share units ( RSU ) comprising a beneficial interest in MGL shares held in trust for the staff member. The participant in the RSU is entitled to receive dividends on the share and direct the trustee how to exercise voting rights in the share. RSUs are the primary form of award under the MEREP. The deferred share unit ( DSU ) is a right to receive either a share held in the trust or newly issued share for no cash payment, subject to vesting and forfeiture provisions. The DSU participant has no right or interest in any share until the DSU is exercised. Performance share units ( PSU ) are structured like DSUs or RSUs with performance hurdles that must be met before the underlying 7

10 Notes to Statement of Financial Condition share or cash equivalent will be delivered. The Company expenses MEREP over the vesting period. The MEREP awards will vest over periods from three to five years for most Executive Directors, three to seven years for members of the Executive Committee and Designated Executive Directors (members of the Operations Review Committee and other Executive Directors with significant management or risk responsibility) and two to four years for other staff, including staff promoted to a Director level. The shares issued will be fully paid ordinary Macquarie Group Limited shares (symbol: MQG, listed on the Australian Securities Exchange) and will be issued to the MEREP trustee at the closing price of MGL shares on the day before the awards are issued. For profit share awards representing 2015 retention, the conversion price was the volume weighted average price from May 18, 2015 up to and including the date of the allocation, which was July 6, That price was calculated to be AUD (USD $59.35) per share. Share based compensation is measured based on fair value, determined by the grant-date fair value price. The weighted average fair value of the awards granted during the financial year was AUD (USD $60.12) per share. Vesting for retained deferred profit share awards is five years, transitional awards vest after seven years and retained profit share awards vest after three years. The following is a summary of awards which have been granted pursuant to the MEREP: Non-vested shares at the beginning of year 43,268 Vested shares during the year (17,539) Transfers (to)/from related body corporate entities 6,386 Shares granted during the year 14,837 Shares forfeited during the year (1,235) Non-vested shares at the end of year 45, Minimum Capital Requirements The Company is subject to the minimum capital requirements pursuant to regulations under the CE Act, as amended. At, the Company had adjusted net capital of $250,757,115 which was $80,209,428 in excess of its required capital. 9. Subordinated Borrowings At, the Company had an outstanding revolving subordinated loan agreement ( Agreement ) with its Parent of $200,000,000. The revolving subordinated loan accrues monthly interest. With respect to maturity dates $75,000,000 is due on August 31, 2017 and $125,000,000 is due on January 28, Under the Agreement, the interest charged by the Parent to the Company is at a rate agreed upon between the borrower and the lender. The interest rate charged by the Parent to the Company is a floating rate which approximates that of the London Inter-Bank Offer Rate ( Libor ). The fair value of the loan at a comparable market interest rate would approximate $219,025,253. Interest is computed on the basis of a year consisting of 365 days and paid for the actual number of days elapsed. 8

11 Notes to Statement of Financial Condition The subordinated borrowings are with related parties and are available in computing net capital under CFTC Regulation 1.17 net capital rule. To the extent that such borrowings are required for the Company s continued compliance with minimum net capital requirements, they may not be repaid. 10. Income Taxes The company accounts for uncertain tax positions by prescribing a recognition threshold and a measurement attribute for the financial statement recognition and measurement of tax positions taken or expected to be taken in a tax return. For those benefits to be recognized, a tax position must be more-likely-than-not to be sustained upon examination by taxing authorities for the year ended. The Company is a member of MSUP for U.S. federal income tax purposes and a member of a combined group for state and local income tax purposes. Federal and state income taxes as well as benefits for federal and state net operating losses are allocated based on a formal tax sharing agreement between the Company and the Parent of the consolidated group. All current balances are settled currently with the Parent. The consolidated federal and combined state and local tax returns are subject to audits by relevant taxing authorities. Currently, the Company is not under any federal or state audits. The statute remains open and the Company can be subject to audit for years ending March 31, 2010 and onward. The consolidated group is under audit in New York State for the years ending March 31, 2008 through March 31, Deferred taxes result from temporary differences between tax laws and financial accounting standards. Temporary differences primarily include goodwill deductible for tax purposes, bad debts, and depreciation. These result in a net deferred tax asset of $2,316,809. The tax sharing agreement in place for the U.S. consolidated group outlines the arrangements amongst the members with respect to federal taxes and is consistent with the federal tax consolidation rules. It outlines the allocation amongst the members of consolidated federal tax liabilities (where there is consolidated taxable income for an income year), or federal net operation losses (where there is a consolidated net operation loss for an income year). Valuation Allowance The Company assesses its ability to realize deferred tax assets primarily based on the future earnings potential and the reversal of taxable temporary differences when recognizing deferred assets. Deferred tax assets are reduced by a valuation allowance when, in the opinion of management, it is more likely than not that some portion or all of the deferred tax assets will not be realized. The Company s determined that it is more likely than not that they will realize their deferred tax assets. Therefore, the Company does not have a valuation allowance. Accounting for Uncertainty in Income Taxes The Company did not have any potential exposure for tax, interest and penalties related to uncertain tax positions for the year ended. The Company does not believe there will be any material changes in its unrecognized tax positions over the next twelve months. 9

12 Notes to Statement of Financial Condition 11. Subsequent Events The Company has evaluated subsequent events through May 27, 2016, the date of issuance of these financial statements. The Company did not have any significant subsequent events to report. 10

13 Reconciliation of Statement of Financial Condition to the Computation of the Minimum Capital Requirements Pursuant to Regulation 1.10(d)(3) Under the Commodity Exchange Act Schedule I Total assets per Statement of Financial Condition $ 2,956,161,615 Market value of options owned by customers, net (9,399,506) Total adjusted assets 2,946,762,109 Deduct noncurrent assets (as defined) Receivable from customers, net (3,032,610) Exchange membership and stock (3,801,859) Receivable from affiliates (867,901) Current tax assets, net (2,678,145) Deferred tax assets, net (2,316,809) Other assets (75,670) Current assets (as defined) $ 2,933,989,114 Total liabilities per Statement of Financial Condition $ 2,661,763,397 Market value of options owned by customers, net (9,399,506) Total adjusted liabilities (as defined) $ 2,652,363,891 No material differences exist between the above computation and the computation included in the Company s corresponding unaudited Form 1-FR filing filed on April 25,

14 Statement of Computation of the Minimum Capital Requirements Under Regulation 1.17 Schedule II Net capital Current assets (as defined) $ 2,933,989,114 Net current assets 2,933,989,114 Total adjusted liabilities (as defined) 2,652,363,891 Net capital 281,625,223 Net capital required 170,547,687 Haircut: 20% and 6% on foreign currencies (381,208) Haircut: 15% of securities owned (223,054) Haircut: 2% of other securities (30,263,846) Net capital excess $ 80,209,428 No material differences exist between the above computation and the computation included in the Company s corresponding unaudited Form 1-FR filing filed on April 25,

15 Statement of Segregation Requirements and Funds in Segregation for Customers Trading on US Commodity Exchanges Schedule IIIa Segregation Requirements (Section 4d(2) of the CEAct) 1. Net ledger balance A. Cash $ 1,796,515,813 B. Securities (at market) 29,445, Net unrealized profit (loss) in open futures contracts traded on a contract market 326,554, Exchange traded options A. Market value of open option contracts purchased on a contract market 380,149,846 B. Market value of open option contracts granted (sold) on a contract market (370,749,340) 4. Net equity (deficit) (add lines 1, 2 and 3) 2,161,915, Accounts liquidating to a deficit and accounts with debit balancesgross amount $ 1,776,632 Less: amount offset by customer owned securities (1,776,620) Amount required to be segregated (add lines 4 and 5) $ 2,161,915,997 No material differences exist between the above computation and the computation included in the Company s corresponding unaudited Form 1-FR filing filed on April 25,

16 Statement of Segregation Requirements and Funds in Segregation for Customers Trading on US Commodity Exchanges Schedule IIIb Segregation Requirements (Section 4d(2) of the CEAct) Funds in segregated accounts 7. Deposited in segregated funds bank accounts A. Cash $ 595,999,189 B. Securities representing investments of customers funds (at market) 40,003,500 C. Securities held for particular customers or option customers in lieu of cash margins (at market) 29,445, Margins on deposit with clearing organizations of contract markets A. Cash 600,332,440 B. Securities representing investments of customers funds (at market) 1,048,127,989 C. Securities held for particular customers or option customers in lieu of cash margins (at market) - 9. Net settlement from (to) clearing organizations of contract markets 11,019, Exchange traded options A. Value of open long option contracts 380,149,846 B. Value of open short option contracts (370,749,340) 11. Net equities with other FCMs A. Net liquidating equity 1,556,097 B. Securities representing investments of customers funds (at market) - C. Securities held for particular customers or option customers in lieu of cash (at market) Segregated funds on hand (describe on separate page) Total amount in segregation (add lines 7 through 12) 2,335,884, Excess (deficiency) funds in segregation (subtract line 6 from line 13) $ 173,968,418 No material differences exist between the above computation and the computation included in the Company s corresponding unaudited Form 1-FR filing filed on April 25,

17 Statement of Secured Amounts and Funds Held in Separate Accounts for Foreign Futures and Foreign Options Customers Pursuant to Commission Regulation 30.7 Schedule IVa Foreign Futures and Foreign Options Secured Amounts Amount required to be set aside pursuant to law, rule or regulation of a foreign government or a rule of a self-regulatory organization authorized thereunder - 1. Net ledger balance - Foreign Futures and Foreign Options Trading - All Customers A. Cash $ (3,020,967) B. Securities (at market) 40, Net unrealized profit (loss) in open futures contracts traded on a foreign board of trade (4,850,532) 3. Exchange traded options A. Market value of open option contracts purchased on a foreign board of trade 10,350 B. Market value of open contracts granted (sold) on a foreign board of trade (11,350) 4. Net equity (deficit) (add lines 1, 2 and 3) (7,832,499) 5. Accounts liquidating to a deficit and accounts with debit balances - gross amount 25,000,031 Less: Amount offset by customer owned securities - 6. Amount required to be set aside as the secured amount - Net Liquidating Equity Method (add lines 4 and 5) $ 17,167,532 No material differences exist between the above computation and the computation included in the Company s corresponding unaudited Form 1-FR filing filed on April 25,

18 Statement of Secured Amounts and Funds Held in Separate Accounts for Foreign Futures and Foreign Options Customers Pursuant to Commission Regulation 30.7 Schedule IVb Funds Deposited in Separate Regulation 30.7 Accounts 1. Cash in Banks A. Banks located in the United States $ 29,957,394 B. Other banks designated by the Commission Name(s) - $ 29,957, Securities A. In safekeeping with banks located in the United States 40,000 B. In safekeeping with other banks designated by the Commission Name(s) - 40, Equities with registered futures commission merchants A. Cash - B. Securities - C. Unrealized gain (loss) on open futures contracts - D. Value of long option contracts - E. Value of short option contracts Amounts held by clearing organizations of foreign boards of trade Name(s) A. Cash - B. Securities - C. Amount due to (from) clearing organization - daily variation - D. Value of long option contracts - E. Value of short option contracts Amounts held by members of foreign boards of trade Name(s) A. Cash 8,475,897 B. Securities - C. Unrealized gain (loss) on open futures contracts (4,850,533) D. Value of long option contracts 10,350 E. Value of short option contracts (11,350) 3,624, Amounts with other depositories designated by a foreign board of trade Name(s) - 7. Segregated funds on hand (describe) - 8. Total funds in separate section 30.7 accounts (to page 13, line 2) 33,621, Excess (deficiency) set Aside Funds for Secured Amount (subtract Line 7 Secured Statement page 16 from Line 8) $ 16,454,226 No material differences exist between the above computation and the computation included in the Company s corresponding unaudited Form 1-FR filing filed on April 25,

19 Statement of Cleared Swaps Customer Segregation Requirements and Funds in Cleared Swaps Customer Accounts under 4D(F) Of CEA Schedule Va Cleared Swaps Customer Requirements 1. Net ledger balance A. Cash $ 7,944,797 B. Securities (at market) - 2. Net unrealized profit (loss) in open cleared OTC derivatives (2,041,500) 3. Cleared OTC derivatives options A. Market value of open cleared OTC derivatives option contracts purchased - B. Market value of open cleared OTC derivatives option contracts granted (sold) - 4. Net equity (deficit) (Add lines 1, 2 and 3) 5,903, Accounts liquidating to a deficit and accounts with debit balances-gross amount Less: amount offset by customer owned securities - 6. Amount required to be sequestered for cleared OTC derivatives customers (add lines 4 and 5) $ 5,903,297 No material differences exist between the above computation and the computation included in the Company s corresponding unaudited Form 1-FR filing filed on April 25,

20 Statement of Cleared Swaps Customer Segregation Requirements and Funds in Cleared Swaps Customer Accounts under 4D(F) Of CEA Schedule Vb Funds in Cleared OTC Derivatives Customer Sequestered Accounts 7. Deposited in cleared OTC derivatives customer sequestered accounts at banks A. Cash $ 21,300,656 B. Securities representing investments of customers funds (at market) - C. Securities held for particular customers or option customers in lieu of cash margins (at market) - 8. Margins on deposit with derivatives clearing organizations in cleared OTC derivatives customer sequestered accounts A. Cash 3,073,530 B. Securities representing investments of customers funds (at market) - C. Securities held for particular customers or option customers in lieu of cash margins (at market) - 9. Net settlement from (to) derivatives clearing organizations (13,000) 10. Cleared OTC derivatives options A. Value of open cleared OTC derivatives long option contracts - B. Value of open cleared OTC derivatives short option contracts Net equities with other FCMs A. Net liquidating equity - B. Securities representing investments of customers funds (at market) - C. Securities held for particular customers or option customers in lieu of cash (at market) Cleared OTC derivatives customer funds on hand Total amount in sequestration (add lines 7 through 12) 24,361,186 No material differences exist between the above computation and the computation included in the Company s corresponding unaudited Form 1-FR filing filed on April 25,