The CFTC is contemplating a revision of its Regulation 1.25 to expand the slate of permitted financial instruments in which an FCM may invest segregated customer funds. Currently, the regulation permits FCMs to invest customer funds in obligations of the United States, general obligations of any State or of any political subdivision thereof, or in obligations fully guaranteed as to principal and interest by the United States. The CFTC has requested our assistance. Information on your current investments and investment policies would be helpful in developing the proposal. As such, please provide the Audit Department with the following information, which we plan to provide to the CFTC:
What is the estimated (ball-park estimate is fine) dollar-weighted average time remaining to maturity of your direct investments of customer segregated funds:
The dollar-weighted average days to maturity of U.S. Treasury Bills - ____________.
The dollar-weighted average days to maturity of U.S. Treasury Bonds and Notes - __________.
The dollar-weighted average days to maturity of Municipal Securities - _________.
None of our investments of customers� funds has a maturity of greater than 2 years.
None of our investments of customers� funds has a maturity of greater than one year.
Briefly describe your firm�s policies regarding what you will or will not invest segregated funds in (e.g., do you invest in long-term Treasuries and Municipal Bonds, or is there a specific policy against doing so?)
What are your firm�s reasons for having established the policies in place (e.g., investments are limited to what is acceptable to the clearing organization)?
Please submit the requested information to the Audit Department no later than Monday, April 10, 2000, via facsimile at 312-930-3242. If you have any questions, please contact us 312-930-3230.
