Rule 1.55(k)

COMMODITY FUTURES TRADING COMMISSION RULE 1.55(k): FCM-SPECIFIC DISCLOSURE DOCUMENT

The Commodity Futures Trading Commission (Commission) requires each futures commission merchant (FCM), including Citigroup Global Markets Inc. (CGMI), to provide the following information to a customer prior to the time the customer first enters into an account agreement with the FCM or deposits money or securities (funds) with the FCM. Except as otherwise noted below, the information set out is the most recent available data as of July 2018. CGMI will update this information annually and as necessary to take account of any material change to its business operations, financial condition or other factors that CGMI believes may be material to a customer’s decision to do business with CGMI. Nonetheless, CGMI’s business activities and financial data are not static and will change in non-material ways frequently throughout any 12-month period.

NOTE: CGMI is a subsidiary of Citigroup Inc. Information that may be material with respect to CGMI for purposes of the Commission's disclosure requirements may not be material to Citigroup Inc. for purposes of applicable securities laws.

  1. Firm and its Principals

    FCM’s name, address of its principal place of business, phone number, fax number and email address.

    Citigroup Global Markets Inc.

    390 Greenwich Street, 3rd Floor

    New York, NY 10013

    (212) 723-5560 (phone)

    (212) 723-8977 (fax)

    futuresinquiries@citi.com;

  2. FCM’s designated self-regulatory organization (DSRO) and DSRO’s website address.

    Chicago Board of Trade, CME Group

    http://www.cmegroup.com/company/cbot.html

  3. NFA Principal Biographies

  4. Firm’s Business (Ref 4.0)

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of September 30, 2019 )

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of August 31, 2019 )

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of July 31, 2019 )

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of June 19, 2019 )

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of May 31, 2019 )

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of April 30, 2019 )

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of March 31, 2019 )

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of February 28, 2019 )

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of January 31, 2019 )

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of December 31, 2018 )

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of November 30, 2018 )

    Percentage of Assets and Capital for significant types of business activities and product lines engaged in by the FCM (as of October 31, 2018)

  5. FCM Customer Business

    FCM’s business on behalf of its customers, in its capacity as such, including:

    • Types of customers: Banks, Corporations, Hedge Funds, Insurance Companies, Government Agencies, and Mutual Funds,and Pension Plans.
    • Markets traded: Financial, Agricultural, Energy, Metals, Foreign Exchange
    • International businesses: In addition to its presence in North America, Citi Futures, Clearing and Collateral operates out of Europe, Asia, and Latin America.
    • Exchange and Swap Execution Facility Memberships

      Futures Exchange & Clearing Memberships:

      Exchange

      Membership Type

      Clearing Firm

      Clearing House

      Chicago Board Options Exchange

       Clearing Member

      Citigroup Global Markets Inc.

      Options Clearing Corp.

      Chicago Climate Futures Exchange - CCFE

       Clearing Member

      Citigroup Global Markets Inc.

      ICE Clear US

      Chicago Mercantile Exchange - CME

       Clearing Member

      Citigroup Global Markets Inc.

      CME

      Chicago Board of Trade - CBOT

       Clearing Member

      Citigroup Global Markets Inc.

      CME

      New York Mercantile Exchange - NYMEX

       Clearing Member

      Citigroup Global Markets Inc.

      CME

      Commodity Exchange Inc. - COMEX

       Clearing Member

      Citigroup Global Markets Inc.

      CME

      Kansas City Board of Trade - KCBOT

       Clearing Member

      Citigroup Global Markets Inc.

      CME

      Dubai Mercantile Exchange - DME

       Clearing Member

      Citigroup Global Markets Inc.

      CME

      ELX Futures, LP (ELX)

       Clearing Member

      Citigroup Global Markets Inc.

      LCH.Clearnet Limited

      Green Exchange LLC

       Clearing Member

      Citigroup Global Markets Inc.

      CME

      ICE Futures Europe

       Clearing Member

      Citigroup Global Markets Inc.

      ICE Clear

      ICE Futures US

       Clearing Member

      Citigroup Global Markets Inc.

      ICE Clear US

      Nodal Exchange

       Clearing Member

      Citigroup Global Markets Inc.

      Nodal Clear

      Nasdaq Futures Exchange

       Clearing Member

      Citigroup Global Markets Inc.

      OCC

      OTC Clearing Memberships:

      LCH.Clearnet Limited

      LCH.Clearnet LLC

      ICE Clear US

      CME

      Eurex Clearing AG

      OTC SEF Memberships

      Bloomberg

      BGC Derivatives Markets

      DW SEF

      Tradeweb

      LatAm SEF

      MarketAxess

      ICE Swap

      ICAP/ICAP IGDL

      TrueEx

      Tullet Prebon

      GFI

      CBOE SEF (Javelin, BatHotSpot)

      Tradition

    • carrying brokers used: affiliates, non-affiliates

      Carry Broker Arrangements

      Affiliate

      ADM Investor Services

       N

      Banco Santander (Mexico), S.A.

       N

      Citigroup Global Markets Asia Ltd.

       Y

      Citigroup Global Markets Australia Pty Limited

       Y

      Citigroup Global Markets Canada

       Y

      Citigroup Global Markets Hong Kong

       Y

      Citigroup Global Markets Japan Inc.

       Y

      Citigroup Global Markets Limited

       Y

      Citigroup Global Markets Singapore Securities Pte. Ltd.

       Y

      Orient Futures

       N

      Citigroup Global Markets Europe AG

       Y

    Permitted Depositories and Counterparties

    FCM’s policies and procedures concerning the choice of bank depositories, custodians and counterparties to permitted transactions under § 1.25.

    Citigroup’s Global Network Management Team is responsible for establishing, monitoring, and reviewing policy and procedures concerning the choice and ongoing maintenance of banks, depositories and custodians that operate under Rule 1.25.  The process for choosing a provider involves a formal RFP to ensure the appropriate levels of service, control, and financial stability are satisfied.  Annual diligence reviews are conducted to ensure compliance with regulatory requirements.

  6. Material Risks

    The material risks, accompanied by an explanation of how such risks may be material to its customers, of entrusting funds to FCM, including, without limitation:
    1. the nature of investments made by FCM (including credit quality, weighted average maturity and weighted average coupon);

      In order to assure that it is in compliance with its regulatory capital requirements and that it has sufficient liquidity to meet its ongoing business obligations, CGMI holds a significant portion of its assets in cash and highly liquid Class A securities (US Treasuries and Agencies) to fund BAU activity and for contingency stress events. CGMI may also invest in other short-term highly liquid instruments such as money market instruments, commercial paper, and certificates of deposit. CGMI also invests a limited amount of its capital in state and municipal securities and certain highly-rated corporate debt securities. CGMI invests customer funds only in money market funds that comply with CFTC Regulation 1.25.
    2. FCM's creditworthiness, leverage, capital, liquidity, principal liabilities, balance sheet leverage and other lines of business; (Ref 6.1)

      Capital (Ref 6.2). CGMI's equity is 100% owned by its parent company, Citigroup Financial Products Inc. The GAAP equity for CGMI as of September 2019 was $[9.1] billion and is comprised of primarily $[8.8] billion of paid in capital.

      Creditworthiness. CGMI has a long-term S&P rating of A and a short term rating of A-1.

      Capital is used principally to support assets in CGM's businesses and to absorb credit, market and operational losses. CGMI primarily generates capital through earnings from its operating businesses. CGMI may augment its capital through infusions of capital from CFPI. CGMI also augments its regulatory capital through the issuance of subordinated debt.

      CGMI's capital management framework is designed to ensure that CGMI maintains sufficient capital consistent with all applicable regulatory standards and guidelines. CGMI assesses its capital adequacy against a series of internal quantitative capital goals, designed to evaluate the Company's capital levels in expected and stressed economic environments. Underlying these internal quantitative capital goals are strategic capital considerations, centered on preserving and building financial strength. Senior management is responsible for the capital assessment and planning process, which is integrated into CGMI's capital plan. Implementation of the capital plan is carried out mainly through CGMI's Asset and Liability Committee.

      Liquidity. CGMI's funding and liquidity objectives are to maintain adequate liquidity to fund its existing balance sheet, grow core businesses and maintain sufficient liquidity under a wide variety of market conditions including market disruptions for both short term and long term time horizons and satisfy regulatory requirements. Citi's measures liquidity risk as the ability for an entity to efficiently meet both expected and unexpected current and future cash flow and collateral needs without adversely affecting daily operations or the financial condition of the entity. CGMI maintains liquidity reserves in the form of highly liquid Class A securities (US Treasuries and Agencies) to fund BAU activity and for contingency stress events. The liquidity framework provides that entities be self-sufficient. Liquidity is managed at the major broker dealer level and internal stress test are performed for CGMI to ensure the entity has adequate liquidity to support contingent stress outflows. Citigroup's Liquidity Risk Management policy require entities to measure liquidity requirements during periods of stress. There are two main stress scenarios that consider a 12 month stress and a more severe 30 day stress. The main long term liquidity metric requires CGMI to maintain sufficient liquidity to meet all maturing obligations within 12 months under a moderate to highly stressed market disruption. There is also a short term liquidity measure that CGMI needs to maintain sufficient liquidity within a 30 day time horizon. Balance sheet Funding and Liquidity Plans are produced annually are also part of the overall liquidity management framework and establishes parameters for measuring and monitoring liquidity risk. The monthly Asset and Liability Committee is the main forum to review balance sheet and liquidity metrics for the Broker Dealer entities; including CGMI. CGMI's main source of funding includes equity, subordinated debt, secured financing and unsecured funding (both short term and long term).

      Other Business Lines. CGMI provides corporate, institutional, public sector and high-net-worth clients with a full range of products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, equity and fixed income research, investment banking and advisory services, cash management, trade finance and securities services. CGMI is Citi's domestic broker-dealer, covering all capital markets and investment banking products and is the primary legal vehicle for Markets & Securities Services - one of Citi's core segments comprising institutional activity. CGMI has a major presence in the domestic capital markets as a dealer, market maker and underwriter in equity and fixed income securities. CGMI's trading activities encompass cash, exchange-traded and OTC derivative markets.

      Principal Liabilities (Ref. 6.3). Total liabilities for CGMI were approximately $316 billion as of September 2019. CGMI primarily funds itself through secured financing transactions ($173 billion or approximately 55% of total liabilities as of September 2019). Secured financing transactions (securities loaned or sold under agreements to repurchase, or repos) is conducted to facilitate customer matched-book activity and to efficiently fund a portion of the trading inventory. Generally, changes in the level of secured financing are primarily due to fluctuations in trading inventory and in the finance desk matched book.

      CGMI also funds itself through short-term and long-term borrowings, which totaled approximately $5.0 billion and $37.9 billion, respectively, as of September 2019. The long-term borrowings are primarily with affiliates, which totaled approximately $37.6 billion as of September 2019. The short term and long-term borrowings needs of CGMI are based on changes in the overall size and composition of the balance sheet as well as maintaining sufficient liquidity to meet contingent stress outflows. The overall composition of liquidity reserves held on CGMI, which are held in the form of highly liquid Class A securities, and cash held on CFPI, can also influence the amount of short term and long term borrowings. Included in long-term borrowings as of September 2019 were $9.9 billion of subordinated debt with affiliates that qualifies as capital for Regulatory purposes.

      CGMI also has liabilities to customers of approximately $40 billion as of September 2019. The Company is subject to customer protection segregation requirements under securities laws and regulations, including those of the SEC and CFTC, whereby assets are segregated or held in separate accounts under Rule 15c3-3 of the SEC or the Commodity Exchange Act for the exclusive benefit of customers.

  7. Material Complaints or Actions

    Any material administrative, civil, enforcement or criminal complaints or actions filed against FCM where such complaints or actions have not concluded, and any enforcement complaints or actions filed against FCM during the last three years.

  8. Customer Funds Segregation.

    A basic overview of customer fund segregation, FCM management and investments, FCMs and joint FCM/broker dealers.

    Customer Accounts. FCMs may maintain up to three different types of accounts for customers, depending on the products a customer trades:

    • A Customer Segregated Account for customers that trade futures and options on futures listed on US futures exchanges;
    • A 30.7 Account for customers that trade futures and options on futures listed on foreign boards of trade; and
    • A Cleared Swaps Customer Account for customers trading swaps that are cleared on a DCO registered with the Commission.

    The requirement to maintain these separate accounts reflects the different risks posed by the different products. Cash, securities and other collateral (collectively, Customer Funds) required to be held in one type of account, e.g., the Customer Segregated Account, may not be commingled with funds required to be held in another type of account, e.g., the 30.7 Account, except as the Commission may permit by order. For example, the Commission has issued orders authorizing ICE Clear Europe Limited, which is registered with the Commission as a DCO, and its FCM clearing members: (i) to hold in Cleared Swaps Customer Accounts Customer Funds used to margin both (a) Cleared Swaps and (b) foreign futures and foreign options traded on ICE Futures Europe, and to provide for portfolio margining of such Cleared Swaps and foreign futures and foreign options; and (ii) to hold in Customer Segregated Accounts Customer Funds used to margin both (c) futures and options on futures traded on ICE Futures US and (d) foreign futures and foreign options traded on ICE Futures Europe, and to provide for portfolio margining of such transactions.

    Customer Segregated Account. Funds that customers deposit with an FCM, or that are otherwise required to be held for the benefit of customers, to margin futures and options on futures contracts traded on futures exchanges located in the US, i.e., designated contract markets, are held in a Customer Segregated Account in accordance with section 4d(a)(2) of the Commodity Exchange Act and Commission Rule 1.20. Customer Segregated Funds held in the Customer Segregated Account may not be used to meet the obligations of the FCM or any other person, including another customer.

    All Customer Segregated Funds may be commingled in a single account, i.e., a customer omnibus account, and held with: (i) a bank or trust company located in the US; (ii) a bank or trust company located outside of the US that has in excess of $1 billion of regulatory capital; (iii) an FCM; or (iv) a DCO. Such commingled account must be properly titled to make clear that the funds belong to, and are being held for the benefit of, the FCM’s customers. Unless a customer provides instructions to the contrary, an FCM may hold Customer Segregated Funds only: (i) in the US; (ii) in a money center country1; or (iii) in the country of origin of the currency.

    An FCM must hold sufficient US dollars in the US to meet all US dollar obligations and sufficient funds in each other currency to meet obligations in such currency. Notwithstanding the foregoing, assets denominated in a currency may be held to meet obligations denominated in another currency (other than the US dollar) as follows: (i) US dollars may be held in the US or in money center countries to meet obligations denominated in any other currency; and (ii) funds in money center currencies2; may be held in the US or in money center countries to meet obligations denominated in currencies other than the US dollar.

    30.7 Account. Funds that 30.7 Customers deposit with an FCM, or that are otherwise required to be held for the benefit of customers, to margin futures and options on futures contracts traded on foreign boards of trade, i.e., 30.7 Customer Funds, and sometimes referred to as the foreign futures and foreign options secured amount, are held in a 30.7 Account in accordance with Commission Rule 30.7.

    Funds required to be held in the 30.7 Account for or on behalf of 30.7 Customers may be commingled in an omnibus account and held with: (i) a bank or trust company located in the US; (ii) a bank or trust company located outside the US that has in excess of $1 billion in regulatory capital; (iii) an FCM; (iv) a DCO; (v) the clearing organization of any foreign board of trade; (vi) a foreign broker; or (vii) such clearing organization’s or foreign broker’s designated depositories. Such commingled account must be properly titled to make clear that the funds belong to, and are being held for the benefit of, the FCM’s 30.7 Customers. As explained below, Commission Rule 30.7 restricts the amount of such funds that may be held outside of the US.

    Customers trading on foreign markets assume additional risks. Laws or regulations will vary depending on the foreign jurisdiction in which the transaction occurs, and funds held in a 30.7 Account outside of the US may not receive the same level of protection as Customer Segregated Funds. If the foreign broker carrying 30.7 Customer positions fails, the broker will be liquidated in accordance with the laws of the jurisdiction in which it is organized, which laws may differ significantly from the US Bankruptcy Code. Return of 30.7 Customer Funds to the US will be delayed and likely will be subject to the costs of administration of the failed foreign broker in accordance with the law of the applicable jurisdiction, as well as possible other intervening foreign brokers, if multiple foreign brokers were used to process the US customers’ transactions on foreign markets.

    If the foreign broker does not fail but the 30.7 Customers’ US FCM fails, the foreign broker may want to assure that appropriate authorization has been obtained before returning the 30.7 Customer Funds to the FCM’s trustee, which may delay their return. If both the foreign broker and the US FCM were to fail, potential differences between the trustee for the US FCM and the administrator for the foreign broker, each with independent fiduciary obligations under applicable law, may result in significant delays and additional administrative expenses. Use of other intervening foreign brokers by the US FCM to process the trades of 30.7 Customers on foreign markets may cause additional delays and administrative expenses.

    To reduce the potential risk to 30.7 Customer Funds held outside of the US, Commission Rule 30.7 generally provides that an FCM may not deposit or hold 30.7 Customer Funds in permitted accounts outside of the US except as necessary to meet margin requirements, including prefunding margin requirements, established by rule, regulation, or order of the relevant foreign boards of trade or foreign clearing organizations, or to meet margin calls issued by foreign brokers carrying the 30.7 Customers’ positions. The rule further provides, however, that, in order to avoid the daily transfer of funds from accounts in the US, an FCM may maintain in accounts located outside of the US an additional amount of up to 20 percent of the total amount of funds necessary to meet margin and prefunding margin requirements to avoid daily transfers of funds.

    Cleared Swaps Customer Account. Funds deposited with an FCM, or otherwise required to be held for the benefit of customers, to margin swaps cleared through a registered DCO, i.e., Cleared Swaps Customer Collateral, are held in a Cleared Swaps Customer Account in accordance with the provisions of section 4d(f) of the Act and Part 22 of the Commission’s rules. Cleared Swaps Customer Accounts are sometimes referred to as LSOC Accounts. LSOC is an acronym for “legally separated, operationally commingled.” Funds required to be held in a Cleared Swaps Customer Account may be commingled in an omnibus account and held with: (i) a bank or trust company located in the US; (ii) a bank or trust company located outside of the US that has in excess of $1 billion of regulatory capital; (iii) a DCO; or (iv) another FCM. Such commingled account must be properly titled to make clear that the funds belong to, and are being held for the benefit of, the FCM’s Cleared Swaps Customers.

    Investment of Customer Funds. Section 4d(a)(2) of the Act authorizes FCMs to invest Customer Segregated Funds in obligations of the United States, in general obligations of any State or of any political subdivision thereof, and in obligations fully guaranteed as to principal and interest by the United States. Section 4d(f) authorizes FCMs to invest Cleared Swaps Customer Collateral in similar instruments.

    Commission Rule 1.25 authorizes FCMs to invest Customer Segregated Funds, Cleared Swaps Customer Collateral and 30.7 Customer Funds in instruments of a similar nature. Commission rules further provide that the FCM may retain all gains earned and is responsible for investment losses incurred in connection with the investment of Customer Funds. However, the FCM and customer may agree that the FCM will pay the customer interest on the funds deposited.

    Permitted investments include:

    • Obligations of the United States and obligations fully guaranteed as to principal and interest by the United States (U.S. government securities);
    • General obligations of any State or of any political subdivision thereof (municipal securities);
    • Obligations of any United States government corporation or enterprise sponsored by the United States government (U.S. agency obligations);3
    • Certificates of deposit issued by a bank (certificates of deposit) as defined in section 3(a)(6) of the Securities Exchange Act of 1934, or a domestic branch of a foreign bank that carries deposits insured by the Federal Deposit Insurance Corporation;
    • Commercial paper fully guaranteed as to principal and interest by the United States under the Temporary Liquidity Guarantee Program as administered by the Federal Deposit Insurance Corporation (commercial paper);
    • Corporate notes or bonds fully guaranteed as to principal and interest by the United States under the Temporary Liquidity Guarantee Program as administered by the Federal Deposit Insurance Corporation (corporate notes or bonds); and
    • Interests in money market mutual funds.

    The duration of the securities in which an FCM invests Customer Funds cannot exceed, on average, two years.

    An FCM may also engage in repurchase and reverse repurchase transactions with non-affiliated registered broker-dealers, provided such transactions are made on a delivery versus payment basis and involve only permitted investments. All funds or securities received in repurchase and reverse repurchase transactions with Customer Funds must be held in the appropriate Customer Account, i.e., Customer Segregated Account, 30.7 Account or Cleared Swaps Customer Account. Further, in accordance with the provisions of Commission Rule 1.25, all such funds or collateral must be received in the appropriate Customer Account on a delivery versus payment basis in immediately available funds.4

    No SIPC Protection. Although CGMI is a registered broker-dealer, it is important to understand that the funds you deposit with CGMI for trading futures and options on futures contracts on either US or foreign markets or cleared swaps are not protected by the Securities Investor Protection Corporation.

    Further, Commission rules require CGMI to hold funds deposited to margin futures and options on futures contracts traded on US designated contract markets in Customer Segregated Accounts. Similarly, CGMI must hold funds deposited to margin cleared swaps and futures and options on futures contracts traded on foreign boards of trade in a Cleared Swaps Customer Account or a 30.7 Account, respectively. In computing its Customer Funds requirements under relevant Commission rules, CGMI may only consider those Customer Funds actually held in the applicable Customer Accounts and may not apply free funds in an account under identical ownership but of a different classification or account type (e.g., securities, Customer Segregated, 30.7) to an account's margin deficiency. In order to be used for margin purposes, the funds must actually transfer to the identically-owned under margined account.

    For additional information on the protection of customer funds, please see the Futures Industry Association’s “Protection of Customer Funds Frequently Asked Questions” located at https://secure.fia.org/downloads/pcf_questions.pdf.

  9. Filing a Complaint

    Information on how a customer may obtain information regarding filing a complaint about FCM with the Commission or with FCM’s DSRO.

    A customer that wishes to file a complaint about CGMI or one of its employees with the Commission can contact the Division of Enforcement either electronically at https://forms.cftc.gov/fp/complaintform.aspx or by calling the Division of Enforcement toll-free at 866-FON-CFTC (866-366-2382).

    A customer that may file a complaint about the CGMI or one of its employees with the National Futures Association electronically at http://www.nfa.futures.org/basicnet/Complaint.aspx or by calling NFA directly at 800-621-3570.

    A customer that wishes to file a complaint about the CGMI or one of its employees with the Chicago Mercantile Exchange electronically at: http://www.cmegroup.com/market-regulation/file-complaint.html or by calling the CME at 312.341.3286.

  10. Relevant Financial Data

    CGMI's annual audited financial statement can be found here. (Ref 10.1)
  11. Financial data as of the most recent month-end when the Disclosure Document is prepared. (Ref 11.1)
    • The futures commission merchant's total equity, regulatory capital, and net worth, all computed in accordance with U.S. Generally Accepted Accounting Principles and § 1.17, as applicable
    • As of September 30, 2019:
      CGMI’s Total Equity / Net Worth is $9,058,017,204
      CGMI’s Regulatory Capital is $19,012,871,060
    • The dollar value of the FCM’s proprietary margin requirements as a percentage of the aggregate margin requirement for futures customers, cleared swaps customers, and 30.7 customers; (Ref 11.2)
    • The number of futures customers, cleared swaps customers, and 30.7 customers that comprise 50 percent of the FCM’s total funds held for futures customers, cleared swaps customers, and 30.7 customers, respectively; (Ref 11.3)
    • The aggregate notional value, by asset class, of all non-hedged, principal over-the counter transactions into which the FCM has entered;

      As a subsidiary of a bank holding company, CGMI is subject to the "Volcker Rule" portion of the Dodd-Frank Act, prohibiting CGMI from proprietary trading (as such term is defined in the Volcker Rule). CGMI enters into a limited number of OTC swaps, all of which are hedged. While exact hedges are not always available, CGMI as a policy does not enter into unhedged OTC transactions on its own behalf.
    • The amount, generic source and purpose of any unsecured lines of credit (or similar short-term funding) the FCM has obtained but not yet drawn upon.

      As a matter of prudent liquidity risk management, Citi does not rely on credit lines for funding purposes. Therefore, CGMI does not have any unsecured committed lines of credit outstanding.
    • The aggregated amount of financing the FCM provides for customer transactions involving illiquid financial products for which it is difficult to obtain timely and accurate prices;

      The transactions/products financed on CGMI are either highly liquid rates trading products (US Treasuries or Agencies) or assets that CGMI finances in partnership with the relevant trading desk making markets in the underlying securities. The market making desks have traders and modelling teams reviewing security valuations allowing them to risk manage the underlying collateral and value it on a regular basis. As a result, it is not difficult to obtain timely and accurate prices for these assets.
    • The percentage of futures customer, cleared swaps customer, and 30.7 customer receivable balances that the FCM had to write-off as uncollectable during the past 12-month period, as compared to the current balance of funds held for futures customers, cleared swaps customers, and 30.7 customers. (Ref 11.4)

      Over previous twelve month period, 0% of futures customer, cleared swaps customer, and 30.7 customer receivable balances have been written off as uncollectable. (Ref 11.4)

      Additional financial information on all FCMs is also available on the Commission’s website at: http://www.cftc.gov/MarketReports/financialfcmdata/index.htm.

      Customers should be aware that the National Futures Association (NFA) publishes on its website certain financial information with respect to each FCM. The FCM Capital Report provides each FCM’s most recent month-end adjusted net capital, required net capital, and excess net capital. (Information for a twelve-month period is available.) In addition, NFA publishes twice-monthly a Customer Segregated Funds report, which shows for each FCM: (i) total funds held in Customer Segregated Accounts; (ii) total funds required to be held in Customer Segregated Accounts; and (iii) excess segregated funds, i.e., the FCM’s Residual Interest. This report also shows the percentage of Customer Segregated Funds that are held in cash and each of the permitted investments under Commission Rule 1.25. Finally, the report indicates whether the FCM held any Customer Segregated Funds during that month at a depository that is an affiliate of the FCM.

      The report shows the most recent semi-monthly information, but the public will also have the ability to see information for the most recent twelve-month period. A 30.7 Customer Funds report and a Customer Cleared Swaps Collateral report provides the same information with respect to the 30.7 Account and the Cleared Swaps Customer Account.

      The above financial information reports can be found by conducting a search for a specific FCM in NFA’s BASIC system (http://www.nfa.futures.org/basicnet/) and then clicking on “View Financial Information” on the FCM’s BASIC Details page.
  12. A summary of FCM’s current risk practices, controls and procedures.

    As a registered Futures Commission Merchant (FCM), CGMI has an established risk management program (RMP) consistent with Dodd-Frank regulatory requirements to monitor and manage risks associated with the FCM’s activities. The RMP includes written policies and procedures which is defined by a risk management function which is independent of the FCM’s business unit, as well as by senior management governance charged with oversight of the RMP. Elements of the RMP include, but are not limited to, identification of risks, establishing risk tolerance limits, risk reporting, compliance with margin and capital requirements and ongoing monitoring and compliance of the RMP. Risk management aspects covered in the RMP include identifying, measuring and monitoring credit, market and operational risks across CGMI’s business activities including, but not limited to, FCM activities.

    The RMP policy also requires business units to have established in-business procedures consistent with regulatory and industry standards for business conduct including, but not limited to, safeguarding of money, securities or other property deposited by customers with an FCM.

    The FCM is also subject to oversight by the FCM’s Governing Body. The Governing Body oversees activities of the FCM including but not limited to business activities of the FCM. The Governing Body convenes quarterly and reviews, amongst other business, risk exposure reporting as well as FCM’s risk tolerance limits.

    This Disclosure Document was first used on July 12, 2014.


  1. Money center countries means Canada, France, Italy, Germany, Japan, and the United Kingdom.
  2. Money center currencies mean the currency of any money center country and the Euro.
  3. Obligations issued by the Federal National Mortgage Association or the Federal Home Loan Mortgage Association are permitted only while these entities operate under the conservatorship or receivership of the Federal Housing Finance Authority with capital support from the United States.
  4. As discussed below, NFA publishes twice-monthly a report, which shows for each FCM, inter alia, the percentage of Customer Funds that are held in cash and each of the permitted investments under Commission Rule 1.25. The report also indicates whether the FCM held any Customer Funds during that month at a depository that is an affiliate of the FCM.