Macquarie Futures USA LLC Statement of Financial Condition and Supplemental Schedules. March 31, 2018

Transcription

1 Statement of Financial Condition and Supplemental Schedules

2 Index Page(s) Report of Independent Registered Public Accounting Firm Financial Statements Statement of Financial Condition... 3 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... 21

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5 Statement of Financial Condition Assets Cash $ 47,810,652 Cash and securities segregated pursuant to federal regulations 257,882,258 Receivable from broker-dealers and clearing organizations 2,322,143,863 Receivable from customers, net 257,326,725 Receivable from non-customers 226,282,766 Receivable from affiliates 3,340,228 Current tax assets, net 4,266,231 Exchange memberships and stock, at cost, net 3,496,625 Deferred tax assets, net 602,307 Other assets 321,470 Total assets $ 3,123,473,125 Liabilities and Member s Equity Liabilities Payable to clearing organizations $ 162,921,568 Payable to customers 2,018,405,931 Payable to non-customers 488,113,694 Payable to parent and affiliates 146,907,707 Accrued expenses and other liabilities 17,090,086 Total liabilities 2,833,438,986 Subordinated borrowings (Note 11) 200,000,000 Commitments and contingencies (Note 7) Member's Equity Common stock, $1.00 par value; 10,000 shares authorized; 2,500 shares issued and outstanding 2,500 Additional paid-in capital 107,070,099 Accumulated deficit (17,038,460) Total member s equity 90,034,139 Total liabilities and member's equity $ 3,123,473,125 The accompanying notes are an integral part of these financial statements. 3

6 Notes to the 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 an indirect subsidiary of Macquarie Bank Limited ( MBL ). The Company s ultimate parent entity is Macquarie Group Limited ( MGL ), a nonoperating holding company located in Sydney, Australia. 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 National Futures Association and is registered with the Commodity Futures Trading Commission ( CFTC ) as a Futures Commission Merchant ( FCM ). The Company s Designated Self Regulatory Organization ( DSRO ) is the Chicago Board of Trade of the Chicago Mercantile Exchange ( CME ) Group. The Company holds exchange memberships with, and is a clearing member of, the CME Group, Intercontinental Exchange ( ICE ) Futures US, ICE Futures Europe and Nodal Exchange. The Company is headquartered in New York, New York and has its principal operations located in Chicago, Illinois. 2. Significant Accounting Policies Basis of Accounting and the Use of Estimates The preparation of the 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. Foreign Currency Translation The Company s financial statements are presented in United States dollars. Assets and liabilities denominated in foreign currencies are translated at fiscal year-end rates of exchange, while income statement items are translated at spot exchange rates at the time of the transaction. Cash Cash consists of un-invested cash balances used in the daily operations of the business that are primarily maintained with one major bank. Cash and Securities Segregated Pursuant to Federal Regulations Pursuant to requirements of the Commodity Exchange Act ( 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. The Act authorizes FCMs to invest segregated customer funds in obligations of the United States ( U.S. ), in general obligations of any state of the U.S. or of any political subdivision thereof, and in obligations fully guaranteed as to principal and interest by the United States. 4

7 Notes to the Statement of Financial Condition (continued) Cash and Securities Segregated Pursuant to Federal Regulations (continued) Commission Rule 1.25 authorizes FCMs to invest segregated customer funds in instruments of a similar nature. Permitted investments include certificates of deposit from a bank that carries deposits insured by the Federal Deposit Insurance Corporation and interests in certain money market funds. Receivable from and Payable to Broker-Dealers and Clearing Organizations Receivable from broker-dealers and clearing organizations represent margin deposits, in the form of cash and securities, held at clearing organizations as well as amounts deposited with and receivable from broker-dealers, less any payables where any right of offset exists. Where amounts are owed to broker-dealers and clearing organizations, and there is no right of offset, the amount due is presented within Payable to clearing organizations on the Statement of Financial Condition. Receivable from Customers and Affiliates The Company owed amounts from customers and affiliates for services provided which are carried at cost, less any provision for loss. These amounts are recognized at the amount owed to the Company, less any provisions where it is not probable that the full amount will be collected. Receivables from customers consist of amounts receivable from clearing and execution services provided to customers. The Company records an allowance for doubtful accounts against receivables from that are aged greater than 13 months. As of, the Company held an allowance for doubtful accounts of $253,456. Exchange Memberships and Stocks The Company has exchange membership seats which allow the Company to participate on the exchange as a full clearing member. The Company also owns common stock in ICE, which they are also required to hold in order to execute trades directly through the relevant exchanges. The holdings in ICE are listed on the New York Stock Exchange. These exchange memberships and common stock holdings are recorded at original cost value or at a lesser amount if there is an other than temporary impairment in the value, based on observable traded market prices where available. If an impairment is recognized, there is no subsequent reversal until the investment is realized. As at, the carrying value of Exchange Memberships and Stock was below the original cost value by $2,523,750. Payable to Customers, Non-customers, Parent and Affiliates Payable to customers and non-customers consists of funds received, accrued interest payable on those funds, and the net market value of open option contracts with customers. Customers represent parties with whom the funds received and owed are required to be segregated from the Company s other assets. Non-customers are related parties and other broker-dealers whose funds are not required to be segregated. Payables to Parent and affiliates consist of funds owed to the Parent and affiliates, including accrued interest payable on those funds, primarily from services provided to the Company. Income Taxes The Company is a member of the Macquarie America Holdings Inc. ( MAHI or consolidated group ) tax 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, if it is deemed to have a 5

8 Notes to the Statement of Financial Condition (continued) Income Taxes (continued) presence in that state. 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. Deferred income taxes are recorded for the effects of temporary differences between the reported assets and liabilities in the Statement of Financial Condition and the tax basis of those 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 Company and its Parent s 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 separately on 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. Share Based Compensation The Company participates in the share-based compensation plan of MGL, which include awards granted to employees under share acquisition plans, including those delivered through the Macquarie Employee Retained Equity Plan ( MEREP ). The MGL consolidated group recognizes an expense and a corresponding increase in equity in the case of equity settled awards granted to employees. The awards are measured at the grant dates based on their fair value and using the number of equity instruments expected to vest. 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 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; 6

9 Notes to the Statement of Financial Condition (continued) Fair Value of Financial Instruments (continued) Level 3 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. As of, the Company did not hold any financial instruments that are classified within Level 3 of the fair value hierarchy. As of, all financial assets and liabilities, other than certain Treasury Bills owned (see Note 4) and subordinated borrowings (see Note 11), were short term in nature and their carrying value approximated their fair value, and would be considered Level 2 in the fair value hierarchy. New Accounting Standards Not Yet Adopted In August 2015, 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 is effective for the Company beginning April 1, In March 2016, the Financial Accounting Standards Board issued ASU No , Compensation - Stock Compensation as a part of its Simplification Initiative. The guidance will affect the accounting for share-based payment transactions. The guidance is effective for the Company beginning April 1, In March 2016, the Financial Accounting Standards Board issued ASU No , Leases to improve recognition of leases on the balance sheet. The guidance will be effective for the Company beginning April 1, In June 2016, the Financial Accounting Standards Board issued Accounting Standards Update ( ASU ) No , Financial Instruments Credit Losses. The main objective of this ASU is to require more appropriate timing of recording credit losses on financial instruments. The guidance will be effective for the Company beginning April 1, In November 2016, the Financial Accounting standards Board issued ASU No Statement of Cash Flows Restricted Cash. The guidance will amend the presentation and classification of changes in restricted cash in the statement of cash flows to eliminate current diversity in practice. The amended guidance requires the statement of cash flows to explain the change during the period in the total cash, cash equivalents, and amounts generally described as restricted cash and restricted cash equivalents. The guidance will be effective for the Company beginning April 1,

10 Notes to the Statement of Financial Condition (continued) 3. Cash and Securities Segregated Pursuant to Federal Regulations At, Cash and segregated securities consists of deposits with banks with 51% of the balance deposited with one financial institution. The Company also holds $119,317,552 of U.S. and Canadian government securities at banks for customers that are required to be held in segregated accounts at the clearing organizations. These securities are not included in the balance stated on the Company s Statement of Financial Condition as they do not meet the criteria for recognition under U.S. GAAP. 4. Receivable from Broker-Dealers and Clearing Organizations The Company has amounts receivable from broker-dealers and clearing organizations that are required by the Act to be held in segregated accounts at the clearing organizations. As at March 31, 2018, amounts receivable from broker-dealers and clearing organizations included the net market value of option contracts with the relevant exchanges and foreign board of trade. Receivable from Broker-Dealers and Clearing Organizations as at included the following amounts, split between those amounts required to be segregated and those not required to be segregated: Segregated Non- Customers Total Deposit with clearing organizations, net $1,440,201,116 $554,395,528 $1,994,596,644 Deposits with foreign boards of trade 18,821, ,650 19,518,855 US Treasury Bills held at clearing 299,218, ,218,359 organizations Net liquidating equity with other FCMs 973, ,254 Value of option contracts, net 7,836,751-7,836,751 Total Receivable from Broker-Dealers and Clearing Organizations $1,767,050,685 $555,093,178 $2,322,143,863 Deposits with foreign boards of trade represent amounts held with MBL. Other financial 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. Level 1 Level 2 Level 3 US Treasury Bills held at clearing organizations $299,218,359 $ - $ - Total $299,218,359 $ - $ - 8

11 Notes to the Statement of Financial Condition (continued) 5. Related Party Transactions The Company provides execution and clearing services to MBL on behalf of its customers, which can include other affiliates of the Company. The Company also clears trades on all non-u.s. futures markets through MBL, an affiliated clearing broker. In connection with these activities, the Company had amounts payable at to MBL and affiliates of $1,214,101,866 and $488,050,170 included in Payable to customers and Payable to non-customers, respectively, as well as having deposits with MBL as disclosed in Note 4. In connection with these activities, as of the Company received securities collateral of $311,520,400 from MBL (See Note 6). The Company provides execution and clearing services for other affiliates of the Company. In connection with these activities, the Company had amounts receivable of $67,726,368 included in Receivable from non-customers. The Company is provided with operating and administrative services from the Parent and affiliates for which the Company is charged. In connection with these services, as well as other activity, the Company had a payable to Parent and affiliates of $146,907,707 as at. At, the Company had an outstanding subordinated debt payable of $200,000,000 to its Parent (see Note 11). 6. Collateral Pledged and Received The Company receives securities in connection with its clearing activities carried on behalf of MBL. As of, the Company received collateral from MBL of $311,520,400 for its client exposures, which was pledged to the clearing organization. These securities are not included in the balance stated on the Company s Statement of Financial Condition as they do not meet the criteria for recognition under U.S. GAAP. 7. Risk, Commitments, and Contingencies Where the Company is not a clearing member, it will clear futures trades on behalf of customers and non-customers through a nonaffiliated clearing broker for U.S. markets and an affiliated clearing broker for non-u.s. markets. 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 may 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 9

12 Notes to the Statement of Financial Condition (continued) 7. Risk, Commitments, and Contingencies (continued) Company expects the risk of loss to be remote and has not recorded an associated liability as of. The Company may also be exposed to credit risk regarding its cash and receivables, which are primarily receivable from financial institutions, including banks, clearing organizations and brokerdealers. 8. 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 $11,000 (based on the maximum IRS compensation limit of $275,000). 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. 9. 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 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 2017 retention, the conversion price was the volume weighted average price from May 16, 2017 up to and including the date of the allocation, which was June 22, That price was calculated to be AUD (USD $66.95) 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 $69.80) 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. 10

13 Notes to the Statement of Financial Condition (continued) 9. Employee Share Based Compensation (continued) The following is a summary of awards which have been granted pursuant to the MEREP: Non-vested shares at April 1, ,678 Vested shares during the year (12,514) Transfers to related body corporate entities (6,373) Shares granted during the year 15,578 Shares forfeited during the year (350) Non-vested shares at 39, Minimum Capital Requirements The Company is subject to the minimum capital requirements pursuant to regulations under the Act, as amended. At, the Company had adjusted net capital of $275,031,797 which was $113,143,899 in excess of its minimum capital requirements under Regulation 1.17d of the Commodity Exchange Act. 11. Subordinated Borrowings The Company has a revolving subordinated loan agreement ( Agreement ) with its Parent for an amount of $200,000,000. Subordinated Borrowings as of March 31, 2017 $ 200,000,000 Increases: - Decreases: - Subordinated Borrowings as of $ 200,000,000 The revolving subordinated loan accrues monthly interest. With respect to maturity dates, $75,000,000 is due on August 31, 2019 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 $208,457,178. Interest is computed on the basis of a year consisting of 365 days and paid for the actual number of days elapsed. 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 in accordance with the Agreement. 11

14 Notes to the Statement of Financial Condition (continued) 12. Income Taxes The Company is a member of Macquarie America Holdings Inc. ( MAHI 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. 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. The consolidated federal and combined state and local tax returns are subject to audits by relevant taxing authorities. Currently, the IRS is examining the U.S. federal consolidated group, Macquarie Funding Holdings Inc. ( MFHI ), for years ending March 31, 2008 through March 31, 2011 and the U.S. federal consolidated group for Macquarie Services (USA) Partners ( MSUP ), for years ending March 31, 2012 through March 31, New York State is examining the consolidated group MFHI for years ending March 31, 2009 through March 31, 2011 and the consolidated group MSUP for the years ending March 31, 2012 through March 31, The Company was part of the MFHI and MSUP consolidated tax groups for these periods. The Company determined reasonable estimates for certain effects of the Tax Cuts and Jobs Act ("2017 Tax Act") enacted on December 22, 2017 and recorded those estimates as provisional amounts in the 2018 financial statements. Under the 2017 Tax Act, the statutory federal corporate income tax rate was reduced from 35% to 21%. As a fiscal year end entity, the Company computed a tentative tax for the year ended using a "blended" tax rate of 31.5%. This rate is used to compute the current year tax expense, while all deferred tax assets and liabilities as of March 31, 2018 are calculated using the 21% rate, which is the rate expected to be applied when the temporary differences are to be realized or settled. In accordance with Securities and Exchange Commission ( SEC ) Staff Accounting Bulletin No. 118 ("SAB 118"), the Company may make additional adjustments during 2018 (the measurement period) to the income tax balance sheet accounts as the U.S. Department of the Treasury issues further guidance and interpretations. 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 $602,307. The Company uses the separate company method of tax allocation as modified for benefits-for-loss. This approach modifies the separate return method, a method that allocates current and deferred taxes to members of the group by applying ASC 740 to each member as if it were a separate taxpayer, so that net operating losses (or other current or deferred tax attributes) are characterized as realized ( or realizable) by the subsidiary when those tax attributes are realized (or realizable) by the consolidated group even if the subsidiary would not otherwise have realized the attributes on a stand-alone basis. 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 has 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. 12

15 Notes to the Statement of Financial Condition (continued) 12. Income Taxes (continued) Accounting for Uncertainty in 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. Interest expenses related to unrecognized tax benefits are included in Income tax expense. Penalties, if any, are recognized as a component of Administration fees. The Company did not have any potential exposure for tax, interest and penalties related to uncertain tax positions for the year ended. 13. Subsequent Events The Company has evaluated subsequent events through May 29, 2018, the date of issuance of these financial statements. The Company did not have any significant subsequent events to report. 13

16 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 $ 3,123,473,125 Market value of securities owned by customers (Note 3) 119,317,552 Adjusted total assets (as defined) 3,242,790,677 Deduct noncurrent assets (as defined) Receivable from customers, net (2,975,481) Exchange membership and stock (3,496,625) Receivable from affiliates (3,340,228) Tax receivable, net (4,266,231) Deferred tax assets, net (602,307) Other assets (321,470) Current assets (as defined) $ 3,227,788,335 Total liabilities per Statement of Financial Condition $ 2,833,438,986 Market value of securities owned by customers (Note 3) 119,317,552 Adjusted total liabilities (as defined) $ 2,952,756,538 The differences between the calculation above and the Company s corresponding unaudited Form 1-FR filing filed on April 24, 2018 are presented below: Adjusted total assets, as filed $ 2,759,523,885 Reclassifications due to U.S. GAAP presentation and other adjustments 483,266,792 Adjusted total assets, per above $ 3,242,790,677 Adjusted total liabilities, as filed $ 2,469,457,198 Reclassifications due to U.S. GAAP presentation and other adjustments 483,299,340 Adjusted total liabilities, per above $ 2,952,756,538 14

17 Statement of Computation of Net Capital and Minimum Capital Requirements Under Regulation 1.17 Schedule II Net capital Current assets (as defined) $ 3,227,788,335 Net current assets 3,227,788,335 Total adjusted liabilities (as defined) 2,952,756,538 Net capital 275,031,797 Net capital required 161,705,965 Haircut: 20% and 6% on foreign currencies (181,933) Net capital excess $ 113,143,899 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 24,

18 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 $ 1,914,974,249 B. Securities (at market) 119,317, Net unrealized profit (loss) in open futures contracts traded (198,587,648) on a contract market 3. Exchange traded options A. Market value of open option contracts purchased on a contract market 227,600,773 B. Market value of open option contracts granted (sold) on a contract market (219,894,621) 4. Net equity (deficit) (add lines 1, 2 and 3) 1,843,410, Accounts liquidating to a deficit and accounts with debit balances-gross amount $ 616,706 Less: amount offset by customer owned securities (583,828) 32, Amount required to be segregated (add lines 4 and 5) $ 1,843,443,183 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 24,

19 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 $ 223,219,415 B. Securities representing investments of customers funds (at market) 149,492,850 C. Securities held for particular customers or option customers in lieu of cash margins (at market) 119,317, Margins on deposit with clearing organizations of contract markets A. Cash 1,412,917,522 B. Securities representing investments of customers funds (at market) 149,725,524 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 (105,757) 10. Exchange traded options A. Value of open long option contracts 227,600,773 B. Value of open short option contracts (219,894,621) 11. Net equities with other FCMs A. Net liquidating equity 973,239 B. Securities representing investments of customers funds (at market) - C. Securities held for particular customers or option customers in lieu of - cash (at market) 12. Segregated funds on hand (describe on separate page) Total amount in segregation (add lines 7 through 12) 2,063,246, Excess (deficiency) funds in segregation (subtract line 6 from line 13) 219,803, Management Target Amount for Excess funds in segregation 100,000, Excess (deficiency) funds in segregation over (under) Management Target Amount Excess $ 119,803,314 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 24,

20 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 $ - Net ledger balance - Foreign Futures and Foreign Options Trading - All 1. Customers A. Cash $ 22,265,851 B. Securities (at market) - 2. Net unrealized profit (loss) in open futures contracts traded on a foreign board of trade 9,618, Exchange traded options A. Market value of open option contracts purchased on a foreign board of 193,289 trade B. Market value of open contracts granted (sold) on a foreign board of trade (62,690) 4. Net equity (deficit) (add lines 1, 2 and 3) 32,015, Accounts liquidating to a deficit and accounts with debit balances - gross amount - 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) $ 32,015,326 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 24,

21 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 $ 29,267,390 B. Other banks designated by the Commission - $ 29,267,390 Name(s) 2. Securities A. In safekeeping with banks located in the United States B. In safekeeping with other banks designated by the Commission 3. 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 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 A. Cash 9,201,914 B. Securities - C. Unrealized gain (loss) on open futures contracts 9,618,876 D. Value of long option contracts 193,289 E. Value of short option contracts (62,690) 18,951, Amounts with other depositories designated by a foreign board of trade - 7. Segregated funds on hand - 8. Total funds in separate section 30.7 accounts 48,218, Excess (deficiency) set Aside Funds for Secured Amount 16,203, Management Target Amount for Excess funds in separate section 30.7 accounts 7,000, Excess (deficiency) funds in separate 30.7 accounts over (under) Management Target $ 9,203,453 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 24,

22 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 $ 3,566,258 B. Securities (at market) - 2. Net unrealized profit (loss) in open cleared OTC derivatives 1,149, 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) 4,715, 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) $ 4,715,508 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 24,

23 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 $ 2,324,782 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 22,864,549 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 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) 12. Cleared OTC derivatives customer funds on hand Total amount in sequestration (add lines 7 through 12) 25,189, Excess (deficiency) funds in sequestration (subtract line 6 from line 13) 20,473, Management Target Amount for Excess funds in cleared swaps segregated accounts segregated accounts 1,000, Excess (deficiency) funds in cleared swaps customer accounts over (under) Management Target Excess $ 19,473,823 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 24,