Minimum Block Sizes for Large Notional Off-Facility Swaps and Block Trades

The Asset Management Group (AMG) of SIFMA provides comments to the Commodity Futures Trading Commission (CFTC) on proposed procedures to establish appropriate minimum block sizes for large notional off-facility swaps and block trades, RIN 3038–AD08.  SIFMA AMG shares recommendations on the proposal including:

• The CFTC should treat every trade as a block during a one-year data collection period in order to better inform the block threshold process and to allow liquid swap markets to further develop.
• Due to the short 30-minute delay for public dissemination of block trade information for swaps subject to clearing, the CFTC should carefully, and gradually, implement minimum block trade size thresholds to avoid harmful effects on liquidity and increased costs to end users.
• The CFTC should not use a single calculation methodology to set block thresholds for all swap categories.  Doing so would neglect different liquidity characteristics of various swaps and would generate block thresholds that are underinclusive in most categories.