Swap Data Regulation - Comment Letter - ISDA/SIFMA - May 14, 2012

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Dodd-Frank Timeline, Block Trade Minimum Size, Protection of Identities, CFTC
Proposal Date Final Rule Issue Effective Date
February 23, 2012 May 31, 2013 July 20, 2013

Procedures To Establish Appropriate Minimum Block Sizes for Large Notional Off-Facility Swaps and Block Trades
May 14, 2012

In their comment letter, ISDA and SIFMA comment that:

  1. The appropriate minimum block size framework set forth in proposed section 43.6(b) at the asset class, category, and currency grouping levels is not sufficiently granular to consider vast differences in the trading frequency and volume of different swap products within those categories.
  2. In product categories or currencies that trade below a certain frequency threshold, all transactions should be treated as block transactions.
  3. The Commission should revise its proposed methodology for determining appropriate minimum block sizes from a 67% notional amount calculation to a 50% notional amount calculation in order to align the ratio of block size to daily volume in the swaps market to a level more similar to that of futures markets.
  4. The Commission should revise its trimmed data set mechanism, which is currently calibrated such that it would fail to exclude even the largest transactions done in swaps markets, thus failing to preclude a very large transaction from substantially skewing the block threshold.
  5. The Commission should set the initial cap size as the lower of the relevant block size or interim cap size, and set the cap size equivalent to the relevant block size during the post-initial phase.

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