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External Meetings: Appropriate Minimum Block Sizes for Swaps

1/25/2012 2:30 PM
XVIII. Real Time Reporting

Block Sizes for Large Notional Off-Facility Swaps

CFTC Staff:
Chairman Gary Gensler

Eric Juzenas

Carl Kennedy

Salman Banaei

Steve Sherrod
James Cawley
Javelin Capital Markets
  • Javelin Capital Markets presented their view of several approaches to determining appropriate minimum block sizes for swap transactions.  Specifically, Javelin suggested that the Commission should consider determining appropriate minimum block sizes for USD-denominated interest rate swaps by tenor as a function of (1) market depth, as measured by available liquidity, (2) market breadth, and/or (3) a multiple of the average trade size or "screen size."  The Swaps and Derivatives Market Association, an industry group that represents Javelin and others, subsequently drafted a ~comment letter presenting their recommendations on this subject~.