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External Meetings: Meeting with Managed Funds Association

6/6/2012 10:30 AM
XVIII. Real Time Reporting

Block Sizes for Large Notional Off-Facility Swaps

CFTC Staff:
George Pullen

John Dunfee

Stephen Sherrod

Nhan Nguyen

Laurie Gussow

John Paul Rothenberg

Esen Onur

Gregory Kuserk
Laura Harper (Managed Funds Association)

Stephen Berger (Citadel Investment Group)

Christopher Eig (King Street Capital Management)

Howard Baum (King Street Capital Management)

Kim Rozman (HBK Investments)
Managed Funds Association

Citadel Investment Group

King Street Capital Management

HBK Investments
  • Managed Funds Association discussed the following aspects of the FNPRM:~~~ ~~~- Recommended that swap categories be estabished based on product type for each asset class, e.g.; also recommended separate categories for CDS for indexes, options, and tranches; ~~~ ~~~- Opposed use of 3-month data set in calculating minimum block sizes and recommended conceptual test to check minimum block sizes against current market conditions ~~~ ~~~-  Recommended that proposed cap sizes should not exceed minimum block sizes

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