Market Risk Advisory Committee

CFTC’s Market Risk Advisory Committee
1155 21st Street, N.W.
Washington, DC 20581

April 2, 2015

Agenda

Tentative Agenda (times are approximate):

10:00 a.m.

Welcome and Opening Remarks

10:15 a.m.

Panel 1: Default Management at CCPs

Moderator: Thomas Kloet, Elmhurst College

 

1. How are Derivatives Clearing Organizations (DCOs) preparing for the potential default of a significant clearing member(s) (e.g., default firedrills)?

a. Key Speakers:

i. Sunil Cutinho, CME

ii. Dennis McLaughlin, LCH.Clearnet

iii. Ian Springle, ICE

2. What is the most likely real-life default scenario of a significant clearing member(s)? How likely is it that the default of a significant clearing member would be isolated to that clearing member? Alternatively, how likely is it that multiple clearing members, and clearing members with multiple CCP memberships, would be affected? What would be happening on the “road to default”?

a. Key Speakers:

i. Scott Flood, Citi

ii. Susan McLaughlin, Federal Reserve Bank of New York

iii. Emily Portney, JP Morgan

3. Based on what is likely to happen in an actual default of a significant clearing member, how should the DCOs’ plans be adjusted, if at all?

4. Are there areas where DCOs can coordinate and/or standardize their practices in order to better address a real-life default scenario of a significant clearing member(s)?

a. Key Speaker:

i. Michael Modlock, TriOptima

5. What role, if any, should the Commission play in addressing these issues?

    12:15 p.m.

    Break

      12:30 p.m.

      Panel 2: Market’s Response to the Introduction of SEFs

      Moderator: Andrew Lo, MIT Lab for Financial Engineering

         

        1. Has the introduction of Swap Execution Facilities (SEFs), mandated as part of the Dodd-Frank Act, substantially changed the swaps market structure? If so, how; if not, why not?

        a. Key Speakers:

        i. Darcy Bradbury, D. E. Shaw Group

        ii. Rana Chamma, UBS Investment Bank

        iii. Michael O’Brien, Eaton Vance Management

        2. Is there sufficient liquidity on SEFs? What are the factors affecting SEF liquidity?

        3. Does the practice of name give-up affect the amount of liquidity on SEFs?

        4. What role, if any, should the Commission play in addressing these issues?

          1:20 p.m.

          Closing Remarks

            Market Risk Advisory Committee Members

            • For further information contact: Petal Walker, Chief Counsel, Office of Commissioner Bowen, at (202) 418–5794 or [email protected]