Market Risk Advisory Committee

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

April 25, 2017


10:00 a.m.

Welcome and Opening Remarks

10:10 a.m.

Panel 1: Staff Response to CCP Risk Management Subcommittee’s Recommendations for CCP Default Management


Susan O’Flynn, Managing Director and Global Head of CCP Strategy, Governance and Optimization, Morgan Stanley

Key Speakers:

John Lawton, Acting Director of the Division of Clearing and Risk, CFTC

Robert Wasserman, Chief Counsel, Division of Clearing and Risk, CFTC

Kate Meyer, Risk Analyst, Division of Clearing and Risk, CFTC

10:30 a.m.


10:35 a.m.

Panel 2: Cybersecurity 


Dennis McLaughlin, Group Chief Risk Officer, LCH

Key Speakers: 

Steve Chabinsky, Partner, White & Case
Karl Schimmeck, Global Head of Vulnerability Management, Morgan Stanley
Gil Vega, Chief Information Security Officer, CME Group

Key Questions:

1. What are the current cybersecurity considerations in the application of emerging technologies in the swaps and futures markets (e.g., cloud computing, fintech, distributed ledger technology, automated and algorithmic trading)?

2. What is the current cybersecurity threat environment and risk exposure to the financial sector, ransomware and other cybercrime, recent attacks on financial institutions and networks (e.g., SWIFT, Malaysia)?

3. How is the industry collaborating in order to respond to cyber threats?

    11:20 a.m.


    11:30 a.m.

    Panel 3: State of the Market


    John Nixon, Senior Advisor, NEX

    Key Speakers:

    Anat Admati, Professor, Stanford University Graduate School of Business (Better Markets)

    Biswarup Chatterjee, Global Head of Electronic Trading and New Business
    Development, Credit Markets, Citigroup

    Sunil Cutinho, President, CME Clearing

    Jerry Jeske, Group Chief Compliance Counsel, Mercuria Energy (Commodity Markets Council)

    Luke Zubrod, Director of Risk and Regulatory Advisory Services, Chatham Financial

    Key Questions:

    1. Brexit/Volatility Events: How well did the markets that you use cope with recent volatility events like Brexit and the US election? What are some of the concerns that your organizations have about the potential short-term and long-term consequences of Brexit and future political elections, and how are you preparing for them?

    2. Liquidity/SEFs: What is the state of liquidity for various types of products in the derivatives markets that you use during normal and distressed market conditions, including for: (a) large lots; and (b) bespoke interests? Are the SEFs functioning well?

    3. Interest Rate Environment: What changes do you expect as we move to a rising interest rate environment – a return to normal, or more pronounced differences across jurisdictions?

    4. Leverage Ratio: Has the application of the leverage ratio had an effect on market efficiency (e.g., widening spreads from the repo market) and the ability of firms, especially banks, to provide liquidity? Has the leverage ratio made the clearing business too expensive, and if so, do solutions like direct clearing memberships address some of the concerns? How do you think the application of the leverage ratio will impact recovery tools, such as porting of customer accounts?

    5. Repo Market: As the repo markets are a critical source of short-term liquidity that fuels the derivatives markets, what is the state of the repo market’s liquidity and functioning? How is the cleared repo product for the dealer to customer market evolving?

    6. Uncleared Margin: Why was there a surge in the clearing of NDFs and inflation-swaps after the margin rules were implemented, and what was the impact on liquidity, if any? Have margin rules caused market participants to shift to other, lower-cost products to hedge market/credit risk?

    7. Other Issues: Are there other major market structure issues that the Commission should be addressing?

      1:20 p.m.

      Closing Remarks

      1:30 p.m.