External Meetings: Meeting with ICAP Energy

Meeting with ICAP Energy to discuss Block Trade FNPRM~~~ ~~~i. Recommend not using $25 million as block trade size as this number is much larger than most trades ICAP see’s today and they estimate being the broker on 2/3rds of power trades;~~~ ~~~ii. Recommend that all power trades be treated like block trades because of low trading volumes;~~~ ~~~iii. Recommend if blocks are required that the block trade size be expressed in MWh (Megawatt hour);~~~ ~~~iv. Recommended that a block trade size, only if it is absolutely required, should only be on Core and SPDC related swaps only and at a level between 50-and-100 MWh. Provided examples of trading activity in PJM, to include graphs, of trade sizes and volumes supporting a level between 50-and-100 MWh for block trade size in that market; ~~~ ~~~v. Recommend that all power option trades be treated like block trades because of low trading volumes, even for options on Core and SPDC related swap contracts;~~~ ~~~vi. Recommended that the Commission provide clarity on how the legs to a strip, calendar trade, or spread (composite trades) be priced for RTPR since it is the product which is traded not its underlying pieces and because spread legs which are priced and reported outside of a normal range could distort the real-time tape. Stated that it would be necessary to have legs always priced between the bid-ask spread when available and that additional notation would be necessary to show market participants that a trade was part of a spread (larger composite trade), such as a “S” as part of the tape, so that pricing information could be better interpreted; ~~~ ~~~vii. Recommended that block trade sizes would have to be adjusted or clarified on how they apply to the above mentioned composite trades since it would be possible that two different legs might have two different block trade sizes, in such a case they recommended that the lower of the two block trade sizes be used for the composite trade.
XVIII. Real Time Reporting

Block Sizes for Large Notional Off-Facility Swaps

CFTC Staff
Aravit Menon

George Pullen

John Paul Rothenberg

Lynn Riggs

Esen Onur

Nhan Nguyen
Drew Wozniak (ICAP Energy LLC)

Todd Creek (ICAP Energy LLC)

Thomas F. Hahn Jr. (ICAP Energy LLC)

Patrick McCarty (ICAP Americas)

ICAP Americas