Comment for Proposed Rule 77 FR 15460

Comment Text:

Meeting with Managed Funds Association

Wednesday, December 08, 2010

Memo from
Steiner, Jeffrey L.

CFTC Staff :
Jeff Steiner
Tom Leahy
George Pullen
Jason Shafer
Carl Kennedy

External Attendees :
Scott Beardsley (Blue Mountain Capital Management LLC)
Rupert Cox (Brevan Howard Inc.)
Stephen N. Waldman (Tudor Investment Corporation)
Scott Parsons (Delta Strategy Group)
David K. Hong (King Street Capital Management)
Carlotta D. King (Managed Funds Association (“MFA”))
Jennifer W. Han (MFA)

Additional Information :
On December 8, 2010, Commission staff had a meeting with MFA to discuss MFA’s preliminary views on the real-time public reporting rulemaking.  MFA indicated that they intend to submit a more detailed comment letter to the Commission with respect to the real-time public reporting rulemaking.
 
Public disclosure of swap transaction and pricing data
The biggest concern is about public disclosure of firms through the real-time information that is being reported.  Certain buy-side firms may consider such information proprietary and there is a concern that if certain information is disclosed, then it may divulge trading strategies.
 
Public disclosure of block trade/large notional swap information
Suggest that a cap on the notional amount should be implemented (like in the corporate bond market).
 
Reporting for customized swaps
(i) CFTC should define customized swaps as those swaps that are not clearable or traded on a SEF or DCM;
(ii) Customized swaps should get greater time for real-time reporting (For example, end-of-day or T+1); 
(iii) Concerned that if real-time reporting requirements are too onerous, dealers might not be willing to offer bespoke transactions to the buy-side.
 
Error trades
(i) There should be some sort of dispute resolution procedure for correcting error trades;  
(ii) There will be fewer errors if the swaps are reported end-of-day or T+1.
 
Data fields
(i) Concern over the requirement of reporting additional data fields from the DTCC standard that is currently required.  There is a fear that dealers will pass additional cost on to buy-side firms;
(ii) Expressed concern over the reporting of terms that were too specific for bespoke transactions since doing so could divulge proprietary information;
(iii) When real-time reporting that a swap is bespoke, perhaps there should be some additional indication of what makes the transaction bespoke;
(iv) Believe that certain terms for non-standardized swaps can be thought of as proprietary.  The concern is that there could be some reverse engineering of the swap.