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Ex Parte Meeting for Proposed Rule 75 FR 76139

  • Title:
    Appropriate Minimum Block Sizes for Swaps

    Ex Parte No: 510
    Date: 1/25/2012

    Meeting Date:

    Wednesday, January 25, 2012

    CFTC Staff:

    Chairman Gary Gensler

    Eric Juzenas

    Carl Kennedy

    Salman Banaei

    Steve Sherrod


    Javelin Capital Markets

    External Attendees:

    James Cawley

    Additional Information:

    Javelin Capital Markets presented their view of several approaches to determining appropriate minimum block sizes for swap transactions.  Specifically, Javelin suggested that the Commission should consider determining appropriate minimum block sizes for USD-denominated interest rate swaps by tenor as a function of (1) market depth, as measured by available liquidity, (2) market breadth, and/or (3) a multiple of the average trade size or "screen size."  The Swaps and Derivatives Market Association, an industry group that represents Javelin and others, subsequently drafted a
    comment letter presenting their recommendations on this subject

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