CFTC publishes final rules on minimum block sizes

The CFTC published its proposed rules to group swaps into separate swap categories, and established its methods for determining appropriate minimum block sizes for block trades and large off-facility swaps in each category. The rules prevent disclosure of the identities of swap counterparties in real time public reporting of swap transaction and pricing.

The rule defines swap categories within five different classes: interest rate, credit, equity, foreign exchange, and other commodity. Within each class, the Commission grouped swaps based on common risk and liquidity profiles.

Under the rule, the Commission prescribes appropriate minimum block sizes during a temporary, one year period. During that time, registered swap data repositories would collect one year of reliable data for each asset class. The Commission would then analyze this data to establish minimum block sizes using a 67 percent notional amount calculation. The Commission will update the appropriate minimum block sizes after one year.

Read the full CFTC ruling.

Photo credit: Joel Penner.

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