CFTC block trade plan gets cold shoulder
By Sharon Thiruchelvam
August 3, 2020, Risk
A Commodity Futures Trading Commission plan to revise US rules for block trades in swaps has drawn a cool response from the industry, with participants at an advisory committee providing feedback that undermines some of the justification for the proposal.
Tradeweb and Bloomberg swap execution facilities (Sefs), which account for more than 75% of all interest rate swap block trades on-venue, both told a meeting of the CFTC’s market risk advisory committee (MRAC) on July 21 that their markets had continued to function well even in the face of extreme volatility caused by the Covid-19 crisis in March. Both venues registered record volumes of block trades, although price dispersion was high.
“The platform held up very well, particularly in its ability to allow participants to move sizeable amounts of risk in a time of crisis,” Tradeweb’s head of rates products and strategy, Elisabeth Kirby, told the MRAC, noting that market participants appeared willing to sacrifice price sensitivity for the ability to move risk quickly.
