10:00 a.m.

Welcome and Opening Remarks

10:10 a.m.

PANEL I: HOW WELL ARE OUR DERIVATIVES MARKETS FUNCTIONING FOR MARKET PARTICIPANTS, PARTICULARLY END-USERS?

Facilitator: John Nixon, ICAP

Key Speakers:

1. Rates/CDS: Kristen Walters, Blackrock; Rana Yared, Goldman Sachs; Luke Zubrod, Chatham Financial

2. Energy: Jerry Jeske, Commodity Markets Council; Glen Mackey, NRG Energy

3. Agriculture: Tom Coyle, National Grain and Feed Association (Guest Panelist)

4. Foreign Exchange: Angela Patel, Putnam Investments

Main Questions:

For each of the following markets: (1) Rates/Credit Default Swaps (CDS), (2) Energy, (3) Agriculture, and (4) Foreign Exchange (FX):

1. How are market participants accessing this market?

a. Are they using SEFs, if so, how?

b. Are they using Introducing Brokers? If so, how?

c. Are end-users, especially small end-users, able to access the market effectively?

2. How have the ways in which market participants access the market changed? And how do the current methods differ from those in the past?

3. What are the benefits and drawbacks of the current means of access?

a. What is the state of liquidity? Volatility?

b. Are there barriers to access?

4. Are there any recommendations on how the Commission could enhance market participants' access to markets?

5. Do market participants see any inherent risks in this market that the Commission should address?

11:55 a.m.

Break

12:05 p.m.

PANEL II: HOW IS THE MARKET USING PORTFOLIO COMPRESSION TODAY?

Facilitator: Edward Pla, Futures Industry Association (FIA)

Key Speakers:

1. Lucio Biase, LMRKTS (Guest Panelist)

2. Claire Lobo, Markit (Guest Panelist)

3. Dennis McLaughlin, LCH

4. Michael Modlock, TriOptima

5. Kim Taylor, CME

Main Questions:

What is portfolio compression? 

a. Is portfolio compression the same as netting?

b. What is the difference between “risk constrained compression” and riskless compression?

c. What is risk mitigation? How is it different from compression?

1. How widely are market participants currently using portfolio compression, and other risk mitigation services? What data elements can we use to determine the extent of the use of these services?

3. Some service offerings involve tear up of existing swaps and result in reduction in notional size of the swap portfolio. Others do neither, but appear designed to reduce some measure of portfolio risk. How are these latter services different from low frequency dynamic hedging strategies?

4. Trading decisions are driven by a broad spectrum of objectives, so presumably, portfolio risk mitigation trades can also be executed in the larger, open market. Are some of these risk mitigation services essentially order books – though different from standard order books in that they do not result in price discovery?

a. To the extent these are non-price discovery execution methods, and to the extent that SEF, DCMs, and DCOs also offer such services, what is the policy justification to allow similar services to be offered by unregistered service providers? 

5. The draft technical specifications, recently proposed by the CFTC staff, propose requiring reporting parties to include information pertaining to portfolio compression services. Would those data requirements impose burdens on compression providers? If so, how should the Commission balance these burdens against its interest in being able to study and monitor swaps markets?

6. To what degree does portfolio compression reduce risk, or add risk, to the market?

7. In light of this discussion, are there any recommendations on how the Commission should act, or refrain from acting, regarding portfolio compression?

1:20 p.m.

Closing Remarks