MFA Comment Letters

Topic: swaptions

MFA Submits List of Priorities to CFTC Chairman Massad and Commissioners07.30.14


MFA submitted letters to Timothy Massad, the newly confirmed Chairman of the Commodity Futures Trading Commission (CFTC), along with the […]

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Topics: aggregation AIMA, alpha swap, alternative investment funds, Alternative Investment Management Association, alternative investment strategies, anonymity, Asset Management Group of the Securities Industry and Financial Markets Association, assets under management, AUM, Bankruptcy Code, benchmark contracts, bespoke swaps, beta swap, board of directors, British Virgin Islands Financial Services Commission, burdensome, buy-side, cash-settled contracts, Cayman Islands, Cayman Islands Monetary Authority, CCP, central clearing, central counterparties, CFTC, chilling effect, cleared swaps, collateral, Committee of Payment and Settlement Systems, Commodity Futures Trading Commission, commodity interests, Commodity Markets Council, commodity pool, commodity pool operators, commodity trading advisors, compliance, corporations, CPO, CPO delegation, Cross-Border, CTA, custody rules, customer collateral, customer protection, DCM, DCO, Dealer, dealer-to-customer platforms, derivatives clearing organization, designated contract markets, Division of Market Oversight, Division of Swap Dealer and Intermediary Oversight, Dodd-Frank Act, due diligence, EFRPs, EMIR, EU, European Commission, European Union, exchange for related position, execution, exemptive relief, FCM, FCM counterparty, Financial Conduct Authority, financial counterparty, Financial Stability Board, floor brokers, Form CPO-PQR, Form CTA-PR, Form PF, Form PQR, FSB, Full Physical Segregation, fund of funds, futures commission merchant, GAAP, gamma swap, general partner, generally accepted accounting principles, gold, haircuts, harmonization, hedge fund, hedgers, Hong Kong, illiquid assets, initial margin, insolvency, inter-dealer market, interest rate markets, International Organization of Securities Commissions, International Swaps and Derivatives Association, introducing broker, invoice spreads, IOSCO, ISDA, J. Christopher Giancarlo, JOBS Act, legal segregation with operation commingling, limited liability companies, limited partnership, liquidity, loss allocation, LSOC, made available for trading, Major Swap Participant, mandatory clearing, Mark Wetjen, market infrastructures, market participant, master agreement, MAT, MF Global Inc., MSPs, National Futures Association, natural gas, NFA, no-action relief, Obama Administration, OTC derivatives, OTC Derivatives Regulators Group, owned entities, package transactions, passive ownership, Peregrine Financial Group, physically settled, Policy Makers, position limits, President Obama, price discovery, private equity fund, private funds, private investment funds, private investment vehicles, privately offered commodity pools, proprietary trading tools, public investment fund, quarterly account statements, real estate investment trust, recordkeeping requirements, registered investment adviser, regulation, regulatory framework, regulatory requirements, risk management, Scott O'Malia, SDR, SEC, Securities and Exchange Commission, Securities and Futures Commission, SEF, segregated account, service providers, Sharon Bowen, short, SIFMA AMG, silver, speculation, spot-month position limits, straight-through processing, swap butterflies, swap curves, swap data reporting, swap data repository, swap dealer, swap execution facilities, swaps, swaptions, systemic risk, temporary interim relief, third country, Timothy Massad, trading privileges, transparency, Trust, U.S. Commodity Futures Trading Commission v. Peregrine Financial Group Inc. and Russel R. Wasendorf, U.S. Congress, U.S. Department of the Treasury, U.S. person, United States, variation margin, Vincent A. McGonagle,

MFA Submits Accompanying Portfolio Margining Letter11.26.12


MFA submitted a supplemental comment letter to the U.S. prudential regulators during the reopened comment period for their proposed rulemaking […]

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Topics: affiliate-held collateral bankruptcy, Board of Governors of the Federal Reserve System, broker-dealer, buy-side, capital markets, capital requirements, caps, CCP, CDS, central counterparties, CFTC, Chevron Products Co. v. SemCrude L.P., Chicago mercantile exchange, Cleared Products, CME Clearport, CME Group, collateral, Collecting Futures Commission Merchant, commodity broker, Commodity Futures Trading Commission, covered swap entities, covered swap entity, credit default swap, cross-currency swaps, cross-margining, Dealer, debt obligation, Depositing Futures Commission Merchant, derivatives clearing organization, Dodd-Frank Act, eligible collateral, end-users, Farm Credit Administration, Farm Credit System, FCM, FDIC, Federal Agricultural Mortgage Corporation, Federal Deposit Insurance Corporation, Federal Home Loan Banks, Federal Home Loan Mortgage Corporation, Federal Housing Finance Agency, Federal National Mortgage Association, floors, futures, futures commission merchant, hedging, ICE Clear Credit, ICE Clear Europe, In re Lehman Brothers Holdings Inc et al, index CDS, inflation swaps, initial margin, insured obligation, LCH.Clearnet Ltd., liquidity, Major Security-Based Swap Participant, Major Swap Participant, mandatory clearing, margin, market liquidity, market participants, master netting agreements, New York Portfolio Clearing LLC, Office of the Comptroller of the Currency, options, Options Clearing Corporation, OTC derivatives, over-the-counter derivatives, portfolio margining, posted margin, prudential regulators, redundant margin, regulatory regime, risk, SEC, Securities and Exchange Commission, Security-Based Swap Dealer, security-based swaps, segmentation, swap dealer, swaps, swaptions, systemic risk, triangular setoff, uncleared swaps,

Comment Letter to the CFTC in Response to its Request for Comments on Position Limits for Derivatives03.28.11


MFA submitted comments to the CFTC in response to its request for comments on position limits for derivatives. MFA remains […]

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Topics: account aggregation requirements active trading program, aggregate all-months-combined, aggregate single-month, aggregate spot-month position limits, agricultural commodities, agricultural model, annual limits, annual recalculation methodology, annual renewal based exemption, application based exemption, approval based exemption, arbitrage exemption, Artificial limits, asset manager, audit, Barclays Capital, Bauer College of Business, benchmark contracts, Berlin wheat, bona fide hedger, calendar-spread exemption, cash market risk, cash market transaction, cash position, cash-settled contracts, CBOT, CFTC, CFTC docket no. 08-02, CFTC docket no. 11-05, Chicago onions, class limits, cleared bilateral contracts, CME, commercial hedgers, commercial participants, Commission Energy Complex Report, Commodity Futures Trading Commission, commodity market, commodity pool operator, commodity trading advisor, commodity trading advisors, common parent, conditional-spot month limit, control standard, corporate enterprises, CPO, Credit Agricole, cross-ownership of traders, crowding out provision, crude oil futures, CTA, CTFC Inter-Agency Task Force on Commodity Markets, DCMs, deferred month positions, deliverable supply, delivery point, delta, derivatives, directional position, disaggregation relief, disclosure documents, disorderly markets, eligible entity, energy market infrastructure, energy price volatility, Energy Risk, enforcement, enumerated agricultural commodities, equity interest, excessive speculation, FCMs, federal limits, financial cal spread options, financial institution, forward position, front month position, funds of funds, future commission merchants, futures, futures class all-months-combined, futures class single-month, futures market, GAO, global commodity, Global Energy Management Institute, hedge funds, hedging transaction, HH natural gas, HM Treasury Global Commodities, House Committee on Agriculture, hypothetical portfolios, IMF World Economic outlook, IMG, independent account controller exemption, independent third party, independently controlled accounts, independently controlled and managed trader, index fund manager, individual class rules, inter-commodity spread exemption, inter-commodity spread transactions, interest rates, International Organization of Securities Commission, interstate commerce, IOSCO, IOSCO Technical Committee, Jacks Study, JP Morgan, KCBOT, large trader data, last day swaps, legacy position limits, liquid price discovery, liquidity provisions, long positions, market depth, market liquidity, market manipulation, market surveillance, metal commodity, no-action relief, non-cleared bilateral contracts, non-financial entity exemption, non-spot position limits, NYBOT, NYMEX crude oil price, NYMEX Henery Hub Natural Gas contract, OECD Food, OECD publishing, offsetting positions, open interest, open interest formula, operating company, option contract, options, order routing arrangement, OTC, outright positions, passive investors, passive trading program, pension plan, penultimate swaps, percentage interest, physical cal spread options, physical commodity, physical commodity deliverable, physical options, physically delivered contracts, Pirrong Testimony, PKVerleger LLC, pool participant, pool participant exemption, position limits, position visibility, pre-existing position exemption, price discovery, price risk, price spikes, price volatility, private equity investments, real-time basis, referenced contracts, regulatory oversight, reporting obligation, reporting requirements, risk management, risk transfer, risk-shifting market, rounding, seasonal variation, seasonality, self-executing disaggregation, short positions, significant price discovery contracts, speculative investment, speculative trading ventures, spot month, spot-month position limits, squeezes, statement of reporting trader, stock indices, submarket, supply and demand, surveillance, swap contract, swap dealer hedge exemption, swaps class all-months-combined, swaps class single-month, swaptions, The Economist, U.S. dollar, U.S. futures exchange, UK Treasury, university endowment, University of Calgary, University of Houston, Wall St. Journal, WTI,

Comment Letter to the SEC and CFTC on Definitions of “Swap Dealer, Security-Based Swap Dealer (together, SDs), Major Swap Participant, Major Security-Based Swap Participant (together MSPs) and Eligible Contract Participant (ECP)02.22.11


MFA submitted a comment letter to the SEC and CFTC on their joint proposed rule to further define swap dealer, […]

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Topics: abnormal price movement acknowledgment requirements, applicable MSP thresholds, asset mix, bank capital standards, capital markets, cash settled swaptions, CDS, CDS protection, central clearing, centrally cleared positions, CFTC, Chicago mercantile exchange, clearing member defaults, clearinghouse, CME, commercial hedging, commercial loans, Commodity Futures Trading Commission, counterparty domicile, counterparty exposure, credit default swaps, credit ratings, credit spreads, creditworthiness, currency based institutions, current uncollateralized outward exposure test, daily mark requirements, daily variation margin calls, daily volatility, Dealer, dealers, default risk, delta weighting, deregistration period, discount factor, ECP, eligible contract participant, end-users, feeder fund, financial counterparty, Financial Industry Regulatory Authority Inc., Financial Stability Oversight Council, FINRA, fixed downside risk, Form PF, Form PQR, FSOC, fund domicile, future exposure discount, hedge fund managers, hedge funds, high yield credit swaps, high-grade corporate securities, highly leveraged, highly liquid assets, independent amount of collateral, independent variable, index CDS, index derivatives, index reference entity, inflation, initial margin, interest rate swap, investment grade, investment-grade credit swaps, ISDA master agreements, jump-to-default risk, know your counterparty requirements, large private fund, liabilities to equity, LIBOR, limited purpose designations, liquidity, liquidity rights, longer-term leverage, Major Security-Based Swap Participant, Major Swap Participant, manager domicile, margin methodologies, mark-to-market exposure, market activity, market growth, market location, market-standard discount rate, master-feeder fund, minimum duration of status, mitigating commercial risk, msp, MSP definitions, MSP determination, MSP test, MSP thresholds, multiplier, non-ECP, non-investment grade, non-U.S. market, non-U.S. regulators., non-US domiciled fund, non-US entities, non-US securities, offshore fund, option expiration date, options on a swap, over-collateralization, overnight borrowing, physically settled swaptions, portfolio risk, potential future exposure calculation, potential future exposure test, potential systemic risk impact, Proposed Form PF section 1b, proposed form PF section 2(a), proposed form PF section 3, proposed form PF section 4, proposed Form PQR, quarters, question 11, question 27, question 38, question 47, question 5, question 68, reevaluation period, reference entity domicile, reproducible test, retail cash, Retail Forex Pool, risk factor multiplier, risk factor multipliers, risk mutualization, risk-mitigating tools, schedule B, SD, SD obligations, SEC, secured debt, Securities Exchange Commission, Security-Based Swap Dealer, security-based swaps, Senator Hagan, Senator Lincoln, short-term financing, short-term leverage, single-name CDS, smaller private fund, spread bank designation, substantial counterparty exposure, substantial position, swap rate, swap underlier, Swaps dealer, swaptions, systemic risk, systemically important, systemically important financial institution, term borrowings, threshold levels, tools of credit protection, trade verification, trading entity, traditional commodity pool, U.S. banking system, uncollateralized exposure, underlying instrument, undiversified market participant, United States financial markets, unpaid premiums, unsecured debt, upward adjustment, US entities, US Treasuries, valuation of collateral, variation margin, volatility,
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