MFA submitted a comment letter to the CFTC in response to its block trade re-proposed rules. In the letter, MFA recommended to the CFTC that:
- the CFTC’s swap categories in the interest rate and credit asset classes should be more granular to account for liquidity differences among product types;
- the CFTC’s proposed initial minimum block sizes in the interest rate and credit asset classes should be calibrated against current market conditions, rather than based exclusively on a limited, 3-month data set from 2010;
- the CFTC should retain the flexibility and discretion to update the post-initial minimum block sizes on a case-by-case basis where appropriate, for example, by narrowing the proposed rolling 3-year window of data for calculating post-initial minimum block sizes, if needed, due to material changes in the trading activity in a given swap category; and
- the cap sizes for public reporting purposes should mirror the minimum block sizes for each swap category.