CFTC Concept Release on Risk Controls 121113

8/13/2019 CFTC Concept Release on Risk Controls 121113

1/85

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V E S

M. M D. J,

S C,

C F T C

T L C

1155 21 S NW.

W, DC 20581

R: C R R C S S A T ERIN 3038AD52; 78 FR 56542

D M. J:

T F I A1(FIA)

C F T C (CFTC) C R R C S

S A T E S 12,

2013. A C R , FIA

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202.466.5460

202.296.3184 fax

www.futuresindustry.org

Futures Industry Association

2001 Pennsylvania Ave. NW

Suite 600

Washington, DC 20006-1823


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50

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51/85


52/85

52

17S, , H, F, A, M, B, A, O, J, V, K.

EB R P M F M: A P D. ,

, . N Y: I I J, I., 2011. :

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53/85


54/85

54

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55/85

55

I ,

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56/85

56

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57/85

57

() .

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58/85


59/85

59

Q S #9: G Q R A R CO

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60/85

60

W , , 26 ,

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61/85

61

. (). P

. (). I ,

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( I ATS P) CFTC 1.73

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FCM

.

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DCM . T

FCM (

, VWAP, TWAP P V,

).

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FCM ( D ATS P). F , DCM . A,

D ATS P FCM

.

S :

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ST CDCM ,

P CDCM

M O S ( , G C C)DCM ,

DCM FCM

, FCM ,

.

T PDCM


62/85

62

C R LFCM

O T P D CP DCM FCM, FCM

T C A PDCM

C R O P

o O C CDCM

o R A E TDCM

D R CDCM

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114 E , . S C

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, . I ,


63/85

63

,

.

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C R, ,

(.., C

, C , ).115A A ,

DCM, FCM

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, , .

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64/85

64

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.

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C $140,000 .

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$140,000?

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. T

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DCM, ,

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T

DCM. T


65/85

65

Risk Control

(106)

Specific

Be nefits (108)

Who

Benefits

(108 )

Implementation

Order (109)

M arket

Participation

Distinct ion (109)

Already in P lace

fo r Whom (109)

Reaso n Unnecessary

o r Impract ical (110)

M essage/

Execution

Throttle

Reduces

Disruptive Events

End-users,

DCMs, FCMs

who provide

access

Primary End-Users, DCM s,

FCM s who provide

access

End-users, DCM s,

FCM s who provide

access

n/a

Volatility

Awareness

Alerts

Helps end users

who don't have

market structure

analytics

End-users

who are no t

analyzing

market

structure

Tertiary Non-member end

users

End-users, DCMs Data is freely available

already

Self-Trade

Controls

Prevents

inadvertent and

inappropriate self

trading

End-users and

DCMs

Primary M ember end users End-user member,

DCM

Too complex for FCMs to

administer automatically

P rice Collars Prevents

unintended and

disruptive trades

End-users,

DCM s,

DCOs, FCM s

Primary Set at exchange level

fo r all users

DCM n/a

M ax Order

Size

Reduces

incidence of fat

finger and price

mistakes

End-users,

DCM s,

DCOs, FCM s

Primary All end-users All end-users, set at

DCM level, FCM level,

end-users level

n/a

Trading

P auses

Enables liquidity

to reenter

markets after time

to reassess

End-users,

DCM s,

DCOs, FCM s

Primary DCM s DCM s n/a

Credit RiskLimits Prevents takingon positions that

are too large to

handle

End-users,DCM s,

DCOs, FCM s

Primary End-users, FCM s,DCOs End-users, FCM s,DCOs Credit controls at DCM sare more o perational and

risk cont rols are not truly

credit co ntrols.

Order, Trade,

P ost ion

Drop Copy

Enables m arket

participants to

reconcile actual

trades with

reported trades

End-users,

FCMs

Primary End-users, FCM s End-users, FCM s n/a

.

I DCM

DCM. A

DCM ,

. R

DCMDCM C.

123 S

?

123A A 813, DCM

.

124 R

. T C

, DCM SEF. W

, ,

? W , ,

(.., , , .)?

124A W DCM .


66/85

66

Self-Certif ication

and Clearing Firm

Noti f icat ion

Ensure that

market

participants

adequately test

ATSs

End-users,

FCMs,

DCMs,

DCOs

Secondary DM A End-Users,

FCMs

DM A End-users,

FCMs

End-users vary so

widely that

comprehensive

certification

impractical -

continue to fo cus

on major risk

events

Risk Event

Noti f icat ion

Immediately

informs all marketparticipants of

disruption event

All market

participants

Tertiary n/a n/a Would be costly and

impractical toderive and deliver

such indicators

ATS N oti f icat ion Differentiates

automated trades

from slower

manual trades

DCMs,

Regulators

Seco ndary M ember end users M ember end users,

DCMs, FCMs

n/a

Algorithm

Noti f icat ion

Simplifies analysis

of market

disruption and

manipulation

Regulato rs Tertiary End-users Impratical

algorithms typically

do not work in

isolatio n, they

generally work in

conjunction with

other algorithms to

achieve a commo n

goal. Current

methods ofidentifying

operators and

whether a system is

automated should

provide enough

identification to

enable analysis.

Data Reaso nability

Checks

Ensures that

prices not

distorted

Possibly

end users

Tertiary Non-member end

users

Can already be

implemented with

existing data -

notification would

be difficult to

implement

effectively

ATS F irm

Registration

Enables

regulators toidentify those who

employ ATS

DCM s Secondary All end-users End-users using ATS

must register withexchange

End-users who

employ ATS alreadymust indicate with

exchange - further

registration cost

prohibitive and

unnecessary

M arket Quality

Data

Informs market

participants of

potential market

structure

problems

Some end

users

Tertiary Some end-users n/a Would be costly and

impractical to

derive and deliver

such indicators

M arket Quality

Incentives

Informs market

participants of

potential market

structure

problems

Some end

users


impractical to

derive and deliver

such indicators

Standardization/

Simplification o f

Order Types

Ensures that all

end-users achieve

fair access to

order boo k

End-users Tertiary n/a Not required on

futures side - o rder

types well

understo od fo r all

users


67/85

67

Data Reas onability

Checks

Ensures t hat

prices not

distorted

Po ssibly end

users

Tert iary Non-member end

users

Can already be implemented

with existing data -

notif ication would be

difficult to implement

effectively

ATS F irm

Registration

Enables

regulators to

identify those who

employ ATS

DCM s Secondary All end-users End-users using ATS

must register with

exchange

End-users who employ ATS

already must indicate with

exchange - further

registration is unnecessary

due to existing informat ion

at DCOs

M arket Quality

Data

Informs market

participants of

potential market

structure

problems

Some end

users


impractical to derive and

deliver such indicators

M arket Quality

Incentives

Informs market

participants of

potential market

structure

problems

Some end

users


impractical to derive and

deliver such indicators

Standardization/

Simplification of

Order Types

Ensures t hat all

end-users achieve

fair access to

order boo k

End-users Tertiary n/a Not required on futures side -

order types well understoo d

fo r all users


68/85


69/85

69

FCM ,

. M

FCM, FCM,

,

FCM.

T FIA ATS. C

. I

.

H,

ATS . A ,

. DCM

. T DCM

. A ,

DCM

.

35 S

?

35A A 34, FIA

. P

, , .

R ,

FCM DCO

.

36 I ,

?

36A W FCM

.

37 I ,

?

37A W ; ,

. B

FCM

. T

,

C . I, FCM

.

T 34 35


70/85


71/85


72/85

72

A

A

. A

.

A ( )

DCM C

L O B.

A P I. T

. FCM DCM API

, API

,

. T FIX P

API.

A T S.

T

. A

, .

A

.


73/85

73

B

T G F F S A, B

F.

B O P

DCM

(.., ). I

.

/

T

. T / ,

C L O B,

. T () /

.

A B T ,

. DCM

C E A.

C

C O D (COD) DCM

DCM . I

, COD

.

C E A. T

U S.


74/85

74

T C L O B (CLOB) DCM

. O

DCM

, P/T P,

P R T A B O P.

1.73.

CFTC R 1.73, CFR 21306, A 9 2012. C F C

M R M.

A DCM

. T

*.., S&P 500 )

.

A ,

FCM D C DCM.

A ( , DCM DCO)

,

, .

D

D C M.

A

DCM. T

DCM DCM

.

D C O.


75/85

75

A

C L O B

.

A ATS

DCM FCM .

/

D R / B C P.

D C

.

D C ()

, , ,

, () ,

.

E

E T P DCM

(..,

) . T

.

E T F.

A ATS FCM

.


76/85

76

F

T

. T

.

F C M

F I A.

F I A E P T A

F I A P T G.

F I R A,

U S.

. A

. T FIX

FCM,

API DCM.

T F C

2:30 E

S T M 6, 2010.

A

. T

.


77/85


78/85

78

L

L

.

L E I. T LEI

.

/

T DCM

, ,

. A

' . W , " "

, "

."

L

. I C L

O B

/ .

A

. L

.

G

. T

. D

. T


79/85

79

.

M

A DCM

M Q

/ .

T

DCM

C L O B .

S , P/T

P, P R T A B O P,

DCM

.

I

.

T

( )

. A

.

A DCM

DCM. I

DCM

.

A C L O B

.


80/85

80

N

N C M.

N F A.

A , ,

, . S E T P.

A

. S

, , ,

.

O

O C R.

A

.

T O ID

,

ATS . T O ID

DCM

DCM .

A DCM

.


81/85

81

A DCM

C L O B. F

,

,

. A

. M

E

R NMS.

P

T DCM ( )

DCM

.

T

NR T R (

) . T

DCM E T P.

A

. A C L O B

. F ,

10

.

D

,

.

P

DCM

. T

,

C L O B.


82/85

82

/

A DCM

, FIFO

(FIFO). A

C L O B

,

. R

DCM

.

A , , DCM

D C FCM.

A DCM

, C

L O B. A '

'

. A '

. E ,

, , .

R

A

.

A C L O B

. R

.

S

S E C.


83/85

83

S E F.

SM P (SMP) F

DCM

. SMP DCM ,

DCM.

S I F M A.

S SM P F.

S R O.

H

. T , ,

.

S L

. W

, L . S L

, 5 10 ,

. D ,

I O P (IOP) , R ,

. A

,

.


84/85

84

A

. I ,

. I ,

.

S S L

. T

.

T ATS.

T

T CFTC T A C

50

A FIX P

.

116

A FIX P

(.. ) ,

FCM.

A , T 50 T 116

FIX P.


85/85

U

A

. T

.

V

V L

. V

L

() R/P

S

A DCM

.

W

I .

CFTC Concept Release on Risk Controls 121113

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