CFTC Concept Release on Risk Controls 121113

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

1/85

D 11, 2013

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

. T FIA, FIA P T G (FIA PTG), FIA

E P T A (FIA EPTA)2

, ,

1FIA , . I

. I

' 20 . A

,

. T

. FIA'

, ,

. FIA' , US ,

90 US .

2T FIA PTG FIA EPTA FIA 30

. FIA PTG FIA EPTA ,

, , , . M FIA PTG

FIA EPTA ,

.

202.466.5460

202.296.3184 fax

www.futuresindustry.org

Futures Industry Association

2001 Pennsylvania Ave. NW

Suite 600

Washington, DC 20006-1823


2/85

2

, .3 W CFTC

.

A (ATS) .

T , ,

, , , . W

, ,

. W

. M

. T ,

, ,

.

A , FIA

, ,

, . A ,

.

A ,

,

. W

. A

, (DCM),

, , , . F,

, ,

. I, CFTC

.

T FIA ATS,

. S

. W , ,

,

.

3S: R R C T F, FIA PTG, N 2010, :

://..//TBP.. O FIA

1) M A R M R, FIA, A, 2010,

:://..//MA6.; 2) S D CM R, FIA PTG FIA EPTA, M 2012, :

://..//SCM.; 3) D C R, FIA,

S, 2013, :

://..//FIADC(FINAL).; 4) O H R M

R E B, FIA, M, 2012, :

://..//OHEB..


3/85

3

T C R , FIA

. T

FIA PTG . T

(FCM).

T . I

. T

FIA PTG

, , ,

. I , ,

, . T

FCM :

; ; ; ,

; . I , FCM

.

I C R, . F , C D

C R. O

FIA FIA PTG

C R.

W C R

. F , 1998,

. P 1998, DCM

. DCM

. DCM

. F ,

CME S L

S S V L. O , ,

. W

. F ,

,

.

T FIA C, T

A C (TAC), C

R. O TAC C R

. A ,

. I

, , ,

. T FIA ,

C

.


4/85

4

A , FIA

,

. P

FCM ,

. T : 1)

, 2)

,

. DCM

DCM

. W

, , DCM

DCM. H, DCM

, , ,

, .

O FIA ,

. W DCM .

W C R , ,

, FIA PTG

. T

, T,

. O ( )

,

.

T FIA

. W

, ,

. W

,

.

W , ,

,

. R

. W .

R , ,

. F , .

T C R DCM . T FIA

DCM

. T

, /, , , .


5/85

5

W DCM . I

. W CFTC DCM

,

.

O 100 FIA ,

FIA PTG .4 O E

F O A (FOA). W

.

O 10 C

R. T C

R, . F , Q 5

Q 5, M D, N F,

L. I ,

. W , DCM,

. W

(SEF), .

I , FIA CFTC

. A ,

. A

, ,

, , . A

, FIA

. T FIA CFTC

. T FIA CFTC

. H,

, ,

. F, CFTC ,

.

S,

W L. L

P C E O

4T , , FIA FIA PTG

.


6/85

6

: H G G, C

H S OM

H M W

H B C

S P S, A D, D M O

M D, AA, D M O

C N, E, O C E,

S S, R A, O C E


7/85


8/85

8

1A DCM : N C M G C M

DCM, FCM.

Q S #1: D HF T ATSO

R

T FIA C, T A

C,

. W

. I , ,

,

. T FIA

, C

:

R ATS.

O .

W

. M

. F , US DCM . E

(ATS) (). A DCM

, C

DCM

.

1 I C R, C

HFT? I , ,

?

1A W

, , . T

. A , ,

. S

,

.

T FIA ,

C

. W C

. F , ,

.

W

. A FIA PTG

: D ATS P,

ATS DCM FCM 1.


9/85

9

2://..////@///1030121.

B , I ATS P ATS

FCM .

B , C

DCM . O

US DCM, . E

, ATS (). T C DCM

.

2 W TAC HFT

[ II.A.1? H , ?

2A TAC :

H :

() , , , , ,

;

() ,

;

() ;

() (, )

, () ; ()

; () .

T TAC

,

.

T TAC O 20122

HFT. T

.

W () , ,

.

3 T HFT (,

) HFT,

(() ; () ; ()

) . A

ATS ATS HFT ? W

? S

? I , ?

3A W . A TAC

. I TAC


10/85

10

3://../SD/D/EN/V/1304302.?=F

C ,

.

I G BF

3, 75,000

. A ,

,

. A

,

.

T FIA HFT

, , . T

. S

,

.

W C

.

4 S HFT

ATS ? I , ?

4A W ATS. W ,

ATS

.

A , HFT, DCM

. A ,

ATS:

I D ATS P

, DCM


11/85


12/85

12

5W DCM. T

DCM DCO. A D ATS P

DCM, , , (

FCM FCM ). A I ATS P FCM

DCM, .

Q S #2: PT PT R CO

R

T FIA FIA PTG

, , . W

C C

R.

A , FIA

. A ,

,

. A

, DCM, ,

. F,

, , .

W C R

, FIA :

A

. W C

. A

, DCM 5 ;

.

P DCM

FCM . I

,

. FCM

FCM. M DCM

.

T

, DCM . T

. DCM,

.

DCM ,

. DCM

. P, ,

. T , , . M 100 ,

. A


13/85

13

, ,

.

N , ,

DCM

. A , ,

.

P DCM; ,

DCM

.

M DCM FCM .

S FCM

FCM . FCM

DCM ,

, . W ,

, . T

.

W ,

.

H,

, ,

' .

D C

. T D C

.

E

. T

. C

. T

.

6 A , ,

C,

DCO?

6A A

. E DCO

. T ,

. A

, DCM,

, . F,

, ,

.


14/85

14

6I

, ,

FCM.

W ,

, ,

DCM. B , DCM

. T

. T

C DCM , , ,

. M, DCM

.

A DCM CME G C C

(GC2). I

FCM,

. A FCM

DCM. T G

FCM 6.

T DCM P C, Q

L COD:

A P C

DCM .

A Q L

DCM.

COD

DCM

DCM .

B P C Q L , DCM

. B

. S

, DCM, DCO FCM .

B COD , DCM

DCM . T

D ATS P

ATS DCM

DCM. W D C

( 42), COD

. W FCM COD

DCM


15/85

15

7S: R R C T F, FIA PTG, N 2010, , 4.

.

W

. T

FIA PTG 7

.

7 A , [ III.C.,

C,

DMA?

7A FIA

. W C

. B ,

DCM FCM

, .

8 I, [ III.C.1,

,

?

8A W , . S

DCM

. T

. S

. T

.

A DCM . T

,

. F , DCM . W , ,

, . T

. I

. T

.

DCM

DCM

. T DCM

,

, ,

. M

, DCM

.

9 M (FCM


16/85

16

), , . T C

.

(). I , ATS,

ATS HFT , ?

(). W

?

9A W ,

. I ,

.

I , DCM .

T FIA DCM

FCM .

T DCM

. T ,

, DCM. I

, ,

,

. A

DCM.

I ,

.

FCM

FCM. I FCM,

.

FCM ,

. A , FCM

, FCM ,

. W

FCM , FCM DCM

.

T , DCM FCM

.

10 S , ,

, ?

10A M DCM .

M DCM

.

F , ,

. C


17/85

17

.

I

,

, , , .

A 9, 11 12,

.

11 W

? S

?

11A I

DCM. FCM

.

W DCM .

T

. I DCM

, , .

12 A , ? W

?

12A M DCM ,

. W , DCM

. W DCM

.

13 W ?

13A DCM

.

14 W

DCO?

14A W DCM

DCO. S

. H,

DCO

. I ,

DCO .

15 T C . H

?

15A V . V

, DCM,

.

23 T C


18/85


19/85

19

9S: O H R M E B, FIA, M 2012, , 4.

10 4

28 T

? P :

(1) ;

(2) ,

(3) .

28A A , FIA

. T , ,

FCM. I

,

FCM

. T FIA

9, CFTC

R 1.73 FCM

, . FCM

( ) ,

,

DCM DCM .

I DCM FCM ,

. M

, , ,

. T ,

. D ,

. T

. S ,

, . T

.

29 W

?

29A O , . T

, ,

.

S FCM

. C,

FCM

. T ,

FIA 10

. D

, ,

.

R , , FCM

DCM. I , DCM

CFTC . I

FCM, FCM


20/85

20

.

30 T , , . A

?

30A W

. DCM

. M

.

T .

W ,

. A ,

. T

( )

.

I

,

. E

.

T M 6, 2010 CME G

E S&P ,

.

S

,

, . F , F, . I DCM ,

S , 48

.

31 A ? I , ?

31A FIA .

32 W C

?

32A R ,

DCM

. G ,

,

.

33 H ?

33A W DCM

. T

DCM. I ,


21/85

21

11S: D C R, , 4.

.

42 W DCM DCO? (EX) W

? P

,

.

42A D C

. D C

() ,

, , , ()

, . C

D C FIA

DCM11

. A D C

, FCM. T

D C

. T

DCM . I

,

, .

M D C

. T

.

T D C . G

. P D C

.

43 I ,

, , ,

.

43A D C

. T D C

.

U D C, ,

. A .

T :

( )

S M L

BM RS D SID

O D COID (O ID)

SSID (O ID)

OCOID

OTS


22/85

22

ER ( F, P,

C, R, .)

S

OT

OP

SP ( )TIF

ED ( )

ET ( )

MSS ( )

MOQ ( )

ET ( )

I D I/S

MMY ( )

SP ( )

POCM ( )

B D A

AT

A

E R D OS

RR ( )

TD

EOID

EEID

LQ

LP

CQ

LQ

AP

ETS

MLRT ( )

M D C ( )

QID ( )

IOIID ( )

COU ( )

MOA ( )

CO ( )

L/S ( )

OOC ( )

44 I (..,

)


23/85

23

? I , ,

?

44A T FIA

. T

DCO . A 24,

.

D

. T

.

H, DCM DCO ,

. T

. W

DCM.

W DCM DCO

,

. T ,

. DCM

.

45 S ,

,

? W

, ?

45A T FIA

. P

. I

DCM. H ,

.

DCM

. T

. C

. I

,

, DCM

.

46 D

? A

? I ,

?

46A A 24 45, DCM

,

. I ,

. E

.


24/85

24

S

. I

. W

.

47 S , ? I ,

, ?

47A A 44,

, . W

. T

,

. W

. I

.


25/85


26/85

26

, (D ATS ), FCM

(I ATS ) , . F

,

. T , FCM DCM. FIA

DCM .

17 P

.

17A W

. I FIA PTG , 26

. O 26 , 25

. I

. I , 21 26

.

18 S ()? O, ,

? I ,

.

18A D ,

. DCM

. F ,

DCM. S,

, DCM. T ,

DCM (..

, , , *)

.

I , SMP

. F ,

. I ,

.

*D

.19 S ? W

?

19A T , DCM

.

H DCM

, , . I SMP .

T SMP


27/85

27

. O ,

. M

. W CME G

. W

.

20 P

.

20A B C DCM

. FIA

. T

DCM

.

21 I ,

(..,

? A ?) W ?

21A FIA

(.. , , ID , ). I

.

22 I ,

. F ,

, , ,

/ ? W

?

22A FIA

. T DCM

.

S

. B ,

:

1. M (.., )

. E SMP

DCM,

DCM, FCM,

.

2. M ,

/

(

CTA ). T

.

T DCM


28/85

28

.

D DCM ,

(.., FCM, , ) ,

,

. T

.


29/85

29

14I , : M A R M R, FIA, A, 2010 R R

C T F, FIA PTG, N, 2010, , 4.

Q S #4: S SO

R

A . A

,

. T

. A , FIA

, ,

. H,

. W C

FIA FIA PTG 14

S 2 .

W

.

W 2. T

.

K

. I

.

T

. A ,

,

.

W , FIA

. S

, ,

. C , DCM,

DCM. H,

: , ,

. D

. S ,

, ,

, . A,

.

48 T C

, , DCO. P

.

48A DCM


30/85

30

, , ,

.

H, DCM

. G

,

DCM . I FCM

. I DCM

, C

,

FCM DCM. T , FCM

.

I ,

. T

,

. H, ,

. R,

,

. I

, FCM DCM,

.

49 W , ,

? A ,

DMA?

49A A DCM

,

.

A 48,

. A ,

. T

DCM

,

, FCM DCM.

T DCM

FCM . A

. A

, ,

.

DCM

. F,

D ATS P FCM

DCM

. W DCM


31/85

31

.

50 W , ,

?

50A A FCM

.

A 48,

. A ,

25%, 50%, 75%, .

. T FCM

,

FCM.

T . A

. A

, ,

.

FCM

. F,

FCM .

51 W , , ?

51A A 48,

FCM DCM . T

. H,

,

.

I ,

, . W

,

, . T

.

A 49 50, DCM FCM

. T

.


32/85

32

52 W , ,

/ ?

52A T , ,

. C , DCM,

DCM,

FCM .

H, , ,

, ,

. O

. T

,

, DCM, .

A 48,

. I

FCM DCM , ,

.

53 P

ATS.

53A F ,

.

T

,

. T

, ,

.

W ,

.

54 T C

: () ;

() ; ()

,

, .

54A T FCM

.

FCM

, ID

.

F FCM DCM,


33/85

33

FCM ,

FCM

DCM.

W FCM DCM D

ATS FCM DCM

. I DCM DCM

ID.

55 T C FCM

. I

,

? S

, , , ?

W ?

55A A 34 41, FIA

, .

W , ,

FCM, ATS.

I,

, FCM DCM ,

. A

.


34/85


35/85

35

D . T

.

W

. T

.

W

. S ,

, , .

T

. A

.

U

DCM. T DCM

DCM .

W DCM

,

DCM .

D ,

, , , ,

, .

57 W , C

? W

? S ATS

, , ?

57A A , , . T C

,

. G

. T

. I, , ,

.

A

,

, ,

. B

DCM ,

, . I ,

,

.


36/85

36

T

. F

,

. D

, .

T :

A

. T

.

M

,

. A

, :

W ,

W ,

T .

E , ,

. T ()

.

P , . T

.

P ,

.

D

. D ,

.

D :

(1) T

.

(2) T .

(3) T

. T


37/85

37

.

(4) /A

. I ,

.

S . W ,

.

T

: ,

, , .

58 W

, ? P

, , .

58A A , , , DCM

DCM. N,

, ,

DCM.

I

, DCM ,

, , ,

. I

, DCM

. W DCM

. T , DCM

DCM .

59 S ? I ,

?

59A FIA

. T

. I

. F ,

DR/BCP

DR/BCP . G

, ,

.

60 A ,

? S,


38/85


39/85


40/85

40

, ( ),

, , C, ?

63A W . R ,

,

. P

, :

A ,

;

A FCM DCM,

, , ;

A DCM .

I C ,

( , FCM DCM)

.

64 S DCM, SEF ?

W ? S

?

64A A . W

,

. A

.

A 63,

.

65 D

? W

?

65A FIA

. N DCM

. M

, , ,

.

R

. T

.

66 W ,

ATS?

66A I ,

, DCM ,


41/85

41

NCM FCM,

. FCM

.

W ATS ,

,

. W DCM,

.

67 W ?

67A A , DCM

, .

68 S C ATS ATS

C R? I , ATS ? S

,

?

68A A 1,

HFT, 3

. W

C

.

W C

ATS, ,

.

T ATS . O DCM, ,

ATS, , / .

T

(.. ).

B ,

, , , ,

. A DCM /

.

T . A

, .

W

. S

. N

.

69 W ATS

, ? W


42/85

42

ATS C

?

69A A

. S /,

T ID/O ID, . T

.

70 T C ATS ,

. I ,

ATS ID? I ,

ID,

? W

?

70A T

.

C

. I

,

. C ID

DCM C

.

T , US DCM

,

. T O ID

DCM. T O ID

DCM

. T CFTC C R O ID, . T

O ID , FCM

, DCM . W C

O ID ATS ,

.

71 I ATS , ID

?

71A A 70,

() . A

.

72 W ATS ATS

ID ( , , .)?

72A A , .

I, O ID ,

, ATS . T


43/85


44/85

44

T (.., , , , , ,

);

O , ,

, , , ;

O O C R, ;

F , ;

T , ,

;

T , ;

T .

A , OCR .

A , FIA DCM

C C

. F , , DCM C P 2 (R 38.151)

DCM DCM . A

,

.

T FIA C

C DCM

. R ,

C .

79 P , ,

.

79A A ,

. M ATS ATS

O ID

DCM. I DCM,

. I

DCM, ATS ,

FCM DCM.

80 S ATS , HFT ? W

?

80A A 78,

,

. I , FCM

, 78 DCM

.


45/85

45

81 S ,

, ATS HFT

( C

, I B FCM) C

.

81A I ,

, , , CTA, , . A , FIA

.

A ,

ATS ,

C ,

.

82 S , ?

W ?

82A D FCM

,

. A , ATS,

C ATS

. I ATS

,

. T

S 5 .

83 P C R

ATS. A C R

?

83A I FCM, , , DCM,

DCM FCM . U CFTC 1.73

FCM

S 9 .

A , FCM

. T FCM

D ATS P ,

, S 5. T

ATS

.

84 P C

1(23) A.

84A A 2,

,

. I

C D ATS P

I ATS P, ,

, FCM DCM.


46/85

46

85 D

CEA ?

85A T FIA

.

A ,

CEA C. B

ATS ,

,

C SRO.

86 C

, C

SEC ATS HFT

. H CFTC SEC

? T C

SR O N F

A FINRA.

86A W SEC CFTC

J A C .

T C . I

, C SRO

FIA SIFMA

.

87 U F C ,

ATS HFT ,

,

? I , ?

87A A 86, CFTC SEC

, ATS HFT

. I,

C

. F

, ,

DCM

.

88 I ,

C?

88A W DCM

. A ,

.


47/85

47

Q S #7: M D, N F, LO

R

I

. W

, , . W ,

. N

. R

.

R , ,

. F ,

.

T FIA

. W

, ,

. W

,

.

I , FIA PTG

, , . T

, T,

. O ( )

,

.

5 D ,

,

. T C

,

. R

. A

? T C

. S ,

?

5A L

, ,

. I ,

. N, DCM

. A , , , .

T

. W

,

,

. T

. F ,


48/85

48

15

. T

.

F , DCM

. DCM ,

. I , ,

. E ,

. T

;

. S,

;

. I ,

. A

,

, , , .

N . A, DCM

DCM. A , DCM

. I,

.

74 P ATS

(1) ; (2) , ,

.

74A N ATS ( ).

T .

T ,

. A

.

A FIA PTG C R

, 25 26

ATS. T

ATS. T 7 26

6

7 ATS. N

ATS.

75 T C , ,

ATS

, . P ,

, ,

C .

75A O FIA PTG (

) , .

F ,


49/85

49

. F ,

.

76 T C

,

.76A T FIA

. T

. E

, .

G

.

W ,

. G

. O

. T

. D

,

. T

.

O , ,

, , . I

,

. T

. S

. B

. O

.

A

. F , WF,

. T L

D

.

77 P

. A

? W

?

S

?


50/85

50

77A P , ,

. G

. A ,

. O

, . E : 1)

; 2)

; 3) ; 4)

.

G

,

. W

. S,

.

R

, ,

. T

, ,

.


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. :

://..///10.3905/.2011.6.3.022#.6274AO.

:

,

.

, , ( ) ,

,

.

,

. A

.

.

. T

. T

, .

. A

.

.

T . O

. M

. W

.17

A DCM

, CME G DM ,

DCM

. T,

.

90 W [ III.F.2

? I ,


53/85


54/85

54

?

93A U ,

, DCM

. T,

. I ,

R 605 R NMS

. H,

.

I C ,

.

FIA ,

. I

DCM. T

.

94 W ? F ,

?

94A T

. L

. F

, ,

, . T

.

95 D ? I , ,

? W

?

95A L

. L

. F , , ,

,

. T

. I ,

.

96 S ? I ,

? I

, ?

96A DCM . I

.

A ,

.


55/85

55

I ,

. F

. L

, , ,

.

F, ,

. B ,

,

,

.

97 T C P R

. P ,

,

,

.

97A W DCM .

98 I ,

,

? A

?

98A G

,

,

. T

,

, DCM

. A

.

99 W

? I ,

?

99A T FIA DCM

. T

; /, , , .

W DCM

. I ,

.

T


56/85

56

, ( C )

. A

.

H, , C

DCM

,

.

100 W

? I

(

, ATS) ? I

?

100A T FIA DCM

,

.

B ,

. T, ,

,

.

M ,

. T

. F ,

1000

1000 1000 .

W

DCM . W

,

.

I . W

. F DCM

. B

.

101 T C [

III.F.3 CEA. I ,


57/85

57

() .

101A A 99 101, FIA

, CEA, DCM

.

T DCM CEA

99

. W CEA

, C DCM

.

102 I DCM, () ,

, ; ,

, () . I

,

, ,

.

102A W DCM .

103 P

.

103A A

. F S&P 500 I

I. E

, , ETF .

E ETF

ETF, . W

.

I,

,

. W

.

104 P

. I , ?

104A S

. I , DCM

. B DCM

,

. A ,


58/85


59/85

59

Q S #9: G Q R A R CO

R

I . R

C

. A ,

. W

.

A

, DCM, ,

, , . F,

, .

I

. I ,

FCM .

A ,

, , , . A

, .

W I

, .

106 F [ III.CF,

/ . I ,

,

.

106A I FIA PTG

, 26 26

. O 26 , 22

. O ,

.

T FIA PTG .

T 25 26 .

F , 20 26 FIA PTG . O

,

.

A 17,

. I FIA PTG , 26

. O 26

, 25

. T

. I , 21 26

.


60/85

60

W , , 26 ,

. O 26 , 24

.

W , 19 26 .

T , DCM , .

W , 26

. T 25 26

.

W , . T

25 26 FIA PTG

.

F, FIA PTG

.

T FIA FCM

. T FCM

: ; , ; ,

; . I ,

.

107 I ,

[ III.CF. P ,

, ,

.107A M III.CF C C R

. T

. W .

108 P . W ,

() .

108A S T

109 P ,

,

DMA, .

109A S T

110 A , ,

? I , .

110A S T

111 A


61/85

61

. (). P

. (). I ,

, , ?

111A A 6,

, ,

, . A .

I

, . I ,

. E

.

T, FCM DCM

( I ATS P) CFTC 1.73

. W FCM

,

FCM

.

A FCM

DCM . T

FCM (

, VWAP, TWAP P V,

).

H, DCM

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

D ATS P FCM

.

S :

M R LDCM ,

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

112 A ? I ,

? A,

C ()

.

112A S

113 A

, ? I , .

113A T , DCM,

FCM . H

,

.

W

DCM, .

C ,

FCM . I FCM

, DCM ,

DCM

.

A , DCM

, FCM

. I FCM

.

114 E , . S C

? I ,

C . A

, , ?

114A W

. A

, DCM,

, . I ,


63/85

63

,

.

115 T

C R, ,

(.., C

, C , ).115A A ,

DCM, FCM

. P

, , .

116 H ? S

? F , ()

. A,

.

116A E , ,

, ,

. T . U CFTC R 1.73, ,

FCM

,

. SRO

.

T

. B

ATS, ,

,

. A,

,

.

117 A ,

[ III.CF? I , ,

, () ,

DMA.

117A T

DCM, FCM . A

, .

118 W ? I , , ,

. R

C .

118A R

C . A

,

. W


64/85

64

; , . F

, ,

.

P

.

119 S C , ,

ATS ? I ,

.

119A W ,

, , ,

. T C

.

C

.

120 S C C

A, ? C,

C $140,000 .

I A,

$140,000?

120A T C

.

121 P ( )

ATS C

R, , , , , , .

121A S 116

122 W ( , , DCM SEF)

?

122A DCM

.

T,

. T

. A DCM

DCM, ,

DCM

.

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

Documents

Transcript of CFTC Concept Release on Risk Controls 121113