May 22, 2020

Mr. Christopher Kirkpatrick
Secretary
Three Lafayette Centre
1155 21st Street, NW
Washington, DC 20581

Re: Proposed Amendments to the Commission’s Regulations Related to the Real-Time Public Reporting Requirements (RIN 3038-AE60)

Dear Mr. Kirkpatrick:

The Asset Management Group of the Securities Industry and Financial Markets Association (“SIFMA AMG” or “AMG”)1 respectfully submits this comment letter to address select portions of the notice of proposed rulemaking to the Commodity Futures Trading Commission’s (the “Commission” or “CFTC”) Real-Time Public Reporting Requirements (the “Proposed Rule” or “Proposal”).2 As a general matter, AMG supports the Commission’s efforts over the years to establish and modify its trade reporting regime, which, if crafted appropriately, can lead to the Commission’s related goals of liquidity, transparency and price discovery in the swaps markets.3 As the Commission is aware, at its February 20, 2020, Open Meeting, the Commission unanimously approved revisions to its reporting and dissemination requirements that would revise the real-time public reporting and dissemination requirements for certain market participants,4 change the definition of “block trade”, change the block swaps categories, update the block swap categories, update the thresholds and cap sizes and adjust the delay for public dissemination of block trades.

As more fully discussed below, SIFMA AMG is writing to comment on the following aspects of the Proposed Rule: (i) Determining Minimum Block Sizes and Cap Sizes and the Process to Determine Appropriate Minimum Block Sizes; (ii) Time Delays for Public Dissemination of Swap Transaction and Pricing Data; (iii) Expanded Swap Categories for Reporting and (iv) Post-Priced Swaps “PPS”). SIFMA AMG believes that these comments are appropriate, in order for the Commission to adopt real-time reporting regulations capable of providing swaps markets with appropriate mix of liquidity, transparency and price discovery without overly burdening market participants.5 Further, AMG believes that robust and flexible block trading is an essential component of liquid swap markets and that correctly determining block size thresholds and dissemination delays is necessary to assure the continued viability of block trading in the swap market. To this end, it is critical to note that before proposing any changes to time delays or block sizes generally, the Commission should consider the interdependency between liquidity and transparency and time delays and block sizes. Further, any changes to time delays or block sizes should only be done after a data-driven analysis by the Commission.