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MARKET RISK ADVISORY COMMITTEE MEETING

December 11, 2019

U.S. Commodity Futures Trading Commission

1155 21st Street, N.W.

Washington, DC 20581

AGENDA

Time Item

9:30 a.m. Welcome and Opening Remarks

• Rostin Behnam, MRAC Sponsor and Commissioner, Commodity Futures 

Trading Commission (CFTC)

• Heath Tarbert, Chairman, CFTC

• Brian D. Quintenz, Commissioner, CFTC

• Dawn DeBerry Stump, Commissioner, CFTC

• Nadia Zakir, MRAC Chair, Executive Vice President and Deputy General 

Counsel, Pacific Investment Management Company LLC (PIMCO)

10:00 a.m. Report from the Climate-Related Market Risk Subcommittee

• Bob Litterman, Subcommittee Chairman, Founding Partner and Risk 

Committee Chairman, Kepos Capital

10:20 a.m. Report from the Market Structure Subcommittee

• Lisa Shemie, Subcommittee Co-Chairman, Associate General Counsel, 

Chief Legal Officer – Cboe FX Markets and Cboe SEF, Cboe Global 

Markets

• Stephen Berger, Subcommittee Co-Chairman, Managing Director and 

Global Head of Government & Regulatory Policy, Citadel

10:40 a.m. Report from the CCP Risk and Governance Subcommittee

• Alicia Crighton, Subcommittee Co-Chairman, Chief Operating Officer, 

Prime Services, US Clearing, Goldman Sachs, Futures Industry 

Association

• Lee Betsill, Subcommittee Co-Chairman, Managing Director and Chief 

Risk Officer, CME Group

11:00 a.m. Break

11:10 a.m. Report from the Interest Rate Benchmark Reform Subcommittee

• Thomas Wipf, Subcommittee Chairman, Vice Chairman, Institutional 

Securities, Morgan Stanley
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Time Item

11:20 p.m. Legacy LIBOR Swaps and Initial Margin Findings

Description: 

A discussion of the CFTC Office of the Chief Economist’s research paper 

“Legacy Swaps under the CFTC’s Uncleared Margin and Clearing Rules” and the 

Interest Rate Benchmark Reform Subcommittee’s independent analysis and 

estimate of the additional initial margin that would be posted system-wide if 

current IBOR swap trades with legacy status were brought under the uncleared 

margin rules after a transition. 

Key Speakers:

• Richard Haynes, Supervisory Research Analyst, Office of the Chief 

Economist, CFTC

• Biswarup Chatterjee, Interest Rate Benchmark Reform Subcommittee 

Initial Margin Working Group Leader, Global Head of Markets BCE 

Management, Citigroup

11:40 a.m. International Swaps and Derivatives Association, Inc. (“ISDA”) Developments

Description:

A discussion of recent developments involving ISDA’s derivatives fallback

consultations, including pre-cessation triggers and the parameters for 

benchmark fallback adjustments. 

Key Speakers:

• Ann Battle, Interest Rate Benchmark Reform Subcommittee Disclosure 

Working Group Leader, Assistant General Counsel, ISDA

12:25 p.m. Follow-Up Discussion on Central Counterparty Adjustments to 

Discounting/Price Alignment Interest Environment 

Description: 

A follow up discussion on the CME and LCH proposals for transitioning 

price alignment interest and discounting for U.S. dollar over-the-counter

cleared swaps to the Secured Overnight Financing Rate, including areas for 

coordination and risk considerations. 

Key Speakers:

• Agha Mirza, Interest Rate Benchmark Reform Subcommittee Member, 

Managing Director and Global Head of Interest Rate Products, CME 

Group

• Dennis McLaughlin, Interest Rate Benchmark Reform Subcommittee 

Member, Chief Risk Officer, LCH
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Time Item

1:10 p.m. Closing Remarks

1:15 p.m. Adjournment