CFTC chairman: Managers' concerns over algorithm codes disclosure to be addressed

Commission also plans additional stress tests of the five largest clearinghouses

Timothy Massad
Timothy Massad

The Commodities Futures Trading Commission will address concerns from market participants over the agency's proposed Regulation AT, which would require money managers' algorithm codes to be disclosed to the agency, said Timothy Massad, CFTC chairman.

Speaking at the Futures Industry Association Expo 2016 in Chicago on Wednesday, Mr. Massad said that while concerns about disclosure will be addressed by the CFTC, “we won't remove that requirement.” He also said there would be supplemental rules added to Reg AT, but he wouldn't elaborate.

Separately, Mr. Massad said the CFTC staff is also working on additional stress tests of the five largest clearinghouses in terms of volume — CME Clearing, ICE Clear Credit, ICE Clear Europe, ICE Clear U.S. and LCH Clearnet — to “assess the impact of stressful market scenarios across multiple clearinghouses and clearing members on the same date.”

The tests apply hypothetical scenarios base on real-time events such as the Lehman Brothers collapse and the Brexit vote in June.

A report on those stress tests is expected by the end of the year, Mr. Massad said.

He also said recovery rules for all clearinghouses deemed systematically important by the CFTC would be completed by year-end.

Mr. Massad also said the CFTC was being hamstrung by the failure of Congress to “provide us even a modest increase in our budget. And without additional resources, it is difficult for us to do the job that I believe our markets need and the American people deserve.”