CFTC Public Roundtable on Made 

Available to Trade

Panel 2 – Data-Based Assessment

July 15, 2015

Amir Khwaja

CEO Clarus Financial Technology
Data-Based Assessment of MAT

 Sources of Data

 On SEF Volumes and On/Off SEF Percentage share

 What the Data Shows

 In Credit, FX & Rates

 Selected Products and Currencies

 Suggestions on Public Data

 Conclusion

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Sources of Data

 Clarus products

 SDRView – US, Trade-level, CFTC Part 43 data

 SEFView – US, Instrument level, CFTC Part 16 data

 CCPView – Global, Product type level

 Public data

 Multiple Sources for each (SDRs, SEFs, CCPs)

 Collect, Clean, Normalize, Aggregate, Filter

 Weekly Commentary on ‘What the Data Shows’

 www.clarusft.com/blog

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Sources of Data

 How comprehensive is the data coverage?

 Depends on the Currency and Product

 Example – USD IRS – the largest product

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Credit

 CDX NA IG – Required and Permitted

 Volumes

• Low point is Feb 2014 (MAT date)

• Series Roll in March and October and MAT not detrimental to volumes

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Credit

 CDX NA IG – Required and Permitted

 On SEF percentage share

• On SEF - 57% to 96%

• Trading is in a standardised product

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FX

 FX NDF – Permitted products

 Trade volumes in Top 6 Ccy pairs

• Increasing volumes, 50% in 18 months

• 22,000 to 33,000 trades or $260b to $370b gross notional (capped)

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FX

 FX NDF – Permitted products

 On SEF percentage share

• Trade counts – 20% to 27% or Gross Notional – 33% to 40%

• Clearing is very low, no MAT determination and still On SEF Percentage Increased

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Rates

 USD IRS Fixed Float – Required and Permitted

 Volumes

• Increasing Volumes from low in Feb 2014 (first MAT date)

• MAT has not harmed volumes which have risen with expectations on rates

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Rates

 USD IRS Fixed Float

• On SEF Share – 40% to 60%

• MAT Dates and Package Exemptions

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Rates

 USD IRS Fixed Float - Many Sub-types

 June 2015 trade counts

• MAT - Spot, IMM, MAC in specific tenors

• Non MAT – All Others ( Forwards, Non Standard)

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Rates

 USD IRS Fixed Float – Many Sub-types

 On SEF Percentages

• MAT – Spot 91%, IMM 72%, MAC 90%

• Non MAT – Spot 30%, IMM 55%, MAC 24% 

• Non MAT - Fwds 8%, NStd 12%

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Rates

 USD IRS Fixed Float - Packages

 June 2015 On SEF Percentages

• Spreadover, Curve, Butterfly

• Compression, List

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Suggestions on Public Data

 Part 43 is a big step forward in public dissemination of OTC 

trade data

 However no forum/channel to improve what is available

 What we get asked and would like to see:

 D2D or D2C trade

 Voice or Electronic

 RFQ or CLOB

 Remove Capping of Notionals (as time delay sufficient?)

 Clearing venue, as Price affecting, LCH or CME

 Execution venue, which SEF

 Linking of trades to a package

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Conclusion

 CDX

 Standardised product, MAT rapidly makes On SEF >90%

 FX NDF 

 Without MAT we still see an increase to On SEF 40%

 Even with low Clearing and Cross-border

 USD IRS

 On SEF is 60% as many IRS sub-types

 All tenors for Spot, IMM & MAC could be made MAT

 Avoids complexity of excluding some and adds 5% more to On SEF

 Forward Start remain largest Off SEF

 These do not show a gradual increase in On SEF

 Only a MAT will move (Needs capture of dates, price off curve)

 This will add 15% to On SEF (65% to 80%)

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Website: www.clarusft.com

Blog: www.clarusft.com/blog

Email: info@clarusft.com

Slides: www.slideshare.net/clarusft

LinkedIn: www.linkedin.com/company/clarus-financial-technology

Twitter: @clarusft

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