NEWS
DATA
Markit using unstructured data for CLO pricing
Markit’s new collateralized loan obligation pricing platform is employing the use of unstructured data, according to Nathan Kirk, director and head of US securitized products. The CLO pricing service, revealed in early May, takes data from emails and messaging between the buy and sell sides, as well as uses sophisticated modeling, in order to determine fair pricing for CLO tranches, Kirk explained. It is being offered as a result of client demand. The platform just ended a fourmonth beta, according to Kirk. The first five months were spent developing the methodology and process, which resulted in a platform that culls data from emails and messages between the buy and sell-sides, as well
as from Bloomberg, Intex cash flow models, Markit’s own pricing service and a few other providers, Kirk explained. “It’s an evaluated approach, [we’re] looking to get access to as much observable pricing data as possible,” Kirk said. Emails and messages are obtained only from buy and sell-side participants who opt-in for inclusion, noted Kirk. The offering also shares assumptions around prepayments, defaults and severities to help the client understand what’s behind each individual price, Kirk noted. POST-TRADE
Analysts say DTCC suit against CFTC is hypocritical
Two Aite Group analysts are calling a lawsuit filed by the Depository Trust & Clearing Corp. against the Commodity Futures Trade
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EXCHANGES & ATSs
CME expects significant phase two take-up for OTC clearing
ME Group said its role as a clearinghouse for over-the-counter swaps will expand significantly in June after more participants are required to clear under phase two of the clearing rules, according to comments from CME executives on an earnings call this month. Derek Sammann, senior managing director of financial products and services told analysts on the call that CME’s expectation of a larger role is grounded in the fact that the second phase of the mandate targets clients that trade mostly dollarbased swaps. Those products make up approximately 61% of the contracts CME clears, Sammann added. “We think we will see acceleration through that group.”
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The exchange operator has been working with a group of 270 firms on clearing readiness and Sammann said those firms expect to be to be prepared for the June 10 deadline. He also responded to questions about portfolio margining capabilities for margin offsets CME will grant related to swaps clearing, saying the capability has been rolled out selectively to a few futures commission merchants. “We don’t expect that to be significantly taken up until we’re farther into onboarding,” he said, noting that the FCMs are more focused on being prepared for clearing by the implementation deadline. “It’s a function of bandwidth for the FCMs,” he added.
Commission hypocritical, according to comments made in interviews with WSL. The DTCC this month sued the regulator over its move to allow the clearinghouses operated by CME Group and the IntercontinentalExchange to preference their own data repositories, following the reversal of a previous ruling, the clearing utility asserts in a copy of the lawsuit obtained by WSL. Though senior analyst Howard Tai said he is on-board with what the DTCC calls anti-competitive behavior in the lawsuit, he noted the agency is not wholly impartial. “DTCC has maintained more than a lion’s share of the OTC derivatives settlements market for many years,” he said. “[The DTCC] wants to be the clearer and data re ????????????????t? ?????????????????e???????????????????????????????????????????????????????????????????????????????????q??????????????????????????????????t?Q????????!???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????q%?e??????????????????t?????Q????]????????????????????????Q
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