MFA submitted a letter to the CFTC’s Division of Market Oversight (Division) requesting time-limited, conditional no-action relief from the trade execution requirement for swaps executed as part of package transactions in the interest rate asset class. For purposes of the request for such relief, MFA defined the term “Package Transaction” to mean any transaction commonly entered into in the interest rate asset class that satisfies all of the following criteria:
(a) it comprises two or more legs (each, a “Component”) that are priced as a package and executed at substantially the same point in time between the same two market participants;
(b) at least one Component is a swap subject to the trade execution requirement (each, a Made Available-to-Trade or MAT Swap);
(c) economically, the Components are a combination of “buys” and “sells” or “payers” and “receivers”;
(d) there is a reasonable and readily quantifiable degree of correlation between the Components; and
(e) the interest rate risk of the offsetting Components is reasonably equivalent.
MFA also requested that the Division view the requests for relief in our letter in light of the comments in MFA’s prior letter, dated November 21, 2013, regarding the MAT determinations of Javelin SEF, LLC; trueEX, LLC; and TW SEF for certain interest rate swaps.