In the second OSTTRA UST Working Group session, we reviewed the Request For Quote (RFQ) process and discussed open questions along the way. As we see in OTC Swaps Clearing, and as recommended in the SIFMA Done-Away Model Documentation, RFQ is subject to a ‘Ping’ Model Limit Check. In the Ping Model, electronic RFQ platforms integrate with and ‘Ping’ a centralized Hub or the FCM in order to obtain pre-trade approval.

It is important to build consensus on workflow design as we enter these critical months for network buildout.

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Questionnaire:

Question: Pre-Trade Repo Rate. Given that the final repo rate is unknown until execution, should trading venues be required to provide an indicative repo rate in the pre-trade credit check request to facilitate DV01 calculations?

YesNoComment box

Question: Limit Check Response time. Currently the amount of time given to respond to a limit check request is driven by the Platforms which is approx 20-25 seconds. Should the FCMs have the ability to modify this time?

YesNoComment box

Question: Approval Token Time to Live (TTL). Currently this is configurable on the LimitHub UI. Should the venues or clients also have the ability to negotiate the TTL?

YesNoComment box

Question (if Trading Venue): Approval Token Time to Live (TTL) II: If you are a trading venue, what is an acceptable TTL that would cover all your client’s trading requirements?

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Question: Token Renewal RFQ. The current process of if an order is reaching expiry time, to cancel and book a new order is sufficient for an RFQ.

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Question: Limit Check Amount. The Amount on a repo transaction should be the collateral amount or the near-leg settlement amount?

Collateral AmountNear Side Settlement AmountComment box

Question: Package Trades. I require package trade support for my clients.

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Question: Failover Limits. I would utilize failover limits (pushed limits to RFQ (Ping) Venue for backup only) if offered.

YesNoComment box