Compression & Optimisation Update – Issue 1 2023

2023 is bringing sweeping changes to the derivatives marketplace and our innovative solutions continue to help market participants simplify complexities and optimise resources by lowering bank capital requirements, optimising counterparty exposure management, managing the Libor transition and providing the market with an orderly exit of ICE Clear Europe credit clearing.


OSTTRA transfers $190 billion of open interest to support the ICE Clear Europe credit clearing closure

OSTTRA triBalance, has successfully completed four of a series of rebalancing cycles, reducing open interest and moving residual positions to alternative clearing houses ahead of the closure of credit clearing at ICE Clear Europe later this year.

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Industry 1st! Multilateral backloading

In an industry first, we’ve successfully delivered a multilateral SGD backloading optimisation exercise to reduce the existing bilateral SOR population. Trades on legacy benchmarks can be backloaded into clearing or settlement venues allowing customers to leverage efficiencies and processes such as CCP conversion events.

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Largest USD compression cycle of the year contributes to strong Q1 compression results

A great start to 2023. Q1 included the largest USD cycle across the market which contributed to over USD 60 trillion compressed for the quarter – up versus Q1 2022.

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2022 USD LIBOR Benchmark Conversion in Review

Following the LIBOR cessation events in CHF, EUR, GBP & JPY at the end of 2021, last year attention turned to managing down outstanding exposure to USD-LIBOR. What trends will we see in 2023?

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Preparing for further index cessation

2023 will see the cessation of the interest rate benchmark that was once the most common in the interest rate swap market – USD Libor. How did we get here and what’s the playbook for the next wave of benchmarks with planned cessations events in 2024?

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Maximising legacy benchmark compression

We have developed & implemented enhancements to our Algo ready for USD-LIBOR cessation. These changes allow for a significant uptick in the number of LIBOR line items compressed, reducing the operational burden and the costs associated with the upcoming conversion events.

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Combined 24hr FX optimisation and compression cycles

By combining FX optimisation and compression cycles in a single 24 hour window, we’re helping customers optimise multiple risk factors including SA-CCR, RWA, UMR IM and gross notional. Read on to learn more about our approach and its benefits.

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USD/RUB & RUB closeout cycles

To help the market reduce RUB settlement risk we are planning USD/RUB and RUB closeout cycles. If you are interested contact your sales & Relationship Manager to discuss.

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Our easy-to-use solution enables you to address the key issues that drive the cost of maintaining a portfolio – simultaneously across all asset classes:

  • Capital costs (SA-CCR, RWA, IMM)
  • Funding costs (SIMM, CCP IM across multiple clearing houses)
  • Gross exposure (G-SIB)
Capital Risk video
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Capital funding and risk optimisation

Our multi-target solution has been live for over 2 years, simultaneously optimising both capital (SA-CCR, RWA and IMM) and SIMM IM exposures in one execution, thus avoiding any adverse impact on the other measure. A strong client pipeline will further strengthen the network and thus results for our clients.

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Managing CCR to reduce the all-in cost of OTC derivatives portfolios

The unprecedented growth in our OSTTRA triBalance network sees participants reaping the benefits of our proven intraday optimisation for their counterparty credit risk exposure management needs. In this article we explore how this risk contributes to the cost of trading OTC derivatives and maintaining a derivatives portfolio over time.

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Capital Optimisation – Now with SwapAgent for FX & Rates

With counterparty credit risk impacting the cost of trading, we are delighted to add this extension to our regular FX and Rates optimisation cycles. Participants can now optimise their bilateral and cleared exposures for SA-CCR alongside their settled-to-market exposures, with new overlay trades being designated into SwapAgent.

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How is the regulatory transition from CEM to SA-CCR for capital impacting the industry?

Erik Petri, Head of OSTTRA triReduce & OSTTRA triBalance considers the move from gross-based exposure to a net-based exposure across asset classes.

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Accelerating initial margin optimisation

In addition to the capital benefits achieved for our customers, our optimisation service has delivered:

  • Unprecedented growth in IM reductions
  • Further expanded the network of participants
  • Improved CCP IM support & increased efficiencies
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Capital exposure reconciliation 

Increase the efficiency and accuracy of your capital optimisation and better manage your exposures through active reconciliation of RWA and Leverage ratios.

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