Compression & Optimisation Update – Q4 2022

This year has brought 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 and optimising counterparty exposure management.



We are delighted to have won the following awards in H2 this year:

Asia Risk Awards

  • Portfolio Optimisation Solution.


  • Americas Optimisation Service of the Year
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Innovation in compression – our Trade Refactoring methodology unlocks additional Rates compression potential

The increased adoption of Trade Refactoring, the most sophisticated methodology for portfolio compression, has resulted in an additional USD 1 trillion of previously unavailable notional compression. A timely achievement as we enter Q4 when global banking institutions focus on reducing their gross exposures.
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How Trade Refactoring helps keep your interest rate portfolio leaner than ever

In the last few months we have seen an increase in the adoption of Trade Refactoring which has enabled us to unlock additional benefits for compression participants. Find out how it can help your business.
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USD LIBOR Cessation: 2021 blueprint paves the way but requires actions now

With LIBOR transition now in full swing, the focus is squarely on the upcoming USD LIBOR cessation deadline in mid-2023. How did post-trade market infrastructure adapt to support firms as they navigated the 2021 RFR transition and what’s to come in 2023.
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Preparing for further index cessation

Ready yourself for USD Libor cessation at the end of June next year.
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Combined credit optimisation and compression drives major capital & IM funding benefits for banks

OSTTRA triBalance delivered 40% initial margin optimisation saving for credit, while OSTTRA triReduce eliminated $21.5bn of gross notional value from CMBX Index Mortgage-Backed Securities (MBS). The combined strength of both services enabled banks such as Goldman Sachs and Citi to optimise their notional, initial margin (IM) and capital exposures on a multilateral basis.
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Supporting the market in times of market stress – Ukraine crisis

This year we have seen very significant market stress in relation to settlement of RUB trades. Counterparty settlement risk has been further amplified as a result of extreme market volatility and basis risk. To help the market reduce risk we have run five RUB FX settlement risk reduction cycles, five USD/RUB cross-currency compression cycles and two single name credit cycles . Each cycle has materially reduced the settlement exposure between participants, and contributed to a reduced stress level for the market as a whole.
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LatAm currencies

We’ve completed record breaking LatAm cycles:

  • Chilean peso: compression cycle at CME that was over 60% larger than our previous record
  • Colombian peso: Our annual cycle at CME reduced COP465 trillion (17% of outstanding COP notional)
  • Brazilian Real: Largest BRL at CME since 2020 as the network continues to expand
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APAC currencies

Customers are joining our cycles to reduce their exposure to legacy benchmarks. Our Thai Baht non – deliverable cycles compressed 40% of the LCH outstanding notional in THBFIX – ready for the transition to the new Thai RFR, THOR.
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GFMA engages OSTTRA for FX Close-out platform

The Global Financial Markets Association’s (GFMA) FX division plans to launch a central close-out platform for FX transactions, to be used as a fall-back facility in the case of market disruption events in specific currencies. The GFMA has selected OSTTRA, powered by TriOptima, as the service provider, including reconciliation of transactions submitted by market participants, calculation of present values, and administration of the close-out agreements.
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Capital Funding and Risk Optimisation

Accelerating industry demand for our Counterparty Credit Risk Optimisation drove a record October with SA-CCR & IMM capital optimisation up 16% vs Q3 average and 155% vs Q1 average.


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

This is a significant change for the banking industry moving from a gross-based exposure to a net based exposure. Erik Petri, Head of OSTTRA triReduce & OSTTRA triBalance considers the varying impacts & considerations across asset classes.
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Capital Optimisation


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)
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High-performance, web-based counterparty credit risk analytics

Banks need to continually monitor the impact of SA-CCR on their capital requirements and manage the data and calculation challenges it imposes. Our valuation analytics team can help with calculating SA-CCR or by providing a benchmark to your own calculation.
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Record initial margin optimisation cycle reduction

We’ve run record counterparty risk optimisation cycles resulting in a 38% increase (Q4 2022 v Q4 2021) in initial margin savings for our clients. Our OSTTRA triBalance multilateral solution provides optimum efficiency for participants & is supported by the largest network of dealers optimising IM/UMR & Capital/SA-CCR – simultaneously.
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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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