\ For Benchmark Conversion

Interest Rate Benchmark Cessation Playbook

Achieving Greater Certainty

Step 1: Compression

The cornerstone of any benchmark transition plan

Manage the legacy benchmark population down to its core net risk position.
Proactive compression using OSTTRA triReduce.

Compress new alternative risk-free rates (RFR) transactions.
Be ready to implement portfolio compression best practices.

Step 2: Conversion

Risk optimised conversion of legacy benchmark trades

Prioritise the termination of trades subject to index cessation.
Adopt risk replacement trades in cleared compression runs to maximise proactive conversion away from legacy benchmarks.
Retain control by only submitting trades deemed eligible for compression or conversion.

OSTTRA triReduce Benchmark Conversion Utilise our suite of risk-based constraints to align compression & conversion outcomes with your own transition plan.

Step 3: Non-Cleared

Address the remaining non-cleared population subject to Fallbacks

Convert non-cleared trades referencing benchmarks subject to cessation to the new alternative RFRs.

OSTTRA Multilateral Backloading alleviates friction to facilitate clearing of any remaining non-cleared transactions subject to fallbacks.
OSTTRA Cross Currency Swap conversion is performed whilst simultaneously managing the valuation impacts of swap amendments.
Seamless processing is facilitated via OSTTRA MarkitWire.

Take Control.

Utilise the OSTTRA suite of Benchmark Cessation Services.

We aim to bring our expertise gained through years of compression to meet the industry’s need for an orderly transition to alternative benchmarks. Through the robust foundation of our cleared compression runs, we’ve evolved our service offerings based on the experiences of prior cessation plans, to bring solutions for both cleared and non-cleared derivative transactions impacted by an index cessation event.

Vikash Rughani
Business Manager, triReduce and triBalance

Benefits of our Benchmark Cessation Services

Proactive

Proactively and iteratively reduce and mitigate your exposure to benchmark cessation.

Risk-constrained

Maintain full control through a suite of risk-based constraints on outright and basis risk.

Manage submission eligibility

Manage your complete IM needs with a single partner offering IM calculation, margining and dispute resolution.

Cost efficient

Only submit trades when they are available for compression or conversion.

Most efficient solutions

With our unique Trade Refactoring solution, firms are able to combine this focus on index cessation with the most advanced compression algorithm available.

Achieve certainty

By compressing legacy benchmark trades or converting them to reference the new RFRs, firms can establish certainty earlier in their cessation roadmaps.