Basis Risk
Optimisation

Powered by OSTTRA Reset

Sophisticated and bespoke risk mitigation solutions powered by OSTTRA Reset, the most advanced matching engine on the market.

Sophisticated and bespoke risk mitigation solutions powered by OSTTRA Reset, the most advanced matching engine on the market.

Optimise \ Basis Risk Optimisation
Optimise \ Basis Risk Optimisation

Based upon strong sector expertise and extensive client engagement, we have developed a state-of-the-art matching engine, which allows you to execute FRA and SPS deals to help reduce fixing or strike risk.

 

We focus on the second order risks that result from the structure of the instruments traded or the accumulation of imbalanced exposures over time.

 

Access a deep and network efficient global liquidity pool, and choose the matching criteria and restrictions that determine the combination of offsetting trades. Our expert risk specialists have direct trading experience in multiple markets can also develop bespoke matching solutions where needed.

Benefits of our Basis Risk Optimisation service

Maximise liquidity
Trades executed overnight to maximise liquidity.

Market neutral
All results are market neutral with no outright risk.

Curve risk offset
In major currencies, curve risk offset with 3m IMM hedges.

Accurate midmarket curve
All trades executed at OSTTRA Reset’s mid-market curve that is published in advance.

More control
Traders control matching criteria and restrictions.

Orders submitted online
Submit orders via secure online platform, our OSTTRA Reset Portal.

How it works

Coverage

FRA/SPS matching

Mitigate fixing risk in interest rate swap portfolios with new FRA/SPS deals, all at pre-determined mid-market levels. Trades are executed overnight to access a global liquidity pool. Results are market neutral with no outright risk and in major currencies any curve risk offset with three month IMM hedges.

 

AUD HKD NOK THB
CAD HUF NZD USD
CNY NDIRS ILS PLN ZAR
CZK KRW RUB
DKK MYR NDIRS SEK
EUR MXN SGD
Matching for non-deliverable forwards

Offset your fixing risk in non-deliverable forward portfolios. Generate notional neutral, multilateral switches that adhere to pre-defined criteria at a preset mid-market curve.

 

CLP IDR MYR RUB
CNY INR PEN TWD
COP KRW PHP
Inflation matching

Matching runs held in all inflation products based on monthly fixes out 10 years. Results are market neutral with no outright risk and are executed at pre-determined mid-market levels.

Indexes covered

 

EUR FR CPI EUR HICPXT GBP UK RPI USD US CPI
Basis swap matching

Offset term basis risk with new basis trades, either outright, with duration neutral spreads or butterflies out 50 years. Trades are executed overnight and at pre-determined mid-market levels.

Currencies Covered

 

EUR USD
Option matching

Anonymously pool liquidity to mitigate the Net Open Strike Risk in your portfolios. Reduce strike risk ahead of expiries while maintaining control over your resulting risk profile, using an extensive range of pre-trade controls. Trade sessions are completed in less than two hours with clients receiving a gamma neutral and delta-hedged package of trades.

Currencies Covered

 

AUD/USD EUR/GBP EUR/USD GBP/USD USD/CNH
USD/CAD USD/CHF USD/JPY
Convexity hedging

Manage your convexity exposure efficiently and more accurately with every individual quarterly IMM SPS and corresponding ED futures contracts.

Currencies Covered

 

SOFR
Risk Rebalancing

Efficient risk management for off-the-run market risk positions.

Currencies Covered

USD

Included service

OSTTRA Reset Portal

Still powered by the same dependable and trusted OSTTRA Reset Engine, OSTTRA Reset Portal is the next leap ahead in risk management technology. Our advanced tool is designed to provide an alternative mechanism for portfolio submission, including significantly higher security, greater flexibility and automated error checking.

Get ready with OSTTRA
EMIR Refit

ESMA’s refit of the EMIR regulatory reporting regime comes into force in the EU on 29 April, 2024, with the FCA’s refit of UK EMIR following on 30 September, 2024. Our suite of services is ready for the new regime.

Learn more

Contact our team of Basis Risk Optimisation experts

To find out more about our end-to-end post-trade solutions, please share your details with a short message and we will get in touch with you soon.

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Services