portfolio compression

transform your fcm portfolio and reduce im

What is portfolio compression?

Transform your portfolio into alternative products, and/or reduce line items.

Our compression service uses our advanced algorithms to create a forward risk profile, and then find a set of trades which replicates your portfolio for the lowest holding cost using the alternative products.

Over time cleared portfolios build up individual line item trades. When analysed as a book of net risk, the same portfolio could be represented by a smaller set of trades using OTC Swaps, MAC Swaps, IMM Swaps or Swap Futures.

The outcome of this approach is:

Reduced operational cost from having a smaller portfolio of trades

Reduced capital requirements from reducing the gross notional of the portfolio

Reduced IM from using alternative products with a 2-day VaR rather than 5 or 7-day VaR (when using clearable swap products)


Definable target contracts including OTC Swaps, MAC Swaps, IMM Swap and Swap Futures

Provides a delta and cost analysis to implement the compression outcome

Estimates the delta on fees and funding

Provides a DV01 before/after graphical comparison

Provides a lifetime cost comparison of before/after

Provides the IM delta before/after


Reduce the number of trades between you and your clearing broker / FCM for lower operational costs

IM calculated on a shorter holding period than cleared OTC

Simpler portfolio composition


Our compression screen shows the source risk profile before and after the compression run.

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