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)
features
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 lifetime cost comparison of before/after
Provides the IM delta before/after
benefits
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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