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Diana Higgins Bilateral Compression
 

Diana Higgins Bilateral Compression

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Overview of portfolio compression using TriOptima or Ovvovis

Overview of portfolio compression using TriOptima or Ovvovis

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    Diana Higgins Bilateral Compression Diana Higgins Bilateral Compression Presentation Transcript

    • 2
    • • • •  3
    • • • • • • • • •  •  •  •  4
    • Prop%trading:%Analyze%compression%twice%per%year%% Opera7onal:%repor7ng%requirements% Clearing% OTC%Threshold% Margin % No7onal % Credit % 5
    • 6
    • Before After “Equivalent” all or within “Tolerances”: P/L: unrealized is cashed in or out Credit exposure Overall volume / zero Volume by time buckets Dates: Delivery, Start, End, Strike, Payment Less trades “Buys” Less trades “Sells”:Thousands of Underlying physical /trades “Buys” LESS NOTIONAL financial: ie NBP GasThousands of LESS USE OFtrades “Sells” THE EMIR THRESHOLD!!! 7
    • Termina7on% Nego7a7on% Valua7on% Trade% matching% Agree%with% counterparty%Agree%Internally% 8
    • Front%Office% Market%Risk% Credit%Risk%Opera7ons% (physical% Legal% delivery)% My% Company% Informa7on% Finance% Technology% Backoffice% Treasury% 9
    • 10
    • • •  – •  –  11
    • Bilateral% % % % % % %% % % My% % Cpty.% Co.% % % % % % % % % 12
    • % % % Mul7lateral% % % % % % Cpty.% % % % % Cpty.% % % % % % % %“Place”,% Rules,% % Engine% % % Same% Day,% % My% % Time% Co.% % % % Mul7lateral% % % service% % %% % Cpty.% % % % % % % % % % Cpty.% % % % % 13
    • Step Bilateral TriReduce® Ovovis®1-Agree terms withCounterparty ☕ ☕ Standard terms Standard terms2- Agree termswithin my Company3- Trade matching ☕ ☕ Engine matches Triangles, no match required4- Valuation ☕ MtM as given Engine: price, volume, value5- Negotiation ☕ ☕ Win-Lose, (W-W?) Win-Win P/L neutral6- Documentation ☕ ☕ Standard Standard: adds trade to simplify, no termination6- Termination ☕ 14 Standard
    • Benefits/Risks Bilateral TriReduce® Ovovis®1S%EMIR%Benefit% % “Flexible”%tolerances,%choose% %vs% Mix %(EMIR%value%up%if% who,%what% Mul7ple% not%terminated)%2SPar7es%in%/%out%3S%Confiden7ality%4S%Benefit%Margin%Credit,%Opera7on%5S%Profits%or%Losses% WinSLose% WinSWin% Neutral,%then%Bilateral%6S%Resources%7S%Time%to%termina7on% Agree,%Nego7a7on%Engine?% 2S6%days% 2S3Sdays%%(not%working% % % Plus%Nego7a7on%hours)% Plus%opera7ons% Plus%opera7ons% Plus%opera7ons%8S%Cost% Internal%plus% Cash%out%plus% Cash%out%plus% Internal% Internal% Internal% 15
    • • •  –  – •  –  16
    • 17
    • •  Disclaimer: To the extent permitted by law, neither Crediten Ltd nor its presenters will be liable by reason of breach of contract, negligence or otherwise for any loss or consequential loss occasioned to any person acting omitting to act or refraining from acting in reliance upon the course material or presentation of the course or, except to the extent that any such loss does not exceed the price of the course, arising from or connected with any error or omission in the course material or presentation of the course. Consequential loss shall be deemed to include, but is not limited to, any loss of profits or anticipated profits, damage to reputation or goodwill, loss of business or anticipated business, damages, costs, expenses incurred or payable to any third party or any other indirect or consequential losses. Except as expressly and specifically provided in this agreement: you assume sole responsibility for results obtained from the use of the training and for conclusions drawn from such use. Crediten Ltd shall have no liability for any damage caused by errors or omissions in any information, instructions or scripts provided to Crediten Ltd by you in connection with the training, or any actions taken by Crediten Ltd at your direction; and all warranties, conditions and other terms implied by statute or common law are, to the fullest extent permitted by law, excluded from this agreement.•  Nothing in this agreement excludes or limits the liability of Crediten Ltd for: death or personal injury caused by the Crediten Ltds negligence; fraud or fraudulent misrepresentation; or any other liability which cannot lawfully be excluded or limited.•  Intellectual property rights: all Intellectual Property Rights and all other rights in the training materials shall be owned by Crediten Ltd.•  CREDITEN LIMITED COPYRIGHT 2012 18