TriOptima has completed its first triReduce enhanced compression cycle to include sterling overnight index average (SONIA) risk replacement trades.
SONIA is based on actual transactions and reflects the average of the interest rates that banks pay to borrow sterling overnight from other financial institutions and other institutional investors.
The cycle took place on 22 October at LCH SwapClear.
The triReduce benchmark compression service allows swap market participants to reduce their gross and net exposure to legacy benchmarks as well as increase the adoption of alternate benchmarks through risk replacement trades.
Philip Junod, senior director, triReduce and triBalance business management, said: "This is the first step of an iterative process for our swap market clients as they convert their swaps exposure from legacy benchmark rates.”
"The triReduce benchmark conversion service has the capacity to run conversion alongside compression at scale, helping participants proactively reduce their exposure at the same time as increasing their adoption of the alternative reference rates in currencies impacted by benchmark reform."
In the Asset Servicing Times Sibos Special issue, TriOptima explained how it combines the reduction of gross notional exposure and the conversion of net risk exposure to deliver outsized results, partnering its portfolio compression network with core net ICE LIBOR over-the-counter swap portfolios.
.jpg)