Swaptions expiries complicate portfolio optimisation runs

triBalance and Quantile users call for better post-trade co-ordination between dealers

Moving parts: optimisation run is a complicated exercise requiring dealer co-ordination

Confusion over swaptions expiries caused problems for dealers trying to optimise their non-cleared derivatives portfolios last week. Dealers say it highlights the need for better co-ordination when managing the process, especially as more firms turn to portfolio optimisation to reduce their margin costs.

Optimisation services provided by TriOptima’s triBalance and Quantile Technologies have been using swaptions as part of the toolkit to reduce risk on existing portfolios. Those swaptions were

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: