Overview of portfolio compression using TriOptima or Ovvovis

2. 2

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4

5. Prop%trading:%Analyze%compression%twice%per%year%%
Opera7onal:%repor7ng%requirements%
Clearing% OTC%Threshold%
Margin % No7onal % Credit %
5

6. 6

7. 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 Gas
Thousands of LESS USE OF
trades “Sells” THE EMIR
THRESHOLD!!! 7

8. Termina7on%
Nego7a7on%
Valua7on%
Trade%
matching%
Agree%with%
counterparty%
Agree%
Internally%
8

9. Front%Office%
Market%Risk% Credit%Risk%
Opera7ons%
(physical% Legal%
delivery)%
My%
Company%
Informa7on%
Finance%
Technology%
Backoffice% Treasury%
9

10. 10

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11

12. Bilateral%
% %
% % % %
% % % My% %
Cpty.% Co.%
% % % %
% % % %
12

13. %
%
%
Mul7lateral%
% % %
% % Cpty.%
% %
% %
Cpty.%
% %
% %
% % %“Place”,%
Rules,% %
Engine%
% %
Same%
Day,% % My% %
Time% Co.%
%
% % Mul7lateral% % %
service%
% %
% %
Cpty.%
% %
%
% % % %
% %
Cpty.%
% %
% % 13

14. Step Bilateral TriReduce® Ovovis®
1-Agree terms with
Counterparty
☕ ☕
Standard terms Standard terms
2- Agree terms
within my Company
3- Trade matching
☕ ☕
Engine matches Triangles, no match
required
4- Valuation
☕
MtM as given Engine: price, volume,
value
5- Negotiation
☕ ☕
Win-Lose, (W-W?) Win-Win P/L neutral
6- Documentation
☕ ☕
Standard Standard: adds trade to
simplify, no termination
6- Termination
☕ 14
Standard

15. 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

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