TriOptima announced today that it has completed two additional portfolio compression cycles for Thomson single name and Thomson-related index tranche transactions after the implementation of the ISDA 'Small Bang Protocol'.
In the Thomson single name cycle, 31 banks terminated 8105 trades with a notional value of $19.6 billion. The Thomson single names terminated represented over three quarters of the current population of single name trades held by the cycle participants in DTCC's Trade Information Warehouse.
With 26 banks participating, 5232 index tranche trades from ITraxx series 1-7 which include the Thomson name were terminated with a notional value of $215 billion.
"The last single name compression was tailored to meet the inherent challenges of the Restructuring Credit Event," said Athanassios Diplas of Deutsche Bank, co-chair of ISDA's Credit Steering Committee. "It employed a new methodology that allowed us to reduce a much larger number of trades than a regular compression would have achieved. As a result, we were able to eliminate the bulk of outstanding trades among participants and thus significantly reduced both economic and operational risk. It was a great example of the industry teaming with TriOptima under a very tight timeframe and delivering a robust risk solution."
TriOptima has been coordinating closely with the ISDA Credit Steering Committee to reduce the number of outstanding Thomson trades prior to an auction settlement. Previously, TriOptima had completed a Thomson single name portfolio compression cycle in September which eliminated 6850 trades and a European index tranche compression cycle in August which eliminated 4200 index tranche trades which included the Thomson name.
"We continue to work with the industry in its efforts to facilitate this first restructuring event since the ISDA Small Bang Protocol was introduced," said Ulf Andersson, global business manager for triReduce. "The results of these four compression cycles should increase the operational efficiencies of the settlement process and reduce the administrative burdens due to the optionality of the triggering events."
ISDA's 'Small Bang Protocol' was devveloped following the publishing of the 'Big Bang Protocol' in March 2009. The Small Bang Protocol includes a series of amendments suggested by market participants and allows for the incorporation of auction settlement terms following a Restructuring Credit Event into standard CDS documentation.