SGX introduces portfolio compression service
27 November 2012 | 1652 views | 0
Singapore Exchange (SGX) has successfully completed its first compression of cleared Singapore dollar interest rate swaps (IRS) held by Clearing Members.
S$25 billion notional of IRS trades were terminated during the portfolio compression exercise on 23 November 2012. Portfolio compression involves the elimination of trades whilst keeping the market exposure of the Clearing Member almost unchanged. This reduces the quantum of outstanding positions of participating Members in terms of number and notional size of cleared trades, thereby enhancing operational efficiency for Members. Since the November 2010 launch of OTC IRS clearing, SGX has cleared over S$310 billion notional of IRS.
"We are pleased to work with TriOptima in offering portfolio compression service to complement our OTC Interest Rate Swaps clearing service. This follows our recent extension of tenors of Singapore dollar IRS cleared to 30 years. Our customers can expect more service enhancements in future as we continuously improve our OTC clearing offering," said Mr Muthukrishnan Ramaswami, President of SGX.
"The new SGX trade compression service enables market participants to better manage outstanding IRS notional and transactions at the Clearing House. Through it, risk-neutral cleared trades are eliminated and this helps improve operational efficiency for both the Clearing Members and Clearing House," said Mr David Griffith, Chief Operating Officer, FX, Rates and Credit, Standard Chartered Bank. Mr Griffith is also the Chairman of SGX's OTC Member Steering Committee.
On 12 November 2012, SGX began clearing SGD IRS transactions with tenors up to 30 years, from 10 years previously. In the two weeks since the tenor extension, SGX has cleared S$ 1.23 billion notional of SGD IRS of such longer-dated tenors.