Quantile has added cleared interest rates to its service after completing its first cleared interest rate initial margin optimisation run with clearing house LCH.
The optimisation specialist said the recent run saw 14 market participants rebalance their interest rate portfolios, with four of them using the new cleared functionality, to generate margin savings of $4 billion.
Quantile launched its optimisation platform in 2017 to reduce counterparty risk and the cost of funding initial margin. It analyses the risk of transactions between participants and calculates a new set of trades that reduce margin without changing risk positions. The expanded service now includes regular runs for cleared FX and interest rates alongside uncleared SIMM optimisation for FX, interest rates and equities.
“In our experience Quantile’s initial margin optimisation service delivers significant risk reduction and margin savings. The expansion into cleared interest rates could lead to materially higher efficiencies across sell-side and buy-side communities,” said Lear Janiv, managing director at Goldman Sachs.
Speaking to The TRADE in May, Quantile’s chief executive, Andrew Williams, said the firm set three new records on its platform in April amid a surge in market volatility. Quantile completed a USD compression run at LCH executed on 17 April and eliminated $7.2 trillion, a new record and the largest single compression run at LCH in the past two years.
“Adding cleared interest rates to our optimisation service is a significant milestone for us, and the first LCH run demonstrates huge potential to deliver increased efficiencies across CCPs,” he said on the recent run at LCH. “As we continue to extend our product and venue coverage, clients are able to optimise more of their risk, irrespective of where they choose to execute or clear.”