Quantile completes record interest rate compression runs in April

Co-founder and chief executive at Quantile said record compression runs in April were seen as market volatility settled from March.   

Interest rate compression and initial margin optimisation specialist Quantile has set three new records on its services in April, following a surge in compression activity as market volatility settled last month.

Quantile completed a USD compression run at LCH executed on 17 April and eliminated a significant $7.2 trillion, which the firm said was a new record and the largest single compression run at LCH in the past two years.

At the same time, Quantile eliminated $4.7 trillion from its largest EUR compression run to date across 18 market participants at LCH, which followed the record USD compression run. For initial margin optimisation, Quantile’s service for interest rate swaps also reduced initial margin postings by a record $4 billion across 14 entities in April.

Compression allows traders to remove bilateral trades across mismatched cash flow dates and offset trades to reduce the size of the cleared portfolio of OTC derivatives. The interest rate compression service from Quantile reduces gross notional and trade count, while preserving the portfolio’s risk profile and valuation.

“Our business continues to grow, and we expect further increases as we enhance our services and add more market participants,” Andrew Williams, CEO of Quantile, told The TRADE. “Our use of cloud technology means we have an incredibly resilient technology framework which has allowed us to operate at full-speed, even while working remotely – this has been greatly appreciated by our clients”

Quantile was co-founded in 2015 by Williams and chairman, Stephen O’Connor, who both spent around 20 years working at Morgan Stanley in senior risk and clearing positions. Williams formerly managed the CVA/XVA trading desk for the investment bank, while O’Connor held roles including global head of counterparty portfolio management and global head of client clearing.  

“Record volumes like this are a combination of our continued client growth and an increase in compression activity, as the markets begin to settle after the rates cuts and volatility seen through March,” Williams added.