Quantile enhances counterparty risk optimisation service to support SwapAgent FX Forwards

The move will help simplify optimisation hedge proposals, increase efficiency in the booking process and help clients better manage risk.

Portfolio optimisation services provider Quantile has enhanced its counterparty risk optimisation service for foreign exchange by supporting SwapAgent FX Forwards.

According to Quantile, the move will significantly simplify optimisation hedge proposals, improve efficiency in the booking process and help clients to better manage risk across SwapAgent and non-SwapAgent portfolios.

The multilateral service from Quantile analyses the risk of transactions between participants and rebalances portfolios with new market risk neutral hedges which reduce risk and free up capital.

The use of SwapAgent FX Forwards as a hedging instrument will enable Quantile to allow participants to move risk to SwapAgent’s standardised infrastructure, reducing risk and capital usage by around 30-60%.

In addition, counterparty risk is reduced by SwapAgent by aligning collateral and settlement payments, eliminating margin disputes and by facilitating daily settlement of margin.

 “At Quantile we are continually looking for ways to enhance our multilateral services to make post-trade risk reduction more efficient,” said Andrew Williams, chief executive of Quantile.

“Adding SwapAgent FX Forwards to our counterparty risk optimisation runs significantly enhances the service operationally, as well as reducing risk and capital requirements across the network.”

In a recent FX optimisation run, Quantile delivered the enhancement, which saw the market’s first SwapAgent FX Forward executed between two participants to sweep risk to SwapAgent.

Quantile stated that it expects additional participants to leverage SwapAgent FX Forwards to reduce risk and capital requirements within their optimisation runs going forward.

“SwapAgent is a very efficient place for participants to hold risk and we thank Quantile for adding FX Forwards at SwapAgent as part of their optimisation runs,” said Nathan Ondyak, global head of SwapAgent.

“By supporting FX Forwards, we can materially improve standardisation, efficiency, and simplicity in the bilateral derivatives market.”

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