Optimising the Libor Switch with Portfolio Compression

TriOptima's multilateral approach to portfolio compression is helping the sell-side and buy-side alike to reduce Libor risk, optimise capital, and enhance operational efficiency.

The transition away from Libor presents significant operational challenges for the many banks, swap dealers, hedge funds, asset managers, insurers and corporates that need to identify ways to convert their ICE Libor trades in each jurisdiction.

Regulation Asia sat down with Guy Rowcliffe, Global Head of Optimization Services at CME Group, to understand how its TriOptima business is supporting the market need for benchmark migration, along with its other regulatory driven initiatives.

Structured investment outcomes have always been a benefit of using options in a portfolio. Using option contracts can create a wide variety of outcomes, with both risk and reward being defined when the position is entered. Options on futures offer the same opportunities to create defined risk/reward outcomes. This paper explores three consistent methods of using end-of-month (EOM) options on E-mini S&P 500 futures (ES) contracts to create unique outcomes.

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