Benchmark Conversion

Manage the transition of legacy benchmarks in OTC swaps portfolios.

Reduce gross notional and ease the transition to alternate reference rates

triReduce’s Benchmark Conversion functionality leverages risk replacement trade methodologies to assist in the conversion to alternative reference rates. In a single step, swap market participants can reduce both their gross exposure to the legacy benchmarks and convert the remainder onto alternative reference rate benchmarks. This service is provided for trades cleared in all major central counterparties as well as for OTC swaps held in non-cleared portfolios.

Breaking down the single-step approach to Benchmark Conversion

Our benchmark conversion process achieves conversion in a single process. Firms remain in control of the extent to which each part performs in any given moment.

  • Simultaneous compression across all benchmarks keeps overall gross notional down.
  • Conversion occurs on the core net risk position in each legacy benchmark.
  • Each party sets their own risk constraints, providing confidence over risk outcomes.
  • Tighter constraints limit the potential to compression. Wider settings facilitate proactive risk replacement into the alternative benchmarks. Unlike traditional compression, firms with illiquid or pre-netted portfolios can benefit from the triReduce liquidity pool to convert their remaining exposure to legacy benchmarks.
  • Should alternative benchmark term rates become available, risk and basis tolerances can be applied to control conversion into any new alternative rates.

Key features

Convert at mid

Perform a conversion from the legacy benchmarks at each firm’s own mid-market curve.

Control risk

Participants retain complete control of their market risk through the conversion.

Deep liquidity

Deep liquidity pool, proven process and established connectivity to CCPs and market infrastructure.

Multiple benchmarks

Can support multiple benchmarks and term rates, as required.

More about Benchmark Conversion

Get the latest information about benchmark conversion.

Contact a benchmark conversion expert

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