Multilateral
D2D (Dealer to Dealer) portfolios of all Clearing Members who sign up for a cycle will be included in a compression run. However, in phase one, only Direct Clearing Members can access the service to compress trades in their house accounts.
Unlinked
Both sides of the respective original OTC transaction can be considered separately in a compression run. A successful compression is not dependent on retaining the original counterparty link.
Risk-based
Members pre-define tolerance levels, within which the risk of their portfolio is allowed to change.
Scope
The service is available for Euro-denominated cleared FRA, IRS, Basis swaps, OIS, and zero-coupon inflation swaps. On request, the service can also be provided for other currencies.
Frequency
Compression cycles are periodic. The frequency is reviewed regularly, and the number or frequency of cycles can be increased when necessary.
For 2024, compression runs are currently scheduled for (subject to change):
Compression Service: worked example
1. Bilateral trade
Bilateral OTC Swaps A and B between X and Y are not completely offsetting trades.
2. Central clearing
Bilateral OTC Swaps A and B between X and Y are not completely offsetting trades.
3. Compression run
Swap B is terminated. Swap A is partially terminated during a compression run resulting in Swap AB compressed.
Contact
For more information on our Compression Service, please contact us at
