Risk Magazine – JP Morgan and UBS compress forex books via start-up

JP Morgan, UBS and a third dealer have completed a multilateral compression of foreign exchange derivatives via New York-based start-up, LMRKTS. Participants executed a layer of new trades to shift and net existing cashflows, streamlining portfolios in five different currencies: euro, sterling, Swiss franc, US dollar and yen…
…”We designed the system with the help of the banks to provide the maximum amount of benefit with the least amount of new trades or disparities in pricing that often hold up other compression exercises,” says Lucio Biase, founder of LMRKTS. “Submitted cashflows comprised two months of forex exposures and the process enabled the dealers to take their gross cashflows to net with efficiencies greater than 90%, so we were all pleased with the results.”

View Document Back

Click here to register for updates and learn more about how our services can be tailored to your specific objectives in various asset classes.