Compression usage spikes as firms wrestle with SLR
Banks looking to cut their Supplementary Leverage Ratio (SLR) are turning to compression techniques in ever larger volumes to ratchet down the individual numbers of swap trades on their books as well as the overall notional amount they have outstanding.
As market participants adjust to a new market era of regulated electronic trading venues and as capital requirements become more stringent, industry officials expect the usage of both blended and portfolio trade compression (PTC) — the two techniques involved — to continue to rise.
Blended compression works by
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