Firms Run First IRS Risk Netting Session
Posted by Colin Lambert. Last updated: June 29, 2023
Fixed income platform MTS says it has partnered with workflow technology provider WeMatch to successful run the first session of their risk netting service for interest rate swaps (IRS). The three-vs-six-month EURIBOR (3m/6m) basis session executed trades across several participants and tenors on 20 June 2023.
The MTS Swaps Risk Netting Service is a session-based trading functionality that builds upon and complements the Web-based interdealer trading venue for the IRS market, MTS Swaps by Wematch.live, launched in February 2023. The new service automates risk netting of IRS inclusive of trading constraints, P&L controls and contingencies.
Participants can efficiently manage their risk across their IRS portfolios during regularly scheduled risk netting sessions in 3m/6m, €STR/EURIBOR, and Eurex/LCH basis, the firms say, adding MTS also plans to launch a dealer-to-client request for quote trading functionality for IRS in early 2024.
“The session-based functionality of the service enables participants to effectively manage risk in bulk across their portfolios, fostering efficiency and mitigating P&L volatility,” says Steve Schiff, head of risk netting services at Wematch. “We look forward to further collaboration with MTS as we build out new liquidity pools for the Rates market.”