Post Trade Solutions, part of LSEG, has launched a new service aimed at optimising market risk for FX options desks. The announcement, detailed in an LSEG press release, follows a proof of concept involving 13 sell-side desks.
LSEG’s optimisation services began in 2017, through Quantile, addressing cleared and uncleared margin and, more recently, risk-based capital. The new service moves the optimisation framework into market-risk territory by working with traders’ chosen risk axes rather than predefined counterparty metrics. The platform analyses participants’ axes across different tenors and risks, then proposes a set of trades that fits each participant’s constraints.
The service is designed to provide an end-to-end process of around 30 minutes and can run as frequently as needed. Once participants accept the proposed trades, booking is automated.
Open-source analytics
Pricing and risk analytics are powered by the Open Source Risk Engine (ORE), built on QuantLib. According to LSEG, this provides transparent valuation and risk measures for FX options and other derivatives.
The service connects with LSEG’s multibank FX platform, FXall, for execution and straight-through processing. LSEG describes the integration as efficient and resilient, aiming to reduce operational risk in the FX options workflow.
LSEG says FX options were chosen as the initial asset class due to their complexity and liquidity. The group reports strong front-office interest and signals that further development will follow in line with client requirements.
