Derivatives Execution

Pricing a derivative correctly to see if the rate offered is reasonable when compared with the mid-market rate is possible, but is an extremely complicated and time consuming exercise with a large margin for error. Without access to specialist knowledge combined with sophisticated and up to date pricing models and real time market information, it is near impossible to judge the reasonableness of a quote which contains any 'non-vanilla' complexities.

TradeRisks has an unparalleled derivative pricing capability and a proven track record with its clients, which has saved them tens of millions of pounds in execution costs alone. Our many years in derivatives structuring and execution enables us to very quickly understand and model highly complex derivatives structures, and to determine the key value drivers of transactions for our clients.

TradeRisks advised on and executed (or unwound) around £3.5bn derivatives on behalf of its clients during the last 3 years. We have transacted swaps across the entire curve, i.e. 1-40 years. These have included Bermudan cancellable interest rate swaps, structured inflation swaps and other complex structured derivatives.

Derivatives Consulting and Modelling

TradeRisks provides advice and technical tools for derivatives pricing, trading, risk management and modelling. Our team has many years of experience of derivatives pricing and risk management in the fields of interest rates, inflation, credit, and foreign exchange.

As an advisor in all aspects of the derivative trade lifecycle, TradeRisks is a leading derivatives trader, structurer and deal negotiator, and has detailed knowledge of post-trade settlement and back office processes.

Among the services we can provide are the following:

  • Advising on pricing and modelling derivative products: which models are appropriate; which parameters should be used; comparing outputs of in-house or vendor systems with those given by our own models.
  • Advising on risk management of derivatives: which risks should be hedged; how to cope with risks that cannot be hedged; how different model risks should be combined; how limits can be set.
  • Advising on the appropriate structuring of legal documentation: TradeRisks has many years of experience in the structuring of ISDA legal documentation and associated CSA collateralisation arrangements.
  • Reviewing existing systems and procedures for trading, pricing, modelling and risk management.
  • Forensic analysis of what went wrong after unexpected underperformance, significant losses, rogue trader events etc.
  • Education, training and information dissemination by written or verbal means.