Historically, my trading experience at JPM was in Fixed income (IR-swaps/options, exotics and ABS), Structured products and Credit, but most of my expertise is in the measurement, management and optimisation of ALL of the second order effects of derivatives, including counterparty risk, liquidity, capital, embedded funding, differential discounting, margin and the various Basel rules.    Effective optimisation of these metrics can produce trading efficiencies and reduce costs that are multiples of bid-offers.  They can also be “mined” or applied pro-actively to identify backwardation opportunities across dealers who are at various stages of development in their management and pricing of each of them and I have a high level overview of 

From a technical perspective, I have extensive experience in building industry leading systems to manage these for scale.  

From a marketing perspective, my role could also be to identify trading opportunities to provide solutions to banks to help manage these costs at prices that are economically compelling for the risk taker and cost effective for the banks (as the regulations effectively impose non-economic costs on banks or stifles their ability to take specific trade types.)  Finally, for a buy-side  I can bring technical insight to the constraints and costs for the dealers and FCMs and how best to structure their trading to mitigate these.

Specifically the roles I could perform at a HF or AM that would include:

• Establish a centralised approach to optimise the distribution of trading activity to maximise market capacity and minimise the XVA footprint and exploit differences in risk management, XVA and RWA management across the street 
• CRO or MR team lead
• Designer 

  – e.g. the establishment of a CVA desk, marking-to-market funding risk, recognising and trading OIS discounting risk, pricing for capital (KVA) etc – all of which I think has given me a decent platform to understand a number of systemic issues in the current banking infrastructure and hence to find various seams of value for those swift enough to react. 

Below are a handful of trade ideas or concepts I would be happy to discuss as examples of interesting initiatives.  

I have divided them into XVA trading opportunities, X-Gamma trades, and contingent trades related to Central Clearing Parties/Exchanges (CCPs). I would hope I would be able to talk reasonably intelligently on a number of other topics (e.g. capital, e-venues, funding, CCP risk management etc) if they would prefer to cover those areas.

XVA

1. Collateral optimisation/CSA renegotiation/Differential Discounting (DD) recognition

The idea of capturing value in trades through recognition of different eligible assets (i.e. initially the issue of moving from Libor to OIS discounting, but also extending to other assets in the CSA) has been well known since around 2009-10 (when one large Wall St bank reputedly made the majority of their FICC revenue optimising for this). Most dealers have updated their systems to avoid this arbitrage in their bilateral business (crystallizing considerable costs for the late movers). 

However, this concept is not completely efficiently captured in every aspect of the market, for example where the trades are “given-in” under a Clearing Agreement. That market is a post trade approval market and essentially DD-agnostic and hence it is still open to arbitrage.  Specifically, when a client goes to market, the Executing Broker (EB) price the trade according to their DD curve facing the Clearing Agent. These can be different from different EBs, and is not the same curve as the DD curve the Clearing Agent has with the client. So, in effect, the trade is priced on the “wrong” discount curve and a client could potentially identify backwardation opportunities particularly for trades with large funding deltas.   

2. CVA mining and IM optimisation – XVA Hub

Should a HF have any uncollateralised risk, a Central Hub function could help mine bank’s CVA reserves where there are offsetting risk and or credit deltas across counterparties. 

Similar to CVA mining, moving trades between counterparties can optimise the availability of the $50m threshold under the Non-Cleared Margin Rules (NCMR), reducing total IM funding needs.  

Another specific variant of the IM optimisation idea is to convert Cleared IR delta into uncleared put and call swaptions, where the IM can be bilaterally negotiated and offset bilateral risk. In essence, it can result in free funding.   

A large hedge fund recently set up a Central Hub to manage the relationships and XVAs with all their dealers, to prevent unnecessary credit costs/exposures and to minimise margin funding costs. 

X-gamma DCU trade

1. Right/wrong wayness of Currency Basis risk vs OIS discounting risk 

Similar to credit wrong-wayness, there is “funding wayness” in discounting risk that is not well recognised in the market, that can produce a positive PnL effect in both market directions.

Specifically, non USD discounting curves have a dependency on both the OIS-Libor spread and currency basis. So trades where the MTM (and hence funding deltas) depend on either of these markets (OIS and/or CB levels) exhibits a kind of convexity adjustment that is not well captured in trading prices, where the market considers these to be orthogonal risks – they are not.

This can be locked in with the right combination of trades producing a positive annuity flow when markets move in either direction.  

Contingent Central Cleared Counterparties (CCP) trades

Background: In the event of a default of one of the members of an exchange (e.g. a large bank), the CCPs will auction off the positions of the defaulting member, to return the CCP to risk flat.  Typically, the CCPs require each member to big on every contract in the defaulter’s portfolio as a single package, so prices are comparable.  There is no ‘menu’ and the non-defaulting members effectively have their default fund at risk if they fail go act on the full superset.

The problem is that failure to bid on any contract(s) essentially knocks out the bid and costs the FCM a chance to defend their default fund from predatory pricing (recall Nasdaq default recently). For a complex/large portfolio there are very likely going to be contracts that all the non-defaulting members can’t bid on, and hence the auction will fail. 

1. Contingent bidder for FCM

FCMs would be interested in having a market participant who is able to provide a contingent bid on the contracts that do not have capacity to trade. These could be very conservatively priced credit contingent agreements and be a valuable trading opportunity for the market participant like Citadel to offer. 

1. CCP auction bidder

More generically, a HF could offer to participate directly in the CCP auctions. However, my intuition is that there is more value in being the valuable ’plug’ that completes the trade offering of the major dealers at more impressive bid-offer levels and lower risks.  In summary a CCP auction of a major portfolio will represent the largest trading opportunity at the widest spreads ever, and is currently very poorly prepared for. 

FXPB - Break out netting sets to avoid the 2x MPOR calc

XVA

1. Collateral optimisation/CSA renegotiation/Differential Discounting (DD) recognition

The idea of capturing value in trades through recognition of different eligible assets (i.e. initially the issue of moving from Libor to OIS discounting, but also extending to other assets in the CSA) has been well known since around 2009-10 (when GS reputedly made the majority of their FICC revenue optimising for this). Most dealers have updated their systems to avoid this arbitrage in their bilateral business (crystallizing considerable costs for the late movers). 

However, this concept is not completely efficiently captured in every aspect of the market, for example where the trades are “given-in” under a Clearing Agreement. That market is a post trade approval market and essentially DD-agnostic and hence it is still open to arbitrage.  Specifically, when a client goes to market, the Executing Broker (EB) prices the trade according to their DD curve facing the Clearing Agent. These can be different from different EBs, and is not the same curve as the DD curve the Clearing Agent has with the client. So, in effect, the trade is priced on the “wrong” discount (DD) curve and a client could potentially identify backwardation opportunities particularly for trades with large funding deltas.  

2. CVA mining and IM optimisation – XVA Hub

Should a corporate or hedge fund have any uncollateralised risk, a Central Hub function could help mine bank’s CVA reserves where there are offsetting risk and or credit deltas across counterparties.

Similar to CVA mining, moving trades between counterparties can optimise the availability of the $50m threshold under the Non-Cleared Margin Rules (NCMR), reducing total IM funding needs.   For example, if their cost of debt is 5%, adding 5 dealers and optimising for threshold could save 5*$50m*5% = 12.5m per annum

Another specific variant of the IM optimisation idea is to convert Cleared IR delta into uncleared put and call swaptions, where the IM can be bilaterally negotiated and offset bilateral risk. In essence, it can result in free funding.  

A large hedge fund, recently set up a Central Hub to manage the relationships and XVAs with all their dealers, to prevent unnecessary credit costs/exposures and to minimise margin funding costs.

With a career spanning several prestigious institutions, I have accumulated a wealth of experience and expertise that can be of significant value to your organization. I invite you to explore my journey and accomplishments in various roles across the financial industry.

During my tenure at JPMorgan, I led a transformative initiative within the Clearing and F&O business. By introducing front-office risk-management and pricing discipline to this previously considered "agency" business, I successfully revamped the risk and capital infrastructure. This endeavor resulted in doubling the revenue of the Clearing business while reducing the capital, GSIB, and residual interest footprint. Notably, my team's contributions led JPMorgan to win the Risk award for best OTC Client Clearer in 2019 and 2021.

Prior to that, I played a pivotal role in implementing funding adjustments (FVA) and lifetime cost of capital (KVA) for the derivative franchise globally, which had a substantial impact on the firm's performance. Furthermore, I spearheaded the introduction of single and multi-currency OIS discounting for collateralized derivatives, establishing a centralized firm-wide utility for managing funding risks across all lines of business and regions.

My expertise extends to derivative trading, structured finance, and derivative marketing. I have successfully executed derivative trades for ABS transactions, pioneered the Perfect Asset Swap market, and structured and distributed an innovative levered US municipal bond hedge fund. Additionally, I played a key role in the implementation of counterparty value adjustment (CVA) and differential discounting, driving strategic advancements within the industry.

Beyond my professional achievements, I hold a medical degree from Bristol University Medical School, and my personal interests include competitive tennis, coaching as an LTA qualified coach, and playing in ITF seniors tournaments. I am also a trained fixed-wing pilot, having received my training in the RAF.

I invite you to explore my full work experience and accomplishments, which reflect my unwavering commitment to excellence, strategic thinking, and expertise in derivative risk management. Should you require further information or wish to discuss potential collaborations, please don't hesitate to reach out.

Thank you for visiting my professional page, and I look forward to connecting with you soon.