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CURRENCY DERIVATIVES HOUSE OF THE YEAR: UBS
RISK AWARDS 2022: T-PRICER PLATFORM ENABLED BANK TO GAIN TECHNOLOGICAL EDGE
Adrian Boehler, UBS
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* Derivatives
The options market has viewed the pairing between the Taiwanese and US dollars
as relatively liquid. Yet when a client of UBS wanted to take out a notional $5
billion of options against the pair last year, many in the market might have
felt that the size of the trade would make it difficult to hedge. Despite this,
the investment the bank has made in its foreign exchange options pricing and
distribution tools meant it was well placed to handle it.
“In a world of increased automation, lower volatility and rapidly compressing
spreads, being data-driven and tech-enabled is essentially a survival
requirement,” says Adrian Boehler, UBS’s global head of FX distribution. “It is
the only way in which you are going to be able to partner with clients, come
thick or thin. It’s about setting ourselves up to stay relevant sustainably.”
For the USD/TWD transaction, the first thing the bank needed to work out was
exactly what type of option to trade, given the goals the client had in mind.
The client was first directed to T-Pricer, UBS’s system for structuring, pricing
and trading FX options. Originally designed for internal use by the bank’s
trading desk, it was made available to clients, at no extra cost to them, for
the first time in 2021.
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The client used T-Pricer’s pre-trade analytics tools to test potential
structures and thereby choose the most appropriate trade, tenor and strikes. In
the end, it went with billions of dollars of vanilla options, as well as digital
options with payouts greater than $500 million.
For UBS, the tech upgrades helped it execute the trade and more effectively
offload the risk. The bank was not only able to skew options prices across all
outlets, but to match axes more quickly and efficiently with targeted clients
based on past behaviour.
The Taiwan trade wasn’t a one-off, and UBS’s tech-driven setup enabled it to
make a series of jumbo options trades in 2021. One was a multi-billion-dollar
Swiss franc/Polish zloty options trade that it hedged by skewing prices in
correlated pairs such as euro/Polish zloty, US dollar/Polish zloty and
euro/Swiss franc.
UBS was also called on to execute a long-dated options structure of
sterling/Australian dollar and sterling/US dollar, with a notional value just
shy of $2 billion but with a vega greater than $5 million. These pairs are not
highly liquid either, which required UBS to again take axes in correlated pairs
to what its system identified as potentially interested clients.
PROGRESS THROUGH TECHNOLOGY
The tech overhaul that enabled UBS to handle these types of trade started around
four years ago, when the bank boosted its IT spend by 7%. It also transferred
staff from its group technology team into the FX business’s front office to form
Levitas, an e-options team in which quant engineers sit back-to-back with
options traders to develop pricing and analytics functionality. One of the new
team’s early focuses was building T-Pricer.
For vanillas and first-generation exotics, clients already had access to a tool
called Flex on Neo, UBS’s single-dealer platform, which was successful but
written in a coding language that would not be supported for much longer.
Instead of rewriting the existing platform into a newer language, UBS launched
T-Pricer and migrated from Neo Flex, while expanding the tool’s capabilities to
cover the whole options spectrum, from vanilla to complex.
T-Pricer allows clients to use the platform’s 20 years of volatility data to run
pre-trade analysis on any permutation imaginable across around 400 products.
Users can reprice structures using different tenors and strategies, and run
grids with multiple variables with shocks of spot to see how the value of an
option changes over different time frames. For structured products like dual
currency deposits, users could work out the coupon that would be paid depending
on the maturity and the strike price.
Clients can execute on T-Pricer and run post-trade analytics. They can also
create alerts on the value of their options that send out reminders for them to
restructure the trade.
> IN A WORLD OF INCREASED AUTOMATION, LOWER VOLATILITY AND RAPIDLY COMPRESSING
> SPREADS, BEING DATA-DRIVEN AND TECH-ENABLED IS ESSENTIALLY A SURVIVAL
> REQUIREMENT
>
> Adrian Boehler, UBS
Mathieu Reaud, global head of FX options at UBS, says clients’ ability to use
T-Pricer was crucial to landing those outsized options trades: “Without this
pre-trade analytics work that we’ve done with a client, we probably wouldn’t
have [made] such trades.”
T-Pricer isn’t only used for jumbo options trades. Clients across the board have
praised it as an intuitive, sophisticated and impressive system. Some point out
that whereas other banks have stuck with the same technology or made incremental
changes, UBS has twice taken the risk to deliver a better product.
“I’ve not seen any bank taking this kind of risk,” says one client whose book of
business with UBS – especially in accumulators, targets and other complex trades
– has increased over the past year. “Other banks prefer to make an evolution of
their current platform. But to go to the extent of reworking everything, I’ve
not seen that. So, it’s pretty daring from UBS.”
The client adds: “Now, with their new T-Pricer, their market share has increased
in my house. They’re already up to 20% to 25% of my structured products, so they
got a lot of new trades.”
Another client whose entire global team uses T-Pricer calls it the best options
platform on the market. This client says they prefer UBS because it removes the
baggage that makes other platforms clunky – such as the inclusion of spots,
forwards and market insights – to deliver a dedicated platform for options.
“They’ve basically just gone and simplified what a derivative is,” the client
says. “They’ve made it easy to build options, to value options, to structure
options. There’s not a product that we can’t do. And our line of business does
stuff that not many people will do, so it’s extremely far-ranging from a product
perspective.
“By doing that, they end up winning far more than they used to. Our volume with
UBS has probably doubled in the past six months compared with the previous six
months. That is a direct result of their platform being so easy to use.”
Another aspect of UBS’s tech overhaul was focused on improving the bank’s
ability to skew pricing on its e-options quotes and thereby move risk more
efficiently. This effort came as decreasing FX volatility and tightening
bid/offer spreads made it harder to run an options franchise. This in turn has
made the ability to internalise flow – either by matching offsetting client
trades internally to avoid having to go to external venues, or by skewing prices
on e-platforms to get clients to take the bank out of the risk – more important
than ever. Being able to do this was an important contributor in enabling UBS to
handle such large trades and properly manage the risk.
In 2021, the bank introduced a risk-based skewing model for its electronic and
voice-flow options trading across developed and emerging markets pairs. Although
such models are commonplace in the FX spot market, their use poses far greater
challenges for options because of the extra parameters involved in these types
of securities. The pace of trading in options is far slower than is the case in
the spot market: it might take hours to move the risk by showing skewing prices,
during which UBS would be giving away valuable information about its positions
to competitors.
The bank therefore built tools to enable the sales teams to create curated axes
for clients. These bots help the sales team to match axes up more effectively
with statistics it keeps in order to determine the clients most likely to be
interested in a particular position. This ultimately allows the bank to move
risk more cheaply and efficiently. Clients can also access the axes by making
enquiries via the bank’s chat bot.
As a result, UBS’s internalisation rate in developed markets has risen from 67%
in 2016 to 92% today. In emerging markets, its internalisation rate is now 87%,
compared with 62% six years ago.
“Improving our aim very specifically means becoming more effective at finding
the offsetting buying interest if we are selling, and vice versa,” says Boehler.
“And what the analytics that we have enable us to do is become more data-driven
in our approach. Based on historical trading patterns, we are now better able to
see what part of the franchise has had potential offsetting interest to the
particular risk that we’re trying to offset in the market.”
Pricing accuracy is important to guard against the bank being negatively
selected – where it wins a trade only because of a mispricing, and is then left
with a bad position.
UBS has made further steps over the past year to develop its options pricing
infrastructure, and its traders can now view live tick-by-tick valuations of
options trades. This is useful during volatile markets and feeds into the
algorithms that automatically hedge the bank’s gamma exposures. Volatility
surfaces are generated based on trader input, along with external data points
from brokers, exchanges and aggregators, for example.>
The technology has also allowed UBS to refine its profitability metrics. The
bank has moved away from hit-rate models to look at a live measure of P&L decay
– something that is widely available in the linear world of FX but which is new
to options. It can examine the profitability of every trade with specific
clients, venues or pairs, at specific times of day or in different time zones.
“From this we can learn and price accordingly to maximise market share and
remain profitable,” says Reaud.
EMERGING GROWTH
The tech upgrades have improved UBS’s ability to price emerging markets options,
which last year exceeded their developed markets counterparts in terms of the
share of the bank’s revenue. In the fourth quarter, UBS serviced clients during
the volatility in the Turkish lira; this was helped by the bank’s ability to
offset flows across its institutional and wealth management clients.
“We replaced 75% of our emerging markets options traders globally a couple of
years ago,” says John Newman, global head of FX trading at UBS. “And just having
those guys in the seats to deal with volatility, plus the tech build that we
invested in, has really been ‘so far, so good’.
“Obviously, when the currency has moved, depreciating 16%, 17% a week, [that]
has really enabled us to stay relevant to clients in terms of knowing what
positions and trades to print whilst remaining solvent. And that’s really kicked
our year on and enabled us to finish as strong as we are.”
The bank’s share of the electronic non-deliverable forwards market also more
than doubled as it deployed new platforms and liquidity pools, and expanded the
reach of its algorithmic risk management to pairs involving other currencies,
including the Indonesian rupiah, the Philippine peso, the Chilean peso and the
Russian ruble.
“With NDFs, we are leveraging exactly the same technology, the same low-latency
platforms and algorithms for pricing and risk management as we have within the
G10 spot business,” says Newman. “We have those basics, and we don’t have to
rebuild them.”
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Infopro Digital Services Limited, 133 Houndsditch, London, EC3A 7BX. Companies
are registered in England and Wales with company registration numbers 09232733 &
04699701.
Best Digital B2B Publishing Company 2016, 2017 & 2018
Best Digital B2B Publishing Company
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