Capitolis Completes Single-Day SA-CCR Optimization

Sell Side’s Task: Optimize Buy-Side Trading

Capitolis, the technology company reimagining capital markets, has completed its thirteenth Standardized Approach for Counterparty Credit Risk (SA-CCR) run this year, marking the first multilateral exercise completed within a single day. A single-day execution is a momentous one for multilateral optimization, allowing for increased network participation despite volatile and uncertain markets and the resource constraints among participants.

Same-day execution greatly reduces clients’ time, risk and resources associated with optimization exercises, which can normally take up to 5 days. Capitolis’ latest enhancement to its portfolio optimization technology establishes a new benchmark for front-to-back execution timelines in the complex capital optimization space. The single-day exercise enabled clients to schedule an additional run in a busy quarter-end and during a volatile month in the market.

“The optimization market still operates, in general, over multiple days and up to one week, the way it has been for the past 20 years. This process takes too long, introduces too much risk to the banks and takes too many resources,” said Gil Mandelzis, CEO & Founder, Capitolis. “We believed in the vision of same-day, electronic and ultimately on-demand optimization, and this milestone achievement is a big step forward in the realization of our vision. Working closely with our clients, we have been able to make significant progress following the rollout of SA-CCR and we look forward to continuing to build upon bringing increased optimization efficiency and flexible options to the market.”

The SA-CCR framework, which seeks to normalize and standardize the capital requirements on derivatives portfolios for financial institutions, has been phased in globally over the past few years to provide a uniform way to calculate counterparty credit exposures. Capitolis has been innovating with its customers to manage SA-CCR counterparty exposures and capital requirements both in preparation of the SA-CCR rollout and following its implementation.

“Offering a single-day SA-CCR optimization exercise is an industry first and enables us to respond to market needs when it’s most needed,” said Ben Townson, Head of Product for Portfolio Optimization, Capitolis. “We’re excited to continue rolling out optimization services to advance our goal of creating a healthier, safer marketplace.”

Earlier this year, following Capitolis’ strong first half of 2022, the company was named “Best Compression/Optimization Service for FX” at the June 2022 FX Markets e-FX Awards, which seeks to recognize firms that have set the bar in electronic foreign exchange trading with skill, dedication, and creativity.

Source: Capitolis

Related articles

  1. Sell Side’s Task: Optimize Buy-Side Trading

    Buy side can scan portfolios for opportunities to optimize foreign exchange trades.

  2. Asset managers and banks on the TradeNeXus platform will have access to Capitolis' optimization technology.

  3. Capitolis sees the network effect as key to increasing capital efficiency across asset classes. 

  4. Buy Side Forced to Review Collateral Arrangements

    The platform drives financial resource optimization for capital markets.

  5. Trading firms look to lighten up their balance sheets via capital optimization.