Capitolis, the technology company helping to create safer and more vibrant capital markets, has “gained significant momentum in its Portfolio Optimization business in the first half of 2023.”
The company’s latest optimization run “drove a record reduction of $341 billion in SA-CCR (Standardized Approach for Counterparty Credit Risk) Effective Notional and included a record number of 20 entities.”
The run optimized for SA-CCR as well as additional objectives “while being flexible to accommodate a multitude of constraints. As the Capitolis network continues to expand, both existing and new customers are seeing increased benefits from the network effect.”
Gil Mandelzis, CEO & Founder, Capitolis, said:
“We are very pleased with the momentum our Portfolio Optimization business continues to achieve. Our algorithms are constantly improving, and the results have been better than expected. We entered 2023 with the goals of expanding the size of our participating network to drive more value for all participants, introducing innovation to further streamline the execution process, and launching additional optimization opportunities. Our latest run concentrated on SA-CCR and additional objectives, with record-breaking results and a record number of participants, is a further advancement toward these goals.”
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 last few years to provide a uniform and standardized method by which financial institutions will be required to measure exposures and ultimately manage and capitalize against.”
Capitolis’ Portfolio Optimization exercises “deliver significant reductions in exposures calculated under SA-CCR and additional objectives.”
As covered in March 2023, Capitolis, the technology company reimagining capital markets, announced a significant innovation to its automated novation service in foreign exchange (FX): it can now novate agency trades while maintaining anonymity.
This reportedly “unlocks more of the FX options market for novations by including agency flow and further helps to reduce risk, notional and capital footprint.”
Agency novation is “a very complex workflow.”
It requires maintaining anonymity “throughout the entire process, and many participants are involved.” For these reasons, very few agency novations have “been performed up until this point.”
The FX industry “needed a trusted partner with the experience, network and relationships throughout the entire FX options market to get this done. Capitolis is that partner.”
