Capitalab Adds SA-CCR Metrics to FX Service

BGC Broker’s compression service provider, Capitalab, has unveiled enhancements to its Capitalab FX with CLS optimisation service, which was launched in December 2020.

The service uses FX data from CLS and focuses on Risk Weighted Asset (RWA) under the Internal Models Method (IMM) and Standardised Approach for Counterparty Credit Risk (SA-CCR) calculations, to help clients optimise capital before and after SA-CCR adoption. The firm says the new offering is powered by proprietary technology, where participants target various metrics in a unified optimisation cycle combining compression and risk-balancing technologies.

“Additional metrics available to optimise include RWA IMM exposures and SA-CCR add-ons, allowing clients to be at the forefront of preparations for the game-changing SA-CCR regulatory framework, while optimising their current and future capital requirements,” says David Bachelier, Capitalab’s Singapore-based co-founder.

Gavin Jackson, the firm’s London-based co-founder, adds, “Capitalab successfully executed the third live optimisation cycle of its Capitalab FX, with CLS service, with an enhanced focus on RWA IMM and SA-CCR. Our second cycle was roughly six times larger than the pilot run, and this third cycle saw a further 50%+ efficiency improvement, with approximately $50 billion gross notional eliminated per participant, and improvements typically between 30-40% on participants’ individually targeted metrics, in a unified cycle, with some achieving more than $80 billion notional compression and 55% reduction in their targeted metrics. Connectivity to CLS helped to achieve a light-touch run from an operational perspective, and we look forward to building on this collaboration within the FX marketplace.”

The enhancement have been welcomed by Adrian Hudd, global head of G10 FX swap trading at BNP Paribas, who says, “We are pleased to further strengthen our partnership with Capitalab participating in their newly established multi-lateral FX swap compression service. Capital requirements for FX are a principal focus of the industry so the light-touch bespoke compression framework delivered by Capitalab will certainly bring additional efficiencies to the marketplace.”