Capitalab Enhances Optimisation Service
Posted by Colin Lambert. Last updated: April 27, 2022
BGC Brokers’ Capitalab has unveiled enhancements to its Rates Optimisation service enabling clients to optimise multiple capital metrics simultaneously.
Alongside the optimisation of non-cleared and cleared Initial Margin (IM), the service has now successfully included additional metrics, namely Risk Weighted Asset (RWA) capital under the Internal Models Method (IMM) and Standardised Approach for Counterparty Credit Risk (SA-CCR) leverage exposure.
The Capitalab Rates Optimisation service has been running since October 2017, multilaterally shrinking delta, vega and curvature counterparty risks and reducing both non-cleared IM and cleared IM at the central clearing counterparty (CCP). Clients set their optimisation constraints, accommodating variables such as counterparty risk, market risk and Credit Support Annex (CSA) terms, with the service facilitating automated trade processing.
The firm hosts bi-weekly rates optimisation cycles across G4 currencies and will include SA-CCR and RWA (IMM) optimisation in future cycles.
“Targeting RWA (IMM) capital in conjunction with SA-CCR leverage and initial margin exposures allows exciting results to be achieved for our clients,” says Jonathan Mullings, head of sales and business development at Capitalab. “We have found that targeting multiple capital metrics simultaneously is the way to deliver efficient savings holistically, while optimising for any one metric in isolation may worsen other metrics.”