Capitolis Claims SA-CCR Optimisation First
Posted by Colin Lambert. Last updated: October 7, 2022
Capitolis says it has completed its 13th Standardised Approach for Counterparty Credit Risk (SA-CCR) run this year, marking the first multilateral exercise completed within a single day. The company says a single-day execution is “momentous” for multilateral optimisation, 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 optimisation exercises, which can normally take up to five days, it explains, adding its latest enhancement to its portfolio optimisation technology “establishes a new benchmark for front-to-back execution timelines in the complex capital optimisation 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 optimisation 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,” says Gil Mandelzis, CEO and founder of Capitolis. “We believed in the vision of same-day, electronic and ultimately on-demand optimisation, and this milestone achievement is a big step forward in the realisation 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,” he adds.
The SA-CCR framework, which seeks to normalise and standardise 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.
“Offering a single-day SA-CCR optimisation exercise is an industry first and enables us to respond to market needs when it’s most needed,” says Ben Townson, head of product for portfolio optimisation at Capitolis. “We’re excited to continue rolling out optimisation services to advance our goal of creating a healthier, safer marketplace.”