Capitolis Sees Momentum in Optimisation Business

Capitolis says it has gained “significant momentum” in its portfolio optimisation business in the first half of 2023, with its latest run creating a record reduction of $341 billion in SA-CCR (Standardised Approach for Counterparty Credit Risk) effective notional.

The run, which included a record number of 20 entities, optimised for SA-CCR as well as additional objectives while being flexible to accommodate a multitude of constraints, the firm says, adding as its network continues to expand, both existing and new customers are seeing increased benefits from the network effect.

The SA-CCR framework, which seeks to normalise 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 standardised method by which financial institutions will be required to measure exposures and ultimately manage and capitalise against. In September 2022 the threshold for inclusion in the SA-CCR framework dropped to $8 billion in AANA (aggregate average notional amount), from $50 billion.

Further, the first AANA calculation window for those firms newly in scope of the regulation concluded on 31 May.

“We are very pleased with the momentum our portfolio optimisation business continues to achieve. Our algorithms are constantly improving, and the results have been better than expected,” says Gil Mandelzis, CEO and founder of Capitolis. “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.”