Simultaneously reduce multiple risk-based capital measures
Our advanced algorithms analyse the risk between participants and rebalance cleared and uncleared portfolios with new market risk-neutral trades that reduce risk and improve capital efficiency. The service can also provide ‘Smart Clearing’ to move risk to LCH ForexClear and SwapAgent which further reduces capital requirements.
We bring together an extensive multilateral network and offer a flexible approach, enabling participants to target multiple metrics simultaneously – including SA-CCR (RWA & leverage ratios), IMM, large exposures, forward exposures, and specific CSAs. We can also optimise other capital models and metrics as regulations and requirements change.
Useful links
How it works
Capital Optimisation in action
Submit & validate
Participants submit their data to us directly and set their risk constraints.
Identify optimisation opportunities
We run our fast and intelligent optimisation engine to generate a proposal containing a set of new market risk-neutral trades.
Accept & execute
Our optimisation proposal is validated and accepted by participants and new trades are executed, reducing counterparty risk and capital requirements.
Smart Clearing (optional)
We can intelligently move risk into LCH ForexClear or SwapAgent so it can be held more efficiently and benefit from reduced capital requirements and greater margin, payment netting and settlement efficiencies.
Scope
What we target
We can optimise across any asset class and target different exposures, including:
- SA-CCR
- IMM
- Stress test (CCAR)
- Large exposures
- Credit limits
Features & benefits
Key Features
Our extensive, rapidly growing network includes top-tier global banks, regional banks and buy-side firms
Tailor your optimisation by setting risk, notional, margin, GSIB and PFE constraints – to name a few
Our flexible objective function can support new requirements including regulatory stress tests (CCAR), large exposure/single counterparty credit limits and credit line utilisation
We offer Smart Clearing which can intelligently move risk to LCH ForexClear or SwapAgent to reduce capital requirements by 30-60%
You can connect your data sources via API which streamlines the process and frees up your internal resources
We offer free no-obligation testing, so you can visualise your results before making a commitment
Awards
Award-winning performance
Optimisation Service of the Year
Global Capital Derivatives Awards 2024, 2023, 2022 & 2021
Service Provider of the Year
FTF News Technology Innovation Awards 2024 & 2022
Counterparty Risk Product of the Year
Risk.net Markets Technology Awards 2024
Driving the derivatives industry forward
We offer more than just Capital Optimisation. Find out how we can optimise your portfolio.
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Our compression and optimisation services are delivered by Quantile. View Quantile regulatory information.