Capitalab, a division of BGC Brokers LP, an entity within the BGC Partners, Inc. (NASDAQ:BGCP) group of companies, announced today 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: 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 routinely since October 2017, multilaterally shrinking delta, vega and curvature counterparty risks and impactfully 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.

Jonathan Mullings, Head of Sales and Business Development at Capitalab, said,

“We are delighted to bring this latest innovation to our post-trade optimisation service. Targeting RWA (IMM) capital in conjunction with SA-CCR leverage and initial margin exposures allows exciting results to be achieved for our clients. 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.”

Capitalab hosts biweekly rates optimisation cycles across G4 currencies and will include SA-CCR and RWA (IMM) optimisation in future cycles.