Acadia, provider of integrated risk management services for derivatives companies, and Capitolis, the SaaS platform provider, have partnered to launch SA-CCR Optimization.
The SA-CCR Optimization platform combines Acadia’s risk analytics and margin data platforms and Capitolis’ technology to provide greater capital optimisation for financial institutions in line with the Standard Approach to Counterparty Credit Risk (SA-CCR) measurement regulation.
The SA-CCR is a measurement of counterparty credit risk that calculates the exposure at default of derivatives and long-settlement transactions.
With SA-CCR Optimization, banks and participating financial institutions provide trade data, which Acadia and Capitolis then process to generate a series of FX transactions that reduce capital requirements, leaving each client’s net FX risk profile largely unchanged.
Subject to the SA-CCR regulations, SA-CCR Optimization will focus on specific FX products such as FX forwards, options, deliverable swaps and cross-currency swaps.
SA-CCR regulations for financial institutions went into effect across some parts of Europe in June 2021, while regulations in the US are set to be implemented on 1 January 2022.
Chris Walsh, CEO of Acadia, says: “The newest wave of capital regulation is pushing firms to be more mindful of capital consumption across their businesses. We are thrilled to provide clients with a dynamic infrastructure solution to compress trades and significantly reduce capital consumption, building upon our data analytics with Capitolis’ market-leading optimisation platform.”
Gil Mandelzis, CEO and founder of Capitolis, adds: “Our continued integration withAcadia’s trusted platform is an effective solution for our clients to maximise efficiency in SA-CCR balance sheet optimisation. Our partnership will also position the industry for success in multilateral optimization of SA-CCR.”
