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Jul 2020

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Total Derivatives

Capitalab Executes First Swaption Discount Switch Run

Capitalab executed a first multilateral cycle, switching several billion euro notional of Swaptions’ discount rate to €STR, and is planning weekly switch cycles, in advance of the CCP €STR switch on 27 July 2020.

Jun 2020

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BGC

Capitalab Connects to LCH SwapAgent to Enhance Margin Optimisation Services

Capitalab announced the execution and subsequent compression of Capitalab’s first swaption margin optimisation trades leveraging LCH SwapAgent, a service for the non-cleared derivatives market. As part of Capitalab’s leading Rates Initial Margin Optimisation service, swaption notional was created between Nomura and Deutsche Bank and processed by LCH SwapAgent.

 

Jun 2019

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Clarus

Capitalab has claimed top spot in IR SIMM IM optimization

Whille writing my recent blogs on FX SIMM IM optimization (here and here), I wondered about progress on the Rates equivalent.   I knew swaptions to be key and that Capitalab had focused on them from the get-go and also that Capitalab pipes executions through its affiliated BGC SEF.