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Capitalab, a division of BGC Brokers L.P., an entity within the BGC Partners, Inc. group (NASDAQ: BGCP) today announced that its Swaptioniser® portfolio compression service has successfully executed the first combined Swap and Option compression cycle, eliminating over $100 billion of non-cleared Swaps, Swaptions and Caps & Floors notional, making it the largest Capitalab USD compression to date.
"We are very excited about this achievement. The ability to execute a single compression cycle with both Swap and Option products for our clients significantly increases the compression efficiency, in some cases achieving as high as 80% compression of the eligible Interest Rate Swaps," said David Bachelier, Singapore-based co-founder of Capitalab. "The inclusion of Interest Rates Swaps as part of product scope represents a key milestone for Capitalab, focused so far on Swaptions, Caps & Floors and FX Options."
"Combining the derivatives together allows our algorithm to leverage risk offsets between the products, making the whole greater than the sum of its parts. This approach is also designed to simplify operational aspects by executing one cycle instead of two to save client resource," said Gavin Jackson, Capitalab's London-based co-founder.
Multilateral Compression
Capitalab's Swaptioniser® is a multilateral portfolio compression service designed to allow participants to reduce their derivatives exposures, whilst maintaining neutral portfolio risk. The solution is highly customisable, built with a view to accommodate the large number of constraints and models used by options traders. Swaptioniser® completed its first compression of transactions in September 2015 and is used regularly by more than 25 major participants.
