Client
International bank · Global Rates
Target MessagingFree the capital trapped in your book.
Case Study · Fintech · Quantitative RegTech
We compress bloated derivatives books into pure capital efficiency.
A leading international bank's Global Rates division was carrying redundant trades — inflated notional, punitive capital charges, and mounting operational cost under CRD IV. We built the algorithms that netted the noise away. A 20% smaller trade count and EUR 7 billion less notional, with delta and gamma held exactly where the desk wanted them.
01
20%
Reduction in overall trade count
02
€7B
Notional exposure removed
03
0Δ
Change to market-risk profile
01 · Strategic Outcomes
Fewer trades. Same risk. Real capital freed.
The value lands on the balance sheet first. Compression is only worth running if the desk's market-risk profile is identical the day after — so that is the non-negotiable constraint every reduction is measured against.
OUTCOME 01
Regulatory capital freed
Redundant notional is the silent tax on a derivatives book. Strip it out and reserves held against it are released back to the balance sheet — capital efficiency measured in the metric the CFO actually reads.
OUTCOME 02
Lower counterparty credit risk
Fewer live positions mean fewer counterparty legs and less gross exposure across the book — a structurally more stable balance sheet and a lighter counterparty-credit-risk charge.
OUTCOME 03
Reduced operational cost & complexity
Every trade carries lifecycle cost — reconciliation, collateral, settlement, audit. Collapsing thousands of redundant tickets into a lean set removes the operational drag without touching the economics.
OUTCOME 04
CRD IV / Basel III compliance held
Compression is only valuable if it survives the regulator. Every compressed structure is certified against Basel III and CRD IV capital and counterparty rules before it lands — provably aligned, not merely smaller.
Fig. 1 · The Compression Pipeline
A bloated book in. A lean, compliant set out.
Every candidate reduction is checked against the full Greeks surface before it clears. If delta or gamma would move, the trade stays — risk equivalence is the hard constraint, and compliance is verified inside the pipeline, not audited after.
Fig. 1 — Portfolio compression pipeline (schematic)Single client engagement · details anonymized
02 · Tactical Execution
The quant discipline that makes compression safe to run.
Advanced quantitative optimization and trade-compression technology — engineered so the output is not just smaller, but provably risk-equivalent and regulator-ready.
M-01
Risk-matching algorithms
Quantitative optimization scans a book of thousands of positions to find offsetting and redundant trades — the ones inflating notional without adding a basis point of market risk. They net out while delta and gamma stay exactly in place.
Offset detection · Sensitivity-preservingM-02
High-volume compression engine
A compression core that processes trade populations at scale and rebuilds them as a smaller, mathematically equivalent set. Multiple redundant trades collapse into a lean structure engineered for throughput.
High-throughput · Trade rebuildM-03
Regulatory-compliance tooling
Basel III and CRD IV capital and counterparty tests run inside the pipeline, so compliance is verified as part of the algorithm rather than audited after the fact — auditable and reproducible line by line.
Basel III · CRD IV · In-pipelineM-04
Capital as the objective function
Optimization is steered by regulatory capital and counterparty exposure — the levers that actually move cost — rather than raw trade count alone. Risk equivalence is the hard constraint, never a nice-to-have.
Capital-first · Risk-neutralThe hard constraint
The book got leaner. The risk did not move.
Sensitivity-invariant netting means every reduction is checked against the full Greeks surface. The desk runs the identical market-risk profile it ran before — only lighter, cheaper, and compliant.
ΔDelta — directional exposurePreserved
ΓGamma — convexityPreserved
ΣNotional exposure−€7B
Start the conversation
A bloated book is trapped capital. We set it free.
Bring us the portfolio that costs too much to carry. We have already made one leaner — same risk, real capital freed.