collateral optimization

minimize the cost of posting assets across all your margined relationships.

What is Collateral Optimization?

When starting a collateral management function, the focus is on getting up and running to make margin calls and cover exposure.

Moving to the next level means taking a hard look at the assets you deliver to cover incoming margin calls and making a smart decision on what is provided.

This service gives your team the ability to allocate assets to incoming margin calls using two models:

  1. Waterfall ranking by ranking 
  2. Fully optimized by algorithm 

Inputs to the optimizer include:

Collateral cost rules including funding and movements

Concentration limits

Asset haircuts

Agreement eligibility rules

Asset valuations (from your systems)

Exposure requirements (from your systems)

Exclusion rules


The waterfall model

Requires more input from operators and combines asset ranking with your allocation selections. Rankings can include asset types, currency, country, rating and issuer

The algorithmic optimizer

Uses Cost To Deliver driven by charges or reference rates

Can be modified to reflect coupon dates and liquidity

Supports posting new assets or substitutions and rebalances

Finds the overall lowest cost to deliver across agreements


Our optimizer will:

Find the best allocation across agreements

Allow flexible configuration

Reduce the cost of posting assets in the long term with immediate savings


View asset allocations across multiple target accounts

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