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:
- Waterfall ranking by ranking
- 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
Features
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
Benefits
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
Get in touch with one of our experts
Click below and learn how Cassini can benefit you and your firm.
