4Sight publishes "Collateral Optimization: Beyond Cheapest to Deliver and the Big Red Button

Initially, optimization started out as the ability to centralise the collateral function across business lines and assign a cost to collateral assets.

Collateral optimization technology systems could then give out the cheapest to deliver assets for each margin call across securities lending, repo, and OTC/exchange traded derivatives business lines.

However, collateral optimization has moved forward. Optimization is no longer just about pledging ‘cheapest to deliver’ collateral. It now also involves collateral allocation decisions across the portfolio, based on ‘hardest (collateral) to place’ and ‘hardest (counterparty) to please’.

This paper gives an overview of the latest techniques used to optimise collateral and discusses some of the limitations of collateral optimization. It also provides a list of questions financial firms should ask when implementing a collateral optimization project.

The full report is available here with free registration.

Related Posts

Previous Post
Soberlook post on capital ratios and repo: do they get all of it right?
Next Post
Thursday News Roundup: securities lending, Basel rules (Finadium subscribers only)

Related Posts

Fill out this field
Fill out this field
Please enter a valid email address.


Reset password

Create an account