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 optimisation 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 to place' and 'hardest to please' methodology.

This paper gives:

• An overview of the latest techniques used to optimise collateral
• Some of the limitations of collateral optimization
• A list of questions financial firms should ask when implementing a collateral optimization project.

Request the paper via 4sight by clicking this way Collateral Optimization – Beyond Cheapest to Deliver.