Global Inventory Management Whitepaper - The Central Nervous System of Financial Institutions in the New Collateral Ecosystem (2017)
Solving Collateral Whitepaper - BCBS IOSCO Uncleared Margin Rules - How to Adapt (2016)
Buy Side Collateral Management: Challenges and Opportunities (2014)
Future Trends in Optimisation: Collateral, Regulatory Capital and CCP Selection (2013)
Financial firms are currently experiencing significant regulatory and cost pressures due to Basel III, Dodd Frank, and EMIR.
This is leading to a search for ways to optimize various aspects of trade types that involve some level of counterparty credit risk (derivatives, securities lending, repo).
This whitepaper looks at how financial firms can optimize trading decisions based on:
• Regulatory Capital Optimization: What is the cost of capital per unit of P&L? (RWA, CVA, Balance Sheet Usage)
• Collateral Optimization: What are the Funding Costs?
• Counterparty Optimization: Is it more profitable to trade bilaterally or via a CCP? If via a CCP then which CCP is optimum?
• Trade Type Optimization: Can the firm generate more P&L by deploying an asset in a securities loan, repo, or to collateralize a derivative?
The paper discusses how to calculate the different optimization types and how they are interrelated.
Whitepaper: Collateral Optimisation - Beyond Cheapest to Deliver and the Big Red Button (2013):
This whitepaper discusses some of the latest advances in
collateral optimisation techniques. It also details how
optimisation has moved on from cheapest to deliver
In addition, the paper describes some of the limitations around collateral optimization and provides a list of questions financial firms should ask when implementing an optimisation project.