System and method for optimizing collateral management

摘要

A computer-implemented system and method for managing collateral allocations associated with Tri-Party repurchasing agreements and a collateral allocation system includes one or more processors and memory/database configured to store user-definable rulesets and collateral characteristics relating to the Tri-Party repurchasing agreements. A collateral allocation module recalls collateral from the Tri-Party repurchasing agreements to a common Dealer Box, and reallocates the collateral to the Tri-Party repurchasing agreements utilizing a self organizing map, so as to minimize margins to reduce over-collateralization and/or undercollateralization. Other considerations, such as basket identifiers and cost of carry considerations may be weighed in the reallocation as well.

主权项

1. A system for managing collateral allocations in one or more Tri-Party repurchasing agreements, the system comprising:
one or more processors; one or more memory elements coupled to the one or more processors and configured to at least store deal attributes including rulesets associated with the buyer, and one or more collateral characteristics for collateral provided by the seller that are associated with each of the Tri-Party repurchasing agreements; at least one collateral allocation module, configured through the one or more processors to:
recall collateral originally associated with the one or more Tri-Party repurchasing agreements into a common grouping of collateral eligible to be allocated,identify under-collateralized ones of the one or more Tri-Party repurchasing agreements;identify, using a self organizing map and one or more of the rulesets and the collateral characteristics, groups of the collateral within the common grouping of collateral eligible to be allocated;sort said groups of the collateral such that smaller average margins are given a higher priority while larger average margins are given a lower priority;assign the sorted groups of collateral from the common grouping of collateral eligible to be allocated to each of the one or more Tri-Party repurchasing agreements in order from the higher priority to the lower priority in an amount sufficient to collateralize said Tri-Party repurchasing agreements; andreplace at least a portion of the collateral assigned to the one or more Tri-Party repurchasing agreements based on the self organizing map to collateralize the one or more Tri-Party repurchasing agreements with remaining collateral in the common grouping of collateral eligible to be allocated and/or collateral assigned to the one or more Tri-Party repurchasing agreements.