System and method for optimizing collateral management
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United States of America Patent
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Jun 24, 2014
Grant Date -
Oct 11, 2012
app pub date -
Jan 31, 2012
filing date -
Jan 31, 2011
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Abstract
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.
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