Collateral Optimisation for Derivatives Portfolios
A comprehensive professional guide to the principles, regulatory context, and practical implementation of collateral optimisation for derivatives portfolios
Learning Objectives
By completing this manual, practitioners will be able to design and implement comprehensive collateral optimisation frameworks that minimise funding costs whilst ensuring regulatory compliance across multiple jurisdictions. They will master the analysis and application of complex eligibility schedules, concentration limits, and Credit Support Annex terms in multi-counterparty environments with varying requirements. The manual develops expertise in both SIMM and schedule-based Initial Margin methodologies, including their operational implications and optimisation considerations. Practitioners will learn to develop and deploy advanced cheapest-to-deliver algorithms incorporating real-time funding costs, liquidity constraints, and operational efficiency metrics. The content covers evaluation and mitigation of operational risks including data lineage failures, exception handling protocols, and establishment of robust control frameworks for institutional-grade operations. Finally, readers will master strategic collateral transformations, including rehypothecation structures, tri-party arrangements, and cross-currency optimisation strategies.