Post-trade processing solutions provider Baton Systems has launched an advanced portfolio optimisation capability designed to improve collateral allocations across multiple venues.
Targeted at collateral managers, treasury teams, and clearing operations, the new capability enables the identification of efficient and operationally achievable allocations across a portfolio of obligations, removing the need to optimise margin requirements individually.
The optimiser is based on a mix of models including mixed integer linear programming (MILP), stochastic programming, and multi-period optimisation. It enables the assessment of multple assets simultaneously by giving a consolidated view of collateral sources with normalised eligibility schedules, concentration limits, internal policies, asset economics, and venue-specific delivery constraints. Real-world limitations are prioritised so that the optimiser doesn’t propose theoretical results that are not feasible in practice.
Users can then weigh their objectives – such as reducing delivery cost, preserving HQLA or limiting the number of movements – and compare scenarios before choosing an allocation. Because the capability is built to be modular, users may choose to begin with eligibilty, optimisation, or execution, and expand over time without replacing existing records.
The current focus for the optimiser is cleared collateral for clearing members, but its architecture can also support bilateral schedules and proprietary inputs such as internal funding rates, deposit returns, and nostro economics.