Collateral Optimization Agent
Allocates eligible collateral across covered obligations at the lowest permitted cost.
Solves the bank-wide allocation of which asset to post where: honors every CSA's eligibility and haircut schedule while keeping the most liquid collateral free for funding. Runs an LP solver in a sandbox each cycle; the allocation is re-checked against eligibility and concentration limits before any movement is staged.
Authority
Recommend for approval
Team role
Provides specialist analysis
Handoffs
Named collaborators
The role
What it owns and where its authority ends
Desk
Collateral & Margin
Desk workflow
Exposure calculation, then margin-call issuance and agreement, then collateral selection, then settlement, then dispute resolution and optimization. Daily call cycles run under tight deadlines; collateral optimization runs each cycle.
Collaboration
Works within a defined desk workflow
Decision boundary
An accountable reviewer commits the decision or action.
Systems and capabilities involved
Collateral inventory
Eligibility + haircut schedules
Allocation optimizer (LP solver)
Treasury funding desk
funding-cost inputs
Oversight collateral agent
gates large reallocations
Handoffs
What this role gives and receives
Capabilities offered
The handoffs name the next owner or specialist and the work that moves between them.
Receives from
External handoff
Treasury (Liquidity & Funding) for collateral availability
Context
What the role needs to do the work
- Current work
- The set of obligations, the available inventory, the current allocation.
- Prior interactions
- Prior allocations and their realised funding cost.
- Policies and reference
- Eligibility schedules, haircuts, concentration limits, funding curves.
- Working method
- Not specified for this role.
Illustrative workflow
How the work moves
Starting point
Margin agent confirms $40M of net new collateral obligations for the day.
- 01
Pull eligible inventory; map each obligation's eligibility + haircut schedule.
- 02
Run the LP solver to minimise funding cost subject to all constraints.
- 03
Validate the proposed allocation against concentration limits.
Result
A cheapest-to-deliver allocation that frees ~$6M of high-quality liquid assets for funding, staged for settlement pending the oversight agent's re-derivation.
Checks and boundaries
What must be tested or reviewed
- 01Every allocation validated against eligibility + concentration limits before staging.
- 02Champion/challenger on the optimizer; funding-cost saving measured vs. naive allocation.
- 03Large reallocations are re-derived by an oversight agent before settlement.
Human authority
An accountable reviewer commits the decision or action.
Keep exploring