Baton Systems has introduced an advanced portfolio optimisation capability designed to help collateral managers, treasury teams and clearing operations allocate cash and securities more efficiently across multiple clearing venues and margin obligations.
The solution evaluates collateral inventories and obligations simultaneously, rather than optimising individual margin requirements sequentially, with the aim of reducing funding costs, preserving high-quality liquid assets (HQLA) and minimising unnecessary collateral movements.It uses mathematical optimisation techniques, including mixed-integer linear programming, stochastic programming and multi-period optimisation, incorporating eligibility schedules, concentration limits, internal policies and venue-specific delivery constraints.
Users can compare allocation scenarios and prioritise different objectives before passing selected allocations into Baton’s automated instruction and collateral movement workflows.
Built on the company’s Core-Collateral infrastructure, the modular capability initially targets cleared collateral for clearing members, with scope to incorporate bilateral arrangements and institution-specific funding economics.
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