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The new era for collateral: Optimisation, funding and yield strategies
Journal of Securities Operations & Custody,
14
(3),
221-230
(2022)
Abstract
The growth of regulatory requirements has drastically increased the magnitude of collateral consumption for buy-side market participants in recent years. This has forced companies to rethink their strategies surrounding collateral consumption, trading and collateral yield strategies. With a specific focus on pension and insurance companies, this paper discusses some of the challenges that these institutions are facing and makes actionable recommendations towards collateral optimisation practices. Further, it provides guidance towards prudent liquidity management and raises essential elements for collateral-driven revenue generation.
Keywords: collateral; optimisation; margin; liquidity; cash funding; repo; securities lending; HQLA
The full article is available to subscribers to the journal.
Author's Biography
Martin Aasly is a Senior Portfolio Manager at NN Investment Partners. He is responsible for securities financing and collateral management within NN Investment Partners and manages the collateral optimisation for cleared and non-cleared over-the-counter (OTC) derivatives, as well as short-term cash funding and securities lending strategies. He was deeply involved in NN Investment Partners' build-out of front office collateral optimisation strategies, first ahead of the introduction of mandatory clearing of OTC derivatives and later with regard to the introduction of UMR. Before moving into the world of collateral, Martin's background was in quantitative portfolio analytics, starting out in 2006, developing systems for equity and fixed-income investment strategies.
Xavier Bouthors is a Senior Portfolio Manager at NN Investment Partners' Investment Solutions team. In the team Xavier is responsible for securities lending and collateral management, combining short-term funding, margin and collateral optimisation for cleared and non-cleared OTC derivatives. Xavier joined NN Investment Partners in 2009 to develop securities lending and centralise the collateral and liquidity management. Xavier started his career in 2000 in Luxembourg's fund industry and moved to Boston, USA in 2005 prior to joining NN Investment Partners in The Netherlands. Xavier holds a BS in finance and a Master's degree in economics.
