System and method for optimizing collateral management

A computer-implemented method for allocating collateral for one or more Tri-Party repurchasing agreements, the method comprising:

• providing one or more processors and one or more memory elements coupled to the one or more processors and configured to at least store deal attributes including rulesets associated with the buyer, and one or more collateral characteristics for collateral provided by the seller that are associated with each of the Tri-Party repurchasing agreements;
• recalling, via the one or more processors, collateral originally associated with the one or more Tri-Party repurchasing agreements into a common dealer box,
• identifying, via the one or more processors, under-collateralized ones of the one or more Tri-Party repurchasing agreements;
• identifying, using a self organizing map and one or more of the rulesets and the collateral characteristics, groups of the collateral;
• sorting, via the one or more processors, said groups of collateral such that smaller average margins are given a higher priority while larger average margins are given a lower priority;
• assigning the groups of collateral from the common dealer box to each of the one or more Tri-Party repurchasing agreements to in order from the higher priority to the lower priority, to collateralize said Tri-Party repurchasing agreements;
• and
• replacing at leak a portion of the collateral assigned to the one or more Tri-Party repurchasing agreements based on the self organizing map to collateralize a maximal number of the one or more Tri-Party repurchasing agreements with remaining collateral in the dealer box and/or collateral assigned to the one or more Tri-Party repurchasing agreements.