The optimization is the easy half. Being right about the rules is not.
Every desk can rank assets by funding cost. What takes the morning is staying inside venue limits, not blowing issuer caps, not moving dozens of lines, not posting a special — and then being able to show why.
The requirement per account, the venue profile, and what is already posted against it.
Inventory split by firm, encumbered and long box — so a bond pledged elsewhere is never proposed twice.
Identifiers, lot size and increment. Fractional lines that cannot settle are never produced.
Permitted pairings with the margin or haircut factor that applies to each.
Hard zero with a reason. An excluded asset is excluded, not down-weighted.
Concentration caps already expressed as available value in the account currency, with their scope stated.
Optional: an allocation extract or position photograph, and a cost-rank file where one exists.
Cost of the assets you give up
Hard cap on lots moved, set by your desk
Penalty on hard-to-replace assets
Posting above the requirement
Custody and segregation model
Issuer and asset caps from the limit file
A gate, not a weight you trade
Weighted 1000× — under-posting is never traded for funding
If full cover is impossible we show the cut. We do not report an optimal result on a reduced call.
Readiness is checked before a single candidate is generated.
If any check fails the run returns ABSTAIN with the blockers named. An unattributed number is worse than no number on a collateral desk.
Sometimes a classification conflict turns out to be schedule drift — the live eligibility no longer matches the signed annex. That is a different problem, and a separate pipeline handles it. It is not part of a morning run.
| Output | Shape |
|---|---|
| Coverage board | Per account: requirement, held, pending, proposed, adjusted demand where it differs, and the gap. |
| Actions | At most three per short account — pledge, recall or substitute. |
| Instruction file | account · ISIN · quantity · action |
| Proof | Input hashes, the limits that bound the choice, any classification conflicts, and the solver identifier. |
| State | Ready Warnings Human review Abstain |