Transition State and End State Optimization Used in the BNY Mellon U.S. Tri-Party Repo Infrastructure Reform Program
BNY Mellon U.S. Tri-Party Repo Infrastructure Reform Program developed Transition and End State Optimization to solve collateral management challenges, to minimize intraday credit exposure and to minimize clients’ liquidity usage. Rebalancing, Continuous Portfolio Optimization (CPO) and the CPO Settlement Algorithm process $1.8 Trillion clients’ collateral daily and helped reduce 97% intraday credit risk in BNY Mellon’s U.S Tri-Party Repo market.