Method and system for improved collateral monitoring and control

• US 6,018,721 A
• Filed: 05/19/1997
• Issued: 01/25/2000
• Est. Priority Date: 05/20/1996
• Status: Expired due to Term

• Current Assignee: Citibank (South Dakota) NA (Citigroup Incorporated)
• Original Assignee: Citibank (South Dakota) NA (Citigroup Incorporated)
• Inventors: Boyle, Terence, Schneider, Alan, Schreier, David, Aziz, Kishwer
• Primary Examiner(s): Trammell, James P.
• Assistant Examiner(s): Tesfamariam, Mussie
• Application Number:
  US08/858,655
• Time in Patent Office: 981 Days
• Field of Search: 705/30, 705/35, 705/36, 705/37, 705/38, 705/32
• US Class Current: 705/36.00R
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A system and method is provided for advanced multi-currency collateral monitoring and controlling for use in a variety of businesses. The system maintains portfolios of collateral accounts and liability information. It supports transaction processing whether by manual input or SWIFT messaging. The system has the ability to apply acceptance rules in determining whether a security purchase by a client is of a sufficient quality as to have collateral value. Additionally, the system may hold-up or prevent a security sale based upon insufficient collateral remaining in the client'"'"'s accounts. Tables, preferably located in a relational database are included within the system for assessing the risk associated with holding securities of a particular type, and the risk associated with holding securities in currencies other than the liability currency.

Claims

1. A method of monitoring collateral positions in an account using a computer system for accessing a plurality of tables from a database comprising the steps of:

receiving a transaction message including a transaction type and an account identification;

validating account and collateral existence within the system;

retrieving account specific parameters from predetermined account tables including a security haircut table and a cross-currency haircut table;

calculating an optimal haircut using at least one of said predetermined tables;

calculating a market value for each collateral position using at least one of said predetermined tables;

applying the optimal haircut to the market value for each collateral position to obtain an adjusted collateral value;

retrieving collateral requirements from at least one of said predetermined account tables for an account;

matching the adjusted collateral value to the collateral requirements on a country-by-country basis;

matching unmatched collateral requirements to unmatched collateral including finding a highest currency security class product among the unmatched collateral; and

acting in response thereto.

2. The method of monitoring collateral as claimed in claim 1, including the step of retrieving confirmed and unconfirmed account positions affecting available collateral for the account.

3. The method of monitoring collateral as claimed in claim 1, wherein said predetermined account tables include a security table, a cross-currency haircut table, and an acceptability table.

4. The method of monitoring collateral as claimed in claim 3, wherein said acceptability table includes entries for each security including a depository, a class, a tenor and a rating.

5. The method of monitoring collateral as claimed in claim 4, including the step of validating a security'"'"'s acceptability by its depository, class, tenor and rating in said acceptability table.

6. The method of monitoring collateral as claimed in claim 1, wherein said account specific parameters include threshold and minimum call information for an account.

7. The method of monitoring collateral as claimed in claim 1, wherein said predetermined account tables include a security haircut table and a cross-currency haircut table, and the step of calculating an optimal haircut includes a step of multiplying a plurality of values from a security haircut table by a plurality of values from a cross-currency haircut table and receiving a plurality of results and creating an optimization list of the plurality of results and currency security class pairs sorted in descending order.

8. The method of monitoring collateral as claimed in claim 7, wherein the step of calculating a market value for each collateral position includes the steps of calculating a local market value for each collateral position and proposed collateral position, and converting the local market value to a base market value in a predetermined base currency.

9. The method of monitoring collateral as claimed in claim 8, including the step of providing an indicia of the local currency along with the base market value.

10. The method of monitoring collateral as claimed in claim 9, wherein the step of applying the optimal haircut to the market value is applied to the base market value to obtain an adjusted base collateral value.

11. A method of monitoring collateral positions in an account using a computer system for accessing a plurality of tables from a database comprising the steps of:

receiving a transaction message including a transaction type and an account identification;

validating account and collateral existence within the system;

retrieving account specific parameters from predetermined account tables including a security haircut table and a cross-currency haircut table;

calculating an optimal haircut using at least one of said predetermined tables including multiplying a plurality of values from the security haircut table by a plurality of values from the cross-currency haircut table and receiving a plurality of results and creating an optimization list of the plurality of results and currency security class pairs sorted in descending order;

calculating a market value for each collateral position using at least one of said predetermined tables including calculating a local market value for each collateral position and proposed collateral position, and converting the local market value to a base market value in a predetermined base currency;

providing an indicia of the local currency along with the base market value;

applying the optimal haircut to the base market value for each collateral position to obtain an adjusted base collateral value;

retrieving collateral requirements from at least one of said predetermined account tables for an account;

matching the adjusted base collateral value to collateral requirement on a country-by-country basis in the base currency;

matching unmatched collateral requirements to unmatched collateral; and

acting in response thereto.

12. The method of monitoring collateral as claimed in claim 11, wherein the unmatched collateral requirements are matched to the unmatched collateral by finding the highest currency/security class pair in the remainders and working down the optimization list.

13. A method of monitoring collateral positions in an account using a computer system for accessing a plurality of tables from a database comprising the steps of:

receiving a transaction message including a transaction type and an account identification;

validating account and collateral existence within the system;

retrieving account specific parameters from predetermined account tables;

calculating an optimal haircut using at least one of said predetermined tables;

calculating a market value for each collateral position using at least one of said predetermined tables including determining whether a collateral position date and a price date are valid, and if invalid setting the collateral position value to zero;

applying the optimal haircut to the market value for each collateral position to obtain an adjusted collateral value;

retrieving collateral requirements from at least one of said predetermined account tables for an account;

matching the adjusted collateral value to the collateral requirements on a country-by-country basis;

matching unmatched collateral requirements to unmatched collateral; and

acting in response thereto.

14. A method of monitoring collateral positions in an account using a computer system for accessing a plurality of tables from a database comprising the steps of:

receiving a transaction message including a transaction type and an account identification;

validating account and collateral existence within the system;

retrieving account specific parameters from predetermined account tables;

calculating an optimal haircut using at least one of said predetermined tables;

calculating a market value for each collateral position using at least one of said predetermined tables including checking a price multiplier flag and if the price multiplier flag equals zero, then local market value=units*extender*price, and if the price multiplier flag equals one, then local market value=units*extender/price;

applying the optimal haircut to the market value for each collateral position to obtain an adjusted collateral value;

retrieving collateral requirements from at least one of said predetermined account tables for an account;

matching the adjusted collateral value to the collateral requirements on a country-by-country basis;

matching unmatched collateral requirements to unmatched collateral; and

acting in response thereto.

15. The method of monitoring collateral as claimed in claim 14, further including the step of adding accrued interest to the local market value to obtain an adjusted local market value.

16. The method of monitoring collateral as claimed in claim 15, further including the step of dividing adjusted local market value by base currency exchange rate to obtain base market value.

17. A method of monitoring collateral positions in an account using a computer system for accessing a plurality of tables from a database comprising the steps of:

receiving a transaction message including a transaction type and an account identification;

validating account and collateral existence within the system;

retrieving account specific parameters from predetermined account tables;

calculating an optimal haircut using at least one of said predetermined tables including;

subtracting a system date from the position'"'"'s effective maturity date;

retrieving a record in one of said tables containing the position'"'"'s security, class, rating and maturity;

calculating the position'"'"'s margin contribution as follows;

when margin type indicator=P,

contribution=base market value*(1-margin);

when margin type indicator=E;

contribution=(100*base market value/margin);

calculating a market value for each collateral position using at least one of said predetermined tables;

applying the optimal haircut to the market value for each collateral position to obtain an adjusted collateral value;

retrieving collateral requirements from at least one of said predetermined account tables for an account;

matching the adjusted collateral value to the collateral requirements on a country-by-country basis;

matching unmatched collateral requirements to unmatched collateral; and

acting in response thereto.

18. A method of monitoring collateral positions in an account using a computer system for accessing a plurality of tables from a database comprising the steps of:

receiving a transaction message including a transaction type and an account identification;

validating account and collateral existence within the system;

retrieving account specific parameters from predetermined account tables including a security haircut table and a cross-currency haircut table;

calculating an optimal haircut by multiplying a plurality of values from the cross-currency haircut table by the security haircut table and receiving a plurality of results and creating an optimization list of the plurality of results and currency security class pairs sorted in descending order;

calculating a local market value for each collateral position and converting the local market value to a base market value;

applying the optimal haircut to the base market value for each collateral position to obtain an adjusted collateral value;

retrieving collateral requirements from at least one of the predetermined account tables for an account;

matching the adjusted collateral value to the collateral requirements on a country-by-country basis in said base currency;

matching unmatched requirements to unmatched collateral in the base currency by finding the highest currency/security class pair in the unmatched collateral and working down the optimization list; and

acting in response thereto.

19. A method of monitoring collateral positions in an account using a computer system for accessing a plurality of tables from a database comprising the steps of:

receiving a transaction message including a transaction type and an account identification;

validating account and collateral existence within the system;

retrieving account specific parameters from predetermined account tables;

calculating an optimal haircut by multiplying a plurality of values from a first of said predetermined account tables by a plurality of values from a second of said predetermined account tables and receiving a plurality of results and creating an optimization list of the plurality of results and currency security class pairs sorted in descending order;

calculating a local market value for each collateral position and converting the local market value to a base market value including determining whether a collateral position date and a price date are valid, and if invalid setting the collateral position value to zero;

applying the optimal haircut to the base market value for each collateral position to obtain an adjusted collateral value;

retrieving collateral requirements from at least one of the predetermined account tables for an account;

matching the adjusted collateral value to the collateral requirements on a country-by-country basis in said base currency;

matching unmatched requirements to unmatched collateral in the base currency by finding the highest currency/security class pair in the unmatched collateral and working down the optimization list; and

acting in response thereto.

20. A method of monitoring collateral positions in an account using a computer system for accessing a plurality of tables from a database comprising the steps of:

receiving a transaction message including a transaction type and an account identification;

validating account and collateral existence within the system;

retrieving account specific parameters from predetermined account tables;

calculating an optimal haircut by multiplying a plurality of values from a first of said predetermined account tables by a plurality of values from a second of said predetermined account tables and receiving a plurality of results and creating an optimization list of the plurality of results and currency security class pairs sorted in descending order;

calculating a local market value for each collateral position and converting the local market value to a base market value including checking a price multiplier flag and if the price multiplier flag equals zero, then local marketvalue=units*extender*price, and if the price multiplier flag equals one, then local market value=units*extender/price;

applying the optimal haircut to the base market value for each collateral position to obtain an adjusted collateral value;

retrieving collateral requirements from at least one of the predetermined account tables for an account;

matching the adjusted collateral value to the collateral requirements on a country-by-country basis in said base currency;

matching unmatched requirements to unmatched collateral in the base currency by finding the highest currency/security class pair in the unmatched collateral and working down the optimization list; and

acting in response thereto.

21. The method of monitoring collateral as claimed in claim 20, further including the step of adding accrued interest to the local market value to obtain an adjusted local market value.

22. The method of monitoring collateral as claimed in claim 21, further including the step of dividing adjusted local market value by base currency exchange rate to obtain base market value.

23. A method of monitoring collateral positions in an account using a computer system for accessing a plurality of tables from a database comprising the steps of:

receiving a transaction message including a transaction type and an account identification;

validating account and collateral existence within the system;

retrieving account specific parameters from predetermined account tables;

calculating an optimal haircut by multiplying a plurality of values from a first of said predetermined account tables by a plurality of values from a second of said predetermined account tables and receiving a plurality of results and creating an optimization list of the plurality of results and currency security class pairs sorted in descending order including;

subtracting a system date from the position'"'"'s effective maturity date;

retrieving a record in one of said tables containing the position'"'"'s security, class, rating and maturity;

calculating the position'"'"'s margin contribution as follows;

when margin type indicator=P,

contribution=base market value*(1-margin);

when margin type indicator=E;

contribution=(100*base market value/margin);

calculating a local market value for each collateral position and converting the local market value to a base market value;

applying the optimal haircut to the base market value for each collateral position to obtain an adjusted collateral value;

retrieving collateral requirements from at least one of the predetermined account tables for an account;

matching the adjusted collateral value to the collateral requirements on a country-by-country basis in said base currency;

matching unmatched requirements to unmatched collateral in the base currency by finding the highest currency/security class pair in the unmatched collateral and working down the optimization list; and

acting in response thereto.

24. A computerized system for monitoring collateral positions in an account comprising;

an input device which receives transaction messages including a transaction type and an account identification;

a database including a plurality of tables defining processing rules for each account and collateral type including at least a security and cross-currency haircut table and collateral requirements; and

a collateral processing unit for processing transactions;

said collateral processing unit accessing said database and validating account and collateral existence within the system, accessing the haircut tables within said database and calculating an optimal haircut including multiplying a plurality of values from the cross-currency haircut table by the security haircut table and receiving a plurality of results and creating an optimization list of the plurality of results and currency security class pairs sorted in descending order, calculating a market value for each collateral position, said collateral position having a market value, applying the optimal haircut to the market value for each collateral position to obtain an adjusted collateral value, retrieving collateral requirements from said database for the account, matching the adjusted collateral value to the collateral requirements on a country-by-country basis, matching unmatched collateral requirements to the unmatched collateral, and taking action in response thereto.

25. The computerized system of monitoring collateral as claimed in claim 24, wherein said collateral processing unit retrieves confirmed and unconfirmed account positions affecting available collateral for the account.

26. The computerized system of monitoring collateral as claimed in claim 25, wherein said database includes an acceptability table including entries for each security including a depository, a class, a tenor and a rating.

28. The computerized system of monitoring collateral as claimed in claim 24, wherein said collateral processing unit accesses one of said plurality of tables to retrieve threshold and minimum call information for the account.

29. The computerized system of monitoring collateral as claimed in claim 24, wherein said collateral processing unit calculates the optimal haircut by multiplying a plurality of values from a first of said plurality of tables from the database by a plurality of values from a second of said plurality of tables from the database and receives a plurality of results, and creating an optimization list of the plurality of results and currency security class pairs sorted in descending order.

27. A computerized system for monitoring collateral positions in an account comprising;

an input device which receives transaction messages including a transaction type and an account identification;

a database including a plurality of tables defining processing rules for each account and collateral type including at least an acceptability table including entries for each security including a depository, a class, a tenor and a rating, a haircut table and collateral requirements; and

a collateral processing unit for processing transactions;

said collateral processing unit accessing said database and validating account and collateral existence within the system, retrieving confirmed and unconfirmed account positions affecting available collateral for the account, validating a security'"'"'s acceptability by its depository, class, tenor and rating in said acceptability table, accessing a haircut table within said database and calculating an optimal haircut, calculating a market value for each collateral position, said collateral position having a market value, applying the optimal haircut to the market value for each collateral position to obtain an adjusted collateral value, retrieving collateral requirements from said database for the account, matching the adjusted collateral value to the collateral requirements on a country-by-country basis, matching unmatched collateral requirements to the unmatched collateral, and taking action in response thereto.

30. A computerized system for monitoring collateral positions in an account comprising;

an input device which receives transaction messages including a transaction type and an account identification;

a database including a plurality of tables defining processing rules for each account and collateral type including at least a haircut table and collateral requirements; and

a collateral processing unit for processing transactions;

said collateral processing unit accessing said database and validating account and collateral existence within the system, accessing a haircut table within said database and calculating an optimal haircut by multiplying a plurality of values from a first of said plurality of tables from the database by a plurality of values from a second of said plurality of tables from the database and receives a plurality of results, and creating an optimization list of the plurality of results and currency security class pairs sorted in descending order, calculating a market value for each collateral position by calculating a local market value for each collateral position and proposed collateral position, and converting the local market value to a base value in a predetermined base currency, said collateral position having a market value, applying the optimal haircut to the market value for each collateral position to obtain an adjusted collateral value, retrieving collateral requirements from said database for the account, matching the adjusted collateral value to the collateral requirements on a country-by-country basis, matching unmatched collateral requirements to the unmatched collateral, and taking action in response thereto.

31. The computerized system of monitoring collateral as claimed in claim 30, wherein said collateral processing unit provides an indicia of the local currency along with the base market value.

32. The computerized system of monitoring collateral as claimed in claim 31, wherein the haircut is applied to the base market value of the collateral to obtain an adjusted base collateral value.

33. The computerized system of monitoring collateral as claimed in claim 32, wherein said adjusted collateral value is matched to the collateral requirement on a country-by-country basis in the base currency.

34. The computerized system of monitoring collateral as claimed in claim 32, wherein the unmatched collateral requirements are matched to the unmatched collateral by finding the highest currency/security class pair in the remainders and working down the optimization list.