Method and system of managing credit for the electronic trading of financial instruments
First Claim
1. A method, with the aid of a computer system, of tracking credit limits for a plurality of tenors of one or more financial instruments, each said tenor associated with one of a plurality of buckets, said method comprising:
- receiving at said computer system a proportional draw down amount associated with each of said buckets;
receiving at said computer system a signal associated with a trade action, said signal including a trade tenor and a trade amount; and
using said computer system to recalculate said proportional draw down amount for each said bucket by implementing a function expressed as
Miα
+1=Miα
−
(Miα
/Mkα
)*Xk,where Miα
+1 denotes the value of the proportional draw down for bucket i after α
+1 trades, and Xk denotes the size of the trade for bucket k.
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Accused Products
Abstract
A method for tracking credit limits between a first financial institution and a second financial institution is disclosed. Each financial instrument may have one or more tenors. An initial credit limit is assigned to a credited financial institution for each tenor of each financial instrument to be traded. A relationship is assigned to each credit limits on a first plurality of tenors wherein credit extended on one of said tenors reduces the available credit on said other tenors, said credit being reduced in proportion to said preassigned proportions. When the system receives a signal associated with trades between counterparties, the system updates the credit limits between the counterparties in accordance with preassigned proportions.
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Citations
37 Claims
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1. A method, with the aid of a computer system, of tracking credit limits for a plurality of tenors of one or more financial instruments, each said tenor associated with one of a plurality of buckets, said method comprising:
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receiving at said computer system a proportional draw down amount associated with each of said buckets; receiving at said computer system a signal associated with a trade action, said signal including a trade tenor and a trade amount; and using said computer system to recalculate said proportional draw down amount for each said bucket by implementing a function expressed as
Miα
+1=Miα
−
(Miα
/Mkα
)*Xk,where Miα
+1 denotes the value of the proportional draw down for bucket i after α
+1 trades, and Xk denotes the size of the trade for bucket k. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 33, 34)
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12. A method, with the aid of a computer system, of tracking credit limits for a plurality of tenors of one or more financial instruments, each said tenor associated with one of a plurality of buckets, said method comprising:
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receiving at said computer system a proportional draw down amount associated with each of said plurality of buckets, said received proportional draw down amount associated with each said bucket defining an initial proportional draw down (Mi0) for each of i=1 . . . N buckets; setting a normalized total credit (NTC) based on said initial proportional draw down for at least one said bucket; using said computer system to calculate a conversion ratio CRi to said NTC for each said bucket (i); using said computer system to recalculate NTC according to the function
NTCα
+1=NTCα
−
(Xk*CRi),where NTCα
+1 is the NTC value after α
+1 trades, Xk is the size of the α
+1 trade and CRi is the conversion ratio for bucket i; andusing said computer system to recalculate said proportional draw down for each said bucket according to the function
Miα
+1=NTCα
+1*1/CRiwhere Miα
+1 denotes the value of the proportional draw down for bucket i after α
+1 trades.
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28. A method of trading of financial instruments between a party and a plurality of institutions comprising:
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receiving at a computer system a first signal identifying a plurality institutions to trade with; receiving at a computer system a second signal identifying a plurality of buckets (designated as bucketi for i=1 to N buckets); receiving at a computer system a third signal identifying a set of financial instruments to be traded, each said financial instrument having at least one tenor, each said bucket associated with a range of tenors; for each said bucket, receiving at a computer system an initial available credit limit associated with each said bucket, assigning a relationship to said available credit limits associated with said buckets, wherein credit extended on in connection with a trade action associated with a trade amount and a financial instrument having a tenor falling within said range of tenors for one of said buckets (the kth bucket) reduces said available credit in bucketi for i=1 to N in proportion to said trade amount multiplied by said initial available credit limit associated with buckets divided by said initial available credit limit associated with said kth bucket; receiving at a computer system a fourth signal associated with a trade action, said signal including a type of financial instrument, a trade tenor and an amount; and in response to said trade signal, said computer system recalculating said available credit limit for each said bucket based on said relationship of said credit limits.
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29. An apparatus for tracking credit limits among at least a first trading entity and a second trading entity, said trading entities trading a plurality of tenors of one or more financial instruments, comprising:
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at least one media storing a database, said database storing; a first structure associated with said first trading entity representing a plurality of buckets (designated as bucketi for i=1 to N buckets), each bucket associated with a range of tenors of said one or more financial instruments, each said bucket associated with an available initial credit limit; a second structure associated with current available limit for each said bucket; and an interface adapted to receive a signal from a trading system, said signal associated with a trade action, said signal including a first party, a second party, a trade financial instrument, a trade tenor and a trade amount; a server coupled to said interface and said database, said server adapted to; receive said trade signal; associate said trade signal with a bucket (the kth bucket); and for each bucketi for i=1 to N reducing said currently available credit limit in proportion to said trade amount multiplied by said initial available credit limit associated with bucketi divided by said initial available credit limit associated with said kth bucket. - View Dependent Claims (30, 31, 35, 36)
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32. A method, with the aid of a computer system, of tracking credit limits for a plurality of tenors of one or more financial instruments, each said tenor associated with one of a plurality of buckets, said method comprising:
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receiving at said computer system an initial available credit limit for each said bucket; receiving at said computer system an initial overriding credit limit for each said bucket; receiving at said computer system a signal associated with a trade action, said signal including a trade tenor and a trade amount, said trade action being associated with bucket (the kth bucket); reducing said overriding credit limit for said kth bucket by said trade amount; and for each bucketi for i=1 to N, said computer system reducing said currently available credit limit in proportion to said trade amount multiplied by said initial available credit limit associated with buckets divided by said initial available credit limit associated with said kth bucket.
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37. A method, with the aid of a computer system, of tracking credit limits for a plurality of tenors of one or more financial instruments, each said tenor associated with one of a plurality of buckets, said method comprising:
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receiving a proportional draw down amount associated with each of said buckets; receiving a signal associated with a trade action, said signal including a trade tenor and a trade amount; and recalculating said proportional draw down amount for each said bucket by implementing a function expressed as
Miα
+1=Miα
−
(Miα
/Mkα
)*Xk,where Miα
+1 denotes the value of the proportional draw down for bucket i after α
+1 trades, and Xk denotes the size of the trade for bucket k.
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Specification