Billing workflow system for crediting charges to entities creating derivatives exposure
First Claim
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1. A computer system for allocating charges related to derivatives trading to a business unit in a business organization, comprising:
- a computer memory configured to store reserve amount information based on an exposure associated with a derivative trade; and
a risk allocation computer operatively coupled to the computer memory, the risk allocation computer configured to calculate a credit valuation adjustment amount associated with a derivative trade; and
a workflow queue computer operatively coupled to the risk allocation computer, the workflow queue computer configured to hold the credit valuation adjustment amount for further review.
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Abstract
An automated billing workflow system receives credit valuation adjustment (CVA) amounts associated with derivatives trades. The automated billing workflow system interacts with an Accounting System in order to make appropriate Profit and Loss (P&L) entries for the CVA amounts. The CVA amounts are billed to the business units which actually created the risk. The invention employs a plurality of Workflow Queues. As an item makes it way through the billing workflow, it may be slotted in one or more of these queues where further action will take place.
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Citations
17 Claims
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1. A computer system for allocating charges related to derivatives trading to a business unit in a business organization, comprising:
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a computer memory configured to store reserve amount information based on an exposure associated with a derivative trade; and a risk allocation computer operatively coupled to the computer memory, the risk allocation computer configured to calculate a credit valuation adjustment amount associated with a derivative trade; and a workflow queue computer operatively coupled to the risk allocation computer, the workflow queue computer configured to hold the credit valuation adjustment amount for further review. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8)
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9. A method for managing a credit valuation adjustment amount related to a derivative trade to a business unit in a business organization, comprising:
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receiving, by a computer processor, derivative trade information; calculating, by the computer processor, a credit valuation adjustment amount based on the derivative trade information; and providing, by the computer processor, the derivative trade information and credit valuation adjustment amount to at least one of a plurality of workflow queues configured to facilitate further review or processing of the derivative trade information and the credit valuation adjustment amount. - View Dependent Claims (10, 11, 12, 13, 14, 15, 16)
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17. A program storage device readable by a machine, tangibly embodying a program of instructions executable on the machine to perform method steps for crediting charges to entities creating derivatives exposure, the method steps comprising:
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receiving reserve information associated with a derivative; identifying an entity creating the derivative exposure; and generating billing information for the entity creating the derivative exposure.
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Specification