Counterparty credit risk system

Abstract

A method for managing, on a pooled basis, the credit risk coverage of contract performance by contracting parties. An aggregate maximum credit risk coverage for all contracts by each contracting party is established. Pools are defined into which contracts from various contracting parties may be aggregated. A credit risk coverage limit is defined for each of the pools. When a contract is entered into the credit risk coverage associated with that contract for each contracting party is calculated and it is determined whether that credit risk coverage plus the risk coverage associated with all other existing contracts of that contracting party are within the maximum credit risk coverage for that contracting party. That determination is then used to decide whether to accept the contract in the pool. The invention is particularly suited to the use with products and services which are illiquid or difficult to inventory, such as electrical power, forestry products and chemical products. The invention is also directed to a delivery logistics system and receivables funding system. A method for managing, on a pooled basis, the credit risk coverage of contract performance by contracting parties. An aggregate maximum credit risk coverage for all contracts by each contracting party is established. Pools are defined into which contracts from various contracting parties may be aggregated. A credit risk coverage limit is defined for each of the pools. When a contract is entered into the credit risk coverage associated with that contract for each contracting party is calculated and it is determined whether that credit risk coverage plus the risk coverage associated with all other existing contracts of that contracting party are within the maximum credit risk coverage for that contracting party. That determination is then used to decide whether to accept the contract in the pool. The invention is particularly suited to the use with products and services which are illiquid or difficult to inventory, such as electrical power, forestry products and chemical products. The invention is also directed to a delivery logistics system and receivables funding system.

Dependencies are inferred from the claim text.