System and method for computer implemented collateral management
AssigneeThe Bank of New York Mellon
InventorsBrian BLANK, Lyn Leshe, Simon Noakes, Srivalli Tadimeti
Life of this patent
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Abstract
A data processing system manages collateral risk associated with a trade of a financial instrument includes memory coupled to a processor, the memory containing a database configured to store a ruleset relating to determining eligibility of collateral to be considered for a desired trade. A collateral analysis module determines a collateral preference ranking of one or more security positions eligible for use as collateral for the trade by applying the ruleset via an algorithm executed by the processor so as to confirm an eligibility of security positions eligible for use as collateral for the trade by testing in accordance with the ruleset.
Claims25
A data processing system for managing collateral risk associated with a trade of a financial instrument, the system comprising:
- memory coupled to a processor, the memory containing a database therein configured to store a ruleset relating to determining eligibility of collateral to be considered for a desired trade;
- and
- a collateral analysis module that determines a collateral preference ranking of one or more security positions eligible for use as collateral for the trade by applying said ruleset via an algorithm executed by said processor so as to confirm an eligibility of said one or more security positions eligible for use as collateral for the trade by testing in accordance with the ruleset.
A computer-implemented method for managing collateral risk associated with a trade of a financial instrument, the method comprising:
- determining, in a data processing system comprising memory coupled to a processor, an eligibility of potentially eligible security positions as collateral for the trade by applying one or more user-definable rulesets in an algorithm executed by the processor by testing an eligibility of each of the potentially eligible security positions as collateral for the trade, said testing an eligibility comprising testing an eligibility along each of a plurality of logical paths defined by the one or more user-definable rulesets;
- and
- causing the processor to output a relative collateral preference indication.
An article of manufacture comprising a tangible computer-readable medium that contains computer-executable code thereon which, when executed by a processor, causes the processor to carry out functions that manage collateral risk associated with a trade of a financial instrument, wherein the executed code is operable to:
- determine an eligibility of potentially eligible security positions as collateral for the trade by applying one or more user-definable rulesets in an algorithm executed by the processor by testing an eligibility of each of the potentially eligible security positions as collateral for the trade, said testing an eligibility comprising testing an eligibility along each of a plurality of logical paths defined by the one or more user-definable rulesets;
- and
- cause the processor to output a relative collateral preference indication.
Dependencies are inferred from the claim text.