US2014180907A1PendingUtilityA1
System and method for optimizing collateral management
Est. expiryDec 21, 2032(~6.5 yrs left)· nominal 20-yr term from priority
G06Q 40/03G06Q 40/025
62
PatentIndex Score
0
Cited by
0
References
0
Claims
Abstract
A system for managing collateral allocations in Tri-Party repurchasing agreement(s) includes memory element(s) coupled to processor(s) and configured to store deal attributes including rule sets associated with a lender l, and collateral characteristic(s) for collateral provided by the borrower b that are associated with each of the Tri-Party repurchasing agreements. The system includes at least one collateral allocation module, configured through the processor(s) to optimize auto cash, an amount short, a cost of carry index, and optimize a collateralization index, associated with the Tri-Party repurchasing agreement(s). A similar system includes at least one collateral allocation module, configured through the processor(s) to optimize a settlement index, a collateralization index, and a cost of carry index, associated with the Tri-Party repurchasing agreement(s). Associated methods are also disclosed.
Claims
exact text as granted — not AI-modifiedWhat is claimed is:
1 . A system for managing collateral allocations in one or more Tri-Party repurchasing agreements, the system comprising:
one or more memory elements coupled to one or more processors and configured to store deal attributes including rule sets associated with a lender l, and one or more collateral characteristics for collateral provided by the borrower b that are associated with each of the Tri-Party repurchasing agreements; at least one collateral allocation module, configured through the one or more processors to:
optimize auto cash associated with the Tri-Party repurchasing agreements;
optimize an amount short associated with the Tri-Party repurchasing agreements;
optimize a cost of carry index associated with the Tri-Party repurchasing agreements; and
optimize a collateralization index associated with the Tri-Party repurchasing agreements.
2 . The system of claim 1 , wherein the collateral allocation module optimizes auto cash according to: Σ dεD b C(d)·θ[C(d)], and wherein:
D b is a set of deals d between the borrower b and the lender l;
C(d)=C (0) (d)+A (0) (d)−A(d), wherein C (0) (d) and A (0) (d) are the auto cash and allocation of deal d before the optimization, with C(d) representing intra-day cash credit extended to the borrower b so that each deal d is collateralized, and A(d) representing the margin adjusted value of collateral allocated to the deal d; and
θ
(
x
)
=
{
1
if
x
>
0
0
if
x
≤
0.
3 . The system of claim 1 , wherein the collateral allocation module optimizes the amount short according to Σ dεD b [V(d)−A(d)]·θ(V(d)−A(d)), and wherein:
D b is a set of deals d between the borrower b and the lender l;
V(d) is a monetary value of each deal d;
A(d) is a margin adjusted value of collateral allocated to the deal d; and
θ
(
x
)
=
{
1
if
x
>
0
0
if
x
≤
0.
4 . The system of claim 1 , wherein the collateral allocation module optimizes the cost of carry index according to
1
V
b
∑
d
b
,
l
∈
D
b
∑
k
∈
K
π
k
P
k
(
d
b
,
l
)
Γ
k
,
b
,
l
M
k
,
b
,
l
,
and wherein:
D b is a set of deals d between the borrower b and the lender l;
K is a set of collaterals k;
π k is a cash value of a mult par of collateral k;
P k (d b,l ) is a par amount of the collateral k allocated to the deal d;
V b is a total loan amount of the borrower b;
Γ k,b,l is a cost of carry for each collateral k for the borrower b; and
M k,b,l is a margin factor between the borrower b and the lender l for collateral k.
5 . The system of claim 1 , wherein the collateral allocation module optimizes the collateralization index according to
1
V
b
∑
d
b
,
l
∈
D
b
∑
k
∈
K
π
k
P
k
(
d
b
,
l
)
,
and wherein:
V b is the total loan amount of the borrower b.
D b is a set of deals d between the borrower b and the lender l;
K is a set of collaterals k;
π k is a cash value of a mult par of collateral k; and
P k (d b,l ) is a par amount of the collateral k allocated to the deals d.
6 . The system of claim 1 , wherein said at least one collateral allocation module is configured to: optimize auto cash by minimizing auto cash, optimize the amount short by minimizing the amount short; optimize the cost of carry index by minimizing the cost of carry index; and optimize the collateralization index by minimizing the collateralization index.
7 . A system for managing collateral allocations in one or more Tri-Party repurchasing agreements, the system comprising:
one or more memory elements coupled to one or more processors and configured to store deal attributes including rule sets associated with a lender l, and one or more collateral characteristics for collateral provided by the borrower b that are associated with each of the Tri-Party repurchasing agreements; at least one collateral allocation module, configured through the one or more processors to:
optimize a settlement index associated with the Tri-Party repurchasing agreements;
optimize a collateralization index associated with the Tri-Party repurchasing agreements; and
optimize a cost of carry index associated with the Tri-Party repurchasing agreements.
8 . The system of claim 7 , wherein the collateral allocation module optimizes the settlement index according to Σ dεD t Σ kεK t π k P k,d (t)+(Ξ (S) +ν d )S d +Ξ (T) [ C d (t)−C d (t)]+Ξ (A) {tilde over (C)} d (t)+Δ (A) I d (E) E d (t), and wherein:
D t is a set of deals d between the borrower b and the lender l at time t;
K t is a set of collaterals k owned by the borrower b at the time t;
π k is a cash value of a mult par of collateral k;
P k,d (t) is a par amount of the collateral k allocated to a deal d at the time t;
Ξ (S) is a penalty factor for allocation shortage;
ν d is a priority of the deal d in collateral allocation;
S d (t) is an allocation shortage defined as S d (t)=[V d (t)−A d (t)]·θ(V d l (t) −A d (t)]), wherein:
V d (t) is a monetary value of the loan amount of a deal d at time t;
A d (t) is a margin adjusted value of the collaterals allocated to the deal d;
θ
(
x
)
=
{
1
if
x
>
0
0
if
x
≤
0
;
Ξ (T) is a penalty factor for under usage of tri-party cash;
C d (t) is an amount of tri-party cash from a lender made available for the settlement of the deal d;
C d (t) is an amount of tri-party cash used for settlement of the deal d;
Ξ (A) is a penalty factor for usage of auto cash;
{tilde over (C)} d (t) is the auto cash extended to the deal d;
Δ (A) is a penalty factor for excess of auto cash against a decreased loan amount;
E d (t) is an amount of auto excess cash defined as E d (t)=[{tilde over (C)} d (t)+V d (t)−{tilde over (V)} d (t)]·θ({tilde over (C)} d (t)+V d (t)−{tilde over (V)} d (t)), and wherein:
{tilde over (V)} d (t) is a settled amount for the deal d at time t; and
I
d
(
E
)
=
{
1
if
the
deal
d
is
non
-
maturing
and
V
~
d
(
t
)
>
V
d
(
t
)
0
otherwise
.
9 . The system of claim 7 , wherein the collateral allocation module optimizes the collateralization index according to
1
V
(
t
)
∑
d
∈
D
t
∑
k
∈
K
t
π
k
P
k
,
d
(
t
)
,
and wherein:
V(t) is a total loan amount of the borrower b at a time t;
D t is a set of deals d between the borrower b and the lender l at the time t;
K t is a set of collaterals k owned by the borrower b at the time t;
π k is a cash value of a mult par of collateral k; and
P k,d (t) is a par amount of the collateral k allocated to the deal d at the time t.
10 . The system of claim 7 , wherein the collateral allocation module optimizes the cost of carry index according to
∑
d
∈
D
t
1
V
d
(
t
)
-
S
d
(
t
)
∑
k
∈
K
t
π
k
P
k
,
d
(
t
)
Γ
k
,
b
μ
k
,
d
,
and wherein:
D t is a set of deals d between the borrower b and the lender l at a time t;
V d (t) is a total loan amount of the borrower b at the time t;
S d (t) is an allocation shortage determined as an outcome of optimizes the settlement index;
K t is a set of collaterals k owned by the borrower b at the time t;
Γ k,d is a cost of carry for collateral k for the deal d and
u k,d is a margin factor for collateral k in the deal d.
11 . The system of claim 7 wherein said at least one collateral allocation module is configured to: optimize the settlement index by minimizing the settlement index, optimize the collateralization index by minimizing the collateralization index, and optimize the cost of carry index by minimizing the cost of carry index.
12 . A method for managing collateral allocations in one or more Tri-Party repurchasing agreements, the method comprising:
optimizing, utilizing one or more processors, auto cash associated with the Tri-Party repurchasing agreements; optimizing, utilizing the one or more processors, an amount short associated with the Tri-Party repurchasing agreements; optimizing, utilizing the one or more processors, a cost of carry index associated with the Tri-Party repurchasing agreements; and optimizing, utilizing the one or more processors, a collateralization index associated with the Tri-Party repurchasing agreements; wherein the one or more processors are coupled to one or more memory elements configured to store deal attributes including rule sets associated with a lender l, and one or more collateral characteristics for collateral provided by the borrower b that are associated with each of the Tri-Party repurchasing agreements.
13 . The method of claim 12 , wherein optimizing auto cash comprises computing Σ dεD b C(d)·θ[C(d)], and wherein:
D b is a set of deals d between the borrower b and the lender l;
C(d)=C (0) (d)+A (0) (d)−A(d), wherein C (0) (d) and A (0) (d) are the auto cash and allocation of deal d before the optimization, with C(d) representing intra-day cash credit extended to the borrower b so that each deal d is collateralized, and A(d) representing the margin adjusted value of collateral allocated to the deal d; and
θ
(
x
)
=
{
1
if
x
>
0
0
if
x
≤
0.
14 . The method of claim 12 , wherein optimizing the amount short comprises computing E dεD b [V(d)−A(d)]·θ(V(d)−A(d)), and wherein:
D b is a set of deals d between the borrower b and the lender l;
V(d) is a monetary value of each deal d;
A(d) is a margin adjusted value of collateral allocated to the deal d; and
θ
(
x
)
=
{
1
if
x
>
0
0
if
x
≤
0.
15 . The method of claim 12 , wherein optimizing the cost of carry index comprises computing
1
V
b
∑
d
b
,
l
∈
D
b
∑
k
∈
K
π
k
P
k
(
d
b
,
l
)
Γ
k
,
b
,
l
M
k
,
b
,
l
,
and wherein:
D b is a set of deals d between the borrower b and the lender l;
K is a set of collaterals k;
π k is a cash value of a mult par of collateral k;
P k (d b,l ) is a par amount of the collateral k allocated to the deal d;
V b is a total loan amount of the borrower b;
Γ k,b,l is a cost of carry for each collateral k for the borrower b; and
M k,b,l is a margin factor between the borrower b and the lender l for collateral k.
16 . The method of claim 12 , wherein optimizing the collateralization index comprises computing
1
V
b
∑
d
b
,
l
∈
D
b
∑
k
∈
K
π
k
P
k
(
d
b
,
l
)
,
and wherein:
V b is the total loan amount of the borrower b.
D b is a set of deals d between the borrower b and the lender l;
K is a set of collaterals k;
π k is a cash value of a mult par of collateral k; and
P k (d b,l ) is a par amount of the collateral k allocated to the deals d.
17 . A method for managing collateral allocations in one or more Tri-Party repurchasing agreements, the method comprising:
optimizing a settlement index associated with the Tri-Party repurchasing agreements; optimizing a collateralization index associated with the Tri-Party repurchasing agreements; and optimizing a cost of carry index associated with the Tri-Party repurchasing agreements; wherein wherein the one or more processors are coupled to one or more memory elements configured to store deal attributes including rule sets associated with a lender l, and one or more collateral characteristics for collateral provided by the borrower b that are associated with each of the Tri-Party repurchasing agreements.
18 . The method of claim 15 , wherein optimizing the settlement index comprises computing Σ dεD t Σ kεK t π k P k,d (t)+(Ξ (S) +ν d )S d (t)+Ξ (T) [ C d (t)−C d (t)]+Ξ (A) {tilde over (C)} d (t)+Δ (A) I d (E) E d (t), and wherein:
D t is a set of deals d between the borrower b and the lender l at a time t;
K t is a set of collaterals k owned by the borrower b at the time t;
π k is a cash value of a mult par of collateral k;
P k,d (t) is a par amount of the collateral k allocated to a deal d at the time t;
Ξ (S) is a penalty factor for allocation shortage;
ν d is a priority of the deal d in collateral allocation;
S d (t) is an allocation shortage defined as S d (t)=[V d (t)−A d (t)]·θ(V d (t)−A d (t)]), wherein:
V d (t) is a monetary value of the loan amount of a deal d at time t;
A d (t) is a margin adjusted value of the collaterals allocated to the deal d;
θ
(
x
)
=
{
1
if
x
>
0
0
if
x
≤
0
;
Ξ (T) is a penalty factor for under usage of tri-party cash;
C d (t) is an amount of tri-party cash from a lender made available for the settlement of the deal d;
C d (t) is an amount of tri-party cash used for settlement of the deal d;
Ξ (A) is a penalty factor for usage of auto cash;
{tilde over (C)} d (t) is the auto cash extended to the deal d;
Δ (A) is a penalty factor for excess of auto cash against a decreased loan amount;
E d (t) is an amount of auto excess cash defined as E d (t)=[{tilde over (C)} d (t)+V d (t)−{tilde over (V)} d (t)]·θ({tilde over (C)} d (t)+V d (t)−{tilde over (V)} d (t)), and wherein:
{tilde over (V)} d (t) is a settled amount for the deal d at time t; and
I
d
(
E
)
=
{
1
if
the
deal
d
is
non
-
maturing
and
V
~
d
(
t
)
>
V
d
(
t
)
0
otherwise
.
19 . The method of claim 17 , wherein optimizing the collateralization index comprises computing
1
V
(
t
)
∑
d
∈
D
t
∑
k
∈
K
t
π
k
P
k
,
d
(
t
)
,
and wherein:
V(t) is a total loan amount of the borrower b at a time t;
D t is a set of deals d between the borrower b and the lender l at the time t;
K t is a set of collaterals k owned by the borrower b at the time t;
π k is a cash value of a mult par of collateral k; and
P k,d (t) is a par amount of the collateral k allocated to a deal d at the time t.
20 . The method of claim 17 , wherein optimizing the cost of carry index comprises computing
∑
d
∈
D
t
1
V
d
(
t
)
-
S
d
(
t
)
∑
k
∈
K
t
π
k
P
k
,
d
(
t
)
Γ
k
,
d
μ
k
,
d
,
and wherein:
D t is a set of deals d between the borrower b and the lender l at a time t;
V d (t) is a total loan amount of the borrower b at the time t;
S d (t) is an allocation shortage determined as an outcome of optimizes the settlement index;
K t is a set of collaterals k owned by the borrower b at the time t;
Γ k,d is a cost of carry for collateral k for the deal d and
μ k,d is a margin factor for collateral k in the deal d.Cited by (0)
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