EP0996919A1 - Systeme et procede pour surveiller et controler de fa on amelioree des biens affectes en garantie - Google Patents

Systeme et procede pour surveiller et controler de fa on amelioree des biens affectes en garantie

Info

Publication number
EP0996919A1
EP0996919A1 EP97925641A EP97925641A EP0996919A1 EP 0996919 A1 EP0996919 A1 EP 0996919A1 EP 97925641 A EP97925641 A EP 97925641A EP 97925641 A EP97925641 A EP 97925641A EP 0996919 A1 EP0996919 A1 EP 0996919A1
Authority
EP
European Patent Office
Prior art keywords
collateral
market value
monitoring
account
currency
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Withdrawn
Application number
EP97925641A
Other languages
German (de)
English (en)
Other versions
EP0996919A4 (fr
Inventor
Kishwer Aziz
Alan Schneider
David Schreier
Terence Boyle
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
Citibank NA
Original Assignee
Citibank NA
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Citibank NA filed Critical Citibank NA
Publication of EP0996919A1 publication Critical patent/EP0996919A1/fr
Publication of EP0996919A4 publication Critical patent/EP0996919A4/fr
Withdrawn legal-status Critical Current

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q20/00—Payment architectures, schemes or protocols
    • G06Q20/04—Payment circuits
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q20/00—Payment architectures, schemes or protocols
    • G06Q20/08—Payment architectures
    • G06Q20/10—Payment architectures specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q20/00—Payment architectures, schemes or protocols
    • G06Q20/38—Payment protocols; Details thereof
    • G06Q20/40—Authorisation, e.g. identification of payer or payee, verification of customer or shop credentials; Review and approval of payers, e.g. check credit lines or negative lists
    • G06Q20/403—Solvency checks
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Definitions

  • This invention relates to a method and system for improved collateral monitoring and control and, more particularly, to a computerized system which automatically receives transaction messages, reviews account information, and determines whether sufficient collateral is provided in accounts in view of risk considerations associated with the collateral, investments and currencies.
  • U.S. Patent No. 5,262,942 entitled Financial Transaction Network is directed to a financial network for maintaining a number of mutual fund portfolios operating in different currencies.
  • the host processor acts as a communications switch validating incoming transaction requests and routing them to a central transfer agent system for execution.
  • the host processor maintains central records that can be queried through the host .
  • U.S. Patent No. 4,713,761 entitled System for Centralized Processing of Accounting and Payment Functions is directed to a computer implemented system for determining and accounting for the cost of transactions.
  • the system particularly determines and accounts for the cost of shipping goods.
  • the system requirements include an input device which is located at a shippers location and a central data processing facility. In other words, this system tracks expenses as well as products.
  • U.S. Patent No. 5,025,373 entitled Portable Personal- Banking System is directed to a portable personal banking system comprising a host computer and at least one portable terminal among a variety of terminals including automatic teller machines and personal computers.
  • the portable terminal provides a range of banking services over an automatic dial-up telephone connection to the host bank computer.
  • the personal terminal comprises a keyboard and display capability with minimal key requirements and display capacities.
  • collateral may depreciate in value faster than the repayment of loaned funds; for example, if a loan in U.S. dollars is being secured against a foreign security, the foreign security could depreciate in dollar terms by a decrease in price of the security, or a decrease in the foreign currency value against the U.S. dollar. Accordingly, it is desirable to provide a collateral management tool that controls and tracks collateral against liabilities and can be used to determine whether or not to extend margin against securities or other products such as derivatives, tri-party agencies and insurance letters of credit.
  • the present invention provides a system and method for the management and tracking of collateral using a computer system.
  • the system and method accesses a plurality of databases which are preferably relational databases to allow for the following collateral processing actions: validation of an account's existence within the system; the validation of the securities' existence within the system; retrieval of all confirmed and unconfirmed account positions effecting available collateral for the account and an account in its collateral group; retrieval of the account's security, cross-currency haircut and acceptability tables; the validation of the securities' acceptability by its depository, class, tenor and rating in the acceptable table; the retrieval of all threshold and minimum call information for the account; calculation of the optimal haircut application by multiplying the security haircut table by the cross-currency haircut table and sorting the resulting figures and currency security class pairs in descending order; the calculation of the local market value for each position and proposed position; the conversion of the market values to U.S.
  • the foregoing collateral processing method validates that the collateral in an account satisfies requirements based on acceptability rules; determines if the movement creates a shortfall; and provides approval or rejection processes to manage the transaction message through the acceptance and settlement cycle.
  • the front end of the system is defined by a plurality of personal computers running a graphic user interface (GUI) .
  • GUI graphic user interface
  • the back end of the system which handles the processing, is a client/server based network designed to communicate with the personal computers over conventional telecommunication lines.
  • the personal computers communicate over a network to a message router, which receives all incoming requests and data and forwards them to the appropriate server.
  • the message router also communicates with a switch which enables it to transmit data and requests to SWIFT and to custody systems such as COSMOS and SECORE, and to receive data and requests from them.
  • Another object of the invention is to allow for the performance of real-time collateral position, valuation, shortfall and acceptability checks, thereby permitting tighter haircuts, reduced risk exposure, and more competitive pricing.
  • Still another object of the invention is to provide enhanced security, such as requiring dual signatures for most operations, such as creating tables and entering collateral movement instructions.
  • Still another object of the invention is to allow enhanced user control over the system by allowing users to set up a variety of rules and haircuts, based on client/counterparty agreements, to control the movement of collateral, such as acceptability rules, shortfall rules, security haircuts, and cross-currency haircuts.
  • the system automatically blocks all collateral movement that does not meet the criteria specified in the rules and haircuts.
  • the invention accordingly comprises the several steps and the relation of one or more of such steps with respect to each of the others, and the apparatus embodying features of construction, combination of elements and arrangement of parts which are adapted to effect such steps, all as exemplified in the following detailed disclosure, and the scope of the invention will be indicated in the claims.
  • Fig. 1 is a block diagram of a collateral monitoring and control system in accordance with the present invention
  • Fig. 2 is a detailed block diagram illustrating the system layout of a collateral monitoring and control system in accordance with the present invention
  • Fig. 3 is a flowchart illustrating an overview of the collateral processing methodology in accordance with the present inven ion;
  • Fig. 4 is a detailed process flow diagram illustrating the steps carried out in a collateral monitoring system in accordance with the present invention
  • Fig. 5A is an exemplary screen printout for a notification letter indicating a margin call
  • Fig. 5B is an exemplary screen printout of a trade initiation form for entering trade data into a computerized system in accordance with the present invention
  • Fig. 5C is a transaction master template for use in the present invention.
  • Fig. 5D is a template for adding a margin agreement into the collateral monitoring and control system in accordance with the present invention.
  • Fig. 5E is a template for adding an additional client into the collateral monitoring and control system in accordance with the present invention.
  • Fig. 6 is a block diagram illustrating a system and network architecture in accordance with the present invention.
  • Fig. 7 is an entity relationship and data source diagram in accordance with the present invention.
  • Fig. 8 is a functional flow diagram of a risk information system in accordance with the present invention.
  • Fig. 9 is a block diagram indicating the links between the collateral monitoring and control system and the remaining system architecture of a lending institution. DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENTS
  • System 100 includes a plurality of user interfaces 102 running a GUI.
  • user interfaces 102 are personal computers that run on, for example, the windows operating system by Microsoft Corporation. This is the front end of system 100.
  • User interfaces 102 are coupled to network 104 which is preferably a local area network.
  • Network 104 is electronically coupled via communication lines 106 to message router 108.
  • Message router 108 is coupled to a plurality of servers including collateral server 110, TPA server 112 (tri-party agreement) , GPS server 114, report server 116 and swift server 118.
  • Message router 108 is also electrically coupled to switch 120 via conventional telecommunication lines or the like.
  • Switch 120 is coupled to SWIFT 122.
  • Switch 120 is also coupled to custody system 124.
  • system 100 is accessed by users via user interfaces 102.
  • User interfaces 102 are networked via a local area network or a wide area network.
  • the network is preferably a Novell Ethernet.
  • Message router 108 receives all incoming requests and data and forwards them to the appropriate server 110-118.
  • the router also communicates with switch 120 which transmit data and requests to SWIFT 122 and custody systems 124.
  • Message router 108 is preferably a router network with routing capability at locations where servers are located; for example, in a global network separate routing capability is provided on each continent where servers are located.
  • Custody systems 124 could include COSMOS, a cash custodial system in London, or SECORE, a securities custodial system also in London.
  • FIG. 2 is a block diagram illustrating a system layout.
  • Collateral monitoring and control system generally indicated at 200, includes four main parts, a front end system 202, a data processing system 204, a portfolio valuation system 206 and a reconciliation system 208. Front end system 202, portfolio valuation system 206 and reconciliation system 208 are each coupled to data processing system 204.
  • Front end system 202 includes visual basic GUI 210 which sits upon an ITS platform 212.
  • Visual basic GUI 210 is also electrically coupled via wire 214 to open database connectivity 216.
  • Open database connectivity 216 is electrically coupled to database library 218.
  • Front end system 202 is coupled to data processing system 204 via two separate links.
  • visual basic GUI 210 is coupled to message routers 230 via ITS platform 212 and Mlayer 213.
  • message routers 230 are illustrated; however, additional message routers may be required depending upon the size of the application.
  • database library 218 is directly coupled to collateral database 232 and tri-party agreement database 234.
  • Data processing system 204 receives inputs from the user via message router 230 and collateral database 232.
  • Collateral database 232 is electrically coupled to collateral product server 234 which is in turn electrically coupled to message router 230.
  • collateral product server 234 is electrically coupled to password file 236.
  • Password file 236 must be in a similar format to the various databases. In the preferred embodiment, the databases use Sybase technology.
  • Message routers 230 are also electrically coupled to security manager 240.
  • Security manager 240 is coupled to security manager error file 242, authorization file 244 and VAX UAF 246.
  • the message routers 230 are also electrically coupled to GPS batch server 248, BST batch server 250 and BCT batch server 252.
  • BST batch server 250 and BCT batch server 252 are each electrically coupled to reconciliation system 208.
  • GPS batch server 248 is electrically coupled to portfolio valuations system 206 through prices, rates, rating, assets 254.
  • Reconciliation system 208 receives data feeds such as SECORE which are forwarded to BST batch server 250 and COSMOS feeds forwarded to BCT batch server 252.
  • SECORE and COSMOS are securities custodial systems provided in London and are preferred systems for use in the present invention.
  • the process of reconciliation is generally one wherein records are sent to the collateral server and the collateral server reads the SECORE position information and compares with its own security positions. If a difference is found, then a report is sent to a report file.
  • the report file also has information on non-zero security positions that were not on the reconciliation file, and positions on the reconciliation file that were not found in data processing system 204. A report is automatically printed at the end of the reconciliation process.
  • an external feed 260 is received from a service such as Extel or Muller which is forwarded to a valuation system 262 which is then forwarded to prices, rates, ratings, assets 254.
  • the ITS component 212 is responsible for system security, reports requests, and all batch server communications.
  • Open database connectivity 216 is responsible for all database operations between front end system 202 and the servers.
  • Implementation of the ITS messaging architecture requires a plurality of servers communicating using a number of message routers 230.
  • the network connection between the servers i.e., collateral server 234, GPS batch server 248, BST batch server 250 and BCT batch server 252
  • the servers perform their computation tasks according to messages received from their adjacent message router.
  • the server transmits the results back to the user, or onto the next server using the same message router network. Communication is prohibited between servers other than through the message routers.
  • Each server is a single VAX process, or a collection of VAX processes that performs a specific task within the ITS system.
  • All batch servers feed external information to the collateral server during nightly batch processing.
  • the GPS batch server moves securities information, including prices and exchange rates to and from portfolio valuation system 206.
  • Portfolio valuation system 206 is responsible for receiving prices and exchange rates from external feeds 260. Securities are loaded from the system security master on a daily basis.
  • Open database connectivity 216 allows most client server communication to bypass the ITS server, and channel traffic directly to the databases via database library 218.
  • the client application thus establishes three server connections one to the message router 230, one to collateral database 232 and another database connection to tri-party database 234.
  • Fig. 3 is a flowchart illustrating the collateral processing methodology.
  • the process begins at block 300 with the receipt of a collateral movement instruction.
  • the process then proceeds to decision block 302 and asks whether the collateral movement instruction is a receive or deliver. If the instruction in block 300 is a deliver, then the process moves from decision block 302 to decision block 304 and checks whether there is a shortfall. If there is no shortfall, decision block 304 issues a "no" response and proceeds to block 306.
  • Block 306 causes the process to send back the collateral movement to the custody system for settlement.
  • the process proceeds to block 316 where an instruction goes to the pending queue.
  • the process then proceeds to block 320 when the instruction is settled and proceeds to block 322 to confirm message.
  • the process moves from decision block 302 to decision block 308 and asks whether the receipt is acceptable. If the receipt is acceptable, a "yes" response in decision block 308, the process proceeds to block 306 and sends back the collateral movement instruction to the custody system for settlement. Then the process moves to block 316 through 322 as described above . If the response in block 308 is "no" that the received collateral is determined unacceptable, the process moves to block 310. Additionally, if a shortfall is found in block 304, a "yes" response, the process proceeds to block 310 and an instruction is sent to the exception queue. The process then proceeds to decision block 312 and asks whether a user view or override exception is desired.
  • a "no" response is received in block 312, the process proceeds to block 318 and the exception is remedied. The process then proceeds back to decision block 302. Alternatively, if a "yes" response is received in decision block 312, the process proceeds to decision block 314 and asks whether the override is verified. If the override is verified, a "yes” response, the process proceeds to decision block 302. Alternatively, if the override is not verified, a "no" response in decision block 314, the process returns to block 310 as described above.
  • Fig. 3 illustrates that the system receives collateral movement messages 300 from a number of product and custodial systems throughout the organization in which it is employed.
  • a determination is made whether the message is receive or deliver collateral in decision block 302. If the message is to receive collateral, a determination must be made whether it is acceptable in decision block 308. If it is acceptable, it goes to the pending queue in block 316 and a release message is sent to the custody system to permit settlement in block 320. Alternatively, if it is not acceptable, it goes to the exception queue in block 310.
  • collateral movement instruction is to deliver in block 302
  • Fig. 4 illustrates the collateral processing actions in greater detail. The process is initiated with a collateral movement instruction at block 400. The process then moves to block 402 and validates the accounts existence in the system.
  • the process validates the security's existence in the system at block 404. Then, the process moves to block 406 and retrieves all confirmed and unconfirmed account positions affecting available collateral (delivers) for the account and any account in its collateral group. The process next moves to block 408 and retrieves the account's security, cross -currency haircut and acceptability tables. These are tables located in the relational database.
  • the process continues to block 410 and validates the security's acceptability by its depository, class, tenor and rating in the acceptability table (for receive messages) .
  • the process proceeds to block 412 and retrieves all threshold and minimum call information for the attempt.
  • the process proceeds to block 414 and finds the optimal haircut application by multiplying the security haircut table by the cross-currency haircut table and sorting the resulting figures and currency security class pairs in descending order.
  • the process proceeds to block 416 and calculates the local market value for each position and proposed position.
  • the local market value is the market value in the country in which the position is held.
  • the process next proceeds to block 418 and converts the local market value to the base currency.
  • the base currency will preferably be U.S. dollars. However, an indicator must be maintained of the local currency.
  • a security haircut is applied to the resulting base currency market value.
  • the process then proceeds to block 422 and retrieves collateral requirements (resulting from liabilities) in the base currency, grouped by originating currency.
  • the process then proceeds to block 424 and matches light currency collateral to collateral requirements.
  • the process moves to block 426 and matches the remaining requirements to the remaining collateral by finding the highest currency/security class pair in the remainders and works down the optimizing list.
  • the process as disclosed in Fig. 4 validates that the collateral satisfies the requirements based on the acceptability rules. Additionally, the process determines if the movement of collateral creates a shortfall and provides approval or rejection processes to manage the message through the acceptance and settlement cycle.
  • the message is forwarded for override approval or further monitoring (for future messages that will correct the situation) to the appropriate monitoring group.
  • the monitoring group is set up and the computer program gives off an alarm on the screen indicating that a new message requires group attention.
  • the monitoring group is enabled with the ability to retrieve any message requiring consideration at any time. The reviewer can then approve or continue to hold the message for further action.
  • Price multiplier (price per units indicator)
  • the system retrieves the most recent price and price date for all unconfirmed and confirmed security positions within the specified collateral group.
  • the system also retrieves the cash positions of all currencies in the collateral group.
  • the system determines available collateral by taking the values of all confirmed positions and subtracting the values of all unconfirmed deliver messages, including the pending message that initiated the valuation request.
  • Price Multiplier Flag when Price Multiplier Flag equals one, local market value equals units * extender / price;
  • the system retrieves the haircut table for the collateral group being revalued and then takes the following steps :
  • the system checks whether the position is valid and applies a zero valuation for invalid positions. For all valid positions the system takes the following steps:
  • margin type indicator when margin type indicator equals E; contribution equals (100 * base market value / margin) .
  • the process matches collateral to liabilities, using the currency of the liabilities and the currency of the collateral position.
  • the process performs the match in a manner that minimizes the applied haircut, in order to maximize the collateral margin contribution.
  • the system begins with U.S. dollar liabilities. It matches the confirmed U.S. dollar collateral to the U.S. dollar trade collateral requirements until the margin requirement is met or the U.S. dollar collateral is used. The system then performs the same match for each currency in the liability portfolio against confirmed collateral. Next, the system applies any excess confirmed collateral by currency to any existing requirements from different liability currencies minus the cross- currency haircut. It starts with the cross-currency pair that maximizes the collateral contribution against the liability, as determined by the cross-currency haircuts. When the requirement is met or the confirmed collateral runs out, the system chooses the next most beneficial cross-currency pair to fill the collateral requirement (i.e., the pair that next maximizes the collateral contribution) .
  • the system determines the currency pair that maximizes the collateral contribution by multiplying the percentage decimals for each combination of security class and currency pair in the security and cross-currency haircut tables. It then sorts the figures that result in descending order (least haircut first) and applies collateral in the order determined in the list, selecting the collateral of the currency and class indicated by the pair with the highest percent.
  • the system tracks the liability margin requirement satisfied by confirmed available collateral and the net contribution margin (risk adjusted value) of the available confirmed collateral.
  • available confirmed collateral is defined as the confirmed collateral position, minus any depending delivery message (including the pending message) .
  • the system reviews the relevant accounts or collateral group accounts to determine if the concentration limits, as defined in the appropriate acceptability table, have been breached.
  • the system will retrieve the appropriate acceptability table and all the positions in the associated account.
  • the account will be valued as previously described, and totals for all values under consideration in a table are filed with the collateral contribution values in the accounts for each limit category.
  • the system also performs a number of shortfall processing actions to determine whether the confirmed collateral held in an account satisfies the collateral requirements, as described by the account's liabilities.
  • the system performs these actions whenever it receives a new pricing that effects existing collateral positions, a deliver or cash withdrawal message, and requests by system report processes that they require these actions .
  • Shortfall processing requires collateral revaluation, haircut application, cash application, comparison, and reporting.
  • the system retrieves the minimum call amount for the collateral group record. The minimum call is added to the confirmed margin contribution result following haircut application. The total is then used to compare for the shortfall check. The system then subtracts the outstanding liabilities from the total net collateral margin contribution to determine the shortfall. If the result is negative, then a shortfall warning is issued. Alternatively, if the result is zero or greater, then no shortfall exists. Additionally, if the shortfall check was initiated by the receipt of a message, the system will return the results to the initiating process.
  • FIGS. 5A-5 ⁇ each illustrate exemplary templates or forms generated by the computer system for interacting with the users.
  • Fig. 5A is a form margin call notice that is generated by the system when a Citibank customer has overextended their margin balance.
  • Fig. 5B is a trade initiation computer screen in accordance with the present invention which enables a user to enter the appropriate information to begin a message process.
  • Fig. 5C is a computer screen for the transaction master which indicates all transactions for a particular client under a given margin agreement and file.
  • Fig. 5D is a template or computer screen for adding a margin agreement to the system.
  • the template illustrates all the required parameters, and each parameter is then stored in an appropriate look-up table of the relational database.
  • Fig. 5E is yet another exemplary template or computer screen for adding a client to the system.
  • the template indicates the required information for adding a client to the system, and the information input is also added to appropriate tables of the relational database.
  • Fig. 6 is a block diagram illustrating the system including the international letter of credit system and network architecture.
  • the architecture is broken up into three main sections which include the main data processing center, generally indicated at 502, a remote user system, generally indicated at 504, and the reconciliation system, generally indicated at 506.
  • Reconciliation system 506 is electrically coupled to data processing center 502 by global network 508 and remote user system 504 is connected to data processing center 502 by global router network 510.
  • global network 508 and global router network 510 may be the same global router network.
  • Data processing center 502 includes a VAX cluster 512 which is essentially similar to the servers of Fig. 2.
  • hub 520 is manufactured by Synoptic. Hub 520 is also coupled to fire wall 522 which is additionally coupled to a router 524 (in the preferred embodiment routers 524 are manufactured by Cisco Systems Inc.). Routers 524 are then coupled to global router network 510. Additionally, hub 520 is coupled to LAT 526 which is electrically coupled to global network 508.
  • Global network 508 is electrically coupled to reconciliation system 506 which includes a switch for receiving and transmitting SWIFT messages. Additionally, the COSMOS and SECORE feeds 530, 532 respectively are received and are tape transferred to VAX 534. VAX 534 is also referred to as a transactor. From VAX 534, the reconciliation information is transmitted over global network 508 to data processing center 502.
  • Remote user system 504 includes a plurality of user interface devices 540 (personal computers) , a network file server 542, and a plurality of printers 544.
  • User interface device 540, file server 542 and printers 544 are all electrically coupled via an ethernet and are coupled to a hub 546.
  • Hub 546 is electrically coupled to a router 548 which is additionally connected to global router network 510.
  • Fig. 7 illustrates an entity relationship and data source diagram.
  • This diagram illustrates the interconnection of the various elements of the collateral monitoring and control system, with the majority of the blocks indicating particular table database entities.
  • the bank 602 and client 604 represent a lending institution and a client that borrows, respectively.
  • the tables are broken into two types of tables .
  • Single record tables are the simplest tables. They contain a single record with all the information in the table.
  • Geographic sector table 606 is an example of a single record table.
  • Geographic sector table 606 consists of a single record that includes the code for each geographic region and a brief description of the region. There is no other information in the table.
  • Other examples of single record tables are currency table 608, country table 610, and industrial class table 612.
  • Multiple record tables contain more information than single record tables.
  • identity of the record must first be identified. This would generally be located in an ID field. The additional records depend upon the type of table and information required.
  • Fig. 8 is a functional flow diagram for the risk information system. It illustrates an overview of risk management in a lending institution.
  • the data flow diagram specifically illustrates where the collateral management component 710 fits within the risk information system.
  • Transactions and account set up information is entered through interface 700 which is electrically coupled to a standards server 702.
  • Standards server 702 is electrically coupled to rapid credit administration 704.
  • Rapid credit administration 704 additionally receives information from credit workstation and agreement workstations through interface 708. New agreements received by rapid credit administration 704 are input into the collateral management system 710. Rapid credit administration 704 then transmits facility, limits, tenors, and agreements to credit engine 706 and transmits facility, risk ratings, SIC, etc. to rapid portfolio management 726.
  • Credit engine 706 in turn transmits information on outstanding issues to rapid portfolio management 726 and rapid portfolio management 726 transmits information on facility numbers, limits and availability to front office 728.
  • Collateral management system 710 transacts with credit engine 706 and receives gross margin requirements and transmits net margin requirements.
  • a main transactor 722 (which may be a VAX) communicates with credit engine 706 and market risk engine 718.
  • Market risk engine 718 also receives market factor product rates from standards server 702, and standards server 702 also receives customer product instruments and rate information from server 716.
  • Market risk engine 718 receives additional information from NTR/MFVC server 720, and outputs global management reports 732.
  • Fig. 8 it can be seen that the operations of a global institution require all types of risk management.
  • the present invention provides one type of risk management that requires proper collateral in accordance with agreements with clients and continuously updates and manages the collateral taking into account market swings and currency swings to prevent unnecessary risk taking by a lending institution.
  • Fig. 9 is a block diagram providing an overview of the integrated systems used in a global lending institution. Particularly, Fig. 9 illustrates an overview of the integration of a collateral management platform within the overall network system.
  • a collateral management platform 800 is electrically coupled to a central switch 802. Additionally, the collateral management platform is electrically coupled to a transactor 804 and files are transferred therebetween by file transfer protocol.
  • Central switch 802 is electrically coupled to the reconciliation function indicated as COSMOS 806 and SECORE 808.
  • COSMOS 806 and SECORE 808 are electrically coupled to transactor 804 and transfer information through file transfer protocol. Additionally, COSMOS 806 transacts with CBII client screen 812. CBII client screen 812 allows the client's to review information. In other words, information passed through central switch 802 is transferred intra-day through the central switch 802 in SWIFT format. Information transferred through transactor 804 is transferred as batch data in ASCII flat-file format.

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  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

L'invention concerne un système et un procédé pour surveiller et contrôler de façon améliorée des biens multidevises affectés en garantie, utilisés dans une variété d'activités commerciales. Ce système permet de conserver des portefeuilles de comptes en garantie et des informations sur des dettes. Il assiste le traitement des transactions que ce soit par message manuel ou SWIFT (122). Ce système peut appliquer des règles d'acceptation lorsqu'il est déterminé si un achat de titres par un client est d'une qualité suffisante pour avoir une valeur de prêt. En outre, le système permet de suspendre ou d'empêcher une vente de titres sur la base d'un prêt insuffisant demeurant sur le compte du client. Des tableaux, de préférence situés dans la base de données relationnelle, sont inclus dans le système pour évaluer le risque lié à la détention de titres d'un type particulier, et le risque lié à la détention de titres dans des devises autres que celle de la dette.
EP97925641A 1997-05-19 1997-05-19 Systeme et procede pour surveiller et controler de fa on amelioree des biens affectes en garantie Withdrawn EP0996919A4 (fr)

Applications Claiming Priority (1)

Application Number Priority Date Filing Date Title
PCT/US1997/008470 WO1998053417A1 (fr) 1997-05-19 1997-05-19 Systeme et procede pour surveiller et controler de façon amelioree des biens affectes en garantie

Publications (2)

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EP0996919A1 true EP0996919A1 (fr) 2000-05-03
EP0996919A4 EP0996919A4 (fr) 2001-07-04

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Family Applications (1)

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EP97925641A Withdrawn EP0996919A4 (fr) 1997-05-19 1997-05-19 Systeme et procede pour surveiller et controler de fa on amelioree des biens affectes en garantie

Country Status (4)

Country Link
EP (1) EP0996919A4 (fr)
AU (1) AU3071997A (fr)
CA (1) CA2286151A1 (fr)
WO (1) WO1998053417A1 (fr)

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* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US7130823B1 (en) 1995-09-14 2006-10-31 Citibank Aktiengesellschaft Computer system for data management and method for operation of the system
JP4394786B2 (ja) * 1998-12-04 2010-01-06 シティバンク アクツィアンゲゼルシャフト データ管理用コンピュータシステムおよびその操作方法
US7139730B1 (en) * 1999-04-20 2006-11-21 David Shimko System, method, and computer program product for collateral management operations
US6236973B1 (en) * 1999-06-02 2001-05-22 Greg Dillard Apparatus and method for providing collateral construction loan insurance coverage
EP1264254A1 (fr) * 2000-03-14 2002-12-11 Eontec R & D Limited Systeme de regulation des transactions
US7577601B1 (en) 2000-03-30 2009-08-18 Ubs Ag Leverage margin monitoring and management
US7970686B1 (en) 2000-09-15 2011-06-28 Citigroup Global Markets, Inc. System and method of interfacing for client application programs to access a data management system

Citations (1)

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Publication number Priority date Publication date Assignee Title
WO1997003409A1 (fr) * 1995-07-13 1997-01-30 Cedel Bank Procede visant a fournir un soutien au credit a des parties associees et autres transactions financieres et dispositif correspondant

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US5644727A (en) * 1987-04-15 1997-07-01 Proprietary Financial Products, Inc. System for the operation and management of one or more financial accounts through the use of a digital communication and computation system for exchange, investment and borrowing
US4953085A (en) * 1987-04-15 1990-08-28 Proprietary Financial Products, Inc. System for the operation of a financial account
US5262942A (en) * 1990-06-05 1993-11-16 Bankers Trust Company Financial transaction network

Patent Citations (1)

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Publication number Priority date Publication date Assignee Title
WO1997003409A1 (fr) * 1995-07-13 1997-01-30 Cedel Bank Procede visant a fournir un soutien au credit a des parties associees et autres transactions financieres et dispositif correspondant

Non-Patent Citations (2)

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Title
No Search *
See also references of WO9853417A1 *

Also Published As

Publication number Publication date
AU3071997A (en) 1998-12-11
WO1998053417A1 (fr) 1998-11-26
CA2286151A1 (fr) 1998-11-26
EP0996919A4 (fr) 2001-07-04

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