Computer system and a computerized method for central counterparty limit management
A system for central limit management comprising one or more computers on a network and an input to receive an indication of a planned order of at least one derivative between counterparties to be executed on an execution venue from an asset manager. The system stores a limit comprising an indication of counterparty risk of the asset manager; and is configured to output an indication of a risk limit of the asset manager to an execution venue; and output an indication that the planned order is within the stored limit of the asset manager to the asset manager. Responsive to receiving the indication of a planned order from the asset manager, the system checks if the planned order is within the stored limit of the asset manager, and if so, outputs an indication of a limit required to execute an actual order associated with the planned order to the venue.
1 . A hub computer device comprising:
computer executable program code stored in a memory and executable by a processor of the hub computer device coupled with the memory to cause the hub computer device to:
receive, from an asset manager computer device via a computer network coupled therebetween, an electronic indication of a proposed transaction for a financial instrument with at least one counterparty at an execution venue, coupled with the hub computer device via the computer network, to which a transaction in accordance with the proposed transaction is to be transmitted by the asset manager computer device via the computer network;
store in the memory in association with the asset manager computer device, data indicative of a total amount of available counterparty risk for the associated asset manager computer device;
assign a portion of the total amount of available counterparty risk to the proposed transaction and account therefore by reducing the total amount of available counterparty risk stored in the memory by the amount of the assigned portion;
transmit, via the computer network, data indicative of the assigned portion to the indicated execution venue and, subsequent thereto, transmit, via the computer network, to the asset manager computer device from which the electronic indication was received, an indication that the portion has been assigned for the proposed transaction and sent by the hub computer device to the indicated execution venue via the computer network; and
wherein a transaction in accordance with the proposed transaction transmitted by the asset manager computer device to the indicated execution venue is received thereby subsequent to receipt of the assigned portion of the total amount of available counter party risk from the hub computer device, thereby enabling the indicated execution venue to process the transaction.
2 . The hub computer device of claim 1 , wherein connections via the computer network between the hub computer device and the asset manager computer device and the execution venue are pre-established.
3 . The hub computer device of claim 1 , wherein the data indicative of the total amount of available counterparty risk for the asset manager computer device is stored in a cache memory coupled with the processor.
4 . The hub computer device of claim 1 , wherein the data indicative of total amount of available counterparty risk for an associated asset manager computer device is a current total available counterparty risk received from a credit computer device via the computer network and updated thereby based on one or more execution reports received by the credit computer device from the execution venue which indicate an execution status of transactions received thereby.
5 . The hub computer device of claim 4 , wherein the credit computer device is operated by a futures commission merchant.
6 . The hub computer device of claim 1 , wherein the computer executable program code is further executable by the processor to cause the hub computer device to determine, prior to the assignment of the portion of the total amount of available counterparty risk to the proposed transaction, that a sufficient portion of the total amount of available counterparty risk is available to account for the proposed transaction.
7 . The hub computer device of claim 1 , wherein the intended execution venue comprises a swap execution facility.
8 . The hub computer device of claim 1 , wherein the total amount of available counterparty risk for the asset manager computer device is periodically updated.
9 . The hub computer device of claim 8 , wherein the total amount of available counterparty risk for the asset manager computer device is updated daily.
10 . The hub computer device of claim 1 , wherein the computer executable program code is further executable by the processor to cause the hub computer device to transmit, via the computer network, information to a credit computer device concerning the total amount of available counterparty risk of the asset manager computer device.
11 . The hub computer device of claim 1 , wherein the assigned portion of the total amount of available counter party risk exceeds that needed by the indicated execution venue to process the transaction received thereby.
12 . The hub computer device of claim 1 , wherein the computer executable program code is further executable by the processor to cause the hub computer device to receive an indication of a cancelation of the proposed transaction and, responsive thereto, account therefore by increasing the total amount of available counterparty risk stored in the memory by the amount of the assigned portion, and transmit data indicative thereof to the indicated execution venue.
13 . The hub computer device of claim 1 , wherein the computer executable program code is further executable by the processor to cause the hub computer device to:
receive, from the asset manager computer devices via the computer network coupled therebetween, another electronic indication of another proposed transaction for a financial instrument with at least one counterparty at another execution venue, coupled with the hub computer device via the computer network, to which another transaction in accordance with the other proposed transaction is to be transmitted by the asset manager computer device via the computer network;
assign another portion of the total amount of available counterparty risk to the proposed transaction and account therefore by reducing the total amount of available counterparty risk stored in the memory by the amount of the assigned other portion;
transmit, via the computer network, data indicative of the assigned other portion to the indicated other execution venue and, subsequent thereto, transmit, via the computer network, to the asset manager computer device from which the other electronic indication was received, another indication that the other portion has been assigned for the proposed other transaction and sent by the hub computer device to the indicated other execution venue via the computer network; and
wherein another transaction in accordance with the other proposed transaction transmitted by the asset manager computer device to the indicated other execution venue is received thereby subsequent to receipt of the assigned other portion of the total amount of available counter party risk from the hub computer device, thereby enabling the indicated execution venue to process the other transaction.
14 . The hub computer device of claim 1 , wherein the data indicative of the total amount of available counterparty risk for the asset manager computer device is received by the hub computer device prior or subsequent to receipt of the electronic indication of the proposed transaction.
15 . A computer implemented method comprising:
receiving, by a processor from an asset manager computer device via a computer network coupled therebetween, an electronic indication of a proposed transaction for a financial instrument with at least one counterparty at an execution venue, coupled with the hub computer device via the computer network, to which a transaction in accordance with the proposed transaction is to be transmitted by the asset manager computer device via the computer network;
storing in a memory in association with the asset manager computer device, data indicative of a total amount of available counterparty risk for the associated asset manager computer device;
assigning a portion of the total amount of available counterparty risk to the proposed transaction and accounting therefore by reducing the total amount of available counterparty risk stored in the memory by the amount of the assigned portion;
transmitting, via the computer network, data indicative of the assigned portion to the indicated execution venue and, subsequent thereto, transmitting, via the computer network, to the asset manager computer device from which the electronic indication was received, an indication that the portion has been assigned for the proposed transaction and sent by the hub computer device to the indicated execution venue via the computer network; and
wherein a transaction in accordance with the proposed transaction transmitted by the asset manager computer device to the indicated execution venue is received thereby subsequent to receipt of the assigned portion of the total amount of available counter party risk from the hub computer device, thereby enabling the indicated execution venue to process the transaction.
16 . The computer implemented method of claim 15 , wherein connections via the computer network with the asset manager computer device and the execution venue are pre-established.
17 . The computer implemented method of claim 15 , wherein the received data indicative of the total amount of available counterparty risk for the asset manager computer device is stored in a cache memory coupled with the processor.
18 . The computer implemented method of claim 15 , wherein the data indicative of total amount of available counterparty risk for an associated asset manager computer device is a current total available counterparty risk received from a credit computer device via the computer network and updated thereby based on one or more execution reports received by the credit computer device from the execution venue which indicate an execution status of transactions received thereby.
19 . The computer implemented method of claim 18 , wherein the credit computer device is operated by a futures commission merchant.
20 . The computer implemented method of claim 15 , further comprising determining, prior to the assignment of the portion of the total amount of available counterparty risk to the proposed transaction, that a sufficient portion of the total amount of available counterparty risk is available to account for the proposed transaction.
21 . The computer implemented method of claim 15 , wherein the intended execution venue comprises a swap execution facility.
22 . The computer implemented method of claim 15 , wherein the total amount of available counterparty risk for the asset manager computer device is periodically updated.
23 . The computer implemented method of claim 22 , wherein the total amount of available counterparty risk for the asset manager computer device is updated daily.
24 . The computer implemented method of claim 15 , further comprising transmitting, via the computer network, information to a credit computer device concerning the total amount of available counterparty risk of the asset manager computer device.
25 . The computer implemented method of claim 15 , wherein the assigned portion of the total amount of available counter party risk exceeds that needed by the indicated execution venue to process the transaction received thereby.
26 . The computer implemented method of claim 15 , further comprising:
receiving an indication of a cancelation of the proposed transaction and, responsive thereto, accounting therefore by increasing the total amount of available counterparty risk stored in the memory by the amount of the assigned portion, and transmitting data indicative thereof to the indicated execution venue.
27 . The computer implemented method of claim 15 , further comprising:
receiving, from the asset manager computer devices via the computer network coupled therebetween, another electronic indication of another proposed transaction for a financial instrument with at least one counterparty at another execution venue, coupled with the hub computer device via the computer network, to which another transaction in accordance with the other proposed transaction is to be transmitted by the asset manager computer device via the computer network;
assigning another portion of the total amount of available counterparty risk to the proposed transaction and account therefore by reducing the total amount of available counterparty risk stored in the memory by the amount of the assigned other portion;
transmitting, via the computer network, data indicative of the assigned other portion to the indicated other execution venue and, subsequent thereto, transmitting, via the computer network, to the asset manager computer device from which the other electronic indication was received, another indication that the other portion has been assigned for the proposed other transaction and sent by the hub computer device to the indicated other execution venue via the computer network; and
wherein another transaction in accordance with the other proposed transaction transmitted by the asset manager computer device to the indicated other execution venue is received thereby subsequent to receipt of the assigned other portion of the total amount of available counter party risk from the hub computer device, thereby enabling the indicated execution venue to process the other transaction.
28 . The computer implemented method of claim 15 , wherein the data indicative of the total amount of available counterparty risk for the asset manager computer device is received prior or subsequent to receipt of the electronic indication of the proposed transaction.
29 . A computer system comprising:
a hub computer device coupled between an asset manager computer device and an execution venue via a computer network, the hub computer device configured to:
receive, from the asset manager computer device, an electronic indication of a proposed transaction for a financial instrument with at least one counterparty at the execution venue to which a transaction in accordance with the proposed transaction is to be transmitted by the asset manager computer device via the computer network;
store in the memory in association with the asset manager computer device, data indicative of a total amount of available counterparty risk for the associated asset manager computer device;
assign a portion of the total amount of available counterparty risk to the proposed transaction and account therefore via a reduction of the total amount of available counterparty risk stored in the memory by the amount of the assigned portion;
transmit, via the computer network, data indicative of the assigned portion to the indicated execution venue and, subsequent thereto, transmit, via the computer network, to the asset manager computer device from which the electronic indication was received, an indication that the portion has been assigned for the proposed transaction and sent by the hub computer device to the indicated execution venue via the computer network; and
wherein a transaction in accordance with the proposed transaction transmitted by the asset manager computer device to the indicated execution venue is received thereby subsequent to receipt of the assigned portion of the total amount of available counter party risk from the hub computer device, thereby enabling the indicated execution venue to process the transaction.