Automatic collateral exchange for rehypothecated collateral

Abstract

A system for managing rehypothecated collateral allocations in financial transactions includes processors coupled to memory configured to store deal attributes. The processors may execute a collateral allocation module that is operable to receive a request to release a collateral allocation, identify the collateral allocation in one or more deals at a first level, and identify a rehypothecated portion of the collateral allocation in deals at subsequent levels. Where an entirety of the collateral allocation is identified at each subsequent level, the collateral allocation module may credit the one or more deals at each subsequent level with net free equity equal to an amount of cash to be exchanged at a prior level of the subsequent levels. When a total of the net free equity credit is equal to an amount of cash to be exchanged at the first level, the collateral allocation module may release the collateral allocation.

What is claimed is: 
     
         1 . A system for managing rehypothecated collateral allocations in one or more financial transactions, the system comprising:
 one or more processors coupled to one or more memory elements configured to store deal attributes;   the one or more processors operable to execute at least one collateral allocation module, the at least one collateral allocation module when executed operable to:
 receive a request to release a collateral allocation; 
 identify the collateral allocation in one or more deals at a first level; 
 identify a rehypothecated portion of the collateral allocation in one or more deals at one or more subsequent levels; 
 where an entirety of the collateral allocation is identified at each subsequent level, credit the one or more deals at each subsequent level with net free equity (NFE) equal to an amount of cash to be exchanged at a prior level of the one or more subsequent levels; and 
 when a total of the net free equity credit is equal to an amount of cash to be exchanged at the first level, release the collateral allocation. 
   
     
     
         2 . The system of  claim 1 , wherein the financial transactions comprise Tri-Party repurchasing agreements. 
     
     
         3 . The system of  claim 1 , wherein the request is received from a GSCX system. 
     
     
         4 . The system of  claim 3 , wherein the at least one collateral allocation module is further configured to determine if an identifier associated with the collateral allocation is blocked. 
     
     
         5 . The system of  claim 4 , wherein the identifier comprises a CUSIP. 
     
     
         6 . The system of  claim 4 , wherein the at least one collateral allocation module is further configured to determine whether a blocked identifier may be overridden. 
     
     
         7 . The system of  claim 6 , wherein the at least one collateral allocation module is further configured to determine if a block may be lifted on request if the blocked identifier cannot be overridden. 
     
     
         8 . The system of  claim 1 , wherein the request is received from a DTC system. 
     
     
         9 . The system of  claim 8 , wherein the at least one collateral allocation module is further configured to determine if a previous release request exists for the collateral allocation. 
     
     
         10 . The system of  claim 9 , wherein the at least one collateral allocation module is further configured to determine if the entire collateral allocation is in a lockup account, and passes an NFE check before releasing the collateral allocation to the DTC system. 
     
     
         11 . The system of  claim 8 , wherein the at least one collateral allocation module is further configured to perform an NFE check at the first level before identifying the collateral allocation in the one or more deals. 
     
     
         12 . A computer-implemented method for managing rehypothecated collateral allocations in one or more financial transactions, the method comprising:
 receiving, at one or more processors coupled to one or more memory elements configured to store deal attributes, a request to release a collateral allocation;   identifying, at the one or more processors, the collateral allocation in one or more deals at a first level;   identifying, at the one or more processors, a rehypothecated portion of the collateral allocation in one or more deals at one or more subsequent levels;   where an entirety of the collateral allocation is identified at each subsequent level, crediting, via the one or more processors, the one or more deals at each subsequent level with net free equity (NFE) equal to an amount of cash to be exchanged at a prior level of the one or more subsequent levels; and   when a total of the net free equity credit is equal to an amount of cash to be exchanged at the first level, releasing, via the one or more processors, the collateral allocation.   
     
     
         13 . The method of  claim 12 , wherein the financial transactions comprise Tri-Party repurchasing agreements. 
     
     
         14 . The method of  claim 12 , wherein the request is received from a GSCX system. 
     
     
         15 . The method of  claim 14 , further comprising determining if an identifier associated with the collateral allocation is blocked. 
     
     
         16 . The method of  claim 15 , wherein the identifier comprises a CUSIP. 
     
     
         17 . The method of  claim 15 , further comprising determining whether a blocked identifier may be overridden. 
     
     
         18 . The method of  claim 17 , further comprising determining if a block may be lifted on request if the blocked identifier cannot be overridden. 
     
     
         19 . The method of  claim 12 , wherein the request is received from a DTC system. 
     
     
         20 . The method of  claim 19 , further comprising determining if a previous release request exists for the collateral allocation. 
     
     
         21 . The method of  claim 20 , further comprising determining if the entire collateral allocation is in a lockup account, and passes an NFE check before releasing the collateral allocation to the DTC system. 
     
     
         22 . The method of  claim 19 , further comprising performing an NFE check at the first level before identifying the collateral allocation in the one or more deals.