Derivative Trading Contract Collateral Management Method and Device

Abstract

The present invention provides a method and device for managing collateral of derivative trading contracts, which can be used in the financial field. The method includes: determining the corresponding relationship and the collateral amount between the derivative trading contract, the guarantee contract, and the margin according to the trading information of the derivative trading contract, the contract information of the guarantee contract, and the account information of the margin; determining the collateral information of the collateral corresponding to the guarantee contract and the sub-account information corresponding to the margin; determining the collateral amount of the collateral according to the corresponding relationship and the collateral amount. The present invention can adjust the guarantee contract and margin information of the contract in real time according to the changes of the derivative trading contract, improving the utilization rate of computer resources and the information storage efficiency of the management system.

Description

Technical Field

[0001] The present invention relates to the technical field of collateral management, particularly to the financial field, and more particularly to a method and device for managing collateral of derivative trading contracts. Background Art

[0002] Currently, derivative transactions support credit granting, collateral pledge, and margin as measures for mitigating customer credit risks. Among them, the pledge guarantee method is still managed manually offline and does not support system linkage management; the margin method currently only supports single currencies such as RMB or US dollars and cannot support multi-currency margins. Moreover, when there are contract changes in derivative trading contracts such as changes in guarantee contracts, changes in collateral valuation, and the emergence of extended guarantee contracts, more computer resources are required to store a large amount of information on changes in derivative trading contracts, resulting in waste of computer resources in the derivative trading contract management system and reduced storage efficiency and utilization rate. Summary of the Invention

[0003] An object of the present invention is to provide a method for managing collateral of derivative trading contracts, which can adjust the guarantee contract and margin information of the contract in real time according to the changes in the derivative trading contract, and improve the utilization rate of computer resources and information storage efficiency of the management system. Another object of the present invention is to provide a device for managing collateral of derivative trading contracts. Still another object of the present invention is to provide a computer device. Yet another object of the present invention is to provide a readable medium.

[0004] To achieve the above objects, on the one hand, the present invention discloses a method for managing collateral of derivative trading contracts, including:

[0005] Determine the corresponding relationship and guarantee amount between the derivative trading contract, the guarantee contract, and the margin according to the trading information of the derivative trading contract, the contract information of the guarantee contract, and the account information of the margin;

[0006] Determine the collateral information of the collateral corresponding to the guarantee contract and the sub-account information corresponding to the margin;

[0007] Determine the guarantee amount of the collateral according to the corresponding relationship and the guarantee amount.

[0008] Preferably, the step of determining the corresponding relationship and guarantee amount between the derivative trading contract, the guarantee contract, and the margin according to the trading information of the derivative trading contract, the contract information of the guarantee contract, and the account information of the margin specifically includes:

[0009] Determine the guarantee contract and margin corresponding to each derivative trading contract according to the trading information of the derivative trading contract;

[0010] Determine the guarantee contracts corresponding to each derivative transaction contract and the guarantee amounts of the margin according to the contract information of the guarantee contracts and the account information of the margin.

[0011] Preferably, the collateral information of the collateral corresponding to the guarantee contract and the sub-account information corresponding to the margin specifically include:

[0012] Determine the collateral information of the collateral corresponding to each guarantee contract according to the contract information of the guarantee contracts;

[0013] Determine the sub-account information of different currencies of the margin according to the account information of the margin.

[0014] Preferably, the determination of the guarantee amount of the collateral according to the corresponding relationship and the guarantee amount specifically includes:

[0015] Determine the total guarantee amount of each guarantee contract according to the guarantee amount of each guarantee contract corresponding to each derivative transaction contract;

[0016] Determine the guarantee ratio of each collateral corresponding to each guarantee contract according to the valuation of the collateral information of the collateral corresponding to each guarantee contract;

[0017] Determine the guarantee amount of each collateral according to the guarantee ratio of the collateral and the total guarantee amount of the corresponding guarantee contract.

[0018] Preferably, it further includes:

[0019] If the valuation of the collateral changes, determine the target guarantee contract corresponding to the collateral with the valuation change;

[0020] Redetermine the guarantee ratio of each collateral according to the valuation of each collateral corresponding to the target guarantee contract;

[0021] Redetermine the guarantee amount of each collateral according to the redetermined guarantee ratio of each collateral and the total guarantee amount of the target guarantee contract.

[0022] Preferably, it further includes:

[0023] Judge whether the guarantee amount of each collateral redetermined is greater than the valuation of the corresponding collateral;

[0024] If so, feedback a warning message to the management personnel.

[0025] Preferably, it further includes:

[0026] If there is a rollover transaction for the derivative transaction contract, determine the rollover amount of the rollover transaction;

[0027] Determine the rollover contract information of the guarantee contract of the rollover transaction and the rollover collateral information of the collateral of each guarantee contract;

[0028] Determine the guarantee amount of each collateral according to the rollover amount, the rollover contract information, and the rollover collateral information.

[0029] The present invention also discloses a collateral management device for derivative trading contracts, including:

[0030] A transaction analysis module, configured to determine the corresponding relationship and the guarantee amount between the derivative trading contract, the guarantee contract, and the margin according to the transaction information of the derivative trading contract, the contract information of the guarantee contract, and the account information of the margin;

[0031] A mortgage analysis module, configured to determine the collateral information of the collateral corresponding to the guarantee contract and the sub-account information corresponding to the margin;

[0032] A guarantee amount determination module, configured to determine the guarantee amount of the collateral according to the corresponding relationship and the guarantee amount.

[0033] The present invention also discloses a computer device, including a memory, a processor, and a computer program stored on the memory and executable on the processor.

[0034] When the processor executes the program, the above-mentioned method is implemented.

[0035] The present invention also discloses a computer-readable medium, on which a computer program is stored.

[0036] When the program is executed by the processor, the above-mentioned method is implemented.

[0037] The collateral management method for derivative trading contracts of the present invention determines the corresponding relationship and the guarantee amount between the derivative trading contract, the guarantee contract, and the margin according to the transaction information of the derivative trading contract, the contract information of the guarantee contract, and the account information of the margin, determines the collateral information of the collateral corresponding to the guarantee contract and the sub-account information corresponding to the margin, and determines the guarantee amount of the collateral according to the corresponding relationship and the guarantee amount. Thus, the present invention determines the corresponding relationship between the derivative trading contract, the guarantee contract, and the margin according to the transaction information of the derivative trading contract, the contract information of the guarantee contract, and the account information of the margin, and at the same time can determine the guarantee amount of the guarantee contract and the margin to the corresponding derivative trading contract. Further, according to the contract information of the guarantee contract, the collateral information of the collateral corresponding to the guarantee contract and the sub-account information of the margin are determined. The present invention uniformly manages the relevant information of the guarantee contract and the margin associated with the derivative trading contract, improving the credit risk management level of financial derivative products. Moreover, the present invention adjusts the guarantee amount of the collateral of the guarantee contract and the margin information of the contract in real time according to the change of the derivative trading contract, improving the utilization rate of computer resources and the information storage efficiency of the management system, and reducing the waste of computer resources of the management system. BRIEF DESCRIPTION OF THE DRAWINGS

[0038] In order to more clearly illustrate the technical solutions in the embodiments of the present invention or the prior art, the following will briefly introduce the drawings required for the description of the embodiments or the prior art. Obviously, the drawings in the following description are only some embodiments of the present invention. For those of ordinary skill in the art, without creative efforts, other drawings can be obtained based on these drawings.

[0039] Figure 1 A structure diagram showing a specific embodiment of the collateral management system for derivative trading contracts of the present invention;

[0040] Figure 2 A flowchart showing a specific embodiment of the method for managing collateral for derivative trading contracts of the present invention;

[0041] Figure 3 A flowchart showing a specific embodiment S100 of the method for managing collateral for derivative trading contracts of the present invention;

[0042] Figure 4 A relationship diagram showing the relationship between a derivative trading contract and a guarantee contract in a specific embodiment of the method for managing collateral for derivative trading contracts of the present invention;

[0043] Figure 5 A flowchart showing a specific embodiment S200 of the method for managing collateral for derivative trading contracts of the present invention;

[0044] Figure 6 A flowchart showing a specific embodiment S300 of the method for managing collateral for derivative trading contracts of the present invention;

[0045] Figure 7 A schematic diagram showing that each guarantee contract in a specific embodiment of the method for managing collateral for derivative trading contracts is only linked to one collateral and only guarantees one transaction;

[0046] Figure 8 A schematic diagram showing that each guarantee contract in a specific embodiment of the method for managing collateral for derivative trading contracts is only linked to one collateral but guarantees multiple transactions;

[0047] Figure 9 A schematic diagram showing that each guarantee contract in a specific embodiment of the method for managing collateral for derivative trading contracts is linked to multiple collaterals and guarantees multiple transactions;

[0048] Figure 10 A flowchart showing a specific embodiment S400 of the method for managing collateral for derivative trading contracts of the present invention;

[0049] Figure 11 A schematic diagram showing the change in the valuation of the collateral in a specific embodiment of the method for managing collateral for derivative trading contracts of the present invention;

[0050] Figure 12 Shows the flowchart of early warning after the collateral valuation change in the specific embodiment of the collateral management method for derivative trading contracts of the present invention;

[0051] Figure 13 Shows the flowchart of S500 in the specific embodiment of the collateral management method for derivative trading contracts of the present invention;

[0052] Figure 14 Shows the schematic diagram of the rollover additional collateral contract in the specific embodiment of the collateral management method for derivative trading contracts of the present invention;

[0053] Figure 15 Shows the structural diagram of the specific embodiment of the collateral management device for derivative trading contracts of the present invention;

[0054] Figure 16 Shows the structural schematic diagram of a computer device suitable for implementing the embodiments of the present invention. Detailed implementation manners

[0055] Next, the technical solutions in the embodiments of the present invention will be clearly and completely described in conjunction with the accompanying drawings in the embodiments of the present invention. Obviously, the described embodiments are only a part of the embodiments of the present invention, rather than all the embodiments. All other embodiments obtained by those of ordinary skill in the art based on the embodiments of the present invention without creative efforts shall fall within the protection scope of the present invention.

[0056] It should be noted that a collateral management method and device for derivative trading contracts disclosed in the present application can be used in the financial field, and can also be used in any field other than the financial field. The application field of a collateral management method and device for derivative trading contracts disclosed in the present application is not limited.

[0057] To facilitate the understanding of the technical solutions provided in the present application, the relevant content of the technical solutions in the present application will be described first. The collateral management method for derivative trading contracts provided in the embodiments of the present invention determines the corresponding relationship between the derivative trading contract, the collateral contract, and the margin according to the trading information of the derivative trading contract, the contract information of the collateral contract, and the account information of the margin. At the same time, the collateral amount of the collateral contract and the margin corresponding to the corresponding derivative trading contract can be determined. Further, the collateral information of the collateral corresponding to the collateral contract and the sub-account information of the margin are determined according to the contract information of the collateral contract. The present invention uniformly manages the relevant information of the collateral contract and the margin associated with the derivative trading contract, improves the credit risk management level of financial derivative products, effectively improves the current situation of high customer margin and credit line occupancy, and enhances the business competitiveness of financial derivative products.

[0058] Figure 1is a schematic structural diagram of a collateral management system for derivative trading contracts provided by an embodiment of the present invention. As Figure 1 shown, the collateral management system for derivative trading contracts provided by the embodiment of the present invention includes a trading device 1 and a collateral management device 2 for derivative trading contracts.

[0059] Among them, the trading device 1 can interact with customers to complete the derivative trading contracts of customers, forming trading information of derivative trading contracts, contract information of guarantee contracts, and account information of margin.

[0060] The collateral management device 2 for derivative trading contracts is used to determine the corresponding relationship and guarantee amount between the derivative trading contract, the guarantee contract, and the margin according to the trading information of the derivative trading contract, the contract information of the guarantee contract, and the account information of the margin, determine the collateral information of the collateral corresponding to the guarantee contract and the sub-account information corresponding to the margin, and determine the guarantee amount of the collateral according to the corresponding relationship and the guarantee amount.

[0061] Next, taking the collateral management device 2 for derivative trading contracts as the execution subject as an example, the implementation process of the collateral management method for derivative trading contracts provided by the embodiment of the present invention is described. It can be understood that the execution subject of the collateral management method for derivative trading contracts provided by the embodiment of the present invention includes but is not limited to the collateral management device 2 for derivative trading contracts.

[0062] According to one aspect of the present invention, an embodiment of the present invention discloses a collateral management method for derivative trading contracts. As Figure 2 shown, in this embodiment, the method includes:

[0063] S100: Determine the corresponding relationship and guarantee amount between the derivative trading contract, the guarantee contract, and the margin according to the trading information of the derivative trading contract, the contract information of the guarantee contract, and the account information of the margin.

[0064] Among them, it can be understood that when a customer signs a guarantee contract for a derivative trading contract, the trading information of the derivative trading contract and the contract information of the guarantee contract can be automatically obtained and associated. Among them, the trading information of the derivative trading contract may include information such as a trading number, a product name of a financial derivative product, product content, quantity, product price, a guarantee contract number, and a margin account number, and the contract information of the guarantee contract may include the trading number of the corresponding derivative trading contract, the guarantee contract number, the guarantee amount, the collateral number, and the collateral amount. The margin may include information such as the trading number of the corresponding derivative trading contract, the margin account number, the sub-account number, the sub-account currency, and the guarantee amount.

[0065] S200: Determine the collateral information of the collateral corresponding to the guarantee contract and the sub-account information corresponding to the margin.

[0066] It is understandable that the collateral information of the collateral may include information such as the collateral number, the name of the collateral, and the collateral amount. The sub-account information corresponding to the margin includes information such as the sub-account number, the sub-account currency, and the distributed amount.

[0067] S300: Determine the guarantee amount of the collateral according to the corresponding relationship and the guarantee amount.

[0068] The collateral management method for derivative trading contracts of the present invention determines the corresponding relationship and the guarantee amount between the derivative trading contract, the guarantee contract, and the margin according to the trading information of the derivative trading contract, the contract information of the guarantee contract, and the account information of the margin, determines the collateral information of the collateral corresponding to the guarantee contract and the sub-account information corresponding to the margin, and determines the guarantee amount of the collateral according to the corresponding relationship and the guarantee amount. Thus, the present invention determines the corresponding relationship between the derivative trading contract, the guarantee contract, and the margin according to the trading information of the derivative trading contract, the contract information of the guarantee contract, and the account information of the margin, and at the same time can determine the guarantee amounts of the guarantee contract and the margin for the corresponding derivative trading contract respectively. And further determine the collateral information of the collateral corresponding to the guarantee contract and the sub-account information of the margin according to the contract information of the guarantee contract. The present invention uniformly manages the relevant information of the guarantee contract and the margin associated with the derivative trading contract, improving the credit risk management level of financial derivative products. Moreover, the present invention adjusts the guarantee amount of the collateral of the guarantee contract and the margin information of the contract in real time according to the changes of the derivative trading contract, improving the utilization rate of computer resources and the information storage efficiency of the management system, and reducing the waste of computer resources of the management system.

[0069] In a preferred embodiment, as Figure 3 shown, the step S100 of determining the corresponding relationship and the guarantee amount between the derivative trading contract, the guarantee contract, and the margin according to the trading information of the derivative trading contract, the contract information of the guarantee contract, and the account information of the margin specifically includes:

[0070] S110: Determine the guarantee contract and the margin corresponding to each derivative trading contract according to the trading information of the derivative trading contract.

[0071] S120: Determine the guarantee amounts of the guarantee contract and the margin corresponding to each derivative trading contract according to the contract information of the guarantee contract and the account information of the margin.

[0072] It is understandable that when a customer purchases a financial derivative product, a derivative transaction contract needs to be completed to obtain the transaction information of the derivative transaction contract. At the same time, the customer also needs to sign a collateral guarantee contract and / or margin provided for the derivative transaction contract. Based on the transaction information formed by the customer in different derivative transaction contracts, the contract information of the guarantee contract signed in this financial derivative transaction, and the account information of the margin provided, etc., each guarantee contract and margin associated with the derivative transaction contract can be determined. Thus, the guarantee amount of each guarantee contract and / or the guarantee amount of the margin corresponding to each derivative transaction contract can be determined according to the contract information of the guarantee contract and the account information of the margin corresponding to each derivative transaction contract. In a specific example, the transaction information of the derivative transaction contract may include information such as the transaction number, product name of the financial derivative product, product content, quantity, product price, guarantee contract number, and margin account number, etc. The contract information of the guarantee contract may include the transaction number of the corresponding derivative transaction contract, guarantee contract number, guarantee amount, collateral number, and collateral amount, etc. The margin may include information such as the transaction number of the corresponding derivative transaction contract, margin account number, sub-account number, sub-account currency, guarantee amount, etc. Then, according to the guarantee contract number and margin account number in the transaction information of the derivative transaction contract, the guarantee contract corresponding to the guarantee contract number and the margin corresponding to the margin account number can be associated.

[0073] It should be noted that (1) Collateral guarantee rule: The relationship between the derivative transaction contract and the guarantee contract is many-to-many, that is, one derivative transaction contract can be linked to multiple guarantee contracts, and one guarantee contract can also be linked to multiple derivative transaction contracts, but one collateral can only belong to one guarantee contract. (2) Multi-currency margin rule: One derivative transaction contract can support multi-currency margin. Each customer still has only one main margin account, but can have multiple sub-margin accounts. For example, in Figure 4 the specific example shown, after the customer purchases the financial derivative product, three derivative transaction contracts, namely derivative transaction contract 1, derivative transaction contract 2, and derivative transaction contract 3, are formed. The guarantee types of these three derivative transaction contracts are respectively: partial margin and partial credit (corresponding to derivative transaction contract 1), full guarantee contract (corresponding to derivative transaction contract 2), and partial margin and partial guarantee contract (corresponding to derivative transaction contract 3).

[0074] Moreover, the amount of the guarantee contract occupied by the derivative transaction is determined according to "the real-time ratio of the derivative transaction occupying the guarantee contract (the amount of the derivative transaction occupying this guarantee contract / the total guarantee amount of the guarantee contract) × the total guarantee amount of the guarantee contract". If the derivative transactions linked to the guarantee contract are increased or the guarantee amount of the original derivative transaction is adjusted, the real-time ratio of the derivative transaction occupying the guarantee contract is adjusted accordingly according to "the latest amount of the derivative transaction occupying this guarantee contract / the total guarantee amount of the guarantee contract".

[0075] In a preferred embodiment, as Figure 5 shown, the determination by the S200 of the collateral information of the collateral corresponding to the guarantee contract and the sub-account information corresponding to the margin specifically includes:

[0076] S210: Determine the collateral information of the collateral corresponding to each guarantee contract according to the contract information of the guarantee contract.

[0077] S220: Determine the sub-account information of different currencies of the margin according to the account information of the margin.

[0078] It can be understood that when a customer purchases a financial derivative product to complete a derivative transaction contract and obtains the transaction information of the derivative transaction contract, the customer also needs to sign a collateral guarantee contract and / or margin provided for the derivative transaction contract. Among them, when a guarantee contract needs to use collateral to provide a collateral amount, the margin needs to be associated with at least one sub-account with margin. Therefore, the guarantee contract and the margin need to be corresponded to the corresponding collateral and sub-account according to the collateral information and sub-account information respectively. In a specific example, the contract information of the guarantee contract may include the transaction number of the corresponding derivative transaction contract, the guarantee contract number, the guarantee amount, the collateral number, and the collateral amount, etc. The account information of the margin may include the transaction number of the corresponding derivative transaction contract, the margin account number, the sub-account number, the sub-account currency, the guarantee amount, etc. The collateral information of the collateral may include the collateral number, the name of the collateral, and the collateral amount, etc. The sub-account information corresponding to the margin includes the sub-account number, the sub-account currency, and the distributed amount, etc. Then, according to the collateral number in the guarantee contract, the collateral with the corresponding collateral number can be associated, and according to the sub-account number in the margin, the sub-account with the corresponding sub-account number can be associated. Currently, many derivative transaction contracts relate to multi-currency margin: One derivative transaction contract can support multi-currency margin. Each customer still has only one main margin account, but there can be multiple margin sub-accounts. For the collateral of the guarantee contract, multiple collaterals can be managed under one guarantee contract, and one guarantee contract can be associated with multiple derivative transaction contracts. For example, in Figure 4In the specific examples shown, margin 1 is associated with sub-accounts 1 and 2, and margin 2 is associated with sub-accounts 3 and 4. The currency of sub-account 1 is RMB (Renminbi), and the currency of sub-account 2 is GBP (Pound Sterling). The currency of sub-account 3 is USD (US Dollar), and the currency of sub-account 4 is AUD (Australian Dollar). Guarantee contract 1 is associated with collateral 1 and collateral 2, and guarantee contract 2 is associated with collateral 3. Among them, the collateral amounts of collateral 1 and collateral 2 are expressed in USD (US Dollar), and the collateral amount of collateral 3 is expressed in RMB (Renminbi). Regarding the collateral sharing ratio rule: The shared amount of the occupied collateral is occupied according to the initial collateral sharing ratio (the initial valuation amount of the collateral / the total initial valuation amount of all collateral linked to the guarantee contract). If collateral is added or reduced during the transaction period or the collateral valuation changes, the collateral shared amount is re-determined according to the latest real-time collateral sharing ratio, that is, the collateral shared amount = the amount of the derivative transaction occupying the guarantee contract × the real-time collateral sharing ratio, where: the real-time collateral sharing ratio = the latest valuation amount of the collateral / the total latest valuation amount of all collateral linked to the guarantee contract.

[0079] In a preferred embodiment, as Figure 6 shown, the step S300 of determining the guarantee amount of the collateral according to the corresponding relationship and the guarantee amount specifically includes:

[0080] S310: Determine the total guarantee amount of each guarantee contract according to the guarantee amount of each guarantee contract to the corresponding derivative transaction contract.

[0081] S320: Determine the guarantee ratio of each collateral corresponding to each guarantee contract according to the valuation of the collateral information of the collateral corresponding to each guarantee contract.

[0082] S330: Determine the guarantee amount of each collateral according to the guarantee ratio of the collateral and the total guarantee amount of the corresponding guarantee contract.

[0083] Specifically, it can be understood that a guarantee contract can provide guarantees for multiple derivative transaction contracts, and the transaction information of the derivative transaction contracts has pre-set the total guarantee amount required for each derivative transaction contract and the guarantee amounts of the corresponding guarantee contracts and / or margins. When determining the guarantee amount of the collateral corresponding to each guarantee contract, it is necessary to determine the guarantee ratio of each collateral according to the initial valuation of each collateral, so that each collateral provides a guarantee amount within its own collateral amount range according to the guarantee ratio.

[0084] For example, in Figure 7In a specific example shown, each guarantee contract is linked to only one collateral and provides guarantee for only one transaction. Among them, the initial guarantee amount provided by Guarantee Contract 1 for Derivative Transaction 1 is 20. The proportion of Derivative Transaction Contract 1 occupying Guarantee Contract 1 is 20 / 20 = 100%, and the initial sharing proportion of the collateral is 100%. The sharing amount of Collateral A for Derivative Transaction 1 is 20×100%×100% = 20; the initial guarantee amount provided by Guarantee Contract 2 for Derivative Transaction 1 is 30, and the proportion of Derivative Transaction Contract 1 occupying Guarantee Contract 2 is 30 / 30 = 100%; the sharing amount of Collateral B for Derivative Transaction 1 is 30×100%×100% = 30.

[0085] In Figure 8 In another specific example shown, each guarantee contract is linked to only one collateral but provides guarantee for multiple transactions. Among them, the proportion of Derivative Transaction Contract 1 occupying Guarantee Contract 1 is: 40 / (40 + 40) = 50%, the proportion of Derivative Transaction Contract 2 occupying Guarantee Contract 1 is: 40 / (40 + 40) = 50%, the proportion of Derivative Transaction Contract 2 occupying Guarantee Contract 2 is: 30 / (30 + 30) = 50%, and the proportion of Derivative Transaction Contract 3 occupying Guarantee Contract 2 is: 30 / (30 + 30) = 50%. The guarantee amount of Collateral A for Transaction 1 is 80×50%×100% = 40, the guarantee amount of Collateral A for Transaction 2 is 80×50%×100% = 40, the guarantee amount of Collateral B for Transaction 1 is 60×50%×100% = 30, and the guarantee amount of Collateral B for Transaction 2 is 60×50%×100% = 30.

[0086] In Figure 9In yet another specific example shown, there is a scenario where each guarantee contract is linked to multiple collateral items and guarantees multiple transactions. Among them, the proportion of derivative transaction contract 1 occupying guarantee contract 1 is: 40 / (40 + 40) = 50%; the proportion of derivative transaction contract 2 occupying guarantee contract 1 is: 40 / (40 + 40) = 50%; the proportion of derivative transaction contract 2 occupying guarantee contract 2 is: 30 / (30 + 30) = 50%; the proportion of derivative transaction contract 3 occupying guarantee contract 2 is: 30 / (30 + 30) = 50%; the proportion of the amount allocated by collateral A to guarantee contract 1 is: 100 / (100 + 300) = 25%; the proportion of the amount allocated by collateral B to guarantee contract 1 is: 300 / (100 + 300) = 75%; the proportion of the amount allocated by collateral C to guarantee contract 2 is: 50 / (50 + 150) = 25%; the proportion of the amount allocated by collateral D to guarantee contract 2 is: 150 / (50 + 150) = 75%. The amount allocated by collateral A to transaction 1 is 80 × 50% × 25% = 10; the amount allocated by collateral A to transaction 2 is 80 × 50% × 25% = 10; the amount allocated by collateral B to transaction 1 is 80 × 50% × 75% = 30; the amount allocated by collateral B to transaction 2 is 80 × 50% × 75% = 30; the amount allocated by collateral C to transaction 2 is 60 × 50% × 25% = 7.5; the amount allocated by collateral C to transaction 3 is 60 × 50% × 25% = 7.5; the amount allocated by collateral D to transaction 2 is 60 × 50% × 75% = 22.5; the amount allocated by collateral D to transaction 3 is 60 × 50% × 75% = 22.5.

[0087] In a preferred embodiment, as Figure 10 shown, the method further includes S400:

[0088] S410: If the valuation of the collateral changes, determine the target guarantee contract corresponding to the collateral with the changed valuation.

[0089] S420: Re - determine the guarantee ratio of each collateral according to the valuations of the collaterals corresponding to the target guarantee contract.

[0090] S430: Re - determine the guarantee amount of each collateral according to the re - determined guarantee ratio of each collateral and the total guarantee amount of the target guarantee contract.

[0091] Specifically, when the valuation of the collateral changes, the amount of guarantee that the collateral can provide will change. To accurately determine the amount of guarantee that the collateral can provide after the change in the collateral valuation, thereby reducing the phenomenon of high customer margin and authorized occupancy, improving the credit risk management level, and effectively enhancing the business competitiveness of financial derivatives, in this preferred implementation, after the valuation of the collateral changes, the guarantee amount of the collateral is re-determined according to the re-determined valuation, avoiding the situation where additional customer margin needs to be occupied when the collateral valuation changes. Optionally, the commonly used collateral currently can be collateral such as local and foreign currency time deposits and structured deposits, which is convenient for the refined management of the collateral.

[0092] In a specific example, such as Figure 11 As shown, before the depreciation of Collateral D: The proportion of Derivative Transaction Contract 2 occupying Guarantee Contract 2 is: 30 / (30 + 30) = 50%; The proportion of Derivative Transaction Contract 3 occupying Guarantee Contract 2 is: 30 / (30 + 30) = 50%; The proportion of the amount allocated by Collateral C to Guarantee Contract 2 is: 50 / (50 + 150) = 25%; The proportion of the amount allocated by Collateral D to Guarantee Contract 2 is: 150 / (50 + 150) = 75%; The amount allocated by Collateral C to Transaction 2 is 60×50%×25% = 7.5; The amount allocated by Collateral C to Transaction 3 is 60×50%×25% = 7.5; The amount allocated by Collateral D to Transaction 2 is 60×50%×75% = 22.5; The amount allocated by Collateral D to Transaction 3 is 60×50%×75% = 22.5.

[0093] If the value of Collateral D depreciates from the original 150 to 30, then Collateral D is under-valued (30 < 45). At this time, the customer adds Collateral E with a value of 20. Then, the proportion of the amount allocated by Collateral C to Guarantee Contract 2 is: 50 / (50 + 30 + 20) = 50%; The proportion of the amount allocated by Collateral D to Guarantee Contract 2 is: 30 / (50 + 30 + 20) = 30%; The proportion of the amount allocated by Collateral E to Guarantee Contract 2 is: 20 / (50 + 30 + 20) = 20%; The amount allocated by Collateral C to Transaction 2 is 60×50%×50% = 15; The amount allocated by Collateral C to Transaction 3 is 60×50%×50% = 15; The amount allocated by Collateral D to Transaction 2 is 60×50%×30% = 9; The amount allocated by Collateral D to Transaction 3 is 60×50%×30% = 9; The amount allocated by Collateral E to Transaction 2 is 60×50%×20% = 6; The amount allocated by Collateral E to Transaction 3 is 60×50%×20% = 6.

[0094] In the preferred implementation, such as Figure 12 As shown, the method further includes:

[0095] S440: Determine whether the guarantee amount of each re-determined collateral is greater than the valuation of the corresponding collateral.

[0096] S450: If yes, feedback the warning information to the management personnel.

[0097] Specifically, for example, for Figure 11 the specific example shown, the valuation of the collateral D changes from 150 to 30. At this time, the total collateral amount of collateral C and collateral D is 80, which is greater than the collateral amount of 60 (30 + 30) provided by the guarantee contract 2 to the derivative transaction contract 2 and the derivative transaction contract 3. Then the guaranteed amount of each collateral determined again can still guarantee the collateral amount required by the derivative transaction contract 2 and the derivative transaction contract 3. At this time, there is no need to feedback to the management personnel. However, when the valuation of the collateral D changes from 150 to 5, at this time, the total collateral amount of collateral C and collateral D is 55, which is less than the collateral amount of 60 (30 + 30) provided by the guarantee contract 2 to the derivative transaction contract 2 and the derivative transaction contract 3. Then the guaranteed amount of each collateral determined again cannot meet the collateral amount required by the derivative transaction contract 2 and the derivative transaction contract 3. Then the collateral of the derivative transaction contract 2 and the derivative transaction contract 3 is insufficient, and it is necessary to feedback the warning information to the management personnel so that the management personnel can request the customer to provide more collateral or margin to prevent the generation of financial risks.

[0098] In a preferred embodiment, as Figure 13 shown, the method further includes S500:

[0099] S510: If there is a rollover transaction for the derivative transaction contract, determine the rollover amount of the rollover transaction.

[0100] S520: Determine the rollover contract information of the guarantee contract for the rollover transaction and the rollover collateral information of the collateral of each guarantee contract.

[0101] S530: Determine the guaranteed amount of each collateral according to the rollover amount, the rollover contract information and the rollover collateral information.

[0102] Specifically, when there is a rollover for the derivative transaction and a rollover amount is added during the rollover period. Then the customer needs to sign a rollover guarantee contract for the rollover transaction during the rollover period and provide relevant collateral and / or margin. Among them, the calculation method of the guaranteed amount required for the collateral of the guarantee contract during the rollover period is similar to the calculation method of the above embodiment and will not be elaborated here. For example, in a specific example, as Figure 14As shown, during the extension period, additional collateral contract 3 is involved, and the collateral amount occupied is 50 (the extension amount). Then, the proportion of the derivative transaction contract occupying collateral contract 3 is: 100%; the proportion of the amount allocated by collateral C to collateral contract 3 is: 50 / (50 + 150) = 25%; the proportion of the amount allocated by collateral D to collateral contract 3 is: 150 / (50 + 150) = 75%; the amount allocated by collateral C to the derivative transaction is 50 × 25% × 100% = 12.5; the amount allocated by collateral D to the derivative transaction is 50 × 75% × 100% = 37.5.

[0103] Based on the same principle, this embodiment also discloses a collateral management device for derivative transaction contracts. As Figure 15 shown, in this embodiment, the device includes a transaction analysis module 11, a collateral analysis module 12, and a collateral amount determination module 13.

[0104] Among them, the transaction analysis module 11 is used to determine the corresponding relationship and collateral amount between the derivative transaction contract, the collateral contract, and the margin according to the transaction information of the derivative transaction contract, the contract information of the collateral contract, and the account information of the margin.

[0105] The collateral analysis module 12 is used to determine the collateral information of the collateral corresponding to the collateral contract and the sub-account information corresponding to the margin.

[0106] The collateral amount determination module 13 is used to determine the collateral amount of the collateral according to the corresponding relationship and the collateral amount.

[0107] The present invention determines the corresponding relationship between the derivative transaction contract, the collateral contract, and the margin according to the transaction information of the derivative transaction contract, the contract information of the collateral contract, and the account information of the margin. At the same time, it can determine the collateral amounts of the collateral contract and the margin for the corresponding derivative transaction contract respectively. And further, according to the contract information of the collateral contract, it determines the collateral information of the collateral corresponding to the collateral contract and the sub-account information of the margin. The present invention uniformly manages the relevant information of the collateral contract and the margin associated with the derivative transaction contract, improving the credit risk management level of financial derivative products. Moreover, the present invention adjusts the collateral amount of the collateral contract of the contract and the margin information in real time according to the changes of the derivative transaction contract, improving the utilization rate of computer resources and the information storage efficiency of the management system, and reducing the waste of computer resources of the management system.

[0108] In a preferred implementation manner, the transaction analysis module 11 is specifically used to determine the collateral contract and the margin corresponding to each derivative transaction contract according to the transaction information of the derivative transaction contract. Determine the collateral amounts of the collateral contract and the margin corresponding to each derivative transaction contract according to the contract information of the collateral contract and the account information of the margin.

[0109] It is understandable that when a customer purchases a financial derivative product, a derivative transaction contract needs to be completed to obtain the transaction information of the derivative transaction contract. At the same time, the customer also needs to sign a collateral guarantee contract and / or margin provided for the derivative transaction contract. Based on the transaction information formed by the customer in different derivative transaction contracts, the contract information of the guarantee contract signed in this financial derivative transaction, and the account information of the margin provided, etc., each guarantee contract and margin associated with the derivative transaction contract can be determined. Thus, the guarantee amount of each guarantee contract and / or the guarantee amount of the margin corresponding to each derivative transaction contract can be determined according to the contract information of the guarantee contract and the account information of the margin corresponding to each derivative transaction contract. In a specific example, the transaction information of the derivative transaction contract may include information such as transaction number, product name of the financial derivative product, product content, quantity, product price, guarantee contract number, and margin account number, etc. The contract information of the guarantee contract may include the transaction number of the corresponding derivative transaction contract, guarantee contract number, guarantee amount, collateral number, and collateral amount, etc. The margin may include information such as the transaction number of the corresponding derivative transaction contract, margin account number, sub-account number, sub-account currency, guarantee amount, etc. Then, according to the guarantee contract number and margin account number in the transaction information of the derivative transaction contract, the guarantee contract corresponding to the guarantee contract number and the margin corresponding to the margin account number can be associated.

[0110] It should be noted that: (1) Collateral guarantee rule: The relationship between the derivative transaction contract and the guarantee contract is many-to-many, that is, one derivative transaction contract can be linked to multiple guarantee contracts, and one guarantee contract can also be linked to multiple derivative transaction contracts, but one collateral can only belong to one guarantee contract. (2) Multi-currency margin rule: One derivative transaction contract can support multi-currency margin. Each customer still has only one main margin account, but there can be multiple sub-margin accounts. For example, in Figure 4 the specific example shown, after the customer purchases the financial derivative product, three derivative transaction contracts, namely derivative transaction contract 1, derivative transaction contract 2, and derivative transaction contract 3, are formed. The guarantee types of these three derivative transaction contracts are: partial margin and partial credit (corresponding to derivative transaction contract 1), full guarantee contract (corresponding to derivative transaction contract 2), and partial margin and partial guarantee contract (corresponding to derivative transaction contract 3).

[0111] Moreover, the amount of the guarantee contract occupied by the derivative transaction is determined according to "the real-time ratio of the derivative transaction occupying the guarantee contract (the amount of the derivative transaction occupying this guarantee contract / the total guarantee amount of the guarantee contract) × the total guarantee amount of the guarantee contract". If the derivative transactions linked to the guarantee contract are increased or the guarantee amount of the original derivative transaction is adjusted, the real-time ratio of the derivative transaction occupying the guarantee contract is adjusted accordingly according to "the latest amount of the derivative transaction occupying this guarantee contract / the total guarantee amount of the guarantee contract".

[0112] In a preferred embodiment, the mortgage analysis module 12 is specifically configured to determine the collateral information of the collateral corresponding to each guarantee contract according to the contract information of the guarantee contract. Determine the sub-account information of different currencies of the margin according to the account information of the margin.

[0113] It can be understood that when a customer purchases a financial derivative product and completes a derivative transaction contract to obtain the transaction information of the derivative transaction contract, the customer also needs to sign a collateral guarantee contract and / or margin provided for the derivative transaction contract. Among them, when a guarantee contract needs to use collateral to provide the collateral amount, the margin needs to be associated with at least one sub-account with margin, so the guarantee contract and the margin need to be corresponded to the corresponding collateral and sub-account according to the collateral information and sub-account information respectively. In a specific example, the contract information of the guarantee contract may include the transaction number of the corresponding derivative transaction contract, the guarantee contract number, the guarantee amount, the collateral number, and the collateral amount, etc. The account information of the margin may include the transaction number of the corresponding derivative transaction contract, the margin account number, the sub-account number, the sub-account currency, the guarantee amount, etc. The collateral information of the collateral may include the collateral number, the name of the collateral, and the collateral amount, etc. The sub-account information corresponding to the margin includes the sub-account number, the sub-account currency, and the distributed amount, etc. Then, the collateral corresponding to the collateral number in the guarantee contract can be associated, and the sub-account corresponding to the sub-account number in the margin can be associated. At present, many derivative transaction contracts involve multi-currency margin: a derivative transaction contract can support multi-currency margin. Each customer still has only one main margin account, but can have multiple margin sub-accounts. For the collateral of the guarantee contract, multiple collaterals can be managed under one guarantee contract, and one guarantee contract can be associated with multiple derivative transaction contracts. For example, in Figure 4 the specific example shown, Margin 1 is associated with Sub-account 1 and Sub-account 2, and Margin 2 is associated with Sub-account 3 and Sub-account 4. The sub-account currency of Sub-account 1 is RMB (Renminbi), and the sub-account currency of Sub-account 2 is GBP (Pound Sterling). The sub-account currency of Sub-account 3 is USD (US Dollar), and the sub-account currency of Sub-account 4 is AUD (Australian Dollar). Guarantee Contract 1 is associated with Collateral 1 and Collateral 2, and Guarantee Contract 2 is associated with Collateral 3. Among them, the collateral amounts of Collateral 1 and Collateral 2 are expressed in USD (US Dollar), and the collateral amount of Collateral 3 is expressed in RMB (Renminbi). Regarding the collateral sharing ratio rule: the shared amount of the occupied collateral is occupied according to the initial collateral sharing ratio (the initial valuation amount of the collateral / the total initial valuation amount of all collaterals linked to the guarantee contract). If the collateral increases, decreases, or the collateral valuation changes during the transaction duration, the collateral shared amount is re-determined according to the latest real-time collateral sharing ratio, that is, the shared amount of the collateral = the amount of the derivative transaction occupying the guarantee contract × the real-time collateral sharing ratio, where: the real-time collateral sharing ratio = the latest valuation amount of the collateral / the total latest valuation amount of all collaterals linked to the guarantee contract.

[0114] In a preferred embodiment, the guarantee amount determination module 13 is specifically configured to determine the total guarantee amount of each guarantee contract according to the guarantee amount of each guarantee contract for the corresponding derivative transaction contract. Determine the guarantee ratio of each collateral corresponding to each guarantee contract according to the valuation of the collateral information of the collateral corresponding to each guarantee contract. Determine the guarantee amount of each collateral according to the guarantee ratio of the collateral and the total guarantee amount of the corresponding guarantee contract.

[0115] Specifically, it can be understood that one guarantee contract can provide guarantees for multiple derivative transaction contracts, and the transaction information of the derivative transaction contract presets the total guarantee amount required for each derivative transaction contract and the guarantee amount of the corresponding guarantee contract and / or margin. When determining the guarantee amount of the collateral corresponding to each guarantee contract, it is necessary to determine the guarantee ratio of each collateral according to the initial valuation of each collateral, so that each collateral provides a guarantee amount within its own collateral amount range according to the guarantee ratio.

[0116] For example, in Figure 7 In a specific example shown, each guarantee contract is only linked to one collateral and only guarantees one transaction. Among them, the initial guarantee amount provided by Guarantee Contract 1 for Derivative Transaction 1 is 20, the proportion of Derivative Transaction Contract 1 occupying Guarantee Contract 1 is 20 / 20 = 100%, and the initial sharing ratio of the collateral is 100%. The sharing amount of Collateral A for Derivative Transaction 1 is 20×100%×100% = 20; the initial guarantee amount provided by Guarantee Contract 2 for Derivative Transaction 1 is 30, and the proportion of Derivative Transaction Contract 1 occupying Guarantee Contract 2 is 30 / 30 = 100%; the sharing amount of Collateral B for Derivative Transaction 1 is 30×100%×100% = 30.

[0117] In Figure 8 In another specific example shown, each guarantee contract is only linked to one collateral but guarantees multiple transactions. Among them, the proportion of Derivative Transaction Contract 1 occupying Guarantee Contract 1 is: 40 / (40 + 40) = 50%, the proportion of Derivative Transaction Contract 2 occupying Guarantee Contract 1 is: 40 / (40 + 40) = 50%, the proportion of Derivative Transaction Contract 2 occupying Guarantee Contract 2 is: 30 / (30 + 30) = 50%, and the proportion of Derivative Transaction Contract 3 occupying Guarantee Contract 2 is: 30 / (30 + 30) = 50%. The guarantee amount of Collateral A for Transaction 1 is 80×50%×100% = 40, the guarantee amount of Collateral A for Transaction 2 is 80×50%×100% = 40, the guarantee amount of Collateral B for Transaction 1 is 60×50%×100% = 30, and the guarantee amount of Collateral B for Transaction 2 is 60×50%×100% = 30.

[0118] In Figure 9In yet another specific example, a scenario is shown where each guarantee contract is linked to multiple collateral items and guarantees multiple transactions. Among them, the proportion of derivative transaction contract 1 occupying guarantee contract 1 is: 40 / (40 + 40) = 50%; the proportion of derivative transaction contract 2 occupying guarantee contract 1 is: 40 / (40 + 40) = 50%; the proportion of derivative transaction contract 2 occupying guarantee contract 2 is: 30 / (30 + 30) = 50%; the proportion of derivative transaction contract 3 occupying guarantee contract 2 is: 30 / (30 + 30) = 50%; the proportion of the amount allocated by collateral A to guarantee contract 1 is: 100 / (100 + 300) = 25%; the proportion of the amount allocated by collateral B to guarantee contract 1 is: 300 / (100 + 300) = 75%; the proportion of the amount allocated by collateral C to guarantee contract 2 is: 50 / (50 + 150) = 25%; the proportion of the amount allocated by collateral D to guarantee contract 2 is: 150 / (50 + 150) = 75%. The amount allocated by collateral A to transaction 1 is 80×50%×25% = 10; the amount allocated by collateral A to transaction 2 is 80×50%×25% = 10; the amount allocated by collateral B to transaction 1 is 80×50%×75% = 30; the amount allocated by collateral B to transaction 2 is 80×50%×75% = 30; the amount allocated by collateral C to transaction 2 is 60×50%×25% = 7.5; the amount allocated by collateral C to transaction 3 is 60×50%×25% = 7.5; the amount allocated by collateral D to transaction 2 is 60×50%×75% = 22.5; the amount allocated by collateral D to transaction 3 is 60×50%×75% = 22.5.

[0119] In a preferred embodiment, the guarantee amount determination module 13 is further configured to, if the valuation of the collateral changes, determine the target guarantee contract corresponding to the collateral with the valuation change. Re-determine the guarantee ratio of each collateral according to the valuations of the collaterals corresponding to the target guarantee contract. Re-determine the guarantee amount of each collateral according to the re-determined guarantee ratio of each collateral and the total guarantee amount of the target guarantee contract.

[0120] Specifically, when the valuation of the collateral changes, the guarantee amount that the collateral can provide will change. In order to accurately judge the guarantee amount that the collateral can provide after the valuation change of the collateral, thereby reducing the phenomenon of high customer margin and authorized occupancy amount, improving the credit risk management level, and effectively improving the business competitiveness of financial derivative products. In this preferred embodiment, after the valuation of the collateral changes, re-determine the guarantee amount of the collateral according to the re-determined valuation, avoiding the situation where additional margin guarantee amount of the customer needs to be occupied when the valuation of the collateral changes. Optionally, currently commonly used collaterals can be collateral such as local and foreign currency time deposits and structured deposits, which is convenient for the refined management of collaterals.

[0121] In a specific example, such as Figure 11As shown in the figure, before the collateral D depreciated: the proportion of the derivative trading contract 2 occupying the guarantee contract 2 was: 30 / (30 + 30) = 50%; the proportion of the derivative trading contract 3 occupying the guarantee contract 2 was: 30 / (30 + 30) = 50%; the proportion of the amount allocated by the collateral C to the guarantee contract 2 was: 50 / (50 + 150) = 25%; the proportion of the amount allocated by the collateral D to the guarantee contract 2 was: 150 / (50 + 150) = 75%; the amount allocated by the collateral C to the transaction 2 was 60×50%×25% = 7.5; the amount allocated by the collateral C to the transaction 3 was 60×50%×25% = 7.5; the amount allocated by the collateral D to the transaction 2 was 60×50%×75% = 22.5; the amount allocated by the collateral D to the transaction 3 was 60×50%×75% = 22.5.

[0122] If the value of the collateral D depreciated from the original 150 to 30, then the collateral D was under-valued (30 < 45). At this time, the customer added the collateral E with a value of 20. Then the proportion of the amount allocated by the collateral C to the guarantee contract 2 was: 50 / (50 + 30 + 20) = 50%; the proportion of the amount allocated by the collateral D to the guarantee contract 2 was: 30 / (50 + 30 + 20) = 30%; the proportion of the amount allocated by the collateral E to the guarantee contract 2 was: 20 / (50 + 30 + 20) = 20%; the amount allocated by the collateral C to the transaction 2 was 60×50%×50% = 15; the amount allocated by the collateral C to the transaction 3 was 60×50%×50% = 15; the amount allocated by the collateral D to the transaction 2 was 60×50%×30% = 9; the amount allocated by the collateral D to the transaction 3 was 60×50%×30% = 9; the amount allocated by the collateral E to the transaction 2 was 60×50%×20% = 6; the amount allocated by the collateral E to the transaction 3 was 60×50%×20% = 6.

[0123] In a preferred embodiment, the guarantee amount determination module 13 is further configured to determine whether the re-determined guarantee amount of each collateral is greater than the valuation of the corresponding collateral. If so, feedback a warning message to the management personnel.

[0124] Specifically, for example, for Figure 11In the specific example shown, the valuation of collateral D changes from 150 to 30. At this time, the total collateral amount of collateral C and collateral D is 80, which is greater than the collateral amount of 60 (30 + 30) provided by guarantee contract 2 for derivative trading contract 2 and derivative trading contract 3. Then, the guaranteed amounts of each collateral determined again can still ensure the collateral amounts required for derivative trading contract 2 and derivative trading contract 3. At this time, there is no need to feedback to the management personnel. However, when the valuation of collateral D changes from 150 to 5, at this time, the total collateral amount of collateral C and collateral D is 55, which is less than the collateral amount of 60 (30 + 30) provided by guarantee contract 2 for derivative trading contract 2 and derivative trading contract 3. Then, the guaranteed amounts of each collateral determined again cannot meet the collateral amounts required for derivative trading contract 2 and derivative trading contract 3. Then, the collateral for derivative trading contract 2 and derivative trading contract 3 is insufficient, and it is necessary to feedback early warning information to the management personnel so that the management personnel can request the customer to provide more collateral or margin to prevent the occurrence of financial risks.

[0125] In a preferred embodiment, as Figure 13 shown, the guaranteed amount determination module 13 is further configured to, if there is an extended trading for a derivative trading contract, determine the extended amount of the extended trading. Determine the extended contract information of the guarantee contract for the extended trading and the extended collateral information of the collateral of each guarantee contract. Determine the guaranteed amount of each collateral according to the extended amount, the extended contract information, and the extended collateral information.

[0126] Specifically, when there is an extension for a derivative trading and an extended amount is added during the extension period. Then the customer needs to sign an extended guarantee contract for the extended trading during the extension period and provide relevant collateral and / or margin. Among them, the calculation method of the guaranteed amount required for the collateral of the guarantee contract during the extension period is similar to the calculation method of the above embodiment, and will not be elaborated here. For example, in a specific example, as Figure 14 shown, guarantee contract 3 is added during the extension period, and the occupied guaranteed amount is 50 (extended amount). Then the proportion of the derivative trading contract occupying guarantee contract 3 is: 100%; the proportion of the amount allocated by collateral C for guarantee contract 3 is: 50 / (50 + 150) = 25%; the proportion of the amount allocated by collateral D for guarantee contract 3 is: 150 / (50 + 150) = 75%; the amount allocated by collateral C for the derivative trading is 50 × 25% × 100% = 12.5; the amount allocated by collateral D for the derivative trading is 50 × 75% × 100% = 37.5.

[0127] Since the principle of this device for solving problems is similar to the above method, the implementation of this device can refer to the implementation of the method, which will not be elaborated here.

[0128] The systems, apparatuses, modules, or units illustrated in the above embodiments can be specifically implemented by computer chips or entities, or by products with certain functions. A typical implementation device is a computer device. Specifically, the computer device can be, for example, a personal computer, a laptop computer, a cellular phone, a camera phone, a smart phone, a personal digital assistant, a media player, a navigation device, an email device, a game console, a tablet computer, a wearable device, or any combination of these devices.

[0129] In a typical example, the computer device specifically includes a memory, a processor, and a computer program stored on the memory and executable on the processor. When the processor executes the program, it implements the method executed by the client as described above, or when the processor executes the program, it implements the method executed by the server as described above.

[0130] Next, refer to Figure 16 , which shows a schematic structural diagram of a computer device 600 suitable for implementing the embodiments of the present application.

[0131] As Figure 16 shown, the computer device 600 includes a central processing unit (CPU) 601, which can perform various appropriate operations and processes according to the program stored in the read-only memory (ROM) 602 or the program loaded from the storage section 608 into the random access memory (RAM) 603. In the RAM 603, various programs and data required for the operation of the system 600 are also stored. The CPU 601, ROM 602, and RAM 603 are connected to each other via a bus 604. The input / output (I / O) interface 605 is also connected to the bus 604.

[0132] The following components are connected to the I / O interface 605: an input section 606 including a keyboard, a mouse, etc.; an output section 607 including, for example, a cathode ray tube (CRT), a liquid crystal display (LCD), etc. and a speaker; a storage section 608 including a hard disk, etc.; and a communication section 609 including a network interface card such as a LAN card, a modem, etc. The communication section 609 performs communication processing via a network such as the Internet. A drive 610 is also connected to the I / O interface 605 as needed. A removable medium 611, such as a magnetic disk, an optical disk, a magneto-optical disk, a semiconductor memory, etc., is installed on the drive 610 as needed so that the computer program read from it can be installed into the storage section 608 as needed.

[0133] In particular, according to an embodiment of the present invention, the processes described above with reference to the flowcharts can be implemented as computer software programs. For example, an embodiment of the present invention includes a computer program product that includes a computer program tangibly embodied on a machine-readable medium, the computer program including program code for performing the method shown in the flowchart. In such an embodiment, the computer program can be downloaded and installed from a network via the communication section 609, and / or installed from the removable medium 611.

[0134] Computer-readable media includes both permanent and non-permanent, removable and non-removable media implemented by any method or technology for storage of information such as computer-readable instructions, data structures, program modules or other data. Examples of computer storage media include, but are not limited to, phase change memory (PRAM), static random access memory (SRAM), dynamic random access memory (DRAM), other types of random access memory (RAM), read only memory (ROM), electrically erasable programmable read only memory (EEPROM), flash memory or other memory technologies, compact disc read only memory (CD-ROM), digital versatile discs (DVD) or other optical storage, magnetic cassettes, magnetic tape magnetic disk storage or other magnetic storage devices or any other non-transitory medium that can be used to store information that can be accessed by a computing device. As defined herein, computer-readable media does not include transitory computer-readable media such as modulated data signals and carrier waves.

[0135] For convenience of description, the above-described apparatus is described by function as various units. Of course, when implementing the present application, the functions of each unit can be implemented in one or more pieces of software and / or hardware.

[0136] The present invention is described with reference to the flowcharts and / or block diagrams of methods, apparatus (systems), and computer program products according to embodiments of the present invention. It should be understood that each flow and / or block in the flowcharts and / or block diagrams, and combinations of flows and / or blocks in the flowcharts and / or block diagrams, can be implemented by computer program instructions. These computer program instructions can be provided to a processor of a general purpose computer, special purpose computer, embedded processor or other programmable data processing device to produce a machine such that the instructions executed by the processor of the computer or other programmable data processing device produce means for implementing the functions specified in one Figure 1 one flow or multiple flows and / or blocks Figure 1 one block or multiple blocks.

[0137] These computer program instructions can also be stored in a computer-readable memory that can direct a computer or other programmable data processing device to work in a particular manner, such that the instructions stored in the computer-readable memory produce a manufacture including an instruction device that implements the functions specified in one or more of the processes Figure 1 or processes and / or blocks Figure 1 specified in one or more of the blocks or blocks.

[0138] These computer program instructions can also be loaded onto a computer or other programmable data processing device, such that a series of operational steps are performed on the computer or other programmable device to produce a computer-implemented process, whereby the instructions executed on the computer or other programmable device provide steps for implementing the functions specified in one or more of the processes Figure 1 or processes and / or blocks Figure 1 specified in one or more of the blocks or blocks.

[0139] It should also be noted that the term "comprising", "including" or any other variation thereof is intended to cover non-exclusive inclusion, such that a process, method, commodity or device comprising a series of elements includes not only those elements but also other elements not expressly listed, or elements inherent to such process, method, commodity or device. Without further limitation, an element defined by the statement "comprising an..." does not exclude the presence of additional identical elements in the process, method, commodity or device comprising the element.

[0140] Those skilled in the art should understand that the embodiments of the present application can be provided as a method, system or computer program product. Therefore, the present application can take the form of a completely hardware embodiment, a completely software embodiment or an embodiment combining software and hardware aspects. Moreover, the present application can take the form of a computer program product implemented on one or more computer-usable storage media (including but not limited to disk memory, CD-ROM, optical memory, etc.) containing computer-usable program code.

[0141] The present application can be described in the general context of computer-executable instructions executed by a computer, such as program modules. Generally, program modules include routines, programs, objects, components, data structures, etc. that perform specific tasks or implement specific abstract data types. The present application can also be practiced in a distributed computing environment where tasks are performed by remote processing devices connected through a communication network. In a distributed computing environment, program modules can be located in local and remote computer storage media including storage devices.

[0142] Each embodiment in this specification is described in a progressive manner. For the same or similar parts among the embodiments, reference can be made to each other, and each embodiment focuses on the differences from other embodiments. In particular, for the system embodiment, since it is basically similar to the method embodiment, the description is relatively simple, and for the relevant parts, reference can be made to the partial description of the method embodiment.

[0143] The above description is only for the embodiments of the present application and is not intended to limit the present application. For those skilled in the art, various changes and modifications can be made to the present application. Any modification, equivalent replacement, improvement, etc. made within the spirit and principle of the present application shall be included within the scope of the claims of the present application.

Claims

1. A method for collateral management of derivative trading contracts, characterized in that, The method is executed by a collateral management device for derivative trading contracts, and includes: Determining the corresponding relationship and the collateral amount between the derivative trading contract, the collateral contract, and the margin according to the trading information of the derivative trading contract, the contract information of the collateral contract, and the account information of the margin. The trading information includes the trading number of the corresponding derivative trading contract, the product name of the financial derivative product, the product content, the quantity, the product price, the collateral contract number, and the margin account number; the contract information includes the trading number of the corresponding derivative trading contract, the collateral contract number, the collateral amount, the collateral number, and the collateral amount; the margin includes the trading number of the corresponding derivative trading contract, the margin account number, the sub-account number, the sub-account currency, and the collateral amount. Determining the collateral information of the collateral corresponding to the collateral contract and the sub-account information corresponding to the margin. Determining the collateral amount of the collateral according to the corresponding relationship and the collateral amount. If the valuation of the collateral changes, determining the target collateral contract corresponding to the collateral with the valuation change. Redetermining the collateral ratio of each collateral according to the valuation of each collateral corresponding to the target collateral contract. Redetermining the collateral amount of each collateral according to the redetermined collateral ratio of each collateral and the total collateral amount of the target collateral contract. The specific process of determining the corresponding relationship and the collateral amount between the derivative trading contract, the collateral contract, and the margin according to the trading information of the derivative trading contract, the contract information of the collateral contract, and the account information of the margin includes: Associating the collateral contract with the collateral contract number and the margin with the margin account number corresponding to the collateral contract number according to the collateral contract number and the margin account number in the trading information of the derivative trading contract. Determining the collateral amount of the collateral contract and the margin corresponding to each derivative trading contract according to the contract information of the collateral contract and the account information of the margin, including: associating the collateral contract with the collateral contract number and the margin with the margin account number corresponding to the collateral contract number according to the collateral contract number and the margin account number in the trading information of the derivative trading contract; and the amount of the collateral contract occupied by the derivative trading is determined according to the real-time ratio of the derivative trading occupying the collateral contract. If a derivative trading linked to the collateral contract is added or the collateral amount of the original derivative trading is adjusted, the real-time ratio of the derivative trading occupying the collateral contract is adjusted accordingly according to the latest amount of the derivative trading occupying this collateral contract / the total collateral amount of the collateral contract.

2. The method for collateral management of derivative trading contracts according to claim 1, characterized in that, The specific process of determining the collateral information of the collateral corresponding to the collateral contract and the sub-account information corresponding to the margin includes: Determining the collateral information of the collateral corresponding to each collateral contract according to the contract information of the collateral contract. Determining the sub-account information of different currencies of the margin according to the account information of the margin.

3. The method for collateral management of derivative trading contracts according to claim 1, characterized in that, The specific process of determining the collateral amount of the collateral according to the corresponding relationship and the collateral amount includes: Determining the total collateral amount of each collateral contract according to the collateral amount of each collateral contract to the corresponding derivative trading contract. Determining the collateral ratio of each collateral corresponding to each collateral contract according to the valuation of the collateral information of the collateral corresponding to each collateral contract. Determine the guarantee amount of each collateral according to the guarantee ratio of the collateral and the total guarantee amount of the corresponding guarantee contract.

4. The method for collateral management of derivative trading contracts according to claim 1, characterized in that, Further include: Judge whether the guarantee amount of each collateral determined again is greater than the valuation of the corresponding collateral; If so, feedback warning information to the management personnel.

5. The method for collateral management of derivative trading contracts according to claim 1, characterized in that, Further include: If there is an extended transaction in the derivative transaction contract, determine the extended amount of the extended transaction; Determine the extended contract information of the guarantee contract of the extended transaction and the extended collateral information of the collateral of each guarantee contract; Determine the guarantee amount of each collateral according to the extended amount, the extended contract information and the extended collateral information.

6. A device for collateral management of derivative trading contracts, characterized in that, Include: A transaction analysis module, which is used to determine the corresponding relationship and guarantee amount between the derivative transaction contract, the guarantee contract and the margin according to the transaction information of the derivative transaction contract, the contract information of the guarantee contract and the account information of the margin. The transaction information includes the transaction number of the corresponding derivative transaction contract, the product name of the financial derivative product, the product content, the quantity, the product price, the guarantee contract number and the margin account number; the contract information includes the transaction number of the corresponding derivative transaction contract, the guarantee contract number, the guarantee amount, the collateral number and the collateral amount; the margin includes the transaction number of the corresponding derivative transaction contract, the margin account number, the sub-account number, the sub-account currency and the guarantee amount; A collateral analysis module, which is used to determine the collateral information of the collateral corresponding to the guarantee contract and the sub-account information corresponding to the margin; A guarantee amount determination module, which is used to determine the guarantee amount of the collateral according to the corresponding relationship and the guarantee amount; The guarantee amount determination module is further used to, if the valuation of the collateral changes, determine the target guarantee contract corresponding to the collateral with the valuation change, re-determine the guarantee ratio of each collateral corresponding to the target guarantee contract according to the valuation of each collateral corresponding to the target guarantee contract, and re-determine the guarantee amount of each collateral according to the re-determined guarantee ratio of each collateral and the total guarantee amount of the target guarantee contract; The transaction analysis module, which is used to determine the corresponding relationship and guarantee amount between the derivative transaction contract, the guarantee contract and the margin according to the transaction information of the derivative transaction contract, the contract information of the guarantee contract and the account information of the margin, includes: Associate the guarantee contract with the guarantee contract number and the margin with the margin account number corresponding to the guarantee contract number according to the guarantee contract number and the margin account number in the transaction information of the derivative transaction contract; Determine the guarantee amount of the guarantee contract and the margin corresponding to each derivative transaction contract according to the contract information of the guarantee contract and the account information of the margin, including: associate the guarantee contract with the guarantee contract number and the margin with the margin account number corresponding to the guarantee contract number according to the guarantee contract number and the margin account number in the transaction information of the derivative transaction contract; and, the amount of the derivative transaction occupying the guarantee contract is determined according to the real-time ratio of the derivative transaction occupying the guarantee contract. If a derivative transaction linked to the guarantee contract is increased or the guarantee amount of the original derivative transaction is adjusted, the real-time ratio of the derivative transaction occupying the guarantee contract is adjusted accordingly according to the latest amount of the derivative transaction occupying this guarantee contract / the total guarantee amount of the guarantee contract.

7. A computer device, comprising a memory, a processor, and a computer program stored on the memory and executable on the processor, characterized in that When the processor executes the program, the method described in any one of claims 1-5 is implemented.

8. A computer-readable medium having a computer program stored thereon, characterized in that When the program is executed by the processor, the method described in any one of claims 1-5 is implemented.

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