Patent ID: 7991683

Claim:
A credit data processing system for controlling trade executions carried out on an electronic trading system based on existing credit arrangements, comprising: a non-transitory computer-readable storage medium that stores information representing a credit relationship network, the credit relationship network comprising a plurality of credit entities, a preferred counterparty ranking provided by each credit entity, and a plurality of credit relationships between at least some of said credit entities, each credit relationship comprising a credit limit and a net open position; an interface to the electronic trading system; and a credit data processor programmed to: (a) receive from the electronic trading system via said interface a request to confirm a sufficient credit arrangement to permit execution of a matched pair of orders, the matched pair of orders comprising an aggressor order received from an aggressor counterparty in the credit relationship network, a passive order received from a passive counterparty in the credit relationship network, and an order amount; (b) determine, based on the information stored in the computer-readable storage medium, a set of potential credit paths comprising a plurality of routes through the credit relationship network, wherein each route links the aggressor counterparty to the passive counterparty through one or more credit intermediaries, and each route comprises two or more credit legs corresponding respectively to two or more credit relationships existing between the aggressor counterparty, the passive counterparty and said one or more credit intermediaries (c) select an optimal credit path from the set of potential credit paths based on the preferred counterparty rankings provided by the aggressor counterparty, the passive counterparty and said one or more credit intermediaries in the plurality of potential credit paths, (d) determine whether sufficient credit is available on every credit leg in the selected optimal credit path by comparing the sum of the order amount and the net open position for said every credit leg to the credit limit on said every credit leg, (e) when the sum of the order amount and the net open position on any credit leg in the selected optimal credit path exceeds the credit limit for said any credit leg, delete from the set of potential credit paths the selected optimal credit path and every other potential credit path that encompasses said any credit leg, (f) send a credit confirmation notice to the electronic trading system when the sum of the order amount and the net open position on every credit leg in the selected optimal credit path does not exceed the credit limit for said every credit leg, and (g) repeat steps (c) through (f) until the credit confirmation notice is sent or the set of potential credit paths is empty.