Patent ID: 8010448

Claim:
A method for managing a repurchase agreement matchbook comprising: monitoring, by a computer system, a tenor of each individual contract of the repurchase agreement matchbook to a maximum first predetermined period of time, so that each tenor does not exceed said first predetermined period of time; monitoring, by said computer system, a weighted-average tenor of the matchbook to a maximum second predetermined period of time, so that the weighted-average tenor does not exceed said second predetermined period of time; initiating, by said computer system, an automatic wind-down if a loss of equal to or greater than a predetermined magnitude is realized during a predetermined third period of time; matching assets and liabilities to one another, by said computer system, to determine and secure one or more interest rate differentials for one or more predetermined intervals of time; calculating, by said computer system, a netting of assets and liabilities of different contracts in the repurchase agreement matchbook associated with one counterparty; monitoring each contract in the repurchase agreement matchbook, by said computer system, to assure that it is of a preapproved type; monitoring input data, by said computer system, to assure that a time for which a contract is executed in advance of a closing date does not exceed a fourth period of time; monitoring continuously each contract, by said computer system, to assure that any applicable trading policy is not violated; and receiving, by said computer system, data pertaining to daily margins posted by preselected counterparties with which contracts are held.