Patent ID: 7890407

Claim:
A computer implemented method for managing liquidity requirements of asset backed commercial paper, wherein the method is executed by a programmed computer processor, the computer implemented method comprising the steps of: identifying, via the programmed computer processor, a full liquidity commitment for a financial instrument of at least one financial institution wherein the financial instrument is guaranteed by a plurality of assets; determining, via the programmed computer processor, a rating for each of the plurality of assets guaranteeing the financial instrument for a predetermined period of time, wherein the rating provides an indication of creditworthiness of an issuer of each asset; determining, via the programmed computer processor, a rating transition probability for each of the plurality of assets for the predetermined period of time based at least in part on statistics indicating a likelihood of a rating transition based on historical data; determining, via the programmed computer processor, whether a draw event occurred for a time period prior to the predetermined time period; determining, via the programmed computer processor, a probability of a continuing draw event over the predetermined time period, if the draw event is determined; determining, via the programmed computer processor, a probability of a new draw event for a time period after the predetermined time period, if no draw event is determined; wherein the steps of determining a rating, determining a rating transition probability, determining whether a draw event occurred, determining a probability of a continuing draw event and determining a probability of a new draw event are performed for a plurality of predetermined time periods; performing, via the programmed computer processor, a simulation thereby predicting one or more liquidity funding needs associated with the plurality of assets; and estimating, via the programmed computer processor, a reduced liquidity level for the financial instrument that is less than the full liquidity commitment for the financial instrument wherein the reduced liquidity level satisfies the one or more liquidity funding needs as determined by the simulation.