WO2006031454A3 - System and method for efficiently using collateral for risk offset - Google Patents

System and method for efficiently using collateral for risk offset Download PDF

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Publication number
WO2006031454A3
WO2006031454A3 PCT/US2005/031137 US2005031137W WO2006031454A3 WO 2006031454 A3 WO2006031454 A3 WO 2006031454A3 US 2005031137 W US2005031137 W US 2005031137W WO 2006031454 A3 WO2006031454 A3 WO 2006031454A3
Authority
WO
WIPO (PCT)
Prior art keywords
collateral
trader
efficiently
offset
bills
Prior art date
Application number
PCT/US2005/031137
Other languages
French (fr)
Other versions
WO2006031454A2 (en
Inventor
Dmitriy Glinberg
Tae S Yoo
Dale A Michaels
Edward Gogol
Original Assignee
Chicago Mercantile Exchange
Dmitriy Glinberg
Tae S Yoo
Dale A Michaels
Edward Gogol
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Chicago Mercantile Exchange, Dmitriy Glinberg, Tae S Yoo, Dale A Michaels, Edward Gogol filed Critical Chicago Mercantile Exchange
Priority to EP05793903A priority Critical patent/EP1787255A4/en
Priority to CA002578151A priority patent/CA2578151A1/en
Priority to JP2007531231A priority patent/JP5512085B2/en
Publication of WO2006031454A2 publication Critical patent/WO2006031454A2/en
Publication of WO2006031454A3 publication Critical patent/WO2006031454A3/en

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Abstract

A system and method for analyzing correlation (208) between the assets (210) given by the trader for collateral and that trader’s open positions is disclosed. Thus, if the collateral is correlated to the trader’s open positions, then some offset can be given. If there is no correlation than the collateral is valued in the conventional way. For example, if a trader provides t-bills as collateral for an account that has open positions (e.g. short futures) in T-bills, than that trader’s account can be credited with some offset (212) since the value of T-bills and T-bill futures are highly correlated.
PCT/US2005/031137 2004-09-10 2005-08-31 System and method for efficiently using collateral for risk offset WO2006031454A2 (en)

Priority Applications (3)

Application Number Priority Date Filing Date Title
EP05793903A EP1787255A4 (en) 2004-09-10 2005-08-31 System and method for efficiently using collateral for risk offset
CA002578151A CA2578151A1 (en) 2004-09-10 2005-08-31 System and method for efficiently using collateral for risk offset
JP2007531231A JP5512085B2 (en) 2004-09-10 2005-08-31 System and method for efficiently using collateral for risk offsetting

Applications Claiming Priority (4)

Application Number Priority Date Filing Date Title
US60874204P 2004-09-10 2004-09-10
US60/608,742 2004-09-10
US11/030,796 2005-01-07
US11/030,796 US7426487B2 (en) 2004-09-10 2005-01-07 System and method for efficiently using collateral for risk offset

Publications (2)

Publication Number Publication Date
WO2006031454A2 WO2006031454A2 (en) 2006-03-23
WO2006031454A3 true WO2006031454A3 (en) 2006-10-19

Family

ID=36035272

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2005/031137 WO2006031454A2 (en) 2004-09-10 2005-08-31 System and method for efficiently using collateral for risk offset

Country Status (5)

Country Link
US (4) US7426487B2 (en)
EP (1) EP1787255A4 (en)
JP (1) JP5512085B2 (en)
CA (1) CA2578151A1 (en)
WO (1) WO2006031454A2 (en)

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Also Published As

Publication number Publication date
US20080301062A1 (en) 2008-12-04
WO2006031454A2 (en) 2006-03-23
US20130159211A1 (en) 2013-06-20
US8214278B2 (en) 2012-07-03
US20110178956A1 (en) 2011-07-21
CA2578151A1 (en) 2006-03-23
JP5512085B2 (en) 2014-06-04
US7426487B2 (en) 2008-09-16
US8055567B2 (en) 2011-11-08
EP1787255A4 (en) 2009-06-03
US20060059064A1 (en) 2006-03-16
EP1787255A2 (en) 2007-05-23
JP2008512778A (en) 2008-04-24

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