Cross margining of tri-party repo transactions
US8639609B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Dec 9, 2011 |
| Grant date | Jan 28, 2014 |
| Priority date | — |
| Expiry date | Dec 9, 2031 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A computer implemented method for determining a margin requirement for a market participant includes maintaining, by a processor associated with an exchange, an exchange account reflecting an exchange position resulting from a trade executed on the exchange for a product available via the exchange, the exchange account being maintained separately from a custodian bank account associated with a custodian bank, the custodian bank account reflecting a repo position resulting from a repo transaction facilitated by the custodian bank between the market participant and a counterparty to the repo transaction. The method further includes receiving data reflective of the repo position via a communication interface between the exchange account and the custodian bank account, and determining the margin requirement for the market participant based on the received data and the exchange position.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.