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US 2014/0279368 A1Published application
Method and apparatus for gcf repo index instrument
AssigneeThe Depository Trust and Clearing Corporation (DTCC)
InventorGary Chan
Life of this patent
Estimating the term…
Abstract
A method and system for a GCF repo swap transaction includes generating an index using a limited set of GCF contracts, and using the index value as a value in a GCF repo swap. The index value may be used as a variable or floating value in the swap, or may be used at the fixed value in the swap.
Claims3
A method for conducting a repo SWAP financial transaction, the method comprising the steps of:
- in a computer, determining a fixed rate for a repo market transaction;
- in a computer, determining a variable rate for a repo market transaction;
- in a computer, determining a difference between the fixed rate and the variable rate;
- and
- in a computer, exchanging an amount based on the determined difference, between parties to the transaction,
- wherein one of the fixed rate and the variable rate is based on a repo index value.
3 more elements
A method for generating a repo index value for use in a repo swap, comprising the steps of:
- in a computer, preparing a weighted average of interest rates paid on overnight GCF repo transactions for GCF contracts on a predetermined set of tradable instruments as index data;
- flagging the index data as ready;
- receiving the index data in a server;
- generating a feed structure of the index data in the server;
- transmitting the index data in the feed structure to a publisher via a secure communication link;
- using the published index data as a value in a repo swap transaction.
3 more elements
Dependencies are inferred from the claim text.