Method of accessing exact OTC ISDA type overnight indexed swap exposures within an electronic futures exchange environment
AssigneeLIFFE Administration and Management
InventorPavel Pinkava
Life of this patent
Estimating the term…
Abstract
A set of linked methods allows one to access derivative products (other than traditional futures and options) within an electronic futures exchange. In an embodiment of the invention, exchange members are given access to exact OTC ISDA type interest rate swap and FRA related exposures. Another In another embodiment, exchange members are given access to exact OTC ISDA type overnight index swap related exposures. In a further embodiment, exchange members are given convenient access to credit spread and\or interest rate swap embodiments via deliverable credit rate linked and swap rate linked bond-like futures.
Claims5
A method of accessing exact Over-the-Counter (OTC) International Swaps and Derivatives Association (ISDA) overnight indexed swap exposures within an electronic futures exchange environment comprising at least one exchange computer and associated computer-readable memory accessible by that exchange computer, the method comprising:
- providing via the at least one exchange computer a listed for trading derivative product which gives overnight indexed swap exposure;
- executing a trade of the listed for trading product pursuant to a user command received via a user interface at the at least one exchange computer;
- creating on the at least one exchange computer positions based on the executed trade in two different types of post trade for clearing products, wherein each distinct position so created consists of a Fixed Rate Overnight Indexed Swap (OIS) Product paired and offset with Overnight Indexed Products of the same expiry, with each position created at zero price and in volumes based on the executed swap rate quotation product trade as determined by an algorithm comprising a set of parameterized mapping formulae;
- after a specified number of business days associated with the definition of spot in the relevant money market, using a standard overnight index rate benchmark to augment via a parameterized formula the position sizes of the Overnight Indexed Products with additional contract positions created at zero price via the at least one exchange computer to have an effect of compounding;
- providing end of day valuation and risk management through variation and initial margin calls of a central counterparty, wherein daily settlement prices for both Fixed Rate OIS and Overnight Indexed Products for clearing are set based on a parameterized algorithm using as its input the set of daily mark to market reference prices from the listed for trading swap rate quotation product market;
- and
- at expiry cash settling both the overnight indexed and fixed contracts.
Dependencies are inferred from the claim text.