公开(公告)号：US20140081820A1

公开(公告)日：2014-03-20

申请号：US13891701

申请日：2013-05-10

申请人： Corey Farabi ,  Chad Voegele ,  Matt Simpson ,  Keith A. Anguish ,  Steve Ishmael ,  Dmitriy Glinberg ,  Igor Zolotarev ,  Rafet Evren Baysal ,  Jingbin Yin ,  Ziyi Wang

发明人： Corey Farabi ,  Chad Voegele ,  Matt Simpson ,  Keith A. Anguish ,  Steve Ishmael ,  Dmitriy Glinberg ,  Igor Zolotarev ,  Rafet Evren Baysal ,  Jingbin Yin ,  Ziyi Wang

IPC分类号： G06Q40/04

CPC分类号： G06Q40/04

摘要： The disclosed embodiments relate to reducing, minimizing or otherwise optimizing margin requirements for a trader having both an interest rate (IR) futures and over-the-counter (OTC) interest rate swaps (IRS) accounts by efficiently allocating IR futures across both accounts.

摘要翻译： 所披露的实施例涉及通过有效地分配两个账户的IR期货来减少，最小化或以其他方式优化具有利率（IR）期货和非处方（OTC）利率掉期（IRS））账户的交易者的保证金要求。

公开(公告)号：US20140032443A1

公开(公告)日：2014-01-30

申请号：US13558121

申请日：2012-07-25

申请人： Marco Ossanna ,  Jason Silverstein ,  Gautam Gururaj ,  Corey Farabi ,  Udesh Jha

发明人： Marco Ossanna ,  Jason Silverstein ,  Gautam Gururaj ,  Corey Farabi ,  Udesh Jha

IPC分类号： G06Q40/06 ,  G06Q40/04

CPC分类号： G06Q40/04 ,  G06Q40/06

摘要： A method apportions guaranty fund contributions into tranches in connection with an auction directed to transferring open positions in a set of markets, such as positions in interest rate swap contracts. Bids for the open positions from non-default market participants are received, and position data indicative of respective positions of non-default market participants is analyzed to determine a risk assessment proportion for each market of the non-default market participant. A quality factor is determined for each bid based on an offset between the bid and a winning bid in the auction for each open position. For each market and for each non-default market participant, a portion of the guaranty fund contribution of the non-default market participant is allocated to one of the tranches based on the quality factor for the market, the portion being defined in accordance with the risk assessment proportion for the market.

摘要翻译： 一种方法分摊担保基金对于一系列针对在一组市场中转移未平仓头寸的拍卖的付款，例如利率互换合约的头寸。 收到来自非违约市场参与者的未平仓头寸的投标，并分析指示非违约市场参与者各自职位的头寸数据，以确定非违约市场参与者每个市场的风险评估比例。 基于每个未平仓头寸的拍卖中的出价和中标出价之间的偏移量，确定每个出价的品质因数。 对于每个市场和每个非违约市场参与者，非默认市场参与者的一部分担保基金贡献根据市场的品质因素分配给其中一个部分，该部分根据 市场风险评估比例。