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公开(公告)号：US20090043712A1
公开(公告)日：2009-02-12
申请号：US12254667
申请日：2008-10-20
申请人： Tim Bridges , Mark Evans , Oliver Frankel
发明人： Tim Bridges , Mark Evans , Oliver Frankel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/02 , G06Q40/00 , G06Q40/025 , G06Q40/04 , G06Q40/06
摘要： A hedged exposure and an associated hedging instrument can be accounted for to reduce periodic earnings volatility associated with the hedged exposure. The accounting to reduce the earnings volatility includes designating a portion of the value of the financial exposure as being hedged by the hedging instrument. The designated portion is determined based on a price sensitivity of the hedging instrument with respect to changes in market value of an underlying instrument. In each of a number of sequential periods, the portion of the financial exposure is redesignated based on changed price sensitivity of the hedging instrument. Periodic earnings volatility associated with a hedged exposure also can be reduced by dividing (for accounting purposes) the hedging instrument into a first part (also referred to as a designated part) and a second part (also referred to as a residue part). This division is made in a way that ensures that changes in the value of the first part substantially offset changes in value of the financial exposure. The method also includes designating a portion of the first part as a hedge of the financial exposure such that the remainder of the first part offsets the delta of the second part. In each of a plurality of sequential periods, the portion of the first part is redesignated to maintain the relationship between the first part and the second part whereby the remainder of the first part offsets the delta of the second part.
摘要翻译： 可以考虑套期保值风险和相关套期工具，以减少与套期风险敞口相关的定期收益波动。 减少盈利波动的会计包括将金融风险的一部分价值指定为套期工具对冲。 指定部分是根据套期工具对基础工具的市场价值变化的价格敏感度确定的。 在多个连续期间的每一个中，基于对冲工具的价格敏感度变化重新指定了部分财务风险。 与对冲风险相关的定期收益波动也可以通过将套期工具划分为第一部分（也称为指定部分）和第二部分（也称为剩余部分）来减少（用于会计目的）。 该部门的做法是确保第一部分价值的变化大大抵消了金融风险敞口的变化。 该方法还包括将第一部分的一部分指定为金融曝光的对冲，使得第一部分的其余部分抵消第二部分的增量。 在多个顺序周期中的每一个中，重新指定第一部分的部分以维持第一部分和第二部分之间的关系，由此第一部分的其余部分抵消第二部分的增量。
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公开(公告)号：US07457774B1
公开(公告)日：2008-11-25
申请号：US09724075
申请日：2000-11-28
申请人： Tim Bridges , Mark Evans , Oliver Frankel
发明人： Tim Bridges , Mark Evans , Oliver Frankel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/02 , G06Q40/00 , G06Q40/025 , G06Q40/04 , G06Q40/06
摘要： A hedged exposure and an associated hedging instrument can be accounted for to reduce periodic earnings volatility associated with the hedged exposure. The accounting to reduce the earnings volatility includes designating a portion of the value of the financial exposure as being hedged by the hedging instrument. The designated portion is determined based on a price sensitivity of the hedging instrument with respect to changes in market value of an underlying instrument. In each of a number of sequential periods, the portion of the financial exposure is redesignated based on changed price sensitivity of the hedging instrument. Periodic earnings volatility associated with a hedged exposure also can be reduced by dividing (for accounting purposes) the hedging instrument into a first part (also referred to as a designated part) and a second part (also referred to as a residue part). This division is made in a way that ensures that changes in the value of the first part substantially offset changes in value of the financial exposure. The method also includes designating a portion of the first part as a hedge of the financial exposure such that the remainder of the first part offsets the delta of the second part. In each of a plurality of sequential periods, the portion of the first part is redesignated to maintain the relationship between the first part and the second part whereby the remainder of the first part offsets the delta of the second part.
摘要翻译： 可以考虑套期保值风险和相关套期工具，以减少与套期风险敞口相关的定期收益波动。 减少盈利波动的会计包括将金融风险的一部分价值指定为套期工具对冲。 指定部分是根据套期工具对基础工具的市场价值变化的价格敏感度确定的。 在多个连续期间的每一个中，基于对冲工具的价格敏感度变化重新指定了部分财务风险。 与对冲风险相关的定期收益波动也可以通过将套期工具划分为第一部分（也称为指定部分）和第二部分（也称为剩余部分）来减少（用于会计目的）。 该部门的做法是确保第一部分价值的变化大大抵消了金融风险敞口的变化。 该方法还包括将第一部分的一部分指定为金融曝光的对冲，使得第一部分的其余部分抵消第二部分的增量。 在多个顺序周期中的每一个中，重新指定第一部分的部分以维持第一部分和第二部分之间的关系，由此第一部分的其余部分抵消第二部分的增量。
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公开(公告)号：US07979342B2
公开(公告)日：2011-07-12
申请号：US12254667
申请日：2008-10-20
申请人： Tim Bridges , Mark Evans , Oliver Frankel
发明人： Tim Bridges , Mark Evans , Oliver Frankel
IPC分类号： G06Q40/00
CPC分类号： G06Q40/02 , G06Q40/00 , G06Q40/025 , G06Q40/04 , G06Q40/06
摘要： A hedged exposure and an associated hedging instrument can be accounted for to reduce periodic earnings volatility associated with the hedged exposure. The accounting to reduce the earnings volatility includes designating a portion of the value of the financial exposure as being hedged by the hedging instrument. The designated portion is determined based on a price sensitivity of the hedging instrument with respect to changes in market value of an underlying instrument. In each of a number of sequential periods, the portion of the financial exposure is redesignated based on changed price sensitivity of the hedging instrument. Periodic earnings volatility associated with a hedged exposure also can be reduced by dividing (for accounting purposes) the hedging instrument into a first part (also referred to as a designated part) and a second part (also referred to as a residue part). This division is made in a way that ensures that changes in the value of the first part substantially offset changes in value of the financial exposure. The method also includes designating a portion of the first part as a hedge of the financial exposure such that the remainder of the first part offsets the delta of the second part. In each of a plurality of sequential periods, the portion of the first part is redesignated to maintain the relationship between the first part and the second part whereby the remainder of the first part offsets the delta of the second part.
摘要翻译： 可以考虑套期保值风险和相关套期工具，以减少与套期风险敞口相关的定期收益波动。 减少盈利波动的会计包括将金融风险的一部分价值指定为套期工具对冲。 指定部分是根据套期工具对基础工具的市场价值变化的价格敏感度确定的。 在多个连续期间的每一个中，基于对冲工具的价格敏感度变化重新指定了部分财务风险。 与对冲风险相关的定期收益波动也可以通过将套期工具划分为第一部分（也称为指定部分）和第二部分（也称为剩余部分）来减少（用于会计目的）。 该部门的做法是确保第一部分价值的变化大大抵消了金融风险敞口的变化。 该方法还包括将第一部分的一部分指定为金融曝光的对冲，使得第一部分的其余部分抵消第二部分的增量。 在多个顺序周期中的每一个中，重新指定第一部分的部分以维持第一部分和第二部分之间的关系，由此第一部分的其余部分抵消第二部分的增量。
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公开(公告)号：US07970681B1
公开(公告)日：2011-06-28
申请号：US09723694
申请日：2000-11-28
申请人： Tim Bridges , Mark Evans , Oliver Frankel
发明人： Tim Bridges , Mark Evans , Oliver Frankel
IPC分类号： G06Q40/00
摘要： An earnings volatility reduction procedure includes determining a first sensitivity value of a portfolio to underlying market conditions, trading in an immunizing instrument having a second sensitivity value substantially equal in magnitude and opposite in value of the first sensitivity value, and trading in a qualifying instrument having a third sensitivity value substantially equal to the first sensitivity value. A derivative portfolio (in particular, one that includes a financial instrument for which changes in value are characterized as earnings pursuant to FAS 133) is structured by determining a sensitivity of the derivative portfolio with respect to financial conditions in a trading market, executing an immunizing purchase of a second trading instrument in an amount equal to the magnitude of the current sensitivity and opposite in value, and executing a qualifying sale of a third trading instrument in an amount equal to amount of the current sensitivity.
摘要翻译： 收益波动减少程序包括确定投资组合的基本市场状况的第一敏感度值，在第一敏感度值的大小相等的第二敏感度价值的第二敏感度价值的交易中进行交易，以及在具有 基本上等于第一灵敏度值的第三灵敏度值。 衍生投资组合（特别是包括根据FAS 133的价值变动表现为收益的金融工具）的组合是通过确定衍生投资组合对于交易市场的财务状况的敏感性，执行免疫 购买等于当前敏感度和价值相反的数量的第二交易工具，并以等于当前敏感度的金额执行第三交易工具的合格销售。
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公开(公告)号：US20050131796A1
公开(公告)日：2005-06-16
申请号：US11043618
申请日：2005-01-26
申请人： Tim Bridges , Mark Evans , Oliver Frankel
发明人： Tim Bridges , Mark Evans , Oliver Frankel
摘要： An earnings volatility reduction procedure includes determining a first sensitivity value of a portfolio to underlying market conditions, trading in an immunizing instrument having a second sensitivity value substantially equal in magnitude and opposite in value of the first sensitivity value, and trading in a qualifying instrument having a third sensitivity value substantially equal to the first sensitivity value. A derivative portfolio (in particular, one that includes a financial instrument for which changes in value are characterized as earnings pursuant to FAS 133) is structured by determining a sensitivity of the derivative portfolio with respect to financial conditions in a trading market, executing an immunizing purchase of a second trading instrument in an amount equal to the magnitude of the current sensitivity and opposite in value, and executing a qualifying sale of a third trading instrument in an amount equal to amount of the current sensitivity.
摘要翻译： 收益波动减少程序包括确定投资组合的基本市场状况的第一敏感度值，在第一敏感度值的大小相等的第二敏感度价值的第二敏感度价值的交易中进行交易，以及在具有 基本上等于第一灵敏度值的第三灵敏度值。 衍生投资组合（特别是包括根据FAS 133的价值变动表现为收益的金融工具）的组合是通过确定衍生投资组合对于交易市场的财务状况的敏感性，执行免疫 购买等于当前敏感度和价值相反的数量的第二交易工具，并以等于当前敏感度的金额执行第三交易工具的合格销售。
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