System and method for managing a series of overnight financing trades
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United States of America Patent
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Sep 29, 2009
Grant Date -
Dec 12, 2002
app pub date -
Apr 16, 2002
filing date -
Apr 16, 2001
priority date (Note) -
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status (Latency Note)
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Abstract
A system and method that decomposes what would otherwise constitute a term securities financing trade contract into one current trade and a plurality of forward trades. The decomposed trades (current and forward) are transmitted back to the contracting parties and executed simultaneously In order to assist in the decomposition of what would otherwise constitute a term trade, a unique forward yield curve is generated that determines the interest rate for each of the current and forward trades. The forward yield curve is based, in part, on the overall interest rate agreed to by the parties as well as the number of days of the term and the prevailing market interest rates at the time of the trade.
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