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Non-biased, centrally-cleared financial instrument and method of clearing and settling
Non-biased, centrally-cleared financial instrument and method of clearing and settling
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机译:无偏见,中央清算的金融工具以及清算和结算方法
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摘要
In accordance with the principles of the present invention, a computer-implemented, back-office method of creating, centrally clearing, and settling a non-biased financial instrument through an electronic trading platform and an electronic central clearinghouse to effectuate payments between parties to a trade is provided. The present invention addresses at least one of two effects that result from the difference between variation margin on a cleared financial instrument and collateral posted on an uncleared financial instrument, the first effect being a systematic advantage of being short the financial instrument when there is a correlation between the value of the financial instrument and interest rates, referred to as a convexity bias, and the second effect being a distortion in the financial instrument when an underlying asset value of the financial instrument changes, referred to as a net present value (NPV) effect.
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