METHOD AND SYSTEM FOR CREATING AND TRADING MORTGAGE-BACKED SECURITY PRODUCTS

• US 20100280937A1
• Filed: 05/03/2010
• Published: 11/04/2010
• Est. Priority Date: 05/01/2009
• Status: Abandoned Application

• Current Assignee: Chicago Board Options Exchange Incorporated (Cboe Global Markets, Inc.)
• Original Assignee: Chicago Board Options Exchange Incorporated (Cboe Global Markets, Inc.)
• Inventors: Hiatt, John C. JR., O'Callahan, Dennis M.
• Application Number:
  US12/772,801
• Publication Number:
  US 20100280937A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A computer-implemented method of creating a derivative investment instrument on an exchange having processor-based equipment is disclosed. The method includes receiving a default rate from a mortgage issuer, the default rate corresponding to a collection of mortgage-backed securities associated with at least one mortgage of the mortgage issuer; associating a risk value with the default rate; creating the derivative investment instrument having a monetary value related to the risk value; and providing, with the processor-based equipment, the derivative investment instrument for trading on an exchange. The method may be stored in a computer-readable memory accessible by the processor-based equipment.

Claims

1. A computer-implemented method of creating a derivative investment instrument on an exchange having processor-based equipment, comprising:

receiving a default rate from a mortgage issuer, the default rate corresponding to a collection of mortgage-backed securities associated with at least one mortgage of the mortgage issuer;

associating a risk value with the default rate;

creating the derivative investment instrument having a monetary value related to the risk value; and

providing, with the processor-based equipment, the derivative investment instrument for trading on the exchange.

2. The method of creating a derivative investment instrument according to claim 1 comprising:

receiving a prepayment risk value from a mortgage issuer, the prepayment risk value corresponding to the collection of mortgage-backed securities associated with the at least one mortgage of the mortgage issuer; and

incorporating the payment risk value in the derivative investment instrument.

3. A computer-readable memory comprising processor executable program instructions for executing the steps of:

receiving default rate from the mortgage issuer, the default rate corresponding to a collection of mortgage-backed securities associated with at least one mortgage of the mortgage issuer;

associating a risk value with the default rate;

creating the derivative investment instrument having a monetary value related to the risk value; and

providing, with a processor-based equipment, the derivative investment instrument for trading on an exchange.

4. The computer-readable memory of claim 3 comprising processor executable program instructions for executing the steps of:

receiving a prepayment risk value from a mortgage issuer, the prepayment risk value corresponding to the collection of mortgage-backed securities associated with the at least one mortgage of the mortgage issuer; and

incorporating the payment risk value in the derivative investment instrument.