Method and system for matching short trading positions with long trading positions

• US 8,595,124 B2
• Filed: 07/30/2012
• Issued: 11/26/2013
• Est. Priority Date: 11/13/2000
• Status: Expired due to Fees

• Current Assignee: Goldman Sachs & Company (Goldman Sachs Group Incorporated)
• Original Assignee: Goldman Sachs & Company (Goldman Sachs Group Incorporated)
• Inventors: Blauvelt, Joseph P., Curialle, Frank J.
• Primary Examiner(s): Nguyen, Nga B.
• Application Number:
  US13/561,803
• Publication Number:
  US 20120290466A1
• Time in Patent Office: 484 Days
• Field of Search: 705/35, 705/36, 705/37, 705/36.R, 705/38
• US Class Current: 705/37
• CPC Class Codes: G06Q 20/10 specially adapted for electronic funds transfer [EFT] systems; specially adapted for home banking systems
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• 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
• CPC Class Codes: G06Q 50/188 Electronic negotiation

Abstract

A system and method for automatically matching short and long positions of participants and automatically generating repurchase agreements (“repo”) and reverse repurchase agreements (“reverse repo”). The system and method provide trading anonymity and various filtering options for the members.

Claims

1. A processor implemented method comprising:

receiving, at a terminal, a plurality of member short positions and a plurality of member long positions;

filtering, at the terminal, one or more of the plurality of member short positions and the plurality of member long positions according to filter parameters;

selecting, at the terminal via a processor, a member short position associated with a first member and one or more counter member long positions associated with other members, wherein the one or more counter member long positions are selected based on parameters associated with the positions;

generating, at the terminal via a processor, one or more transactions between the first member and the one or more other members to cover the member short position, the one or more transactions including one or more of a system-facilitated pro-rata transaction and a substitution transaction; and

executing, at the terminal via the processor, the one or more transactions between the first member and the one or more other members to cover the member short position.

2. A method according to claim 1, wherein the pro-rata transaction includes an overnight interest rate determined based on the parameters associated with the positions.

3. A method according to claim 1, wherein the pro-rata transaction includes an overnight repo transaction for the one or more other members.

4. A method according to claim 1, wherein the pro-rata transaction includes an overnight reverse repo for the first member.

5. A method according to claim 1, wherein the pro-rata transaction includes system-facilitated lending on a pro-rata basis between the selected positions if total counter member long positions are greater than the member short position for a given financial instrument and system-facilitated borrowing on a pro-rata basis if the member short position for the given financial instrument is greater than the total counter member long positions.

6. A method according to claim 1, wherein the substitution transaction indicates substituting first collateral of the first member with other collateral of other members.

7. A method according to claim 6, wherein the first collateral is out on term or open repo.

8. A method according to claim 1, further comprising sending the one or more executed transactions to the first member and the one or more other members respective terminals for position updating and settlement processing.

9. A method according to claim 1, further comprising filtering one or more of the plurality of member short positions or the plurality of member long positions according to filter parameters.

10. A method according to claim 1, wherein the filter parameters include one or more of a percentage, a member identity, or a limit on a number of counter parties.

11. A method according to claim 1, wherein the filter parameters are specified by the first member.

12. A method according to claim 1, wherein selecting includes matching the Committee on Uniform Security Identification Procedures (CUSIP) information associated with at least one member short position of the plurality of member short positions with the CUSIP information associated with at least one member long position of the plurality of member long positions.

13. A method according to claim 1, wherein the plurality of member short positions include short positions in at least two different securities.

14. A computer readable medium having computer executable instructions stored thereon, the instructions, when executed by a processor, cause the processor to:

filter one or more of a plurality of member short positions and a plurality of member long positions according to filter parameters;

select a member short position associated with a first member from the plurality of member short positions and one or more counter member long positions associated with other members from the plurality of member long positions, wherein the counter member long positions are selected based on parameters associated with the positions;

generate one or more transactions between the first member and the one or more other members to cover the member short position, the one or more transactions including one or more of a system-facilitated pro-rata transaction and a substitution transaction; and

execute the one or more transactions between the first member and the one or more other members to cover the member short position.

15. A system comprising:

a processing unit;

an interface configured to receive a plurality of member short positions and a plurality of member long positions;

a memory unit having computer executable instructions stored thereon, wherein the instructions, when executed by the processing unit, cause the processing unit to;

filter one or more of a plurality of member short positions and a plurality of member long positions according to filter parameters;

select a member short position associated with a first member from the plurality of member short positions and one or more counter member long positions associated with other members from the plurality of member long positions,

wherein the counter member long positions are selected based on parameters associated with the positions,

generate one or more transactions between the first member and the one or more other members to cover the member short position, the one or more transactions including one or more of a system-facilitated pro-rata transaction and a substitution transaction, and

execute the one or more transactions between the first member and the one or more other members to cover the member short position.

16. The system according to claim 15, wherein the pro-rata transaction includes system-facilitated lending on a pro-rata basis between the selected positions if total counter member long positions are greater than the member short position for a given financial instrument and system-facilitated borrowing on a pro-rata basis if the member short position for the given financial instrument is greater than the total counter member long positions.

17. The system according to claim 15, wherein selecting includes matching the Committee on Uniform Security Identification Procedures (CUSIP) information associated with at least one member short position of the plurality of member short positions with the CUSIP information associated with at least one member long position of the plurality of member long positions.

18. The system according to claim 15, wherein the substitution transaction indicates substituting first collateral of the first member with other collateral of other members, and the first collateral is out on term or open repo.

19. A processor implemented method comprising:

receiving, at a first terminal, a plurality of member short positions and a plurality of member long positions each representing a financial instrument identifiable by the Committee on Uniform Security Identification Procedures (CUSIP);

filtering one or more of the plurality of member short positions and the plurality of member long positions according to filter parameters;

selecting, at the first terminal via a processor, a member short position associated with a first member and one or more counter member long positions associated with other members, wherein the counter member long positions are selected based on parameters associated with the positions and comparing and matching the CUSIP of the respective member short position and one or more counter member long positions;

generating, at the first terminal via a processor, one or more transactions between the first member and the one or more other members to cover the member short position, the one or more transactions including a system-facilitated pro-rata transaction and a substitution transaction; and

executing, at the first terminal via the processor, the one or more transactions between the first member and the one or more other members to cover the member short position.