Patent application number | Description | Published |
20130030980 | Method and System for Providing Option Spread Indicative Quotes - A computer network and method for electronically trading combinations of derivatives. One preferred method of trading includes providing quotes information to a central server, and determining indicative quotes for combination trades, and providing the non-binding, indicative quotes to market participants (which typically includes subscribers, but may also include market makers). A participant may then submit an e-RFQ, which is a request for a binding quote for the combination of derivatives. Market Makers may then elect to submit a binding quote for the corresponding derivative combination. Market participants may then elect to enter a binding order. | 01-31-2013 |
20130041804 | System and Method for Activity Based Margining - A system and method for factoring in a trader's trading activity into the margin requirements is disclosed. In the securities arena, day traders are assessed different margins than non-day-traders, however, the specific profile of the trader is analyzed (that is, the same rule applies to all day traders). | 02-14-2013 |
20130066806 | SYSTEM AND METHOD FOR DETERMINING THE MARKET RISK MARGIN REQUIREMENTS ASSOCIATED WITH A CREDIT DEFAULT SWAP - A system and computer-implemented method for determining a margin requirement associated with a plurality of financial instruments within a portfolio is disclosed. The system and method implement steps and procedures for analyzing the portfolio including the plurality of financial instruments where analyzing further includes determining a first time-series of returns for the plurality of financial instruments, determining a second time-series of returns for the plurality of financial instruments where the second time-series occurs after the first time-series, and calculating the correlation between the first time-series of returns and the second time-series of returns. The system and method implement further steps and procedures for calculating residuals and volatilities for the plurality of financial instruments within the portfolio as a function of the first time-series of returns, calculating a correlation matrix and degrees-of-freedom utilized to simulate standardized residuals for each of the plurality of financial instruments within the portfolio, generating simulated returns as a function of the simulated standardized residuals and the returns, generating a spread distribution for the portfolio, wherein the portfolio is repriced as a function of the simulated returns, and calculating a margin risk based on a risk percentile associated with the spread distribution. | 03-14-2013 |
20130080355 | System and Method of Margining Fixed Payoff Products - A system and method is disclosed for determining performance bonds for fixed payoff products, i.e. contracts which payoff a fixed amount based on the outcome of an underlying event regardless of the value thereof. The worst outcome of the overall portfolio, which may contain more multiple instruments, is calculated, allowing the portfolio to have both long and short positions on the same underlying event and offsets among instruments within the portfolio. A universe of outcomes is constructed including single events with single outcomes, and the probability thereof, and single events with multiple outcomes, each with a probability thereof. Each outcome has an associated price and probability. Low probability events will have low values, resulting in a lower margin requirement. The margin requirement is then the amount of the maximum loss that the portfolio can sustain for any possible outcome of the underlying event, adjusted for the probability thereof. | 03-28-2013 |
20130080533 | Distribution of Market Data - Systems and methods are provided for communicating and processing market data. The market data may comprise quotes, orders, trades and/or statistics. A messaging structure allows for adding, re-ordering and/or expanding data, within the printable character set of any language. One or more delimiters are defined and used to delimit data elements within the message structure. The data is interpreted based on templates which may be disseminated prior to the sending of messages and used as an abstraction so that the meaning of data need not be conveyed in the message. | 03-28-2013 |
20130103566 | Out of Band Credit Control - Systems and method for mediating risks associated with orders in an electronic trading system are provided. A front end component includes a plurality of trading engines that receive orders from traders. A back-end component includes a match system. The system includes a credit control module, which may be located at the back-end (e.g., clearinghouse), front end, a combination thereof, or other location that communicates with the plurality of trading engines. The credit control may monitor aggregate risk parameters for the trading engines and requests credits from trading engines. | 04-25-2013 |
20130117169 | Zero Coupon Conversion Factor Calculation - The disclosed embodiments relate to a system which calculates a conversion factor (CF) based upon a zero percent (0%) futures contract standard. The zero percent futures contract standard may be used in the context of futures or forwards based upon coupon bearing debt securities including Treasuries, Treasury Inflation Protected Securities (TIPS), agencies, corporates, municipals, or any fixed income security. The system also facilitates listing, trading, and settlement of an interest rate futures contract that sets forth such a zero percent futures contract standard. The system may be configured for both interest rate futures contracts utilizing a nonzero percent futures contract standard and interest rate futures contract utilizing a zero percent futures contract standard. The system may be configured to calculate an invoice amount for the interest rate futures contract to be paid in exchange for the delivery of the one of the set of eligible interest rate or debt securities and instruments. | 05-09-2013 |
20130124380 | Template Based Matching - Systems and methods for matching orders are provided. One or more trade templates are created. The trade templates define groups of orders for financial instruments that may be combined such that all of the orders are matched. New orders and resting orders are analyzed using one or more trade templates to determine whether a combination of orders satisfies all of the elements of a trade template. When all of the elements of a trade template are satisfied, the corresponding orders may be matched contemporaneously. | 05-16-2013 |
20130124383 | TBA Futures Contracts and Central Counterparty Clearing of TBA - Networks, systems and methods that match orders for TBA futures and settle and clear open positions for TBA futures are disclosed. The TBA futures may include MBS TBA future contracts. A central counterparty clearing firm may net long and short positions and generate delivery instructions to parties having open positions. | 05-16-2013 |
20130124388 | Derivatives Trading Methods That Use a Variable Order Price and a Hedge Transaction - Systems and methods are provided for executing a hedge transaction in connection with the execution of a derivative product order in which the price of the derivative product is defined by one or more variables. The hedge transaction may be executed at an exchange or match engine that is different from the exchange or match engine executing the derivative product order. The execution of derivative product transaction may be contingent on the existence of an appropriate hedge transaction. Alternatively, a best efforts approach may be used to fill the hedge transaction order after executing the derivative product transaction. | 05-16-2013 |
20130124389 | System and Method for Settling Trades - A method of settling trades includes the steps of obtaining an authenticated delivery instrument, wherein the authenticated delivery instrument is authenticated by a first exchange and may be used to settle a trade undertaken on the first exchange. An electronic proxy is issued for the delivery instrument, wherein the electronic proxy may be exchanged for the authenticated delivery instrument and where the electronic proxy is used to settle a trade undertaken on a second exchange. | 05-16-2013 |
20130124390 | Order Risk Management for Financial Product Processing - Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade. | 05-16-2013 |
20130144775 | System and Method for a Request for Cross in a Trade Matching Engine - Systems and methods are provided to fulfill customer trading orders in an illiquid two sided market. Request for cross functionality may be implemented in a trading environment using a trading engine for the matching of trades involving financial instruments. Request for cross functionally integrates the benefits of a dual bid-ask continuous trading market model with the price and quantity trade matching systems and methods. | 06-06-2013 |
20130159216 | System and Method for Using Diversification Spreading for Risk Offset - A computer-implemented method for analyzing a risk offset associated with a portfolio including a plurality of products traded on an exchange is disclosed. The method includes comparing a first market response of a first product in the portfolio with a second market response of a second product in the portfolio where the first and second market responses result from a change in market data, calculating an offsetting effect between the first market response and the second market response where the first and second market responses are substantially different responses to the same change in the market data, determining a diversification spread based on the offsetting effect derived between the first product and the second product, calculating a diversification spread credit based on the determined diversification spread, and adjusting a margin requirement for the portfolio based on the diversification spread credit. | 06-20-2013 |
20130166474 | PRICING CASH SETTLED ON-THE-RUN TREASURY FUTURES CONTRACTS - The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures. | 06-27-2013 |
20130185183 | Order Risk Management for Derivative Products - Systems and methods are provided for processing derivative product orders at an exchange. Traders provide derivative product order risk data to the exchange. The order risk data may include maximum delta, gamma and/or vega utilization values for derivative product contracts based on the same underlying product. Before executing a trade, a match system analyzes the trader's current utilization state and the utilization that would result after the trade. The match system may then execute all or a portion of the trade. | 07-18-2013 |
20130204769 | Trade Matching Platform with Variable Pricing Based on Clearing Relationships - Systems and methods are described relating to swap execution facilities (SEFs), such as additional new order/spread types for use with SEFs and clearing houses (CHs). Some new order/spread types include covered calls based on clearing house (CH); peg orders based on CH; stop orders with option to get out or specify CH; UDS with or without with designation for specific CH or generic; flex with or without; cancel all within a CH or aggregated or risk based; FX Spot and TomNextâ„¢ and related spreads; energy natural hedges; intercommodity spreads; stop button by CH, exchange, or both; and other types of orders that may be modified to incorporate a CCP attribute. | 08-08-2013 |
20130204770 | Derivative Products - Methods, systems and apparatuses are described for processing and clearing derivatives products with a digital outcome and a plurality of constituents. A computer system configured to process and clear derivative products can accept initial and adjusted performance bonds from buyers and sellers, and adjust the market price of the derivative product at intervals. The market price may be adjusted on a mark-to-market basis and through analysis of other information, e.g., a change in credit rating of reference entities of the derivative product. As a result of price adjustments, cash flow may be generated between buyers and sellers (e.g., credit and debit to accounts). The derivative product may pay a percentage of a predetermined final settlement amount upon the triggering of a predetermined event in each of the constituents of the derivative product. However, upon expiration of the derivative product, the derivative's market price is settled to zero and the agreement is terminated. | 08-08-2013 |