Patent application number | Description | Published |
20090037345 | Bundled Financial Instruments - Networks, systems and methods that match orders for bundled financial instruments are disclosed. In one example, the bundled financial instrument includes packaged underlying financial instruments that together provide an economic equivalent exposure to a long-term investment vehicle. The bundled financial instrument may include any set of contracts considered a linear combination of a plurality of standardized contracts associated with an obligation to exchange an asset at a set price on a future date. An open position for the bundled financial instrument is a function of the prices for each of the standardized contracts of the bundle and remains open from execution of the order to the earlier of a maturity of the bundled financial instrument, a conversion of the bundled financial instrument into constituent parts of the linear combination of a plurality of standardized contracts, or in the case where the bundled instrument is fractional size contract, when multiple bundles are converted to a single position of a corresponding full-sized instrument. | 02-05-2009 |
20100169205 | COLLATERALIZED LENDING USING A CENTRAL COUNTERPARTY - A collateralized lending system and method using a central counterparty is disclosed. Lenders place orders to enter into long contracts with a central counterparty obligating them to lend an asset, or portion thereof. Borrowers place orders to enter into short contracts with the central counterparty obligating them to borrow an asset or a substantial equivalent thereof. The net effect acts like a lending transaction between the lender and the borrower. The contracts, referred to below as “General Repo Futures” (“GRF”) and “Special Repo Futures” (“SRF”), may be characterized at least by the value, type or amount of an asset, the interest rate, the delivery/settlement date, i.e. when the loan begins, the term of the loan, or combinations thereof. The asset may be cash or one or more particular securities, such as Treasury securities. The central counterparty anonymously matches counter-orders from one or more borrowers and one or more lenders and facilitates, at the settlement/delivery date, the lending transaction by novating itself into the matched transaction between the borrower(s) and the lender(s), i.e. the lender(s) tenders the asset, or portion thereof, to the central counterparty, such as to a clearing entity operated by the central counterparty, and the central counterparty/clearing entity loans/delivers the asset, or portion thereof, or a substantial equivalent, to the borrower. In one embodiment, the central counterparty/clearing entity may collect collateral from the borrower in exchange for loan. Upon expiration of the loan, the central counterparty/clearing entity facilitates redemption of the loan, e.g. repayment by the borrower to the central counterparty, and return of the collateral, and repayment by the central counterparty to the lender, as well as collection and payment of interest, etc. As a result of the novation, the transactions between the central counterparty and the lender and borrower are independent and guaranteed. Thereby, the risk of loss due to borrower default is absorbed by the central counterparty encouraging lending activity by prospective lenders resulting in increased credit availability. | 07-01-2010 |
20110078070 | BUNDLED FINANCIAL INSTRUMENTS - Networks, systems and methods that match orders for bundled financial instruments are disclosed. In one example, the bundled financial instrument includes packaged underlying financial instruments that together provide an economic equivalent exposure to a long-term investment vehicle. The bundled financial instrument may include any set of contracts considered a linear combination of a plurality of standardized contracts associated with an obligation to exchange an asset at a set price on a future date. An open position for the bundled financial instrument is a function of the prices for each of the standardized contracts of the bundle and remains open from execution of the order to the earlier of a maturity of the bundled financial instrument, a conversion of the bundled financial instrument into constituent parts of the linear combination of a plurality of standardized contracts, or in the case where the bundled instrument is fractional size contract, when multiple bundles are converted to a single position of a corresponding full-sized instrument. | 03-31-2011 |
20110295734 | System and Method for Implementing and Managing Basis Futures - A method for implementing a basis futures contract is disclosed. The method includes receiving trade data at a server, defining, at the server, a first futures contract based on an index identified in the received trade data, defining, at the server, a second futures contract based on a basis associated with the index identified in the received trade data, such that the basis reflects a fair value associated with the first futures contract, listing, via a match module, at least the second futures contract, matching, via the match module, at least the second futures contract, and calculating, at the server, a final settlement price associated with the first contract based on a daily settlement price of the index and a basis future settlement price associated with the second contract. | 12-01-2011 |
20120101931 | SYSTEM AND METHOD FOR IMPLEMENTING AND MANAGING BUNDLED OPTION BOX FUTURES - A system and method of providing a collateralized loan utilizing a clearing counterparty is disclosed. The method includes receiving an order at a match engine module, the order related to a futures contract based on an options box spread as the deliverable asset such that the futures contract represents a collateralized loan and such that the order includes an interest rate associated with the collateralized loan, analyzing, at the match engine, the order to determine a strike interval, scanning an order book module in communication with the match engine module, such that the scan is based on the determined strike interval, and automatically defining a first pair of options at a first strike price and a second pair of options at a second strike price, such that the determined strike interval defines the first and second strike prices, such that the first and second pair of options cooperate to define the option box spread. | 04-26-2012 |
20120101957 | PROSPECTIVE CURRENCY UNITS - Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union. | 04-26-2012 |
20120101958 | BREAKOUT INDEXES - Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union. | 04-26-2012 |
20120109808 | PERIODIC RESET TOTAL RETURN INDEX FUTURES CONTRACTS - A periodic reset total return index may be based on a standard index, such as an equity index. The value of the periodic reset total return index may be the sum of the standard index plus the income flow generated by the index, such as dividends generated by stocks. The periodic reset total return index valuation may be deployed as the basis for a futures contract. On a periodic basis, the income flow accrued for the preceding period are passed from the short to the long position holder, with a corresponding adjustment of the settlement price of the contract. The expiration of the contract may be settled at the sum of the underlying index quotation plus the income flow accrual for the previous period. A buyer of a futures contract based on a periodic reset total return index receives the performance of the index plus the intervening income flow accrual. | 05-03-2012 |
20120136770 | Systems and Methods for Using Declining Balance Methodologies To Enhance Clearing of Dividend Futures and Other Instruments - Systems and method are disclosed for quoting, adjusting and settling futures contracts by successively removing the just-realized variables from the quoted futures price to focus the quoted contract value to the remaining unrealized economic variables. Further, such systems and method for quoting, adjusting and settling the futures contracts preserve the underlying economic consideration for the trade when compared with the traditional way of quoting futures based on the same cumulative sum. | 05-31-2012 |
20120303510 | 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. | 11-29-2012 |
20120323764 | FACILITATION OF PAYMENTS BETWEEN COUNTERPARTIES BY A CENTRAL COUNTERPARTY - A system for moving money between accounts of traders by a central counterparty to facilitate payments, i.e. the movement of funds, there between is disclosed which provides a flexible mechanism which supports simpler accounting, new types of derivatives contracts as well new types fees. The disclosed futures contract, referred to as a “payer” contract, comprises a “no-uncertainty” futures contract, i.e. the initial value and settlement value parameters are defined, that leverages the mechanisms of the clearing system to, for example, accommodate related payments. Accordingly, a 1-to-many relationship between contracts and prices is provided whereby each price component may be assigned its own payer contract. The function of the payer contract may be to guarantee the movement of money from related positions. In one embodiment, payer contracts are dynamically created whenever a payment is needed. | 12-20-2012 |
20130018770 | VARIABLE EXPOSURE CONTRACTAANM Co; RichardAACI ChicagoAAST ILAACO USAAGP Co; Richard Chicago IL USAANM Youngren; SteveAACI ElginAAST ILAACO USAAGP Youngren; Steve Elgin IL USAANM Wiley; JohnAACI New YorkAAST NYAACO USAAGP Wiley; John New York NY USAANM Boberski; DavidAACI WestportAAST CTAACO USAAGP Boberski; David Westport CT USAANM Labuszewski; JohnAACI WestmontAAST ILAACO USAAGP Labuszewski; John Westmont IL USAANM Nyhoff; JohnAACI DarienAAST ILAACO USAAGP Nyhoff; John Darien IL US - The disclosed embodiments relate to a futures contract, the value of which is based on the value of the underlying asset multiplied by a variable multiplier value which is based on a variable parameter. | 01-17-2013 |
20130018771 | LOGGED DERIVATIVE CONTRACTAANM Co; RichardAACI ChicagoAAST ILAACO USAAGP Co; Richard Chicago IL USAANM Youngren; SteveAACI ElginAAST ILAACO USAAGP Youngren; Steve Elgin IL USAANM Wiley; JohnAACI New YorkAAST NYAACO USAAGP Wiley; John New York NY USAANM Boberski; DavidAACI WestportAAST CTAACO USAAGP Boberski; David Westport CT USAANM Labuszewski; JohnAACI WestmontAAST ILAACO USAAGP Labuszewski; John Westmont IL US - The disclosed embodiments relate to creation and administration by automated means of Logged derivatives contracts. These contracts, e.g. a futures contract or “over the counter” (OTC) derivative, are cash-settled derivatives based on, and quoted by reference to, the natural logarithm of the value of the underlying product, e.g., the S&P 500. | 01-17-2013 |
20130024340 | Alternate Currency Derivatives - An alternate currency futures contract or other type of derivative can be denominated in a primary currency. Margin account adjustments for mark-to-market (MTM) settlements, final settlements, and/or other cash flows associated with the contract can initially be calculated based on the primary currency, and then be converted to an alternate, secondary currency. This conversion can occur unconditionally and without requiring a prior unavailability determination. | 01-24-2013 |
20130024345 | Interest Accrual Provisions For Multi-Laterally Traded Contracts - In the context of multi-laterally traded contracts, a method may be invoked in the event that payments denominated in a particular currency that are required in satisfaction of the contractual obligations of the contract cannot be made. Payments may be deferred for a specified number of business days or until such time as commercially practicable. Unpaid payments due may accrue interest and/or penalties at rates as determined by a governing body. | 01-24-2013 |
20130024346 | Modification of Multi-Laterally Traded Contracts Based on Currency Unavailability Condition - A type of multi-laterally traded contract may designate a primary currency and a secondary currency. The primary currency may be used for settlement and/or other payment obligations in connection with instances of the contract type. Under certain conditions, however, authorization may be given for settlement and/or payment of at least some obligations using an equivalent amount of the secondary currency. | 01-24-2013 |
20130041802 | Derivative Products - Systems and methods are described for processing and clearing derivatives products with a binary outcome and having a final settlement based on a triggering event. 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., the credit rating of a reference entity. As a result of price adjustments, cash flow may be generated between buyers and sellers. The derivative product may pay a predetermined final settlement amount or percentage upon the triggering of a predetermined event. However, upon expiration of the derivative product, the derivative's market price is settled to zero and the agreement is terminated. | 02-14-2013 |
20130110691 | Futures Contracts Spread Packages | 05-02-2013 |
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 |
20130211996 | SYSTEM AND METHOD FOR IMPLEMENTING AND MANAGING BUNDLED OPTION BOX FUTURES - A system and method of providing a collateralized loan utilizing a clearing counterparty is disclosed. The system includes a match engine module to receive an order for a bundled box spread future representative of the collateralized loan via an options box spread. The order specifies an interest rate associated with the collateralized loan as the price of the futures contract. A trade database identifies a bundled box spread future associated with the received order and interest rate and an order book module identifies a standing order that is compatible with the received order. A clearing module credits an account with a loan amount based on the identified bundled option box future. A risk management module credits a margin amount to reflect the collateralized loan and associated collateral assets. | 08-15-2013 |
20130218809 | PROSPECTIVE CURRENCY UNITS - Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union. | 08-22-2013 |
20130232052 | PERIODIC RESET TOTAL RETURN INDEX FUTURES CONTRACTS - A periodic reset total return index may be based on a standard index, such as an equity index. The value of the periodic reset total return index may be the sum of the standard index plus the income flow generated by the index, such as dividends generated by stocks. The periodic reset total return index valuation may be deployed as the basis for a futures contract. On a periodic basis, the income flow accrued for the preceding period are passed from the short to the long position holder, with a corresponding adjustment of the settlement price of the contract. The expiration of the contract may be settled at the sum of the underlying index quotation plus the income flow accrual for the previous period. A buyer of a futures contract based on a periodic reset total return index receives the performance of the index plus the intervening income flow accrual. | 09-05-2013 |
20130238526 | PERIODIC RESET TOTAL RETURN INDEX FUTURES CONTRACTS - A periodic reset total return index may be based on a standard index, such as an equity index. The value of the periodic reset total return index may be the sum of the standard index plus the income flow generated by the index, such as dividends generated by stocks. The periodic reset total return index valuation may be deployed as the basis for a futures contract. On a periodic basis, the income flow accrued for the preceding period are passed from the short to the long position holder, with a corresponding adjustment of the settlement price of the contract. The expiration of the contract may be settled at the sum of the underlying index quotation plus the income flow accrual for the previous period. A buyer of a futures contract based on a periodic reset total return index receives the performance of the index plus the intervening income flow accrual. | 09-12-2013 |
20130246244 | Derivative Products - Systems and methods are described for processing and clearing derivatives products with a binary outcome and having a final settlement based on a triggering event. 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., the credit rating of a reference entity. As a result of price adjustments, cash flow may be generated between buyers and sellers. The derivative product may pay a predetermined final settlement amount or percentage upon the triggering of a predetermined event. However, upon expiration of the derivative product, the derivative's market price is settled to zero and the agreement is terminated. | 09-19-2013 |
20140019324 | Delivery System for Futures Contracts - Systems and methods are provided for processing and settling futures contracts that have multiple settlement provisions. A single futures contract may include both a physical delivery settlement provision and a cash settlement provision. Cash settlement provisions may involve inconvertible currencies. | 01-16-2014 |
20140067647 | SYSTEM AND METHOD FOR IMPLEMENTING AND MANAGING BUNDLED OPTION BOX FUTURES - A system and method of providing a collateralized loan utilizing a clearing counterparty is disclosed. The system includes a match engine module to receive an order for a bundled box spread future representative of the collateralized loan via an options box spread. The order specifies an interest rate associated with the collateralized loan as the price of the futures contract. A trade database identifies a bundled box spread future associated with the received order and interest rate and an order book module identifies a standing order that is compatible with the received order. A clearing module credits an account with a loan amount based on the identified bundled option box future. A risk management module credits a margin amount to reflect the collateralized loan and associated collateral assets. | 03-06-2014 |
20140081818 | Matched Order Fulfillment with Linear Optimization - A method for matching compound orders from a group of market participants includes receiving, via a communication network, compound order data, the compound order data specifying a maximum amount of a financial instrument of a plurality of financial instruments to be bought or sold by each market participant, accessing a memory in which price data is stored, the price data indicating a current price of each financial instrument, implementing, with a processor, a linear solver to maximize fulfillment of the compound orders via order matching for execution at the current prices in accordance with the maximum amounts specified in the compound order data and in accordance with a maximum net risk exposure level for each market participant arising from the fulfillment of the compound orders, and transmitting trade data indicative of the order matching for execution of trades among the market participants at the current prices. | 03-20-2014 |
20140081819 | Processing Fixed Unit Financial Instruments - Systems and methods are provided for processing fixed unit futures contracts. The initial notional value of a fixed unit futures contract is set to a round number. As the value changes over time, gains and losses are settled and the value of the fixed unit futures contract is returned to the notional value. The value of the fixed unit futures contract may begin each trading session at the notional value. | 03-20-2014 |
20140081831 | Systems and Methods for Using Declining Balance Methodologies to Enhance Clearing of Dividend Futures and Other Instruments - Systems and method are disclosed for quoting, adjusting and settling futures contracts by successively removing the just-realized variables from the quoted futures price to focus the quoted contract value to the remaining unrealized economic variables. Further, such systems and method for quoting, adjusting and settling the futures contracts preserve the underlying economic consideration for the trade when compared with the traditional way of quoting futures based on the same cumulative sum. | 03-20-2014 |
20140188694 | PROSPECTIVE CURRENCY UNITS - Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union. | 07-03-2014 |
20140188764 | BREAKOUT INDEXES - Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union. | 07-03-2014 |
20140222659 | COLLATERALIZED LENDING USING A CENTRAL COUNTERPARTY - A lending machine can include a communications device to receive a first request relating to a first loan transaction. The first loan transaction can include a long or a short Special Repo Futures (SRF) contract where a supply of the asset is below a supply threshold, otherwise the first loan transaction can include a long or a short General Repo Futures (GRF) contract. The communications device can also be configured to receive a second request for a second loan transaction at least partially counter to the first loan transaction. The lending machine can also include a matching device configured to match the first request with the second request. The lending machine can also include a trader device configured to perform a transaction corresponding to the first and the second request. | 08-07-2014 |
20140258065 | COMMODITY CONTRACTS DELIVERY ALLOCATION - For each of in source locations, a number of commodity contract short positions may be determined. Each of the short positions may correspond to an obligation of a short position holder to make delivery of a commodity within a predefined time period, and may further correspond to one of the in source locations. For each of n destination locations, a number of commodity contract long positions may be determined. Each of the long positions may correspond to an obligation of the long position holder to receive delivery of the commodity within the predefined time period, and may further correspond to one of the n destination locations. Short and long positions may be allocated among each of one or more of the source-destination pairs. | 09-11-2014 |
20140316961 | Dynamic Tick Size Order Aggregator - Systems and methods are provided for dynamically adjusting a bid ask spread while maintaining a fixed trading increment. Various criteria may be analyzed to determine if a bid ask spread meets the desired criteria. When the criteria is not met, the bid ask spread may be adjusted by aggregating orders. Aggregation may include raising a price of the lowest ask prices and/or lowering a price of the highest bid orders. | 10-23-2014 |
20140324653 | Breakout Indexes - Methods and systems for calculating values for indexes based on breakout currencies are provided. A prospective breakout index may be formed before an entity breaks out of a monetary union. Other aspects relate to calculating an initial index value on a breakout date. An initial exchange rate of the breakout currency may be combined with a breakout value and/or a base value. In one embodiment, the breakout value is the reciprocal of the initial exchange rate. Therefore, in accordance with certain embodiments, the initial index value of the breakout index may be equal to the base value. Further aspects relate to calculating a second index value. A second exchange rate of the breakout currency may be utilized with the fixed base value and the breakout value to calculate the second index value of the breakout index. Further aspects relate to creating a prospective currency unit for a monetary union. | 10-30-2014 |
20140372272 | Lack of Liquidity Order Type - Systems and methods are provided for matching orders. Orders are initially received at a central limit order book system. If an order remains unmatched or a portion of the order remains unmatched after a predetermined time period, order information is sent to a request for quote system. The request for quote system distributes a request for quote and provides any quotes to the original trading entity. An order may be matched at the central limit order book system or the request for quote system. | 12-18-2014 |
20140372273 | Automated Book-Entry Exchange of Futures for Interest Rate Swap (EFS) at Implied Current Coupon - Systems and methods are provided for liquidating existing deliverable swap futures contracts, such as deliverable interest rate swap futures contracts. An exchange determines non-par prices for existing deliverable swap futures contracts using estimates for future floating interest rate as selected by the exchange. The prices are listed and traders may submit notices of intention to liquidate existing deliverable swap futures contracts. The exchange matches notices and clears matched notices. | 12-18-2014 |
20150081503 | Pricing Range-Based Financial Instruments - A method for computing a settlement price of a financial instrument includes: (a) sampling a plurality of high-low range in a market over a period of time; (b) calculating an average of the plurality of high-low range obtained by the sampling; and (c) computing the settlement price of the financial instrument based on the average of the plurality of high-low ranges obtained by the calculating. Systems for computing a settlement price of a financial instrument are described | 03-19-2015 |
20150081505 | Detection of Potential Abusive Trading Behavior in Electronic Markets - Methods for detecting potential abusive trading behavior in an electronic market include: (a) querying a database in response to an alert signifying a possible trading irregularity, wherein the database is configured to store data mined from one or a plurality of electronic social media platforms; (b) determining whether the database contains evidence of a news event that explains the trading irregularity and, if so, whether the news event corresponds to fundamental and/or technical market activity; and (c) flagging the trading irregularity as potential abusive trading behavior if the database contains evidence of the news event but it is determined that the news event does not correspond to fundamental and/or technical market activity. Systems for detecting potential abusive trading behavior in an electronic market are described. | 03-19-2015 |
20150106252 | FACILITATION OF PAYMENTS BETWEEN COUNTERPARTIES BY A CENTRAL COUNTERPARTY - A system for moving money between accounts of traders by a central counterparty to facilitate payments, i.e. the movement of funds, there between is disclosed which provides a flexible mechanism which supports simpler accounting, new types of derivatives contracts as well new types fees. The disclosed futures contract, referred to as a “payer” contract, comprises a “no-uncertainty” futures contract, i.e. the initial value and settlement value parameters are defined, that leverages the mechanisms of the clearing system to, for example, accommodate related payments. Accordingly, a 1-to-many relationship between contracts and prices is provided whereby each price component may be assigned its own payer contract. The function of the payer contract may be to guarantee the movement of money from related positions. In one embodiment, payer contracts are dynamically created whenever a payment is needed. | 04-16-2015 |
20150106253 | FACILITATION OF PAYMENTS BETWEEN COUNTERPARTIES BY A CENTRAL COUNTERPARTY - A system for moving money between accounts of traders by a central counterparty to facilitate payments, i.e. the movement of funds, there between is disclosed which provides a flexible mechanism which supports simpler accounting, new types of derivatives contracts as well new types fees. The disclosed futures contract, referred to as a “payer” contract, comprises a “no-uncertainty” futures contract, i.e. the initial value and settlement value parameters are defined, that leverages the mechanisms of the clearing system to, for example, accommodate related payments. Accordingly, a 1-to-many relationship between contracts and prices is provided whereby each price component may be assigned its own payer contract. The function of the payer contract may be to guarantee the movement of money from related positions. In one embodiment, payer contracts are dynamically created whenever a payment is needed. | 04-16-2015 |
20150106254 | FACILITATION OF PAYMENTS BETWEEN COUNTERPARTIES BY A CENTRAL COUNTERPARTY - A system for moving money between accounts of traders by a central counterparty to facilitate payments, i.e. the movement of funds, there between is disclosed which provides a flexible mechanism which supports simpler accounting, new types of derivatives contracts as well new types fees. The disclosed futures contract, referred to as a “payer” contract, comprises a “no-uncertainty” futures contract, i.e. the initial value and settlement value parameters are defined, that leverages the mechanisms of the clearing system to, for example, accommodate related payments. Accordingly, a 1-to-many relationship between contracts and prices is provided whereby each price component may be assigned its own payer contract. The function of the payer contract may be to guarantee the movement of money from related positions. In one embodiment, payer contracts are dynamically created whenever a payment is needed. | 04-16-2015 |
20150106255 | FACILITATION OF PAYMENTS BETWEEN COUNTERPARTIES BY A CENTRAL COUNTERPARTY - A system for moving money between accounts of traders by a central counterparty to facilitate payments, i.e. the movement of funds, there between is disclosed which provides a flexible mechanism which supports simpler accounting, new types of derivatives contracts as well new types fees. The disclosed futures contract, referred to as a “payer” contract, comprises a “no-uncertainty” futures contract, i.e. the initial value and settlement value parameters are defined, that leverages the mechanisms of the clearing system to, for example, accommodate related payments. Accordingly, a 1-to-many relationship between contracts and prices is provided whereby each price component may be assigned its own payer contract. The function of the payer contract may be to guarantee the movement of money from related positions. In one embodiment, payer contracts are dynamically created whenever a payment is needed. | 04-16-2015 |
20150112844 | Futures Contracts with Divergent Trading and Delivery Units - Systems and methods are provided for processing derivative financial instrument positions. Contracts are structured to include minimum position limits or thresholds as final settlement dates approach. The minimum position limits or thresholds exceed the trading units. Traders who initially hold relatively small positions are required to increase their positions as the settlement date approaches so that the position at settlement corresponds to quantities used in commercial institutional markets. Limits or thresholds are enforced by imposing a fee for non-compliance, forcing cash settlement or requiring a mandatory roll forward of at least some of the positions. The roll forward may include a spread product that includes a first derivative financial instrument having a first settlement date and a second derivative financial instrument having a second settlement date that is different from the first settlement date. The price of the spread product is based on daily settlement values associated with the first and second derivative financial instruments. | 04-23-2015 |
20150112845 | Futures Contracts with Minimum Position Limit Approaching Delivery Period - Systems and methods are provided for processing derivative financial instrument positions. Contracts are structured to include minimum position limits or thresholds as final settlement dates approach. The minimum position limits or thresholds exceed the trading units. Traders who initially hold relatively small positions are required to increase their positions as the settlement date approaches so that the position at settlement corresponds to quantities used in commercial institutional markets. Limits or thresholds are enforced by imposing a fee for non-compliance, forcing cash settlement or requiring a mandatory roll forward of at least some of the positions. The roll forward may include a spread product that includes a first derivative financial instrument having a first settlement date and a second derivative financial instrument having a second settlement date that is different from the first settlement date. The price of the spread product is based on daily settlement values associated with the first and second derivative financial instruments. | 04-23-2015 |
20150112846 | Futures Contracts Settlement Method with Option to Roll Forward - Systems and methods are provided for processing derivative financial instrument positions. Contracts are structured to include minimum position limits or thresholds as final settlement dates approach. The minimum position limits or thresholds exceed the trading units. Traders who initially hold relatively small positions are required to increase their positions as the settlement date approaches so that the position at settlement corresponds to quantities used in commercial institutional markets. Limits or thresholds are enforced by imposing a fee for non-compliance, forcing cash settlement or requiring a mandatory roll forward of at least some of the positions. The roll forward may include a spread product that includes a first derivative financial instrument having a first settlement date and a second derivative financial instrument having a second settlement date that is different from the first settlement date. The price of the spread product is based on daily settlement values associated with the first and second derivative financial instruments. | 04-23-2015 |
20150112848 | DISSEMINATING FLOOR QUOTES FROM OPEN OUTCRY MARKETS - One or more methods may be used to disseminate floor quotes from an open outcry financial market, such as via messages posted on a social network. These messages may include additional information for providing “color” to the price quotation. In some cases, a method of disseminating the floor quotes may include receiving, at a computer device, a request from a trader to receive an authenticated user name associated with a financial exchange. The financial exchange may then permit the trader to post one or more messages to a social network using the authenticated user name, where the message includes information about a trade on the financial exchange. | 04-23-2015 |
20150112889 | ACHIEVING MARGIN CAPITAL EFFICIENCIES USING LINEAR PROGRAMMING - A minimum margin requirement associated with an account may be determined by calculating, by a computer system, a first margin requirement for each of a plurality of derivatives positions associated with an account, calculating, by the computer system, a second spread margin requirement for each of one or more spread positions corresponding to the plurality of derivatives positions associated with the account, and determining, by the computer system, a minimum account margin requirement for the account using a linear programming technique and based on the first margin requirement for each of the plurality of derivatives positions and the second spread margin requirement for each of the one or more spread positions. | 04-23-2015 |
20150178833 | VOLATILITY BASED FUTURES PRODUCTS - A method of providing a financial product may include obtaining, by a computer device, pricing information about a financial market over a specified duration, the pricing information including at least a high price and a low price occurring within the duration. The computer device may be configured for determining a volatility associated with the market, the volatility based, at least in part, on the pricing information and determining a settlement price for a cash settled futures product using the volatility of the market over the specified duration. | 06-25-2015 |
20150178834 | HYBRID INDEX DERIVED USING A KALMAN FILTER - A method of determining a hybrid index may include obtaining, by a computer device, financial transaction information about two or more financial products over a duration. The computer device may be configured to filter the financial transaction information to produce enhanced financial transaction information. The computer device may then determine a financial index value using the financial transaction information and the enhanced financial transaction information. | 06-25-2015 |
20150278951 | Futures Contracts with Minimum Position Limit Approaching Delivery Period - Systems and methods are provided for processing derivative financial instrument positions. Contracts are structured to include minimum position limits or thresholds as final settlement dates approach. The minimum position limits or thresholds exceed the trading units. Traders who initially hold relatively small positions are required to increase their positions as the settlement date approaches so that the position at settlement corresponds to quantities used in commercial institutional markets. Limits or thresholds are enforced by imposing a fee for non-compliance, forcing cash settlement or requiring a mandatory roll forward of at least some of the positions. The roll forward may include a spread product that includes a first derivative financial instrument having a first settlement date and a second derivative financial instrument having a second settlement date that is different from the first settlement date. The price of the spread product is based on daily settlement values associated with the first and second derivative financial instruments. | 10-01-2015 |
20150324911 | DELTA-HEDGED FUTURES CONTRACT - Systems and methods are described for providing a futures product corresponding to a position in a delta-hedged strategy on an underlying financial product may include creating a portfolio including put options and call options, wherein the put options and the call options correspond to a same underlying product. One or more computing devices may determine a position in the underlying product to include in the portfolio. The position in the underlying product may correspond to a volatility of the put options and the call options. In some cases, the one or more computing devices may generate a futures contract based on the portfolio including the put options, the call options and the position in the underlying product. | 11-12-2015 |
20150379633 | Implied Volatility Futures Product - Systems and methods are described for providing a derivatives product corresponding to an implied volatility of a financial product traded on an exchange. The method may include calculating, by one or more computing devices, a risk neutral density based on options information associated with an option trading on a financial market. The one or more computing devices may calculate an implied volatility associated with the option based on the risk neutral density and provide an implied volatility derivatives product corresponding to implied volatility of a financial product underlying the option, wherein the derivatives product is cash-settled based on the implied volatility. | 12-31-2015 |
20150379641 | Implied Volatility Skew Futures Product - Systems and methods are described for providing a derivatives product corresponding to an implied volatility skew of a financial product traded on an exchange. The method may include calculating, by one or more computing devices, a risk neutral density based on options information associated with an option trading on a financial market. The one or more computing devices may calculate an implied volatility skew associated with the option based on the risk neutral density and provide an implied volatility skew derivatives product corresponding to the implied volatility skew associated with the financial product underlying the option, wherein the implied volatility skew derivatives product is cash-settled based on the implied volatility skew. | 12-31-2015 |
20160063629 | Processing Decomposing Financial Instruments - Systems and methods are provided for processing financial instruments. An original financial instrument may be a futures contract that is a combination of financial instruments or is based on a combination of financial instruments. The original financial instrument includes a provision identifying one or more decomposition events. When a decomposition event occurs, a futures contract composition computer or other device decomposes the original financial instrument into two or more financial instruments. | 03-03-2016 |
20160071214 | SYSTEM AND METHOD FOR COMPELLING PHYSICAL DELIVERY OF ITEMS WITHIN A QUALITY RANGE - Systems and methods are provided for processing futures contracts that have physical delivery settlement provisions. At the time of settlement, the quality of potential underlying items that would be delivered are ranked. The rankings may be based on characteristics of the sources of the potential underlying items. Subsets of the potential underlying items that comply with percentile ranges included in the futures contracts may then be identified as deliverable underlying items. | 03-10-2016 |
20160086266 | ELECTRONIC MARKET MESSAGE MANAGEMENT BY ALLOCATION OF TEMPORALLY SPECIFIC MESSAGES - Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed. | 03-24-2016 |
20160086267 | ELECTRONIC MARKET MESSAGE MANAGEMENT OF TEMPORALLY SPECIFIC MESSAGES - Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders. The actions in the electronic trading system may have times specified within the electronic message for the action to be executed. | 03-24-2016 |
20160086268 | ELECTRONIC MARKET MESSAGE MANAGEMENT OF MULTIPLE-ACTION MESSAGES - Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing primary actions associated with respect to the orders. Secondary actions in the electronic trading system may also be executed with respect to the orders. | 03-24-2016 |
20160092984 | ELECTRONIC MARKET MESSAGE MANAGEMENT USING PRIORITY DETERMINATION - Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders and matching orders to counter orders. Matching orders may be based on a priority determined using a market quality index of the order and an associated market participant. | 03-31-2016 |
20160092985 | ELECTRONIC MARKET MESSAGE MANAGEMENT WITH PRIORITY DETERMINATION - Methods, devices, and systems for managing electronic messages of an electronic trading system in which orders are extracted from the electronic messages involve executing actions associated with respect to the orders and matching orders to counter orders. Matching orders may be based on a priority determined using a market quality index of the order and an associated market participant. | 03-31-2016 |