Patent application number | Description | Published |
20110208632 | Generation of a Hedgeable Index and Market Making for a Hedgeable Index-Based Financial Instrument - Systems, methods, and apparatuses are provided for processing a relationship metric comprising a plurality of components each having an associated percentage weight, selecting a plurality of financial instruments each corresponding to one of the plurality of components, determining an integer number of each of the plurality of financial instruments such that a relationship based on the integer numbers approximates the percentage weights, and composing an index that includes the respective integer numbers of each of the plurality of financial instruments. | 08-25-2011 |
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 |
20120259795 | FIXED INCOME INSTRUMENT YIELD SPREAD FUTURES - A futures contract and method of computing a settlement price thereof are disclosed that enables a market participant to shed or acquire financial exposure in a conventional bond spread, in the form of single futures contract, rather than as a bona fide spread requiring active management of distinct long and short component bond positions, e.g. legs. The notional financial exposure of the futures contract is sized, not in terms of notional amounts/quantities of assets represented in the components of the futures contract's reference spread, but rather in terms of the pecuniary value of one basis point (i.e., 0.01 percent per annum) of the spread between yields to maturity for each of the components of the futures contract's reference spread. Effectively, the spread between the yields is defined inversely, i.e. the price per increment of spread is fixed whereas the quantities/notional amounts of reference bonds and the spread between them are not. | 10-11-2012 |
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 |
20130024344 | BIFURCATED COMMODITY IDENTIFIERS - Novel systems and methods for selectively listing a commodity under one or more different commodity codes are provided. A single commodity may be selectively listed under different commodity codes based upon whether it is offered on an opening or closing basis. The commodity may be an Interest Rate Swap (IRS). It may be matched with bids according to a fixed rate variable when listed under the first code. The same commodity may then be listed on the same exchange under a second commodity code. In one embodiment, the commodity listed under the second commodity code may be matched with bids according to a different variable, such as, for example, a currency amount. In one implementation, the currency amount of the second variable may represent a non-par payment. | 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 |
20130024347 | Multi-Laterally Traded Contract Settlement Mode Modification - Stored data may define a multilaterally-traded contract type and specify final settlement of contracts conforming to the contract type by delivery of a defined quantity of a commodity. Additional data may be received, which additional data may indicate potential invocation of an alternate cash settlement mode for a plurality of contracts. Each contract of the plurality may be a contract conforming to the contract type. Further data may be received, with the further data indicating the alternate cash settlement mode is invoked for a group of contracts. The group may be all of the contracts of the plurality or a sub-portion of the plurality. Data may be transmitted to indicate cash final settlement of each contract of the group by payment of a cash settlement value instead of by delivery of the defined quantity of the commodity. | 01-24-2013 |
20130031020 | MARGIN AS CREDIT ENHANCEMENT CONTRACTS - Systems and methods are provided for implementing risk retention programs for originators and securitizers of asset backed securities. An administrative contract identified as a margin as credit enhancement contract is created for a corresponding asset backed security. A risk retention entity is assigned a long position for the margin as credit enhancement contract corresponding to a predetermined percentage of the asset backed security. A buyer of the asset backed security is assigned a short position for the margin as credit enhancement contract. When the asset backed security expires, a computer device settles the long and short positions of the margin as credit enhancement contract. | 01-31-2013 |
20130041799 | Pricing a Forward Rate Agreement Financial Product Using a Non-Par Value - Computer readable media, methods, and apparatuses may be configured for processing a yield of a first financial instrument, determining a single floating rate payment based on the yield, determining a single fixed rate payment based on a fixed interest rate, determining a present value of the single floating rate payment, determining a present value of the single fixed rate payment, and generating a quote for a forward rate agreement index financial product as a function of the present value of the single floating rate payment and the present value of the single fixed rate payment. | 02-14-2013 |
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 |
20130041843 | Pricing a Swap Financial Product Using a Non-Par Value - Computer readable media, methods, and apparatuses may be configured for processing a plurality of yields, each of the yields corresponding to a different maturity date, determining a plurality of floating payments based on the yields, determining a plurality of fixed payments based on a fixed interest rate, determining a present value of the floating payments, determining a present value of the fixed payments, and generating a quote for a swap financial product as a function of the present value of the floating payments and the present value of the fixed payments. | 02-14-2013 |
20130110691 | Futures Contracts Spread Packages | 05-02-2013 |
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 |
20130117172 | MULTIPLE COUPON INTEREST RATE FUTURES CONTRACTS - The disclosed system makes available multiple interest rate futures contracts (“IRFC”) for a given set of interest rate securities, such as US Treasury Notes, which may be used to satisfy the delivery obligation. The terms on which the delivery obligation of each such IRFC are met are governed by an associated conversion factor yield (“CFY”) value which is associated, in turn, with a corresponding set of conversion factors (“CF”), each of which corresponds to one member of the set of securities eligible for delivery, and which may be used at the time of delivery of such eligible interest rate security, to determine the delivery invoice price. Offering different CFY's and corresponding CF's may enable a market participant who seeks to use such futures to acquire or shed financial risk exposure to select from such array of futures contracts the member contract that most closely mirror the participant's intended risk profile. | 05-09-2013 |
20130179319 | COMPOUND OVERNIGHT BANK RATE ACCRUAL FUTURES CONTRACT AND COMPUTATION OF VARIATION MARGIN THEREFORE - The disclosed embodiments relate to an exchange-traded futures contract, guaranteed by a clearing house, and characterized by an embedded price dynamic comprising a compound accrual of a periodic interest rate up to a date on which trading therein is terminated, as specified in the futures contract terms and conditions. A trader may be allowed and/or enabled to take a position in a futures contract with respect to an interest bearing underlier with a variable interest rate and, thereby, minimize the number of transactions and attendant costs with respect to monitoring and correcting for divergences between the futures position and the notional interest rate swap exposure for which the futures position is intended to serve as a proxy. Variation margin for the position is computed based on an underlying reference interest rate as opposed to being computed solely on the basis of the end-of-business day price of the futures contract. | 07-11-2013 |
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 |
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 |
20130282547 | Exchange-Traded Basis Derivative Contracts - An exchange computer system creates, trades and/or otherwise manages basis derivative contracts. At maturity, a basis derivative contract may have two components. A first component may require a party to the basis derivative contract to make or take some type of delivery related to a particular subject matter. A second component may require the basis derivative contractee to accept a further obligation under one or more derivative contracts related to the subject matter. | 10-24-2013 |
20140006243 | Multiple Trade Matching Algorithms | 01-02-2014 |
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 |
20140067635 | Quote Convention for Spreads Between Products Having Non-Homogeneous Construction - The disclosed embodiments relate to systems and methods for determining a quotation price of a spread between multiple products, such as two or more futures contracts, having non-homogeneous construction, e.g. one may be specified in terms of an implied rate, such as a Eurodollar Futures contract, and the other may be specified in terms of a price, such a U.S. Treasury Futures contract. The disclosed embodiments normalize the valuation of each “leg” of the spread with respect to each other, accounting for the divergence of the underlying contract construction, so that a difference in those valuations may be computed. | 03-06-2014 |
20140074680 | Futures Exchange Support of Spot Trading - A computer system associated with spot market trading in a particular subject matter may communicate with a computer system associated with trading in futures contracts or options in futures contracts for the subject matter. The communications may include pricing data for at least one of futures contracts or options in futures contracts for the subject matter, which pricing data may be used for spot market pricing. The communications may also include communications regarding futures hedging of spot trading in the subject matter. | 03-13-2014 |
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 |
20140164201 | Price Alignment Interest in Collateralized Financial Instruments - A method for price alignment in a trade of a financial instrument between first and second market participants for whom first and second account records are maintained in a memory, respectively, and in which a mark-to-market loss is incurred and collateralized by the first market participant, includes determining, with a processor, an amount of an interest payment from the first market participant to the second market participant based on the mark-to-market loss, and accessing the memory to modify the first and second account records in accordance with the determined interest payment amount. | 06-12-2014 |
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 |
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 |
20140310147 | EXCHANGE-TRADED BASIS DERIVATIVE CONTRACTS - An exchange computer system creates, trades and/or otherwise manages basis derivative contracts. At maturity, a basis derivative contract may have two components. A first component may require a party to the basis derivative contract to make or take some type of delivery related to a particular subject matter. A second component may require the basis derivative contractee to accept a further obligation under one or more derivative contracts related to the subject matter. | 10-16-2014 |
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 |
20140372271 | Systems and Methods for Processing Cleared Loan Deliverable Futures Contract Data - An exchange computer system may perform operations associated with cleared loan deliverable futures contracts. A holder of a long interest in a cleared loan deliverable futures contract may agree to pay a principle amount, at a designated future settlement time, in return for subsequent repayment of that amount with interest. A holder of a short interest in a cleared loan deliverable futures contract may agree to borrow the principle amount at the settlement time and to repay that amount, with interest, at the subsequent time. | 12-18-2014 |
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 |