| Patent application number | Description | Published |
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| 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 |
