Patent application number | Description | Published |
20120265663 | Perpetual Futures Contracts With Periodic Reckonings - Systems and methods that provide for a perpetual futures/derivatives contract with periodic reckoning are disclosed. An embodiment may include a method of receiving a new perpetual contract and managing that contract through to its termination. The perpetual futures contract may comprise an option to terminate the contract at recurring predetermined intervals. The exchange may allow or prohibit exercise of the option based on particular parameters. | 10-18-2012 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |