公开(公告)号：US20120259795A1

公开(公告)日：2012-10-11

申请号：US13082704

申请日：2011-04-08

Applicant: Robert D. Hammond ,  Richard J. Stevens ,  Frederick Sturm ,  John Labuszewski

Inventor： Robert D. Hammond ,  Richard J. Stevens ,  Frederick Sturm ,  John Labuszewski

IPC: G06Q40/00

CPC classification number: G06Q40/06

Abstract: 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.

Abstract translation: 披露了期货合约和计算其结算价格的方法，使市场参与者能够以单一期货合约的形式流通或获得传统债券利差的财务风险，而不是要求主动管理不同的 长和短组分键位置，例如 腿 期货合约的名义财务风险大小，而不是按期货合约参考利差组成部分的名义金额/资产数量，而是以一个基点的金额价值计算（即0.01％ 年度）期货合约参考利差的每个组成部分的收益率到期限之间的差额。 有效地，收益率之间的差额被定义为逆向，即每个扩展增量的价格是固定的，而参考债券的数量/名义数额和它们之间的差距不是。

公开(公告)号：US20130041799A1

公开(公告)日：2013-02-14

申请号：US13209076

申请日：2011-08-12

Applicant: John Nyhoff ,  Frederick Sturm ,  John Labuszewski

Inventor： John Nyhoff ,  Frederick Sturm ,  John Labuszewski

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: 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.

公开(公告)号：US08738503B2

公开(公告)日：2014-05-27

申请号：US13291618

申请日：2011-11-08

Applicant: Daniel Grombacher ,  James Boudreault ,  Frederick Sturm ,  John Labuszewski

Inventor： Daniel Grombacher ,  James Boudreault ,  Frederick Sturm ,  John Labuszewski

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 所披露的系统为特定的一系列利率证券（如美国国库券）提供多种利率期货合约（“IRFC”），可用于满足交割义务。 每个这样的IRFC的交付义务符合的条款由相关的转换因子收益率（“CFY”）值决定，而相关的转换因子收益率又与相应的一组转换因子（“CF”）相关联， 对应于有资格交付的一组证券中的一个成员，并且可以在交付这种符合条件的利率保证金时使用，以确定交货发票价格。 提供不同的CFY和相应的CF可能使寻求使用这种期货的市场参与者获得或减少金融风险暴露，从这样的期货合约中选择最能反映参与者预期风险状况的成员合同。

公开(公告)号：US08527393B2

公开(公告)日：2013-09-03

申请号：US13183061

申请日：2011-07-14

Applicant: James Boudreault ,  John Wiley ,  Frederick Sturm ,  Jonathan Kronstein ,  Suzanne Spain ,  Peter Barker

Inventor： James Boudreault ,  John Wiley ,  Frederick Sturm ,  Jonathan Kronstein ,  Suzanne Spain ,  Peter Barker

IPC: G06Q40/00 ,  G06Q40/02 ,  G06Q40/04 ,  G06Q40/08

CPC classification number: G06Q40/00 ,  G06Q40/02 ,  G06Q40/04 ,  G06Q40/06 ,  G06Q40/08

Abstract: The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.

Abstract translation: 所披露的实施例涉及确定期货合约（即国债期货）的上市日期，到期日期和现金结算价格，用于交付最近发行的，被称为在期的美国国库券 通过参考美国国库拍卖周期以及由此产生的行业调查掉期利率和相应行业之间的差异，调查了各自的期权（期限至到期的剩余时间）的期权交割期差异。

公开(公告)号：US20130117172A1

公开(公告)日：2013-05-09

申请号：US13291618

申请日：2011-11-08

Applicant: Daniel Grombacher ,  James Boudreault ,  Frederick Sturm ,  John Labuszewski

Inventor： Daniel Grombacher ,  James Boudreault ,  Frederick Sturm ,  John Labuszewski

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 所披露的系统为特定的一系列利率证券（如美国国库券）提供多种利率期货合约（“IRFC”），可用于满足交割义务。 每个这样的IRFC的交付义务符合的条款由相关的转换因子收益率（“CFY”）值决定，而相关的转换因子收益率又与相应的一组转换因子（“CF”）相关联， 对应于有资格交付的一组证券中的一个成员，并且可以在交付这种符合条件的利率保证金时使用，以确定交货发票价格。 提供不同的CFY和相应的CF可能使寻求使用这种期货的市场参与者获得或减少金融风险暴露，从这样的期货合约中选择最能反映参与者预期风险状况的成员合同。

公开(公告)号：US20120150715A1

公开(公告)日：2012-06-14

申请号：US13315628

申请日：2011-12-09

Applicant: James Boudreault ,  Jonathan Kronstein ,  Frederick Sturm ,  Tim Elliott ,  Tim Doar

Inventor： James Boudreault ,  Jonathan Kronstein ,  Frederick Sturm ,  Tim Elliott ,  Tim Doar

IPC: G06Q40/04

CPC classification number: G06Q40/04 ,  G06Q40/06

Abstract: A computer implemented method for determining a margin requirement for a market participant includes maintaining, by a processor associated with an exchange, an exchange account reflecting an exchange position resulting from a trade executed on the exchange for a product available via the exchange, the exchange account being maintained separately from a custodian bank account associated with a custodian bank, the custodian bank account reflecting a repo position resulting from a repo transaction facilitated by the custodian bank between the market participant and a counterparty to the repo transaction. The method further includes receiving data reflective of the repo position via a communication interface between the exchange account and the custodian bank account, and determining the margin requirement for the market participant based on the received data and the exchange position.

Abstract translation: 用于确定市场参与者的保证金要求的计算机实现方法包括：通过与交换机相关联的处理器维护反映交易所产生的交易所的兑换位置的交换账户，所述交换账户是由交易所上交易所产生的，可通过交易所获得的产品交换账户 与托管银行相关的托管银行账户分开存放，托管银行账户反映由托管银行在市场参与者与回购交易的交易对手之间促成的回购交易所产生的回购仓位。 该方法还包括经由交换账户和保管人银行账户之间的通信接口接收反映回购位置的数据，并且基于所接收的数据和交换位置来确定市场参与者的保证金要求。

公开(公告)号：US20110295726A1

公开(公告)日：2011-12-01

申请号：US12791513

申请日：2010-06-01

Applicant: Eugene Mueller ,  Daniel Grombacher ,  Frederick Sturm

Inventor： Eugene Mueller ,  Daniel Grombacher ,  Frederick Sturm

IPC: G06Q40/00 ,  G06Q10/00

CPC classification number: G06Q40/04 ,  G06Q40/06 ,  G06Q40/12

Abstract: A calendar spread futures contract is a forward contract on the intermonth spread of futures contracts. The calendar spread futures contract can be independently traded and accounted for independent of the traditional roll periods of the complementary futures contracts. An open interest holder can hedge against price volatility in the related futures contracts that may occur prior to or during the roll period. In other words, the calendar spread futures contract locks in the current spread between the front-month contract and the first-deferred contract. Buying a calendar spread futures control is equivalent to buying the spread difference between the expiring contract and the second expiry. Selling a calendar spread futures contract is equivalent to selling the spread difference between the expiring contract and the second expiry.

Abstract translation: 日历传播期货合约是期货合约中间价差的远期合约。 日历传播期货合约可以独立交易，独立于互补期货合约的传统期限。 公开利息持有人可以对冲在期间或期间可能发生的相关期货合约的价格波动。 换句话说，日历传播期货合约锁定了当前在前月合约与首次递延合约之间的差价。 购买日历传播期货控制相当于购买到期合约与第二次到期之间的差价差额。 销售日历传播期货合约相当于出售到期合约与第二次到期之间的差价差额。