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。