公开(公告)号：US20130024347A1

公开(公告)日：2013-01-24

申请号：US13285525

申请日：2011-10-31

Applicant: John Nyhoff ,  Lori Aldinger ,  John Labuszewski ,  Steven Youngren

Inventor： John Nyhoff ,  Lori Aldinger ,  John Labuszewski ,  Steven Youngren

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: 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.

公开(公告)号：US20080082437A1

公开(公告)日：2008-04-03

申请号：US11537441

申请日：2006-09-29

Applicant: Richard Co ,  John Labuszewski ,  Paul Peterson ,  John Nyhoff ,  Sayee Srinivasan

Inventor： Richard Co ,  John Labuszewski ,  Paul Peterson ,  John Nyhoff ,  Sayee Srinivasan

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 描述了用于处理和清除具有二进制结果并且基于触发事件的最终结算的衍生产品的系统和方法。 配置为处理和清除衍生产品的计算机系统可以接受来自买方和卖方的初始和调整后的履约保证金，并间隔调整衍生产品的市场价格。 市场价格可能会以市场价格为基础，并通过分析其他信息（例如参考实体的信用评级）进行调整。 由于价格调整，买家和卖家之间可能会产生现金流。 衍生产品可以在触发预定事件时支付预定的最终结算量或百分比。 但衍生产品到期后，衍生品市场价格为零，协议终止。

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：US20130179319A1

公开(公告)日：2013-07-11

申请号：US13348251

申请日：2012-01-11

Applicant: Peter Barker ,  James Boudreault ,  Daniel Grombacher ,  Michael P. Kamradt ,  Frederick Sturm ,  John Labuszewski

Inventor： Peter Barker ,  James Boudreault ,  Daniel Grombacher ,  Michael P. Kamradt ,  Frederick Sturm ,  John Labuszewski

IPC: G06Q40/04

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 所披露的实施例涉及由结算所担保的交易所交易期货合约，其特征在于嵌入式价格动态，其包括在期货交易截止日期之前应计的定期利率的复合，如期货 合同条款和条件。 交易者可能被允许和/或能够在具有可变利率的利率低于期权的期货合约中担任职位，从而最大限度地减少交易数量和伴随成本，以监测和纠正两者之间的差异 期货头寸和期货头寸旨在作为代理人的名义利率掉期敞口。 基于相关参考利率计算头寸的变动幅度，而不是仅根据期货合约的工作结束日价格计算。

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：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：US08374953B2

公开(公告)日：2013-02-12

申请号：US12911516

申请日：2010-10-25

Applicant: Richard Co ,  Tuen Tuen Wang ,  Xing Su ,  John Labuszewski

Inventor： Richard Co ,  Tuen Tuen Wang ,  Xing Su ,  John Labuszewski

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 披露了利用清算交易对手提供抵押贷款的制度和方法。 该方法包括：在匹配引擎模块处接收与期货合约有关的订单，该期货合约基于作为可交付资产分散的期权箱，使得期货合约代表抵押贷款，并且使得该订单包括与该期权合约相关联的利率 抵押贷款，在匹配引擎处分析确定打击间隔的顺序，扫描与匹配引擎模块通信的订单簿模块，使得扫描基于确定的打击间隔，并且自动定义第一对 第一行使价的期权和第二行使价的第二对期权，使得所确定的敲击间隔定义第一和第二行使价格，使得第一和第二对选项合作以定义期权票据价差。

公开(公告)号：US20140067635A1

公开(公告)日：2014-03-06

申请号：US13605562

申请日：2012-09-06

Applicant: Peter Barker ,  Suzanne Spain ,  James Wilcox ,  Michael Kamradt ,  John Labuszewski

Inventor： Peter Barker ,  Suzanne Spain ,  James Wilcox ,  Michael Kamradt ,  John Labuszewski

IPC: G06Q40/06

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 所公开的实施例涉及用于确定具有非均匀构造的多个产品（例如两个或更多个期货合约）之间的差价的报价的系​​统和方法，例如。 可以以隐含利率（例如欧洲美元期货合约）来规定一个，另一个可以按照美国财政期货合约的价格来指定。 所公开的实施例将彼此的差价的每个“支”的估值归一化，考虑到基础合同结构的差异，从而可以计算这些估值的差异。

公开(公告)号：US20120101958A1

公开(公告)日：2012-04-26

申请号：US12909658

申请日：2010-10-21

Applicant: Richard Co ,  Steve Youngren ,  Lori Aldinger ,  John Labuszewski

Inventor： Richard Co ,  Steve Youngren ,  Lori Aldinger ,  John Labuszewski

IPC: G06Q40/00

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

Abstract: 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.

Abstract translation: 提供了基于突破货币计算索引值的方法和系统。 在实体突破货币联盟之前，可能会形成一个预期的突破指数。 其他方面涉及在突破日期计算初始指数值。 中断货币的初始汇率可以与突破值和/或基准值组合。 在一个实施例中，突破值是初始汇率的倒数。 因此，根据某些实施例，突破指数的初始指标值可以等于基值。 其他方面涉及计算第二指数值。 可以利用突破货币的第二汇率与固定基准值和突破值一起计算突破指数的第二指标值。 其他方面涉及创建货币联盟的预期货币单位。

公开(公告)号：US20120101931A1

公开(公告)日：2012-04-26

申请号：US12911516

申请日：2010-10-25

Applicant: Richard Co ,  Tuen Tuen Wang ,  Xing Su ,  John Labuszewski

Inventor： Richard Co ,  Tuen Tuen Wang ,  Xing Su ,  John Labuszewski

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 披露了利用清算交易对手提供抵押贷款的制度和方法。 该方法包括：在匹配引擎模块处接收与期货合约有关的订单，该期货合约基于作为可交付资产分散的期权箱，使得期货合约代表抵押贷款，并且使得该订单包括与该期权合约相关联的利率 抵押贷款，在匹配引擎处分析确定打击间隔的顺序，扫描与匹配引擎模块通信的订单簿模块，使得扫描基于确定的打击间隔，并且自动定义第一对 第一行使价的期权和第二行使价的第二对期权，使得所确定的敲击间隔定义第一和第二行使价格，使得第一和第二对选项合作以定义期权票据价差。