公开(公告)号：WO2013016083A1

公开(公告)日：2013-01-31

申请号：PCT/US2012/047105

申请日：2012-07-18

Applicant: CHICAGO MERCANTILE EXCHANGE INC. ,  BOBERSKI, David ,  WILEY, John ,  NYHOFF, John ,  LABUSZEWSKI, John

Inventor： BOBERSKI, David ,  WILEY, John ,  NYHOFF, John ,  LABUSZEWSKI, John

IPC: G06Q40/00

CPC classification number: G06Q40/00

Abstract: 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.

Abstract translation: 为资产支持证券的发起人和证券化者实施风险保留计划提供了系统和方法。 为相应的资产支持证券创建了作为信用增值合同确定为保证金的行政合同。 风险保留实体被指定为保证金的长仓，作为与资产支持证券的预定百分比相对应的信用增强合同。 资产支持证券的买方被指定为作为信贷增值合同的保证金的空头头寸。 当资产支持证券到期时，计算机设备结算作为信用增值合同的保证金的多头和空头头寸。

公开(公告)号：WO2013012784A1

公开(公告)日：2013-01-24

申请号：PCT/US2012/046878

申请日：2012-07-16

Applicant: CHICAGO MERCANTILE EXCHANGE INC. ,  BOBERSKI, David ,  WILEY, John ,  NYHOFF, John ,  LABUSZEWSKI, John

Inventor： BOBERSKI, David ,  WILEY, John ,  NYHOFF, John ,  LABUSZEWSKI, John

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 提供了用于以一种或多种不同商品代码选择性地列出商品的新型系统和方法。 可以根据是开放还是关闭提供单一商品，根据不同的商品代码选择性地列出。 商品可能是利率互换（IRS）。 根据第一个代码列出，可以根据固定费率变量来匹配出价。 相同的商品可以在第二个商品代码的同一交易所上市。 在一个实施例中，根据第二商品代码列出的商品可以根据不同的变量（例如货币金额）与出价相匹配。 在一个实现中，第二变量的货币金额可以表示非参数支付。

公开(公告)号：WO2012142298A1

公开(公告)日：2012-10-18

申请号：PCT/US2012/033335

申请日：2012-04-12

Applicant: CHICAGO MERCANTILE EXCHANGE INC. ,  YOUNGREN, Steven A. ,  ALDINGER, Lori ,  NYHOFF, John ,  LABUSZEWSKI, John W.

Inventor： YOUNGREN, Steven A. ,  ALDINGER, Lori ,  NYHOFF, John ,  LABUSZEWSKI, John W.

IPC: G06Q40/06

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 披露了提供定期推算的永久期货/衍生工具合约的制度和方法。 一个实施方案可以包括接收新的永久合同并通过其终止来管理该合同的方法。 永久期货合约可包括以预定间隔重复终止合约的选择权。 交易所可以允许或禁止基于特定参数行使该期权。

公开(公告)号：WO2012074849A1

公开(公告)日：2012-06-07

申请号：PCT/US2011/061919

申请日：2011-11-22

Applicant: CHICAGO MERCANTILE EXCHANGE INC. ,  CO, Richard ,  WANG, TuenTuen ,  SU, Xing ,  LABUSZEWSKI, John

Inventor： CO, Richard ,  WANG, TuenTuen ,  SU, Xing ,  LABUSZEWSKI, John

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 披露了引用，调整和结算期货合约的制度和方法，连续从被引用的期货价格中删除了刚刚实现的变量，将其合并价值重点放在剩余的未实现经济变量上。 此外，引用，调整和解决期货合约的这种制度和方法与传统的基于相同累计金额的期货方式相比较，保持了贸易的潜在经济考虑。

公开(公告)号：WO2008042652A2

公开(公告)日：2008-04-10

申请号：PCT/US2007/079402

申请日：2007-09-25

Applicant: CHICAGO MERCANTILE EXCHANGE, INC. ,  CO, Richard ,  LABUSZEWSKI, John ,  NYHOFF, John

Inventor： CO, Richard ,  LABUSZEWSKI, John ,  NYHOFF, John

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 描述了用于处理和清除具有数字结果和多个成分的衍生产品的方法，系统和装置。 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。 可以通过市场价格调整市场价格，并通过分析其他信息，例如衍生产品参考实体的信用评级变化。 由于价格调整，买方和卖方之间可能会产生现金流量（例如信用卡和借记帐户）。 在衍生产品的每个成分中的触发预定事件之后，衍生产品可以支付预定最终结算金额的百分比。 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：WO2013013002A1

公开(公告)日：2013-01-24

申请号：PCT/US2012/047322

申请日：2012-07-19

Applicant: CHICAGO MERCANTILE EXCHANGE INC. ,  CO, Richard ,  YOUNGREN, Steven ,  LAM, Kok Chong ,  BRUSSO, Scott ,  LABUSZEWSKI, John

Inventor： CO, Richard ,  YOUNGREN, Steven ,  LAM, Kok Chong ,  BRUSSO, Scott ,  LABUSZEWSKI, John

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 替代货币期货合约或其他类型的衍生工具可以以主要货币计值。 与合约相关的市值（MTM）结算，最终结算和/或其他现金流量的保证金账户调整最初可以根据主要货币计算，然后转换为替代的次级货币。 该转换可以无条件地发生，而不需要先前的不可用性确定。

公开(公告)号：WO2013012994A1

公开(公告)日：2013-01-24

申请号：PCT/US2012/047309

申请日：2012-07-19

Applicant: CHICAGO MERCANTILE EXCHANGE INC. ,  CO, Richard ,  YOUNGREN, Steven ,  ALDINGER, Lori ,  LABUSZEWSKI, John

Inventor： CO, Richard ,  YOUNGREN, Steven ,  ALDINGER, Lori ,  LABUSZEWSKI, John

IPC: G06Q40/00

CPC classification number: G06Q40/00

Abstract: 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.

Abstract translation: 一种多边交易合约可以指定主要货币和次要货币。 主要货币可用于与合同类型的实例相关的结算和/或其他支付义务。 然而，在某些条件下，可以授权使用等量的第二货币来结算和/或支付至少一些义务。

公开(公告)号：WO2013009384A1

公开(公告)日：2013-01-17

申请号：PCT/US2012/037199

申请日：2012-05-10

Applicant: CHICAGO MERCANTILE EXCHANGE INC. ,  CO, Richard ,  YOUNGREN, Steve ,  WILEY, John ,  BOBERSKI, David ,  LABUSZEWSKI, John

Inventor： CO, Richard ,  YOUNGREN, Steve ,  WILEY, John ,  BOBERSKI, David ,  LABUSZEWSKI, John

IPC: G06Q40/00

CPC classification number: G06Q40/04

Abstract: 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.

Abstract translation: 所公开的实施例涉及通过记录的衍生品合约的自动化手段创建和管理。 这些合同，例如 期货合约或“柜台外”（OTC）衍生工具是基于并引用参考基准产品价值的自然对数（例如标准普尔500）的现金结算衍生品。

公开(公告)号：WO2012054703A1

公开(公告)日：2012-04-26

申请号：PCT/US2011/057056

申请日：2011-10-20

Applicant: CHICAGO MERCANTILE EXCHANGE INC. ,  YOUNGREN, Steve ,  ALDINGER, Lori ,  CO, Richard ,  SAMMANN, Derek ,  LABUSZEWSKI, John

Inventor： YOUNGREN, Steve ,  ALDINGER, Lori ,  CO, Richard ,  SAMMANN, Derek ,  LABUSZEWSKI, John

IPC: G06Q40/00

CPC classification number: G06Q10/00 ,  G06Q40/00 ,  G06Q40/04 ,  G06Q40/06 ,  G07F19/20

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：WO2008042651A2

公开(公告)日：2008-04-10

申请号：PCT/US2007/079398

申请日：2007-09-25

Applicant: CHICAGO MERCANTILE EXCHANGE, INC. ,  PETERSON, Paul ,  CO, Richard ,  SRINIVASAN, Sayee ,  NYHOFF, John ,  LABUSZEWSKI, John

Inventor： PETERSON, Paul ,  CO, Richard ,  SRINIVASAN, Sayee ,  NYHOFF, John ,  LABUSZEWSKI, John

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。 市场价格可能会在市场基础上进行调整，并通过分析其他信息，例如参考实体的信用评级。 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。