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1. 发明申请

US20130018768A1 PRICING CASH SETTLED ON-THE-RUN TREASURY FUTURES CONTRACTS 有权
公开(公告)号：US20130018768A1
公开(公告)日：2013-01-17
申请号：US13181177
申请日：2011-07-12
申请人： Frederick Sturm , James Boudreault , Daniel Grombacher , Julie Winkler
发明人： Frederick Sturm , James Boudreault , Daniel Grombacher , Julie Winkler
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/06
摘要： 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.

2. 发明授权

US08407129B2 Pricing cash settled on-the-run treasury futures contracts 有权
标题翻译：定价现金结算的国债期货合约
公开(公告)号：US08407129B2
公开(公告)日：2013-03-26
申请号：US13181177
申请日：2011-07-12
申请人： Frederick Sturm , James Boudreault , Daniel Grombacher , Julie Winkler
发明人： Frederick Sturm , James Boudreault , Daniel Grombacher , Julie Winkler
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04 , G06Q40/06
摘要： 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.
摘要翻译：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。

3. 发明申请

US20130179319A1 COMPOUND OVERNIGHT BANK RATE ACCRUAL FUTURES CONTRACT AND COMPUTATION OF VARIATION MARGIN THEREFORE 审中-公开
标题翻译：化合物银行汇率变动后期合约及其变动计算
公开(公告)号：US20130179319A1
公开(公告)日：2013-07-11
申请号：US13348251
申请日：2012-01-11
申请人： Peter Barker , James Boudreault , Daniel Grombacher , Michael P. Kamradt , Frederick Sturm , John Labuszewski
发明人： Peter Barker , James Boudreault , Daniel Grombacher , Michael P. Kamradt , Frederick Sturm , John Labuszewski
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04
摘要： 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.
摘要翻译：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。

4. 发明授权

US08738503B2 Multiple coupon interest rate futures contracts 有权
标题翻译：多个优惠券利率期货合约
公开(公告)号：US08738503B2
公开(公告)日：2014-05-27
申请号：US13291618
申请日：2011-11-08
申请人： Daniel Grombacher , James Boudreault , Frederick Sturm , John Labuszewski
发明人： Daniel Grombacher , James Boudreault , Frederick Sturm , John Labuszewski
IPC分类号： G06Q40/00
CPC分类号： G06Q40/04
摘要： 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.
摘要翻译：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。

5. 发明申请

US20130117172A1 MULTIPLE COUPON INTEREST RATE FUTURES CONTRACTS 有权
标题翻译：多个优惠券利率合约
公开(公告)号：US20130117172A1
公开(公告)日：2013-05-09
申请号：US13291618
申请日：2011-11-08
申请人： Daniel Grombacher , James Boudreault , Frederick Sturm , John Labuszewski
发明人： Daniel Grombacher , James Boudreault , Frederick Sturm , John Labuszewski
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04
摘要： 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.
摘要翻译：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。

6. 发明申请

US20140006243A1 Multiple Trade Matching Algorithms 审中-公开
标题翻译：多重贸易匹配算法
公开(公告)号：US20140006243A1
公开(公告)日：2014-01-02
申请号：US13534399
申请日：2012-06-27
申请人： James Boudreault , Frederick Storm , John Labuszewski , Daniel Grombacher , Jonathan Kronstein , Peter Barker , Suzanne Spain
发明人： James Boudreault , Frederick Storm , John Labuszewski , Daniel Grombacher , Jonathan Kronstein , Peter Barker , Suzanne Spain
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04
摘要： The disclosed embodiments relate to systems and methods which match/allocate an incoming order to trade with “resting,” i.e. previously received but not yet matched, orders, recognizing that the algorithm or rules by which the incoming order is matched may affect the operation of the market for the financial product being traded. In particular, the disclosed embodiments relate to an adaptive match engine which draws upon different matching algorithms, e.g. the rules which dictate how a given order should be allocated among qualifying resting orders, depending upon market conditions, to improve the operation of the market. Thereby, by conditionally switching among matching algorithms within the same financial product, as will be described, the disclosed match engine automatically adapts to the changing market conditions of a financial product, e.g. a limited life product, in a non-preferential manner, maintaining fair order allocation while improving market liquidity, e.g., over the life of the product.
摘要翻译：所公开的实施例涉及系统和方法，其匹配/分配进入的订单以“休息”交易，即先前接收但尚未匹配的订单，认识到输入订单匹配的算法或规则可能影响金融产品交易市场。特别地，所公开的实施例涉及一种自适应匹配引擎，其基于不同的匹配算法，例如，规定如何根据市场条件在合格休息令中分配给定的订单以改善市场运作。因此，如上所述，通过有条件地在相同的金融产品中的匹配算法之间切换，所公开的匹配引擎自动地适应金融产品的变化的市场状况，例如，有限的生活产品以非优先的方式维持公平的订单分配，同时提高市场流动性，例如在产品的使用寿命内。

7. 发明授权

US08639609B2 Cross margining of tri-party repo transactions 有权
标题翻译：三方回购交易的交叉保证金
公开(公告)号：US08639609B2
公开(公告)日：2014-01-28
申请号：US13315628
申请日：2011-12-09
申请人： James Boudreault , Jonathan Kronstein , Frederick Sturm , Tim Elliott , Tim Doar
发明人： James Boudreault , Jonathan Kronstein , Frederick Sturm , Tim Elliott , Tim Doar
IPC分类号： G06Q40/00 , G06Q40/04
CPC分类号： G06Q40/04 , G06Q40/06
摘要： 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.
摘要翻译：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。

8. 发明授权

US08527393B2 Listing and expiring cash settled on-the-run treasury futures contracts 有权
标题翻译：上市和到期现金结算在期的国库期货合约
公开(公告)号：US08527393B2
公开(公告)日：2013-09-03
申请号：US13183061
申请日：2011-07-14
申请人： James Boudreault , John Wiley , Frederick Sturm , Jonathan Kronstein , Suzanne Spain , Peter Barker
发明人： James Boudreault , John Wiley , Frederick Sturm , Jonathan Kronstein , Suzanne Spain , Peter Barker
IPC分类号： G06Q40/00 , G06Q40/02 , G06Q40/04 , G06Q40/08
CPC分类号： G06Q40/00 , G06Q40/02 , G06Q40/04 , G06Q40/06 , G06Q40/08
摘要： 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.
摘要翻译：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。

9. 发明申请

US20120150715A1 Cross Margining of Tri-Party Repo Transactions 有权
标题翻译：三方回购交易的交叉保证金
公开(公告)号：US20120150715A1
公开(公告)日：2012-06-14
申请号：US13315628
申请日：2011-12-09
申请人： James Boudreault , Jonathan Kronstein , Frederick Sturm , Tim Elliott , Tim Doar
发明人： James Boudreault , Jonathan Kronstein , Frederick Sturm , Tim Elliott , Tim Doar
IPC分类号： G06Q40/04
CPC分类号： G06Q40/04 , G06Q40/06
摘要： 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.
摘要翻译：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。

10. 发明申请

US20130018769A1 LISTING AND EXPIRING CASH SETTLED ON-THE-RUN TREASURY FUTURES CONTRACTS 有权
标题翻译：上市和到期现金确定的在线期权合约
公开(公告)号：US20130018769A1
公开(公告)日：2013-01-17
申请号：US13183061
申请日：2011-07-14
申请人： James Boudreault , John Wiley , Frederick Sturm , Jonathan Kronstein , Suzanne Spain , Peter Barker
发明人： James Boudreault , John Wiley , Frederick Sturm , Jonathan Kronstein , Suzanne Spain , Peter Barker
IPC分类号： G06Q40/00
CPC分类号： G06Q40/00 , G06Q40/02 , G06Q40/04 , G06Q40/06 , G06Q40/08
摘要： 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.
摘要翻译：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。

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