Systems and methods for implementing the structuring, pricing, quotation, and trading of SPOT synthetics (SPOTS), SPREAD instruments (SPRINTS), SPRINTS based on SPOTS, ratio derivatives (RADS), RADS based on SPOTS, and options based on these instruments
First Claim
1. A financial instrument, comprising:
- a contract whose price tracks an underlying benchmark, the underlying benchmark being at least one of a security, commodity, currency, index, and derivative that has an identifiable price, wherein a clearing of the contract between a buyer and seller of the financial instrument is not contingent upon the delivery of the underlying benchmark, wherein a net carrying charge is calculated as a difference between an investment yield of the underlying benchmark and a specific industry standard financing rate appropriate for the underlying benchmark, and wherein the net carrying charge is credited to or debited from a buyer and seller of the financial instrument.
3 Assignments
0 Petitions
Accused Products
Abstract
An exchange-traded financial instrument having a price that tracks an underlying benchmark, the underlying benchmark being a security or commodity that is itself traded. A contract for the financial instrument between a buyer and seller is not contingent upon the delivery of the underlying benchmark. A net carrying charge (credit or debit), defined as the difference between the investment yield of the underlying benchmark and a cost of financing ownership of the underlying benchmark using the generally accepted industry standard financing rate for that benchmark, is credited or debited, accrued, or built into the price of the derivative for both buyer and seller of the financial instrument, typically nightly. In one embodiment, the underlying benchmark is a U.S. Treasury security, and preferably a specific U.S. Treasury security such as the on the run (OTR) 10 Year Treasury note. Other single contract spread and ratio instruments are also disclosed.
-
Citations
47 Claims
-
1. A financial instrument, comprising:
-
a contract whose price tracks an underlying benchmark, the underlying benchmark being at least one of a security, commodity, currency, index, and derivative that has an identifiable price, wherein a clearing of the contract between a buyer and seller of the financial instrument is not contingent upon the delivery of the underlying benchmark, wherein a net carrying charge is calculated as a difference between an investment yield of the underlying benchmark and a specific industry standard financing rate appropriate for the underlying benchmark, and wherein the net carrying charge is credited to or debited from a buyer and seller of the financial instrument. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18)
-
-
19. A financial instrument, comprising:
-
a contract whose price tracks an underlying benchmark, the underlying benchmark being at least one of a security, commodity, currency, index, and derivative that has an identifiable price, wherein a clearing of the contract between a buyer and seller of the financial instrument is not contingent upon the delivery of the underlying benchmark, wherein a net carrying charge is calculated as a difference between an investment yield of the underlying benchmark and a specific industry standard financing rate appropriate for the underlying benchmark, and wherein the net carrying charge is built into the price of the financial instrument for both buyer and seller of the financial instrument.
-
-
20. A method for trading on a securities and commodities exchange, ECN, ATS, or over the counter, comprising:
-
identifying an underlying benchmark security or commodity;
pricing a financial instrument to track a price of the underlying benchmark;
offering the financial instrument for trade on a securities and commodities exchange, ECN, ATS, or over the counter;
clearing a trade for the financial instrument, wherein the step of clearing comprises crediting or debiting both long and short position accounts a net carrying charge associated with holding an equivalent position of the underlying benchmark cash market instrument, and wherein the underlying benchmark is a specific financial instrument that has already been auctioned by the U.S. Treasury. - View Dependent Claims (21, 22, 23, 24, 25, 26)
-
-
27. A spread financial instrument, comprising:
a single contract that is based on a differential between a first instrument and a second instrument, wherein a clearing of the contract is not contingent upon the buying or selling of either the first or the second instrument by a buyer of the contract. - View Dependent Claims (28, 29, 30, 31, 32, 33, 34, 35, 36, 37)
-
38. A ratio financial instrument, comprising:
a single contract that is based on a ratio between a first instrument and a second instrument, wherein a clearing of the contract is not contingent upon the buying or selling of either the first or the second instrument by a buyer of the contract. - View Dependent Claims (39, 40, 41, 42, 43)
-
44. A futures contract, comprising:
-
a contract traded on a commodities exchange, the contract being based on a benchmark;
wherein the benchmark is one and only one specific U.S. Treasury security. - View Dependent Claims (45)
-
-
46. A futures contract, comprising:
-
a contract traded over the counter, the contract being based on a benchmark;
wherein the benchmark is one and only one specific U.S. Treasury security. - View Dependent Claims (47)
-
Specification