Allocation Mechanisms for Dutch Auction of Securities

• US 20080306855A1
• Filed: 06/05/2007
• Published: 12/11/2008
• Est. Priority Date: 06/05/2007
• Status: Abandoned Application

• Current Assignee: W.R. Hambrecht + Co., Inc. (WR Hambrecht + Co. LLC)
• Original Assignee: WR Hambrecht + Co. LLC
• Inventors: Katz, Alan, White, Whitney
• Application Number:
  US11/758,315
• Publication Number:
  US 20080306855A1
• Time in Patent Office: Days
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/08 Auctions
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

Abstract

A method is described for auctioning securities by an auction offeror. Bids are received for an offered number of securities. Each bid includes a bid price, a desired number of securities, and a timestamp indicting a time that the bid was received by the system. After a final bid time, a final price for the securities is established based upon the received bids. Then the desired number of securities is allocated to each bid having a bid price more favorable for the auction offeror than the final price. The desired number of securities is also allocated to each bid having a bid price at the final price, in bid timestamp order favoring earlier timestamps, until the offered number of securities has been allocated.

Claims

1. A method for auctioning securities by an auction offeror, the method comprising:

receiving a plurality of bids for an offered number of securities, each bid including;

i. a bid price,

ii. a desired number of securities, and

iii. a timestamp indicting a time that the bid was received by the system;

after a final bid time, establishing a final price for the securities based upon the received bids;

allocating the desired number of securities to each bid having a bid price more favorable for the auction offeror than the final price; and

allocating the desired number of securities to each bid having a bid price at the final price, in bid timestamp order favoring earlier timestamps, until the offered number of securities has been allocated.

2. A method according to claim 1, further comprising:

for a last bid to have securities allocated, if a remaining number of unallocated securities is less than the desired number of securities for the last bid, allocating the remaining number of unallocated securities to the last bid.

3. A method according to claim 1, further comprising:

during allocation of securities at the final price, if a remaining number of unallocated securities is less than a total desired number of securities for a plurality of bids having the same timestamp, allocating the remaining number of unallocated securities on a pro rata basis to the plurality of bids having the same timestamp.

4. A method according to claim 1 wherein the securities include bonds and the bid price represents an offer to buy the bonds such that a bid price is more favorable for the auction offeror when it represents a lower clearing spread relative to a benchmark security.

5. A method according to claim 1 wherein the securities include stocks and the bid price represents an offer to buy the stocks such that a bid price is more favorable for the auction offeror when it represents a higher price per share.

6. A method according to claim 1 wherein the securities include stocks and the bid price represents an offer to sell the stocks such that a bid price is more favorable for the auction offeror when it represents a lower price per share.