ELECTRONIC CREDIT DEFAULT FUTURES MARKET
First Claim
Patent Images
1. A method for exchanging credit futures contracts comprising:
- receiving a first trade order requesting a long position on a bond recovery rate (REC) futures contract, the REC futures having a reference entity, a maturity date and a settlement value at the maturity date based at least in part on solvency of the reference entity and on a value of a random variable such as the realized bond recovery rate of the reference entity;
receiving a second trade order requesting a short position on the REC futures;
matching the first trade order with the second trade order; and
recording, on a computer readable storage medium, a completed transaction, the completed transaction indicating the first trade order and the second trade order.
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Accused Products
Abstract
Systems and methods are provided for providing a credit default futures market. A system providing the credit default futures market includes a processor, memory and an interface. The interface is configured to display credit default futures contracts that subscribe to a set of standard terms and conditions. The processor is configured to settle certain credit futures contracts in kind and other in cash, depending on, at least in part, the maturity date of the futures contract. A method is presented for electronically clearing and settling probability of default futures contracts.
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Citations
50 Claims
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1. A method for exchanging credit futures contracts comprising:
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receiving a first trade order requesting a long position on a bond recovery rate (REC) futures contract, the REC futures having a reference entity, a maturity date and a settlement value at the maturity date based at least in part on solvency of the reference entity and on a value of a random variable such as the realized bond recovery rate of the reference entity; receiving a second trade order requesting a short position on the REC futures; matching the first trade order with the second trade order; and recording, on a computer readable storage medium, a completed transaction, the completed transaction indicating the first trade order and the second trade order. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13)
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14. A method for exchanging futures contracts comprising:
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recording, on a computer readable storage medium, a completed transaction including; at least one first trade order requesting a long position on a series of REC futures contracts, each of the series of futures contact having at least one of reference entity and a settlement value at a maturity date, the settlement value at the maturity date being based at least in part on solvency of the at least one reference entity and on a value of a random variable, none of the series of futures contracts sharing a common maturity date; and at least one second trade order requesting a short position on the series of futures contracts; and clearing the completed transaction using a clearing house. - View Dependent Claims (15, 16, 17)
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18. A computer readable medium comprising computer readable instructions that, as a result of being executed by a processor, instruct the processor to perform a method, the method comprising:
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receiving a first trade order requesting a long position on a bond recovery rate futures, the REC futures having a reference entity, a maturity date and a settlement value at the maturity date based at least in part on solvency of the reference entity and on the value of a random variable; receiving a second trade order requesting a short position on the REC futures; matching the first trade order with the second trade order; and recording, on a computer readable storage medium, a completed transaction, the completed transaction indicating the first trade order and the second trade order. - View Dependent Claims (19)
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20. A system for providing a bond recovery rate futures contract exchange comprising:
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an order interface configured to receive trade requests for positions on a futures contract, the futures contact having at least one reference entity, a maturity date and a settlement value at the maturity date based at least in part on solvency of the at least one reference entity and a random variable and a portion of the trade requests being offsetting trade requests; an auction engine configured to match the offsetting trade requests and store the offsetting trade requests as completed transactions; and a settlement engine configured to settle at least a portion of the completed transactions. - View Dependent Claims (21, 22, 23, 24, 25)
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26. A method for exchanging an index of bond recovery rate futures contracts
comprising: -
receiving a first trade order requesting a long position on the index, the index having a settlement value based at least in part on a plurality of REC futures; receiving a second trade order requesting a short position on the index; matching the first trade order with the second trade order; and recording, on a computer readable storage medium, a completed transaction, the completed transaction indicating the first trade order and the second trade order. - View Dependent Claims (27, 28, 29, 30, 31, 32, 33)
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34. A method for exchanging a tranche in a tranche in an index of bond recovery rate futures contracts comprising:
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receiving a first trade order requesting a long position on the tranche, the tranche having a settlement value based at least in part on a settlement value of the index; receiving a second trade order requesting a short position on the tranche; matching the first trade order with the second trade order; and recording, on a computer readable storage medium, a completed transaction, the completed transaction indicating the first trade order and the second trade order. - View Dependent Claims (35, 36, 37, 38, 39, 40, 41)
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42. A method for exchanging a series of futures contracts comprising:
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receiving a first trade order requesting a long position on at least one of the series of futures contracts, the series of futures contracts having a risk period substantially equivalent to a risk period of a previously traded futures contract, each of the series of futures contracts having a maturity date, none of the series of futures contracts sharing a common maturity date; receiving a second trade order requesting a short position on the at least one of the series of futures contracts; matching the first trade order with the second trade order; and recording, on a computer readable storage medium, a completed transaction, the completed transaction indicating the first trade order and the second trade order. - View Dependent Claims (43)
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44. A method of creating a financial position comprising:
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receiving a first trade order from a user, the first order requesting a short position on a POD™
futures, the POD™
futures having a reference entity, a maturity date and a settlement value at the maturity date based at least in part on the solvency of the reference entity, the order received from a user holding a financial instrument in the reference entity;receiving a second trade order from the user, the second order requesting a short position on REC futures with a notional amount equal to the financial instrument exposure, the REC futures having the same reference entity and a settlement value at the maturity date based at least in part on solvency of the reference entity and on a random variable receiving a third trade order requesting a long position on the POD™
futures;receiving a fourth trade order requesting a long position on the REC futures; matching the first trade order and the third trade order; matching the second trade order and the fourth trade order; and recording, on a computer readable storage medium, a completed transaction, the completed transaction indicating the first trade order, the second trade order, the third trade order, and the fourth trade order. - View Dependent Claims (45, 46, 47, 48)
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49. A method of creating a financial position comprising
receiving a first trade order from a user, the first order requesting a long position on a POD™ - futures, the POD™
futures having a reference entity, a maturity date and a settlement value at the maturity date based at least in part on the solvency of the reference entity;receiving a second trade order from the user, the second order requesting a long position on REC futures, the REC futures having the same reference entity and a settlement value at the maturity date based at least in part on solvency of the reference entity and on a random variable such as the realized bond recovery rate of a funded bond of the reference entity; receiving a third trade order requesting a short position on the POD™
futures;receiving a fourth trade order requesting a short position on the REC futures; matching the first trade order and the third trade order; matching the second trade order and the fourth trade order; and recording, on a computer readable storage medium, a completed transaction, the completed transaction indicating the first trade order, the second trade order, the third trade order, and the fourth trade order; whereby the combination of the completed transaction and a government bond provide the user with the returns of a synthetic corporate bond. - View Dependent Claims (50)
- futures, the POD™
Specification