Fixed income portfolio index processor

• US 7,707,095 B2
• Filed: 09/04/2002
• Issued: 04/27/2010
• Est. Priority Date: 06/10/1992
• Status: Expired due to Fees

• Current Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Original Assignee: CFPH LLC (Cantor Fitzgerald, L.P.)
• Inventors: Ginsberg, Philip M
• Primary Examiner(s): Poinvil; Frantzy
• Application Number:
  US10/235,595
• Publication Number:
  US 20030055777A1
• Time in Patent Office: 2,792 Days
• Field of Search: 705 10- 44
• US Class Current: 705/37
• CPC Class Codes: G06Q 20/102 Bill distribution or payments
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/02 Banking, e.g. interest calculation or account maintenance credit or loans G06Q40/03
• CPC Class Codes: G06Q 40/03 Credit; Loans; Processing thereof
• 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 data processing system receives a continuous stream of real time transactional data regarding market transactions of fixed income securities. The incoming data is qualified and then used to determine the term structure of interest rates based on price information. The system provides linear interpolation techniques to complete an operative data set. This set is updated with current trade data, with term structure shifting using pivot points from newly qualified data. An index value for a pre-select portfolio of securities is then calculated and expressed in terms of price relative to par, yield to maturity and duration. In a specific implementation using U.S. Treasuries as the monitored security, the index value supports an automated trading function for futures and/or options contracts based on the change in value of the index. The index provides a more accurate barometer of market changes and a more useful tool in measuring portfolio management for plan sponsors.

Claims

1. A method comprising:

receiving market data related to a plurality of fixed income instruments;

calculating at least one interest rate from the market data;

calculating a price of a portfolio of notional fixed income related instruments based at least in part on the at least one interest rate;

at least one processor determining from the plurality of fixed income instruments a combination of fixed income instruments to deliver pursuant to a futures contract, in which the futures contract is based on the portfolio of notional fixed income related instruments;

the at least one processor determining from the market data a delivery expense for the combination of fixed income instruments; and

the at least one processor communicating a basis to at least one computer terminal, in which the basis quantifies a difference between the price of the portfolio of notional fixed income related instruments and the delivery expense.

2. The method of claim 1, further comprising:

executing an electronic trade of the futures contract; and

communicating to the at least one computer terminal information relating to the trade.

3. The method of claim 1, in which the at least one interest rate comprises a spot interest rate.

4. The method of claim 1,

in which the portfolio of notional fixed income related instruments comprises at least two notional fixed income related instruments of different maturities;

and

in which the combination of fixed income instruments comprises at least two fixed income instruments of different maturities.

5. The method of claim 4, further comprising

determining a duration of the portfolio of notional fixed income related instruments;

and

determining a duration of the combination of fixed income instruments; and

in which determining the combination of fixed income instruments comprises determining that the duration of the combination of fixed income instruments matches the duration of the portfolio of notional fixed income related instruments.

6. The method of claim 5,

in which determining the combination of fixed income instruments further comprises determining that the combination of fixed income instruments comprises instruments having maturities that match the maturities of the notional fixed income related instruments making up the portfolio of notional fixed income related instruments.

7. The method of claim 5,

in which the notional fixed income related instruments making up the portfolio of notional fixed income related instruments comprise a total face value of a first value;

and

in which determining the combination of fixed income instruments further comprises;

determining for the combination of fixed income instruments a total face value for each maturity of fixed income instrument; and

determining that the total face value for each maturity of fixed income instrument comprises at most 50% of the first value.

8. The method of claim 5, in which determining the combination of fixed income instruments further comprises determining that the combination of fixed income instruments comprises a least expensive combination of fixed income instruments that is deliverable pursuant to the futures contract.

9. A method comprising:

at least one processor receiving in real time market data related to a plurality of fixed income instruments;

the at least one processor calculating at least one interest rate from the market data;

the at least one processor calculating at least one of a price and a yield of a notional fixed income related instrument based at least in part on the at least one interest rate;

the at least one processor communicating in real time at least one of the price and the yield of the notional fixed income related instrument to at least one computer terminal;

the at least one processor determining from the plurality of fixed income instruments a combination of fixed income instruments to deliver pursuant to a futures contract, in which the futures contract is based on the notional fixed income related instrument;

the at least one processor determining from the market data a delivery expense for the combination of fixed income instruments; and

the at least one processor communicating the delivery expense to the at least one computer terminal.

10. The method of claim 9, further comprising:

executing a trade of the futures contract; and

communicating in real time information relating to the executed trade to the at least one computer terminal.

11. The method of claim 9, in which the at least one interest rate comprises a spot interest rate.

12. The method of claim 9,

in which the notional fixed income related instrument comprises at least two instruments of different maturities;

and

in which the combination of fixed income instruments comprises at least two fixed income instruments of different maturities.

13. The method of claim 12, further comprising:

determining a duration of the notional fixed income related instrument; and

determining a duration of the combination of fixed income instruments; and

in which determining the combination of fixed income instruments comprises determining that the duration of the combination of fixed income instruments matches the duration of the notional fixed income related instrument.

14. The method of claim 13,

in which determining the combination of fixed income instruments further comprises determining that the combination of fixed income instruments comprises instruments having maturities that match the maturities of the instruments making up the notional fixed income related instrument.

15. The method of claim 13,

in which the instruments making up the notional fixed income related instrument comprise a total face value of a first value;

and

in which determining the combination of fixed income instruments further comprises;

determining for the combination of fixed income instruments a total face value for each maturity of fixed income instrument; and

determining that the total face value for each maturity of fixed income instrument comprises at most 50% of the first value.

16. The method of claim 13, in which determining the combination of fixed income instruments further comprises determining that the combination of fixed income instruments comprises a least expensive combination of fixed income instruments that is deliverable pursuant to the futures contract.

17. An apparatus comprising at least one processor having instructions associated therewith that when executed make the processor operable to:

determine from a plurality of fixed income securities a combination of fixed income securities to deliver pursuant to a futures contract;

in which the futures contract is based on a portfolio of fixed income securities;

in which the futures contract comprises at least one delivery requirement; and

in which to determine the combination of fixed income securities comprises to determine that the combination of fixed income securities conforms to the delivery requirement; and

communicate the combination of fixed income securities to at least one computing device.

18. The apparatus of claim 17, in which the instructions, that when executed, make the processor further operable to:

receive market data related to the plurality of fixed income securities;

based at least in part on the market data, determine a delivery expense for the combination of fixed income securities; and

communicate the delivery expense to the at least one computing device.

19. The apparatus of claim 17, in which the instructions, that when executed, make the processor further operable to:

receive market data related to the plurality of fixed income securities;

calculate at least one interest rate based at least in part on the market data; and

calculate at least one of a price and a duration of the portfolio of fixed income securities based at least in part on the at least one interest rate.

20. The apparatus of claim 19, in which the at least one interest rate comprises a spot interest rate.

21. The apparatus of claim 20, in which the fixed income securities making up the portfolio of fixed income securities comprise generic securities not traded on a fixed income securities market.

22. The apparatus of claim 19,

in which to receive the market data comprises to receive the market data in real time;

and

in which to calculate the at least one of the price and the duration of the portfolio of fixed income securities comprises to calculate the at least one of the price and the duration of the portfolio in real time.

23. The apparatus of claim 19, in which the instructions, that when executed, make the processor further operable to:

determine a price for the combination of fixed income securities;

determine a basis, in which the basis quantifies a difference between the price of the combination of fixed income securities and the price of the portfolio of fixed income securities; and

communicate the basis to the at least one computing device.

24. The apparatus of claim 19, in which to determine that the combination of fixed income securities conforms to the delivery requirement comprises to determine that a duration of the combination of fixed income securities matches the duration of the portfolio of fixed income securities.

25. The apparatus of claim 24, in which the fixed income securities making up the portfolio of fixed income securities comprise generic securities not traded on a fixed income securities market.

26. The apparatus of claim 17,

in which the portfolio of fixed income securities comprises at least two fixed income securities of different maturities;

and

in which the combination of fixed income securities comprises at least two fixed income securities of different maturities.

27. The apparatus of claim 26, in which the fixed income securities making up the portfolio of fixed income securities comprise generic securities not traded on a fixed income securities market.

28. The apparatus of claim 26, in which to determine that the combination of fixed income securities conforms to the delivery requirement comprises to determine that a duration of the combination of fixed income securities matches a duration of the portfolio of fixed income securities.

29. The apparatus of claim 28,

in which to determine that the combination of fixed income securities conforms to the delivery requirement further comprises to determine that the combination of fixed income securities comprises securities having maturities that match the maturities of the fixed income securities making up the portfolio of fixed income securities.

30. The apparatus of claim 29,

in which the fixed income securities making up the portfolio of fixed income securities comprise maturities of at least 2 years, 3 years, 5 years, and 10 years;

and

in which the fixed income securities making up the combination of fixed income securities comprise maturities of at least 2 years, 3 years, 5 years, and 10 years.

31. The apparatus of claim 28,

in which the fixed income securities making up the portfolio of fixed income securities comprise a total face value of a first value;

and

in which to determine that the combination of fixed income securities conforms to the delivery requirement further comprises to;

determine for the combination of fixed income securities a total face value for each maturity of fixed income security; and

determine that the total face value for each maturity of fixed income security comprises at most 50% of the first value.

32. The apparatus of claim 28,

in which to determine the combination of fixed income securities comprises to determine for the combination of fixed income securities that each fixed income security comprises a most recently auctioned security for its respective maturity.

33. The apparatus of claim 28, in which the instructions, that when executed, make the processor further operable to determine that the combination of fixed income securities comprises a least expensive combination of fixed income instruments that conforms to the at least one delivery requirement.

34. The apparatus of claim 28, in which the fixed income securities making up the portfolio of fixed income securities comprise generic securities not traded on a fixed income securities market.

35. An apparatus comprising at least one processor having instructions associated therewith that when executed make the processor operable to:

receive market data related to a plurality of fixed income securities;

determine from the plurality of fixed income securities a combination of fixed income securities to deliver pursuant to a futures contract;

in which the futures contract is based on a portfolio of fixed income securities;

in which the futures contract comprises at least one delivery requirement; and

in which to determine the combination of fixed income securities comprises to determine that the combination of fixed income securities conforms to the delivery requirement;

determine from the market data a delivery expense for the combination of fixed income securities; and

communicate the delivery expense to at least one computing device.

36. The apparatus of claim 35, in which the instructions, that when executed, make the processor further operable to:

calculate at least one interest rate based at least in part on the market data;

calculate a price of the portfolio of fixed income securities based at least in part on the at least one interest rate.

37. The apparatus of claim 36, in which the at least one interest rate comprises a spot interest rate.

38. The apparatus of claim 37, in which the fixed income securities making up the portfolio of fixed income securities comprise generic securities not traded on a fixed income securities market.

39. The apparatus of claim 36,

in which to receive the market data comprises to receive the market data in real time;

and

in which calculate the price of the portfolio of fixed income securities comprises to calculate the price of the portfolio in real time.

40. The apparatus of claim 36,

in which the instructions, that when executed, make the processor further operable to calculate a duration of the portfolio of fixed income securities;

and

in which to determine that the combination of fixed income securities conforms to the delivery requirement comprises to determine that a duration of the combination of fixed income securities matches the duration of the portfolio of fixed income securities.

41. The apparatus of claim 40, in which the fixed income securities making up the portfolio of fixed income securities comprise generic securities not traded on a fixed income securities market.

42. The apparatus of claim 36,

in which the instructions, that when executed, make the processor further operable to:

determine a basis, in which the basis quantifies a difference between the delivery expense for the combination of fixed income securities and the price of the portfolio of fixed income securities; and

communicate the basis to the at least one computing device.

43. The apparatus of claim 35,

in which the portfolio of fixed income securities comprises at least two fixed income securities of different maturities;

and

in which the combination of fixed income securities comprises at least two fixed income securities of different maturities.

44. The apparatus of claim 43, in which the fixed income securities making up the portfolio of fixed income securities comprise generic securities not traded on a fixed income securities market.

45. The apparatus of claim 43, in which to determine that the combination of fixed income securities conforms to the delivery requirement comprises to determine that a duration of the combination of fixed income securities matches a duration of the portfolio of fixed income securities.

46. The apparatus of claim 45,

in which to determine that the combination of fixed income securities conforms to the delivery requirement further comprises to determine that the combination of fixed income securities comprises securities having maturities that match the maturities of the fixed income securities making up the portfolio of fixed income securities.

47. The apparatus of claim 45,

in which the fixed income securities making up the portfolio of fixed income securities comprise a total face value of a first value;

and

in which to determine that the combination of fixed income securities conforms to the delivery requirement further comprises to;

determine for the combination of fixed income securities a total face value for each maturity of fixed income security; and

determine that the total face value for each maturity of fixed income security comprises at most 50% of the first value.

48. The apparatus of claim 45,

in which to determine the combination of fixed income securities comprises to determine for the combination of fixed income securities that each fixed income security comprises a most recently auctioned security for its respective maturity.

49. The apparatus of claim 45, in which the fixed income securities making up the portfolio of fixed income securities comprise generic securities not traded on a fixed income securities market.

50. An apparatus comprising at least one processor having instructions associated therewith that when executed, make the processor operable to:

receive market data related to a plurality of fixed income securities;

calculate an index based at least in part on the market data, in which the index is associated with a portfolio of fixed income securities;

based at least in part on the index, determine from the plurality of fixed income securities a combination of fixed income securities;

communicate the combination of fixed income securities to at least one computing device;

based at least in part on the market data, determine a delivery expense for the combination of fixed income securities; and

communicate the delivery expense to the at least one computing device.

51. The apparatus of claim 50,

in which the portfolio of fixed income securities comprises at least two fixed income securities of different maturities, and

in which the combination of fixed income securities comprises at least two fixed income securities of different maturities.

52. The apparatus of claim 51, in which the fixed income securities making up the portfolio of fixed income securities comprise generic securities not traded on a fixed income securities market.

53. The apparatus of claim 51,

in which the index comprises a duration of the portfolio of fixed income securities;

and

in which to determine the combination of fixed income securities comprises to determine that a duration of the combination of fixed income securities matches the duration of the portfolio of fixed income securities.

54. The apparatus of claim 53,

in which to determine the combination of fixed income securities further comprises to determine that the combination of fixed income securities comprises securities having maturities that match the maturities of the fixed income securities making up the portfolio of fixed income securities.

55. The apparatus of claim 53,

in which the fixed income securities making up the portfolio of fixed income securities comprise a total face value of a first value;

and

in which to determine the combination of fixed income securities further comprises to;

determine for the combination of fixed income securities a total face value for each maturity of fixed income security; and

determine that the total face value for each maturity of fixed income security comprises at most 50% of the first value.

56. The apparatus of claim 53,

in which to determine the combination of fixed income securities further comprises to determine for the combination of fixed income securities that each fixed income security comprises a most recently auctioned security for its respective maturity.

57. The apparatus of claim 50,

in which the instructions, that when executed, make the processor further operable to calculate at least one interest rate based at least in part on the market data;

and

in which to calculate the index comprises to calculate at least one of a price and a duration of the portfolio of fixed income securities based at least in part on the at least one interest rate.

58. The apparatus of claim 57, in which the at least one interest rate comprises a spot interest rate.

59. The apparatus of claim 58, in which the fixed income securities making up the portfolio of fixed income securities comprise generic securities not traded on a fixed income securities market.

60. The apparatus of claim 57,

in which to receive the market data comprises to receive the market data in real time;

and

in which to calculate the at least one of the price and the duration of the portfolio of fixed income securities comprises to calculate the at least one of the price and the duration of the portfolio in real time.

61. The apparatus of claim 57, in which to determine the combination of fixed income securities comprises to determine that a duration of the combination of fixed income securities matches the duration of the portfolio of fixed income securities.