Systems and methods for implementing the structuring, pricing, quotation, and trading of financial instruments
First Claim
1. A spread financial instrument tradable between a buyer and a seller comprising:
- a tradable contract that tracks the differential between a characteristic of a first underlying instrument and a different characteristic of a second underlying instrument, wherein a clearing of the contract between the buyer and seller is through at least one of a commodities exchange, securities exchange, and an organization approved by the United States Government for clearing financial instruments, and wherein the clearing of the contract is not contingent upon a delivery of the two or more underlying instruments.
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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.
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Citations
29 Claims
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1. A spread financial instrument tradable between a buyer and a seller comprising:
a tradable contract that tracks the differential between a characteristic of a first underlying instrument and a different characteristic of a second underlying instrument, wherein a clearing of the contract between the buyer and seller is through at least one of a commodities exchange, securities exchange, and an organization approved by the United States Government for clearing financial instruments, and wherein the clearing of the contract is not contingent upon a delivery of the two or more underlying instruments. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17)
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18. An option that is based on a spread financial instrument tradable between a buyer and a seller, the spread financial instrument comprising:
a tradable contract that tracks the differential between a characteristic of a first underlying instrument and a different characteristic of a second underlying instrument, wherein a clearing of the contract between the buyer and seller is through at least one of a commodities exchange, securities exchange, and an organization approved by the United States Government for clearing financial instruments, and wherein the clearing of the contract is not contingent upon a delivery of the two or more underlying instruments. - View Dependent Claims (19, 20, 21)
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22. A ratio financial instrument tradable between a buyer and a seller, comprising:
a tradable contract that is based on a ratio between a first financial instrument and a second financial instrument, wherein a clearing of the contract is not contingent upon the trading of either the first or the second financial instrument by the buyer of the contract. - View Dependent Claims (23, 24, 25, 26)
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27. An option that is exercisable on the occurrence of an exogenous event and is based on a ratio financial instrument tradable between a buyer and a seller, the ratio financial instrument comprising:
a tradable contract that is based on a ratio between a characteristic of a first instrument and a second instrument, wherein a clearing of the contract is not contingent upon the trading of either the first or the second instrument by the buyer of the contract. - View Dependent Claims (28, 29)
Specification