Method and a system for trading stripped bonds

• US 8,165,950 B2
• Filed: 07/10/2003
• Issued: 04/24/2012
• Est. Priority Date: 07/10/2003
• Status: Active Grant

• Current Assignee: Nasdaq Technology AB (Nasdaq, Inc.)
• Original Assignee: OMX Technology AB
• Inventors: Lundberg, Jonas, Negishi, Daniel
• Primary Examiner(s): Kalinowski, Alexander
• Assistant Examiner(s): Vyas, Abhishek
• Application Number:
  US10/616,224
• Publication Number:
  US 20050010519A1
• Time in Patent Office: 3,211 Days
• Field of Search: 705/36, 705/37, 705/35, 705/38, 705/1, 705/4, 705/40, 364/498, 364/401, 364/200, 364/900
• US Class Current: 705/37
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• 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

In an automated trading system for matching bids and offers entered into the system by a number of traders connected to the system, a server hosts a matching processor and an associated memory forming an orderbook of the system where both fixed-income instruments paying a coupon, referred to as bonds, and fixed-income instruments not paying a coupon (zero-coupon), referred to as stripped bonds, are traded. The system derives prices for bonds using information from stripped bonds.

Claims

1. A computer implemented trading apparatus for matching bids and offers entered by a number of traders, where fixed-income instruments paying a coupon, referred to as bonds, and fixed-income instruments not paying a coupon, referred to as stripped bonds, are traded, where for a stripped bond a coupon is split from its principal for separate trading, and where there is a relationship between bond prices and stripped bond prices, the apparatus comprising:

a matching processor having an associated memory forming one or more orderbooks wherein both fixed income instruments paying a coupon, referred to as bonds, and fixed income instruments not paying a coupon, referred to as stripped bonds, are traded, and a computer server configured to collect prices for all stripped bonds required to form a bond for which an order has been placed, and if there exists prices for all required stripped bonds except one missing stripped bond, to create a new derived order in a bond orderbook derived from one or more orders placed in a stripped bond orderbook for the one missing stripped bonds associated with the bond at a price which when combined with the collected prices matches the bond order in order to increase thereby permitting matching by the matching processor of the bond order trade matching opportunities in the bond orderbook.

2. In an automated trading system a method for matching bids and offers for fixed income instruments entered into the system by a number of traders connected to the system, the method comprising the steps of:

receiving by a computer-implemented automated trading system from a trader a bond order to buy or sell a bond and storing the bond order in a bond orderbook, aggregating by the computer-implemented automated trading system a number of stripped bonds in a stripped bond orderbook in response to the bond order, and matching by the computer-implemented automated trading system said bond order against the aggregated number of stripped bonds which forms a bond corresponding to said bond order.

3. A method according to claim 2, further comprising matching by the computer-implemented automated trading system the bond order against bids or offers for conventional bonds.

4. A method according to claim 2, further comprising before the bond order is matched against the number of aggregated stripped bonds, checking by the computer-implemented automated trading system if there is a current price for all stripped bonds required for the match.

5. A method according to claim 4, further comprising if a price exists for all required stripped bonds but one, generating by the computer-implemented automated trading system a derived order for the missing stripped bond.

6. A method of trading stripped bonds, the method comprising the steps of:

receiving by a computer implemented trading system a stripped bond order to buy or sell a stripped bond,

generating by the computer implemented trading system a derived bond order based on a number of stripped bond orders,

matching by the computer-implemented trading system said stripped bond order against existing bids or offers,

generating by the computer-implemented trading system a derived bond order based on a number of stripped bond orders, and

forming by the computer-implemented trading system a combination trade match between all of the number of stripped bonds required for a match against said bond order including said stripped bond order and said derived bond order.

7. A computerized trading system for trading stripped bonds, the system comprising a computer server configured to:

receive a stripped bond order to buy or sell a stripped bond, match said stripped bond order against existing bids or offers such that when said matching occurs for a pending bid or offer resulting from a derived order generated in response to trying to match a bond order for a bond against a number of stripped bonds, a combination trade is formed between all stripped bonds required for a match against said bond order including said stripped bond order and said bond.