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Patent

Method, system, and computer program product for trading diversified credit risk derivatives

Fergus Lynch, +1 more
TLDR
In this paper, a method and apparatus for trading a standardised contract is presented, which requires the seller to make delivery to the exchange of a standardized debt product on the delivery date of the contract for a price given by the exchange determined settlement price and a conversion factor.
Abstract: 
A method and apparatus for trading a standardised contract. The contract obliges the seller to make delivery to the exchange of a standardised debt product on the delivery date of the contract for a price given by the exchange determined settlement price and a conversion factor. The contract further requires to take delivery from the exchange of said debt obligation for the same price. The contract further requires the buyer or seller to make margin payments to the exchange on each trading day, or with a longer period, based on the price movements of the contract during that trading day or period if so required by the trading rules. The contract further obliges the exchange to make similar payments to the buyer or seller if they are entitled to such payments under the trading rules.

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Citations
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Patent

Trading and settling enhancements to the standard electronic futures exchange market model that allow bespoke notional sizes and better global service of end users and make available a new class of negotiable security including equivalents to products normally issued by special purpose vehicles

Pavel Pinkava
TL;DR: In this article, a pair of clearing house enhancements comprising a method that allows bespoke notional sizes to be handled rigorously plus a method allowing a plurality of daily settlement times to be introduced over the product set within an adapted electronic futures exchange type market model, rules and legal environment are presented.
Patent

Methods and systems for replicating an index with liquid instruments

Anthony Gould
TL;DR: In this paper, a method for replicating a first index, comprising of constructing a basket of derivative financial instruments selected to replicate said index, is presented. And the index is reconstructed on a periodic basis approximately equal to that on which the index was reconstructed.
Patent

Unsteadiness compensation in valuation systems and methods

Peter Kästel
TL;DR: In this article, a data processing system and method for valuing a bundle of constructs that may individually fail, in case of a separation event causing the bundle of construct to separate a failing construct from the bundle.
Patent

Interest rate swap index

Clive Connors
TL;DR: In this article, a set of indices for interest rate swap (IRS) markets is presented, which allow accurate tracking of IRS markets using market data and synthetic purchasing and selling of synthetic interest rate swaps utilizing the present market data.
Patent

Trading and settling enhancements to the standard electronic futures exchange market model leading to novel derivatives including on exchange ISDA type credit derivatives and entirely new recovery products including novel options on these

Pavel Pinkava
TL;DR: In this paper, a set of linked methods allows accessing derivative products other than traditional futures and options within an adapted electronic futures exchange type market model, rules and legal environment, which provides exchange members with access to several new products giving either entirely new or exact OTC ISDA type credit related derivative exposures.
References
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Patent

Systems, methods and computer program products for electronic trading of financial instruments

R. Raymond May
TL;DR: In this paper, an anonymous trading system based on a color-coding methodology is proposed, which enables traders to identify bids and offers which they are eligible to trade based upon a color coded methodology which gives the trader credit preference information about the potential counterparty.
Patent

Digital options having demand-based, adjustable returns, and trading exchange therefor

Jeffrey Lange
TL;DR: In this article, the authors provide trading and investing in derivatives or groups of demand-based adjustable return contingent claims, including digital options, and for establishing markets and exchanges for such claims.
Patent

Methods and apparatus for formulation, initial public or private offering, and secondary market trading of risk management contracts

John Nafeh, +1 more
TL;DR: The futures market on the Internet as mentioned in this paper is an example of a futures market that is based on the idea of a cookie-cutter futures contract and an Internet-based trading interface and engine.
Patent

Liquid insurance contracts

Oakley E. Van Slyke, +1 more
TL;DR: A liquid insurance contract (LIC) comprises a security which is traded or tradable and which has cash flows to the issuer based upon a liability whose exact value is unknown at the time of issuance.
Patent

System and method for improved multiple real-time balancing and straight through processing of security transactions

Michael Rosen, +1 more
TL;DR: In this article, a method and system for comparing data from several different sources in real time to determine inconsistencies between such data is presented, and alerts a user to such inconsistencies are provided.