# US 2014/0207644 A1 · Automatic financial instrument transaction system

> Agents: this data is available as JSON from the patentgrep API and MCP server — see https://patentgrep.com/llms.txt

- Number: US 2014/0207644 A1
- Document ID: US20140207644A1
- Status: Published application
- Kind: A1
- Application number: 14/087,911
- Filed: 2013-11-22
- Published: 2014-07-24
- Earliest claimed: 2008-01-09
- Assignees: BGC Partners, Inc.
- Applicants: Bgc Partners, Inc.
- Inventors: Howard W. Lutnick; Michael Sweeting; Joseph C. Noviello
- Web page: https://patentgrep.com/patent/US20140207644A1

## CPC

- G06Q 40/04: Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
- G06Q 40/00: Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q: INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR

## Abstract

A computer-based transaction system manages representations of a plurality of positions in a first type of financial instrument, such as bond future contracts. The transaction system, at a first predetermined time, converts each position in the first type of financial instrument into a corresponding position in a second type of financial instrument, such as bonds. At a second predetermined time that is after the first predetermined time, the transaction system converts each position in the second type of financial instrument into a position in the first type of financial instrument.

## Claims

### Claim 1

A method, comprising the steps of:
by electronic trading system for trading bond future contracts, communicating orders to trade the bond futures contracts among bond futures traders, and receiving acceptances of orders from the traders to result in executed bond futures trades and resultant bond futures positions; and
from time to time on a plurality of occasions and under management of the trading system pursuant to a contractual relationship among the traders and the operator of the trading system, by computer purchasing or selling bond positions economically equivalent to a traders' positions in bond futures and relieving the traders of delivery obligations under the bond futures contracts, and later reselling or repurchasing bonds and reestablishing the delivery obligations under the bond futures contracts.

### Claim 2 (depends on 1)

The method of claim 1, in which the occasions from time to time include occasions at a regularly scheduled time of day.

### Claim 3 (depends on 2)

The method of claim 2, in which the purchasing or selling is performed about at the close of each trading day, and the reselling or repurchasing is performed about at the opening of each trading day.

### Claim 4 (depends on 1)

The method of claim 1, in which the bonds determined to be economically equivalent to the bonds futures contract are determined by steps including:
for each of the positions in bond futures contracts, determining a DV01 (DV01 of an instrument being the change in value of the instrument per one basis point change in yield of the instrument) of at least one bond that is acceptable for final delivery into the respective bond futures contract; and
for each of the positions in bond futures contracts, determining the corresponding bond by selecting a bond having a DV01 approximately equal to the determined DV01.

### Claim 5 (depends on 1)

The method of claim 1, in which time to time is determined to manage risk held by an operator of the trading system.

### Claim 6 (depends on 1)

The method of claim 1, in which prices for purchase or sale of the bonds are set to recognize profit and loss in the bond futures contracts.

### Claim 7 (depends on 1)

The method of claim 1, wherein the bonds purchased or sold pursuant to the contractual relationship are selected by a party to the bond futures contract.

### Claim 8 (depends on 1)

The method of claim 1, in which a quantity of bonds purchased or sold pursuant to the contractual relationship is related to a quantity of futures positions approximately in the ratio of the DV01 (DV01 of an instrument being the change in value of the instrument per one basis point change in yield of the instrument) of the bonds to the DV01 of the futures positions.

### Claim 9 (depends on 1)

The method of claim 1, in which entering, with a clearinghouse for the purchasing or selling transactions, a buy trade and a sell trade for the bonds comprises:
entering, with the clearinghouse, a buy trade for T+2 settlement (trade date plus two days) and a sell trade for T+2 settlement for the bonds.

### Claim 10 (depends on 1)

The method of claim 1, in which entering, with a clearinghouse for the purchasing or selling transactions, the later reselling trade and the later repurchasing trade for the bonds comprises:
entering, with the clearinghouse, a sell trade for T+1 settlement (trade date plus one day) and a buy trade for T+1 settlement for the bonds.

### Claim 11 (depends on 1)

The method of claim 1, wherein the bonds purchased or sold pursuant to the contractual relationship are chosen to have a duration approximately equal to the duration of the bond futures.

### Claim 12 (depends on 1)

The method of claim 1, wherein the bonds purchased or sold pursuant to the contractual relationship are chosen to have a DV01 (DV01 of an instrument being the change in value of the instrument per one basis point change in yield of the instrument) approximately equal to the DV01 of the bond futures.

### Claim 13 (depends on 1)

The method of claim 1, in which a price for the later reselling trade or later repurchasing trade is calculated based on a then-current price of a bond futures contract.

### Claim 14 (depends on 1)

The method of claim 1, in which the contractual relationship specifies that the bond positions are positions in bonds drawn from baskets of bond issues specified within the terms of the respective bond future contracts.

### Claim 15 (depends on 1)

The method of claim 1, wherein the second instruments are traded for T+n delivery (delivery n days after the trade date), then m days later for T+n−m delivery.

### Claim 16

A non-transitory computer memory, having stored therein program instructions to cause an electronic trading system to:
communicate orders to trade bond futures contracts among bond futures traders, and receive acceptances of orders from the traders to result in executed bond futures trades and resultant bond futures positions; and
from time to time on a plurality of occasions and as a component of a contractual relationship among the traders of the trading system and the operators of the trading system, purchase or sell bonds economically equivalent to a trader's position in bond futures and relieve the trader of delivery obligations under the bond futures contract, and later resell or repurchase the bonds and reestablish the delivery obligations.

### Claim 17 (depends on 16)

The non-transitory computer memory of claim 16 wherein time to time is a regularly scheduled time of day.

### Claim 18 (depends on 17)

The non-transitory computer memory of claim 17, wherein the purchasing or selling is performed about at the close of each trading day, and the reselling or repurchasing is performed about at the opening of each trading day.

### Claim 19 (depends on 16)

The non-transitory computer memory of claim 16 wherein time to time is determined to manage risk held by an operator of the trading system.

### Claim 20 (depends on 16)

The non-transitory computer memory of claim 16, wherein prices for purchase or sale of the bonds are set to recognize profit and loss in the bond futures contracts.

### Claim 21 (depends on 16)

The non-transitory computer memory of claim 16, wherein a quantity of bonds transferred pursuant to the contractual relationship is computed relative to a quantity of futures positions approximately in the ratio of the DV01 of the bonds (DV01 of an instrument being the change in value of the instrument per one basis point change in yield of the instrument) to the DV01 of the futures positions.

### Claim 22 (depends on 16)

The non-transitory computer memory of claim 16, wherein the bonds transferred pursuant to the contractual relationship are chosen to have a duration approximately equal to the duration of the bond futures.

### Claim 23 (depends on 16)

The non-transitory computer memory of claim 16, wherein the bonds transferred pursuant to the contractual relationship are chosen to have a DV01 (DV01 of an instrument being the change in value of the instrument per one basis point change in interest rates) approximately equal to the DV01 of the bond futures.

### Claim 24 (depends on 16)

The non-transitory computer memory of claim 16, wherein the bonds transferred pursuant to the contractual relationship are selected by a party to the bond futures contract.

### Claim 25 (depends on 16)

The computer network of claim 16, wherein the bonds are traded for T+n delivery (delivery n days after the trade date), then m days later for T+n−m delivery.

### Claim 26

A method, comprising the steps of:
on an electronic trading system for trading assets of an asset type, executing trades among traders of assets of the traded asset type, the traded asset type being a derivative of an underlying asset type;
from time to time and as a component of the contractual relationship among the traders of the trading system and the trading system, transferring traders' positions in the traded asset type into positions in the underlying asset type for a period of time, and later transferring the positions in the underlying asset claims back into positions in the traded asset type.

### Claim 27 (depends on 26)

The method of claim 26, wherein the asset type is bond futures contracts, and the underlying asset type is bonds.

### Claim 28 (depends on 27)

The method of claim 27, wherein prices for purchase or sale of the bonds are set to recognize profit and loss in the bond futures contracts.

### Claim 29 (depends on 27)

The method of claim 27, wherein a quantity of bonds transferred pursuant to the contractual relationship is computed relative to a quantity of futures positions approximately in the ratio of the DV01 of the bonds (DV01 of an instrument being the change in value of the instrument per one basis point change in yield of the instrument) to the DV01 of the futures positions.

### Claim 30 (depends on 27)

The method of claim 27, wherein the bonds transferred pursuant to the contractual relationship are chosen to have a duration approximately equal to the duration of the bond futures.

### Claim 31 (depends on 27)

The method of claim 27, wherein the bonds transferred pursuant to the contractual relationship are chosen to have a DV01 (DV01 of an instrument being the change in value of the instrument per one basis point change in yield of the instrument) approximately equal to the DV01 of the bond futures.

### Claim 32 (depends on 27)

The method of claim 27, wherein the bonds transferred pursuant to the contractual relationship are selected by a party to the bond futures contract.

### Claim 33 (depends on 26)

The method of claim 26 wherein time to time is a regularly scheduled time of day.

### Claim 34 (depends on 26)

The method of claim 26, wherein the purchasing or selling is performed about at the close of each trading day, and the reselling or repurchasing is performed about at the opening of each trading day.

### Claim 35 (depends on 26)

The method of claim 26 wherein time to time is determined to manage risk held by an operator of the trading system.

### Claim 36 (depends on 26)

The computer network of claim 26, wherein the underlying assets are traded for T+n delivery (delivery n days after the trade date), then m days later for T+n−m delivery.

### Claim 37

A non-transitory computer memory, having stored therein program instructions to cause an electronic trading system to:
execute trades among traders of assets of the traded asset type, the traded asset type being a derivative of an underlying asset type;
from time to time and as a component of the contractual relationship among the traders of the trading system and the trading system, transfer traders' positions in the traded asset type into positions in the underlying asset type for a period of time, and later transfer the positions in the underlying asset claims back into positions in the traded asset type.

### Claim 38 (depends on 37)

The non-transitory computer memory of claim 37, wherein the asset type is bond futures contracts, and the underlying asset type is bonds.

### Claim 39 (depends on 38)

The non-transitory computer memory of claim 38, wherein prices for purchase or sale of the bonds are set to recognize profit and loss in the bond futures contracts.

### Claim 40 (depends on 38)

The non-transitory computer memory of claim 38, wherein:
a quantity of bonds transferred pursuant to the contractual relationship is computed relative to a quantity of futures positions approximately in the ratio of the DV01 of the bonds (DV01 of an instrument being the change in value of the instrument per one basis point change in interest rates) to the DV01 of the futures positions.

### Claim 41 (depends on 38)

The non-transitory computer memory of claim 38, wherein the bonds transferred pursuant to the contractual relationship are chosen to have a duration approximately equal to the duration of the bond futures.

### Claim 42 (depends on 38)

The non-transitory computer memory of claim 38, wherein the bonds transferred pursuant to the contractual relationship are chosen to have a DV01 (DV01 of an instrument being the change in value of the instrument per one basis point change in interest rates) approximately equal to the DV01 of the bond futures.

### Claim 43 (depends on 38)

The non-transitory computer memory of claim 38, wherein the bonds transferred pursuant to the contractual relationship are selected by a party to the bond futures contract.

### Claim 44 (depends on 37)

The non-transitory computer memory of claim 37 wherein time to time is a regularly scheduled time of day.

### Claim 45 (depends on 37)

The non-transitory computer memory of claim 37, wherein the transferring is performed about at the close of each trading day, and the later transferring back is performed about at the opening of each trading day.

### Claim 46 (depends on 37)

The non-transitory computer memory of claim 37 wherein time to time is determined to manage risk held by an operator of the trading system.

### Claim 47 (depends on 37)

The non-transitory computer memory of claim 37, wherein the underlying assets are traded for T+n delivery (delivery n days after the trade date), then m days later for T+n−m delivery.

### Claim at position 48

48-67. (canceled)

### Claim 68

A method, comprising:
executing, by a computer of a trading system, trades of bond future contracts to establish and sell positions in the futures contracts;
after approximately the end of a first trading day, for each of several positions in the bond future contracts held by traders in the bond trading system, by a computer of the trading system:
determining a respective bond and a respective price for the bond based on a price of the bond future contract, and
transferring the position in the bond future contract into a corresponding position in the respective bonds; and
approximately at the beginning of a second trading day, in which the second trading day is the soonest trading day that is after the first trading day, for each of several positions in the bonds, by a computer of the trading system:
determining a respective price of the bond and a respective price of the bond future contract, and
transferring the position in the bonds back into a corresponding position in a bond future contract.

### Claim 69 (depends on 68)

The method of claim 68, in which transferring the position in the bond future contract into a corresponding position in bonds comprises:
entering, with a clearinghouse, a trade for the bonds for T+N settlement (trade date plus N days), in which N is an integer greater than ‘1’; and
closing the position in the bond future contract.

### Claim 70 (depends on 68)

The method of claim 68, in which transferring the position in the bonds back into a corresponding position in a bond future contract comprises:
entering, with a clearinghouse, a trade for the bonds for T+N settlement (trade date plus N days), in which N is an integer greater than ‘0’; and
opening the position in the bond future contract.

### Claim 71 (depends on 68)

The method of claim 68, in which transferring the position in the bond future contract into a corresponding position in bonds comprises:
entering, with a clearinghouse, an trade for the bonds for T+N+1 settlement (trade date plus N+1 days);
and in which transferring the position in the bonds back into a corresponding position in a bond future contract comprises
entering, with a clearinghouse, an trade for the bonds for T+N settlement, in which N is an integer greater than ‘0’.

### Claim 72 (depends on 68)

The method of claim 68, in which determining a respective bond for each of several positions in the bond future contracts, comprises:
receiving, from a party to the bond future contract, a selection of a bond to be the respective bond.