# US 2021/0241374 A1 · Exchange for physicals

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- Number: US 2021/0241374 A1
- Document ID: US20210241374A1
- Status: Published application
- Kind: A1
- Application number: 17/234,909
- Filed: 2021-04-20
- Published: 2021-08-05
- Earliest claimed: 2013-08-01
- Assignees: LIFFE Administration and Management
- Applicants: LIFFE Administration and Management
- Inventors: Benoit Andre Lamour; Anais Fabienne Christiane Dony
- Web page: https://patentgrep.com/patent/US20210241374A1

## CPC

- G06Q 40/04: Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
- 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

Systems and methods for performing an exchange for physicals (EFP) may comprise receiving, with a matching engine module in communication with a processor, EFP data comprising an amount of securities to be traded and a price. The matching engine module may calculate a first delta percentage between the EFP data and an index based on the amount, the price, and an index value. The matching engine module may calculate a residual delta based on the first delta percentage and an index notional value. The matching engine module may attribute the residual delta to the securities.

## Claims

### Claim 1

A computer-implemented method comprising:
continuously monitoring, by a market surveillance device in communication with one or more processors, one or more live index values that fluctuate according to market movement;
receiving, by a matching engine module in communication with the one or more processors, transaction data via one or more of a wired and wireless network, the transaction data comprising an amount of securities to be traded and a price for the amount of securities to be traded; and
continuously generating, by the matching engine module based on the one or more live index values, a new price for the securities to be traded that closely matches market pricing.

### Claim 2 (depends on 1)

The method of claim 1, wherein the transaction data relates to an exchange-for-physical (EFP) transaction.

### Claim 3 (depends on 1)

The method of claim 1, wherein the continuously generating the new price comprises:
calculating a first delta percentage between the transaction data and an index based on the amount of securities to be traded, the price for the amount of securities to be traded, and a live index value among the one or more live index values;
applying the first delta percentage equally to each underlying component of the securities to be traded, thereby generating a new component security price for each of said underlying components;
calculating a residual delta based on the first delta percentage and an index notional value; and
adjusting one or more of the new component security prices by a minimum tick size based on the residual delta.

### Claim 4 (depends on 3)

The method of claim 3, wherein calculating the first delta comprises:
calculating a component security weight based on the amount of securities to be traded;
calculating a rounded quantity of component securities based on the amount of securities to be traded and the component security weight;
calculating a current index value based on the rounded quantity of component securities;
calculating an index notional to be allocated based on the amount of securities to be traded and the price for the amount of securities to be traded;
calculating a first delta based on the current index value and the index notional; and
calculating the first delta percentage based on the first delta and the current index value.

### Claim 5 (depends on 4)

The method of claim 4, wherein calculating the component security weight comprises solving the following equation:
component security weight=free float*number of shares.

### Claim 6 (depends on 4)

The method of claim 4, wherein calculating the rounded quantity of component securities comprises solving the following equation:
rounded
⁢
⁢
quantity
⁢
⁢
of
⁢
⁢
component
⁢
⁢
security
=
EFP
⁢
⁢
quantity
*
index
⁢
⁢
component
⁢
⁢
security
⁢
⁢
weight
*
future
⁢
⁢
lot
⁢
⁢
size
index
⁢
⁢
divisor
⁢

### Claim 7 (depends on 4)

The method of claim 4, wherein calculating the current index value comprises solving the following equation:
current index value=Σi=140(rounded of quantity of component securityi*LTP component security)

### Claim 8 (depends on 4)

The method of claim 4, wherein calculating the index notional to be allocated comprises solving the following equation:
index notional to be allocated=[LTP of index future−EPP price]*EFP quantity*future lot size

### Claim 9 (depends on 4)

The method of claim 4, wherein calculating the first delta comprises solving the following equation:
first delta=index notional value to be allocated−current index value.

### Claim 10 (depends on 4)

The method of claim 4, wherein calculating the first delta percentage comprises solving the following equation:
first
⁢
⁢
delta
⁢
⁢
⁢
%
=
first
⁢
⁢
delta
current
⁢
⁢
index
⁢
⁢
value
.

### Claim 11 (depends on 3)

The method of claim 3, wherein calculating the residual delta comprises:
calculating, by the matching engine module, a new component security price based on the first delta percentage;
calculating, by the matching engine module, a new index value based on the new component security price and a rounded quantity of component securities; and
calculating, by the matching engine module, the residual delta based on an index notional to be allocated and the new index value.

### Claim 12 (depends on 11)

The method of claim 11, wherein calculating the new component security price comprises solving the following equation:
new component security price=LTP component security*(1+delta %) rounded to one or more places

### Claim 13 (depends on 11)

The method of claim 11, wherein calculating the new index value comprises solving the following equation:
new index value=Σi=140 rounded quantity of component securityi*new component security price

### Claim 14 (depends on 11)

The method of claim 11, wherein calculating the residual delta comprises solving the following equation:
residual delta=index notional value to be allocated −new index value.

### Claim 15

A system comprising:
one or more processors;
a market surveillance device in communication one or more processors, the market surveillance device configured to continuously monitor one or more live index values that fluctuate according to market movement; and
a matching engine module in communication with the one or more processors, the matching engine module configured to receive, transaction data via one or more of a wired and wireless network, the transaction data comprising an amount of securities to be traded and a price for the amount of securities to be traded;
the matching engine module further configured to continuously generate, based on the one or more live index values, a new price for the securities to be traded that closely matches market pricing.

### Claim 16 (depends on 15)

The system of claim 15, wherein the transaction data relates to an exchange-for-physical (EFP) transaction.

### Claim 17 (depends on 15)

The system of claim 15, wherein the matching engine module is configured to continuously generate the new price by:
calculating a first delta percentage between the transaction data and an index based on the amount of securities to be traded, the price for the amount of securities to be traded, and a live index value among the one or more live index values,
applying the first delta percentage equally to each underlying component of the securities to be traded, thereby generating a new component security price for each of said underlying components,
calculating a residual delta based on the first delta percentage and an index notional value, and
adjusting one or more of the new component security prices by a minimum tick size based on the residual delta.

### Claim 18 (depends on 17)

The system of claim 17, wherein the matching engine module is further configured to:
calculate a component security weight based on the amount of securities to be traded;
calculate a rounded quantity of component securities based on the amount of securities to be traded and the component security weight;
calculate a current index value based on the rounded quantity of component securities;
calculate an index notional to be allocated based on the amount of securities to be traded and the price for the amount of securities to be traded;
calculate a first delta based on the current index value and the index notional; and
calculate the first delta percentage based on the first delta and the current index value.

### Claim 19 (depends on 18)

The system of claim 18, wherein the matching engine module is configured to calculate the component security weight by solving the following equation:
component security weight=free float*number of shares.

### Claim 20 (depends on 18)

The system of claim 18, wherein the matching engine module is configured to calculate the rounded quantity of component securities by solving the following equation:
rounded
⁢
⁢
quantity
⁢
⁢
of
⁢
⁢
component
⁢
⁢
security
=
EFP
⁢
⁢
quantity
*
index
⁢
⁢
component
⁢
⁢
⁢
security
⁢
⁢
weight
*
future
⁢
⁢
lot
⁢
⁢
size
index
⁢
⁢
divisor
⁢

### Claim 21 (depends on 18)

The system of claim 18, wherein the matching engine module is configured to calculate the current index value by solving the following equation:
current index value=Σi=140(rounded quantity of component securityi*LTP component security)

### Claim 22 (depends on 18)

The system of claim 18, wherein the matching engine module is configured to calculate the index notional to be allocated by solving the following equation:
index notional to be allocated=[LTP of index future−EFP price]*EFP quantity*future lot size

### Claim 23 (depends on 18)

The system of claim 18. wherein the matching engine module is configured to calculate the first delta by solving the following equation:
first delta=index notional value to be allocated−current index value.

### Claim 24 (depends on 18)

The system of claim 18, wherein the matching engine module is configured to calculate the first delta percentage by solving the following equation
first
⁢
⁢
delta
⁢
⁢
⁢
%
=
first
⁢
⁢
delta
current
⁢
⁢
index
⁢
⁢
value
.

### Claim 25 (depends on 17)

The system of claim 17, wherein the matching engine module is further configured to:
calculate a new component security price based on the first delta percentage;
calculate a new index value based on the new component security price and a rounded quantity of component securities; and
calculate the residual delta based on an index notional to be allocated and the new index value.

### Claim 26 (depends on 25)

The system of claim 25, wherein the matching engine module is configured to calculate the new component security price by solving the following equation:
new component security price=LTP component security*(1+delta %)rounded to one or more decimal places

### Claim 27 (depends on 25)

The system of claim 25, wherein the matching engine module is configured to calculate the new index value by solving the following equation:
new index value=Σi=140 rounded quantity of component securityi*new component security price

### Claim 28 (depends on 25)

The system of claim 25, wherein the matching engine module is configured to calculate the residual delta by solving the following equation:
residual delta=index notional value to be allocated−new index value.