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US 8,046,291 B2Granted
Redemption of derivative secured index participation notes
AssigneeThe NASDAQ OMX Group, Inc.
InventorSteven M. Bloom
Life of this patent
Estimating the term…
Abstract
Techniques are described for securitizing, administrating and trading various index shares securitized by derivative, cash-settled instruments on the underlying index.
Claims46
A computer implemented method of redeeming Index Participation Notes, the method comprising:
- receiving, by one or more computers, information related to a received request to redeem one or more creation unit size aggregations of Index Participation Notes from a holder of one or more creation unit size aggregations of Index Participation Notes that are secured by one or more derivative financial instruments on a financial index and an amount of cash substantially equal to a mark price for one of the one or more derivative financial instruments at a time of generation of the Index Participation Notes, with the redemption request being received on a date that is prior to a settlement date of the one or more derivative financial instruments;
- receiving by the one or more computers, changes to the mark price of the one or more derivative financial instruments;
- and
- calculating by the one or more computers, based at least in part on the changes to the mark price of the one or more derivative financial instruments over a period between issuance of the one or more derivative financial instruments and receipt of the redemption request, an amount of cash to deliver along with the one or more derivative financial instruments of the financial index included in the creation unit to the holder of the Index Participation Notes in exchange for the creation unit size aggregations of Index Participation Notes;
- delivering the amount of cash to the holder of the Index Participation Notes;
- and
- delivering the one or more derivative financial instruments of the financial index to the holder of the Index Participation Notes.
4 more elements
A system, comprising:
- a computing device comprising
- a processor;
- and
- a memory
- the computing device configured to:
- receive information related to receipt of a redemption request to redeem one or more creation unit size aggregations of Index Participation Notes from a holder of one or more creation unit size aggregations of Index Participation Notes that are secured by one or more derivative financial instruments on a financial index and an amount of cash substantially equal to a mark price for one of the one or more derivative financial instruments at a time of generation of the Index Participation Notes;
- receive changes to the mark price of the one or more derivative financial instruments;
- and
- calculate, based at least in part on the changes to the mark price of the one or more derivative financial instruments over a period between issuance of the one or more derivative financial instruments and receipt of the redemption request, an amount of cash to deliver along with the one or more derivative financial instruments of the financial index included in the creation unit to the holder of the Index Participation Notes in exchange for the creation unit size aggregations of Index Participation Notes.
6 more elements
A computer program product having computer instructions stored on a computer readable storage device, the computer instructions for causing a processor to:
- receive information related to receipt of a redemption request to redeem one or more creation unit size aggregations of Index Participation Notes from a holder of one or more creation unit size aggregations of Index Participation Notes that are secured by one or more derivative financial instruments on a financial index and an amount of cash substantially equal to a mark price for one of the one or more derivative financial instruments at a time of generation of the Index Participation Notes, with the redemption request being received on a date that is prior to a settlement date of the one or more derivative financial instruments;
- receive changes to the mark price of the one or more derivative financial instruments;
- and
- calculate based at least in part on changes to the mark price of the one of the one or more derivative financial instruments over a period between issuance of the one of the one or more derivative financial instruments and receipt of the redemption request, an amount of cash to deliver along with the one or more derivative financial instruments of the financial index included in the creation unit to the holder of the Index Participation Notes in exchange for the creation unit size aggregations of Index Participation Notes.
1 more element
Dependencies are inferred from the claim text.