US 8,751,367 B2 · Zero coupon conversion factor calculation

Abstract

The disclosed embodiments relate to a system which calculates a conversion factor (CF) based upon a zero percent (0%) futures contract standard. The zero percent futures contract standard may be used in the context of futures or forwards based upon coupon bearing debt securities including Treasuries, Treasury Inflation Protected Securities (TIPS), agencies, corporates, municipals, or any fixed income security. The system also facilitates listing, trading, and settlement of an interest rate futures contract that sets forth such a zero percent futures contract standard. The system may be configured for both interest rate futures contracts utilizing a nonzero percent futures contract standard and interest rate futures contract utilizing a zero percent futures contract standard. The system may be configured to calculate an invoice amount for the interest rate futures contract to be paid in exchange for the delivery of the one of the set of eligible interest rate or debt securities and instruments.

Claims25

Dependent claims

A computer implemented method comprising:

identifying a contract daily settlement price for a coupon bearing debt security;
identifying a futures contract standard for the coupon bearing debt security;
selecting a first conversion factor when the futures contract standard is a nonzero value;
selecting a second conversion factor when the futures contract standard is a zero value;
and
calculating, using a processor, an invoice amount for a futures contract to be paid in exchange for the delivery of the coupon bearing debt security, wherein the invoice amount is calculated using the identified contract daily settlement price and using a first algorithm when the futures contract standard is a nonzero value and a second algorithm when the futures contract standard is a zero value;
wherein the first and second algorithm are different.

4 more elements

A system for facilitating listing, trading and settlement of an interest rate futures contract that specifies a delivery obligation, which may be satisfied by at least the delivery of any of a set of eligible interest rate or debt securities within a specified delivery period, the system comprising:

a processor and a memory operatively coupled and configured to execute:
an identification process to identify a contract daily settlement price and a futures contract standard for a coupon bearing debt security at the specified delivery period of an eligible interest rate or debt security of the set of eligible interest rate or debt securities specified by an interest rate futures contract;
a selection process to select a first conversion factor for the interest rate futures contract when the futures contract standard is a nonzero value and a second conversion factor for the interest rate futures contract when the futures contract standard is a zero value;
and
a pricing process to calculate an invoice amount for the interest rate futures contract to be paid in exchange for the delivery of the eligible interest rate or debt security, wherein the invoice amount is calculated using the first conversion factor when the futures contract standard is nonzero and using the second conversion factor when the futures contract standard is zero.

2 more elements

Dependencies are inferred from the claim text.

Zero coupon conversion factor calculation

Life of this patent

Zero coupon conversion factor calculation

Life of this patent

Abstract

Claims25