Systems and methods for implementing the structuring, pricing, quotation, and trading of SPOT synthetics (SPOTS), SPREAD instruments (SPRINTS), SPRINTS based on SPOTS, ratio derivatives (RADS), RADS based on SPOTS, and options based on these instruments

US8046286B2 · kind B2 · utility

Assignees

• SRI, Inc., Prisma & Company, Inc. · US
• Cayuga Derivatives, Inc. · US

Inventors

• Douglas T. Chorna · Delray Beach, US
• Srikanth Sankaran · Winnetka, US

Key dates

• Filing date: Aug 10, 2009
• Grant date: Oct 25, 2011
• Expiry date: Aug 10, 2029

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

An exchange-traded financial instrument having a price that tracks an underlying benchmark, the underlying benchmark being a security or commodity that is itself traded. A contract for the financial instrument between a buyer and seller is not contingent upon the delivery of the underlying benchmark. A net carrying charge (credit or debit), defined as the difference between the investment yield of the underlying benchmark and a cost of financing ownership of the underlying benchmark using the generally accepted industry standard financing rate for that benchmark, is credited or debited, accrued, or built into the price of the derivative for both buyer and seller of the financial instrument, typically nightly. In one embodiment, the underlying benchmark is a U.S. Treasury security, and preferably a specific U.S. Treasury security such as the on the run (OTR) 10 Year Treasury note. Other single contract spread and ratio instruments are also disclosed.