Multiple coupon interest rate futures contracts
US8738503B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Nov 8, 2011 |
| Grant date | May 27, 2014 |
| Priority date | — |
| Expiry date | Nov 23, 2031 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/04
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
The disclosed system makes available multiple interest rate futures contracts (“IRFC”) for a given set of interest rate securities, such as US Treasury Notes, which may be used to satisfy the delivery obligation. The terms on which the delivery obligation of each such IRFC are met are governed by an associated conversion factor yield (“CFY”) value which is associated, in turn, with a corresponding set of conversion factors (“CF”), each of which corresponds to one member of the set of securities eligible for delivery, and which may be used at the time of delivery of such eligible interest rate security, to determine the delivery invoice price. Offering different CFY's and corresponding CF's may enable a market participant who seeks to use such futures to acquire or shed financial risk exposure to select from such array of futures contracts the member contract that most closely mirror the participant's intended risk profile.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.