Chicago Mercantile Exchange Inc.

James Joseph Boudreault

Frederick Sturm

John Labuszewski

Jonathan Kronstein

Daniel Grombacher

Richard Co

John Nyhoff

John Wiley

Peter Barker

Suzanne Spain

Graham Robert McDannel

Mohandas Ayikara Kizhakayil

Michael Kamradt

Bluford Hugh Putnam

Qifan Wu

Vijay Mani Pillai

Tim Elliott

Tim Doar

Julie Winkler

Graham Mcdannel

Mohandas Ayikara

Bluford Putnam

Vijay Pillai

An electronic tokening system implemented by a data source transmits secure electronic tokens including time-based values to a plurality of terminals. The terminals may be geographically disparate, and the different terminals may have different connection speeds to the data source. The terminals may use the secure electronic tokens to consistently and reliable calculate data values.

Secure electronic tokens in an electronic tokening system

One or more methods may be used to disseminate floor quotes from an open outcry financial market, such as via messages posted on a social network. These messages may include additional information for providing 'color' to the price quotation. In some cases, a method of disseminating the floor quotes may include receiving, at a computer device, a request from a trader to receive an authenticated user name associated with a financial exchange. The financial exchange may then permit the trader to post one or more messages to a social network using the authenticated user name, where the message includes information about a trade on the financial exchange.

Disseminating floor quotes from open outcry markets

The disclosed embodiments relate to determining a listing date, an expiration date and the cash settlement price of a futures contract, i.e. a Treasury Futures, for the delivery of the most recently issued, referred to as an on-the-run, US treasury Note of a particular maturity by reference to the U.S. Treasury Auction cycle and the difference between a resultant industry surveyed swap rate and a resultant industry surveyed swap spread of the respective tenors (time remaining until maturity) of the on-the-run treasury futures.

Listing and expiring cash settled on-the-run treasury futures contracts

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.

Zero coupon conversion factor calculation

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 (&#x201c;CF&#x201d;), 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.

Multiple coupon interest rate futures contracts

A computer implemented method for determining a margin requirement for a market participant includes maintaining, by a processor associated with an exchange, an exchange account reflecting an exchange position resulting from a trade executed on the exchange for a product available via the exchange, the exchange account being maintained separately from a custodian bank account associated with a custodian bank, the custodian bank account reflecting a repo position resulting from a repo transaction facilitated by the custodian bank between the market participant and a counterparty to the repo transaction. The method further includes receiving data reflective of the repo position via a communication interface between the exchange account and the custodian bank account, and determining the margin requirement for the market participant based on the received data and the exchange position.

Cross margining of tri-party repo transactions

Pricing cash settled on-the-run treasury futures contracts

Growing community of inventors

Kildeer, IL, United States of America

James Joseph Boudreault