The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
May. 27, 2014
Filed:
Nov. 08, 2011
Daniel Grombacher, Evanston, IL (US);
James Boudreault, Palatine, IL (US);
Frederick Sturm, Chicago, IL (US);
John Labuszewski, Westmont, IL (US);
Daniel Grombacher, Evanston, IL (US);
James Boudreault, Palatine, IL (US);
Frederick Sturm, Chicago, IL (US);
John Labuszewski, Westmont, IL (US);
Chicago Mercantile Exchange Inc., Chicago, IL (US);
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.