`
`[19]
`
`[11] Patent Number:
`
`5,970,479
`
`Shepherd
`
`[45] Date of Patent:
`
`Oct. 19, 1999
`
`US005970479A
`
`[54] METHODS AND APPARATUS RELATING TO
`THE FORMULATION AND TRADING OF
`
`OTHER PUBLICATIONS
`
`“The DTB—West Germany’s New Options and Futures
`Exchange. (2 of 2),” Business Briefing published in Insti-
`ixl/l1t1l1:;’i1ei;:,I"‘1sVce);Et:>E \£ell%—Esit’al1)l9ies;l?ed After First Six Months,”
`Slfggg Bnefing pubhshed by Reuters News Servlce’ N0V'
`’
`'
`
`(List continued on next page.)
`
`Primary Examiner—Gail O. Hayes
`Assistant Examiner—Barton L. Bainbridge
`Attorney, Agent, or Firm—Sterne, Kessler, Goldstein & Fox
`P'L'L'C'
`[57]
`
`ABSTRACT
`
`'
`'
`'
`Methods and apparatus which deal with the management of
`gglilgiaélng to epeelfied’ yet unknown’ future events are
`.
`.
`.
`t§Pa<;n:<;renjfifiegggjfnggggfgoj §Vahr;;;u{;;;;r3gu;tr;;1ga;1ggf
`possible future outcomes.
`
`‘Ordering’ stakeholders then offer contracts relating to the
`predetermined phenomenon and corresponding range of
`outcomes. The offered contracts specify an entitlement or
`(pay-off) at the future time of maturity for each outcome, and
`a consideration (01: firirinium) payable, in exchange, to a
`‘counter- art
`’ sta e o
`er.
`p
`y
`Independently of the offered contracts, the ‘counter-party’
`stakeholders input data as to their View of the likelihood of
`occurrence of each outcome in the predetermined range into
`the future, or specifically at
`the predetermined date of
`maturity.
`
`Each offered contract is priced by calculating counter-party
`premiums from the registered data, and a match attempted
`by a comparison of the offered premium with the calculated
`-
`premlumsi
`
`.
`.
`l\/tlatcliedtcontracts can fie glirlhftlg trades until rpatutrfiy, and
`a -ma uri y processing an es
`e exc ange o en 1 emen
`as between the matched parties to the contract.
`
`39 Claims, 101 Drawing Sheets
`
`RISK MANAGEMENT CONTRACTS
`Inventor:
`Ian K' Shepherd’ Toorak’ Australia
`[75]
`[73] Assignees: Swychco Infrastructure Services Pty.
`Ltd., Melbourne, Australia; Swychco
`Support Services Pty. Ltd., Sydney,
`Australia
`
`[21] APPL N05 08/0703136
`[22]
`Filed:
`May 28, 1993
`
`Foreign Application Priority Data
`[30]
`11S I8. 18.
`.............................. ..
`fly
`,
`PL 2677
`M 29 1992
`[AU]
`A t
`1.
`Jun. 30, 1992
`[AU]
`Australia ................................ PL 3216
`[51]
`Int. Cl.5 .................................................... .. G06F 17/60
`[52] U.s. Cl.
`................................................... 705/37; 705/4
`Of Search ............................... ..
`705/37
`
`[56]
`
`References Cited
`
`3,573,747
`4>346>442
`4376978
`
`Us. PATENT DOCUMENTS
`4/1971 Adams et al.
`.
`8/1982 Musmanno ‘
`3/1983 Musmanno ‘
`
`(List C0I1tiI111€d OH I1€Xt page.)
`
`FOREIGN PATENT DOCUMENTS
`
`90123894 12/1990 European Pat oft -
`0 407 026 A2
`1/1991
`European Pat oft -
`0434224 A2
`6/1991
`European Pat. Off.
`.
`0 512 702 A2
`11/1992 European Pat. Off.
`.
`1 489 573
`10/1977 United Kingdom .
`2180380
`11/1989 United Kingdom .
`WO 90/1571 10/1990 WIPO .
`91/14231
`9/1991 WIPO .
`WO 93/15467
`8/1993 WIPO .
`WO 94/20912
`9/1994 WIPO .
`
`7
`
`7 /11
`
`
`l
`
`’:E’§‘;°.?.‘;?:
`
`;
`
`2
`
`0
`
`E
`
`L
`
`Producl
`
`Sponsors
`
`
`H2
`
`ll
`
`
`J
`
`/13
`l
`,,
`‘ V7’,
`Product
`Ordermg Pames ‘Ii
`
`A _
`
`Mlscellaneous
`
`Pames
`
`“
`
`
`
`17
`
`1
`
`ConsIderatlon/
`
`Entitlement .4}‘
`Transfer Entities J
`1
`
`‘
`
`16
`
`1
`
`Regulators
`E777”
`7
`
`7
`
`M‘
`fl .
`PFOCESSIHQ Unns
`
`\257 7‘
`
`14
`
`Potential Product
`Counterparties
`
`7
`
`15
`
`_,
`Counterparty
`‘ Guarantors
`Ml
`
`‘
`1
`
`Apple Exhibit 1028
`
`Page 00001
`
`
`Page 00001
`
`Apple Exhibit 1028
`
`
`
`5,970,479
`Page 2
`
`U.S. PATENT DOCUMENTS
`
`6/1987 Kalmus.
`4,674,044
`1/1988 Roberts ................................. .. 364/408
`4,722,055
`4/1988 Roberts.
`4,739,478
`6/1988 Lucas.
`4,751,640
`8/1988 Fox ........................................... .. 705/4
`4,766,539
`4/1989 Deming.
`4,823,264
`5/1989 Luchs.
`4,831,526
`6/1989 Finnerty.
`4,839,804
`2/1990 Wagner.
`4,903,201
`6/1990 Durbin.
`4,933,842
`8/1990 Atkins.
`4,953,085
`4,975,840 12/1990 DeTore.
`4,980,826
`12/1990 Wagner.
`5,077,665
`12/1991 Silverman.
`5,101,353
`3/1992 Lupien .
`................... .. 364/408
`5,126,936
`6/1992 Champion et al.
`..................... .. 705/37
`5,136,501
`8/1992 Silverman et al.
`OTHER PUBLICATIONS
`
`“A New Futures and Options Exchange to Come into Effect
`in 1990.
`(2 of 3),” Business Briefing published in
`Euromoney Supplements, Nov. 17, 1989.
`“Heavy Losses Have Been Chalked Up by City Punters
`Betting on the Financial Markets,” Evening Standard, Oct.
`22, 1987, p. 39.
`“A Number of City Brokers and Dealers are Facing Finan-
`cial Ruin as a Result of Losses They Have Incurred by
`Gambling on Future Movements in Stock Market Indices,”
`Evening Standard, Oct. 30, 1987, p. 59.
`“Christopher Hales, the Managing Director of City Index,
`the Organisation that Allows Punters to Bet on the FTSE
`Index, Has Not Yet Been Offered a Porche .
`.
`. ” Evening
`Standard, Nov. 2, 1987, p. 50.
`“The Game of Professional Investment is Intolerably Boring
`and Over—Exacting to Anyone Who is Entirely Exempt from
`the Gambling Instinct, While He Who Has it Must Pay to
`this Propensity the Appropriate Toll, ” Planned Savings,
`Dec. 1987, pp. 50-51.
`“L K: Law Prohibiting Stock Market Betting Agencies from
`Suing Clients Overturned in Recent Legislation,” The Times,
`Jul. 24, 1990.
`“LK: Court Rules Gamblers Owing Money on Bets on
`Stock Market Have to Pay Up,” Mail on Sunday, Jul. 29,
`1990, p. 61.
`“L K: Independent Law Report—Stock Market Movement
`Bet Claimed,” Independent Aug. 3, 1990, p. 13.
`“L K: City Index Successfully Sues Spencer Leslie for
`£35,000,” Euroweek Aug. 3, 1990, p. 23.
`“L K: Times Law Report—Differences Contract is Enforce-
`able,” The Times, Oct. 3, 1990.
`“L K: Current Law—City Index Ltd. v. Leslie; Gaming
`Contracts are Unenforceable Unlike Business Contracts,”
`Chartered Surveyor Law Report, Oct. 18, 1990, p. 132.
`“L K: Court of Appeal Rejects Market Gambler Case,”
`Financial Times, Mar. 15, 1991, p. 7.
`“L K: Personal Finance (Savings Snips)—City Saver—City
`Index Link,” Observer; Mar. 7, 1993, p. 35.
`“L K: Spread Your Bets for Dodgy Deregulation,” Evening
`Standard, Apr. 7, 1995.
`“L K: How to Make a Winning Spread Bet This Summer—
`The New Gambling—CoverStory,” The Times, Apr. 8, 1995 .
`“L K: Family Finance—Do You Fancy a Financial Flutter?”
`Sunday Telegraph, Apr. 9, 1995, p. 9.
`Nigel Cope, “UK: Where Bookie Meets Broker,” Manage-
`ment Today, May 1995, p. 76.
`
`Jonathan Davis, “UK: Your Money—Spread Betting—Risk
`and Reward in Selling the Ivory Coast Short,” Independent,
`May. 27, 1995, p. 21.
`“UK: Register—Meal Quarterly Summary—Jun. 1995—
`City Index Ltd.,” Register—Meal, Jun. 14, 1995.
`“UK: Scrum on Down for New Way of Betting,” Mail on
`Sunday, Jun. 18, 1995.
`Lucy Roberts, “UK: City Diary—City Index Weather Fore-
`casts,” Independent, Jun. 23, 1995, p. 26.
`“UK: Christmas Day Snow Index Launched,” Evening Stan-
`dard, Dec. 8, 1995.
`Joe Saumarez Smith, “Australia: City—Bookie’s Move to
`Hit Betting Duty,” Sunday Telegraph, Dec. 24, 1995, p. 2.
`“UK: City Diary—Spreading the Word,” Daily Telegraph,
`Mar. 21, 1996, p. 21.
`“UK: City Diary—Index Link a Fairly Safe Bet,” Daily
`Telegraph, Jul. 16, 1996, p. 25.
`“UK:
`IG Index Comments on Rivals Merger Plans,”
`Evening Standard, Jul. 17, 1996.
`“UK: City Index—Partners,” Financial Times, Oct. 14,
`1996, p. 14.
`“UK: Reuters Launches Two UK Stock Indices,” Reuters
`Limited, Nov. 8, 1996.
`Paul Stokes, “UK: New Index Sparks a Worldwide Market
`for Scotland,” Scotsman, Nov. 9, 1996, p. 21.
`“UK: City Diary—Bookmaker Chief Appointed,” Daily
`Telegraph, Mar. 24, 1997, p. 26.
`“UK: Family Finance—Bond Pep From Age Concern—
`Savings Scene,” Sunday Telegraph, Sep. 14, 1997, p. 10.
`Raymond Snoddy, “UK: Mirror to Launch Online Betting
`Service with PA—The Mirror Group—PA News,” The
`Times, Sep. 19, 1997, p. 25.
`“A New Futures and Options Exchange to Come into Effect
`in 1990.
`(3 of 3),” Business Briefing published in
`Euromoney Supplements, Nov. 17, 1989.
`“The Success of Soffex—The World’s First Fully Auto-
`mated Exchange,” Business Briefing, Nov. 17, 1989.
`Curtis M. Elliott and Emmett J. Vaughan: “Fundamentals of
`Risk and Insurance,” John Wiley & Sons, Inc. 1972.
`William A. Spurr and Charles P. Bonini: “Statistical Analysis
`for Business Decisions,” Richard D. Irwin, Inc. 1974.
`John W. Labuszewski and John E. Nyhoff: “Trading Options
`on Futures—Markets, Methods, Strategies and Tactics,”
`John Wiley & Sons, Inc. 1988.
`Edgar E. Peters: “Chaos and Order in the Capital Mar-
`kets—A new View of Cycles, Prices, and Market Volatility,”
`John Wiley & Sons, Inc. 1991.
`David Mayers and Clifford Smith: “The Corporate Insurance
`Decision”—journal article reprinted in “The Revolution in
`Corporate Finance” edited by Joel M. Stern & Donald H.
`Chew, Jr., Blackwell Finance, 1992.
`Charles Smithson and Clifford Smith: “Managing Financial
`Risk”—journal article reprinted in “The Revolution in Cor-
`porate Finance,” edited by Joel M. Stern & Donald H. Chew,
`Jr., Blackwell Finance, 1992.
`Donald R. Lessard: “Finance and Global Competition:
`Exploiting Financial Scope and Coping with Volatile
`Exchange Rates”—journal article reprinted in “The Revo-
`lution in Corporate Finance” edited by Joel M. Stern &
`Donald H. Chew, Jr., Blackwell Finance, 1992.
`Alar1 C. Shapiro and Sheridan Titman: “An Integrated
`Approach to Corporate Risk Management”—journal article
`reprinted in “The Revolution in Corporate Finance” edited
`by Joel M. Stern & Donald H. Chew, Jr., Blackwell Finance
`1992.
`
`Page 00002
`
`
`Page 00002
`
`
`
`U.S. Patent
`
`Oct. 19, 1999
`
`Sheet 1 of 101
`
`5,970,479
`
`11
`
`12
`
`
`
`Product
`
`Sponsors
`
`
`13
`
`______of
`
`Product
`
`Ordering Parties
`
`14
`
`Potential Product
`
`Counterparties
`
`
`
` Application
`
`Promoters
`
`
`Guarantors
`
`Counterparty
`
`18
`
`Miscellaneous
`Parties
`
`
`
`Consideration/
`Entitlement
`Transfer Entities
`
`16
`
`Regulators
`
`F1(3.‘I
`
`Page 00003
`
`
`Page 00003
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 2 of 101
`
`5,970,479
`
`Page 00004
`
`
`Page 00004
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 3 of 101
`
`5,970,479
`
`2004
`
`Page 00005
`
`Fig. 2b
`
`
`Page 00005
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 4 of 101
`
`5,970,479
`
`INVENTCO, 10
`
`INVENTCO SYSTEM #N
`
`INVENTCO SYSTEM #1
`
`Fig. 3
`
`Page 00006
`
`
`Page 00006
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 5 of 101
`
`5,970,479
`
`M - INVENTCO
`
`" ‘MARKETS’ COLLECTION #N
`
`.'MARKETS' COLLECTION #2
`
`‘MARKETS’ COLLECTION #1 (CONTRACT APPS)
`
`CONTRACT APP #M
`
`CONTRACT APP #1
`
`Fig. 4
`
`Page 00007
`
`
`Page 00007
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 6 of 101
`
`5,970,479
`
`CONTRACTAPP#M
`
`PROCESS#9
`
`PROCESS#2
`
`PROCESS#1
`
`I?hg.5
`
`Page 00008
`
`
`Page 00008
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 7 of 101
`
`5,970,479
`
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`Page 00009
`
`
`Page 00009
`
`
`
`
`
`
`
`
`
`
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 8 of 101
`
`5,970,479
`
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`
`Page 00010
`
`
`Page 00010
`
`
`
`
`
`
`
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 9 of 101
`
`5,970,479
`
`Order sequence management
`
`625
`
`/Order authorisation
`
`(Fig 9)
`
`640
`
`Order matching
`.
`(Fig 11)
`
`
`
`Matched order
`
`
`(Fig 16) 650
`
`confirmation
`
`Fig. 8
`
`Page 00011
`
`
`Page 00011
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 10 of 101
`
`5,970,479
`
`From "START" (610) or "A"
`
`1010
`
`Determine which
`
`file to process
`
`PORD_NEW7
`
`1040
`
`
`
`1030
`
`
`
`
`
`ew orders
`
`? PORD_QUEUE
`
`!|HHHHEHHENHEl|
`
`Order authorisation
`
`1050
`
`(Fig 10)
`
`Load queued
`order
`
`1060
`
`“Order Matching" (640)
`
`Fig.9
`
`Page 00012
`
`
`Page 00012
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 11 of 101
`
`5,970,479
`
`From "Load New Order" (1030)
`
`1100
`
`Assign unique
`
`identification to OID
`
`
`
`
`
`Load product details and
`set PMAT, PCUR,
`
`
`PNCUR, PC/ED, PMIN,
`
`1110
`
`PPRODUCT
`
`1 120
`
`PMAX, PSTEP
`
`
`
`1150
`
`1130
`
`No
`
`Reject order
`
`1140
`
`1160
`
`"Order Matching" (640)
`
`ordering party
`
`Report to
`
`e
`
`1162
`
`Fig. 10
`
`Page 00013
`
`
`Page 00013
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 12 of 101
`
`5,970,479
`
`From "Order Sequence Management" (625)
`
`
`
`.
`
`' etention
`time expired
`?
`
`YES
`
`PORD_REJ
`
`1220
`
`Reject Order
`
`
`
`
`
`Get product
`counterparty short list
`
`(Fig 12)
`
`_
`
`Report to ordering
`
`
`
`P3113’
`
`1200
`
`1240
`
`1222
`
`o
`
`
`1232
`
`Calculate counterparty
`
`PTOCCSS
`F'
`13
`(
`‘g
`)
`
`
`
`12 5 5
`
`Quote
`order
`
`(7
`
`NO
`
`
`Select counterparty bid
`prices from short list and
`
`
`queue order
`
`1260
`
`Match with potential
`oounterparty from short list
`
`
`
`(Fig 15)
`
`1256
`
`FORD UEUE
`‘Q
`
`125 7
`
`1 2 6 1
`
`atche
`order
`
`‘?
`
`YES
`
`NO
`
`o
`
`"Matched Order Confirmation" (650)
`
`Fig. 11
`
`Page 00014
`
`
`Page 00014
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 13 of 101
`
`5,970,479
`
`From "Retention time expired?" (1200)
`
`Empty potential product
`
`counterparty short list
`
`
`Get available product
`
`counterparties using
`BID, PD and set SID
`
`
`
`
`1300
`
`1310
`
`1330
`
`N0
`
`counterparty
`?
`
`ES
`
`(OANON and MANUAL(SID))
`or (OMANUAL and ANON(SID))
`
`
`
`Determine the defined
`
`circumstances identification for the
`
`1320
`
`"Calculate Product
`Counterparty Bids" (1250)
`
`1336
`
`
`
`
`
`
`current order and store in DCID
`
`Select pricing parameters
`using SID, PID, DCID
`
`1350
`
`
`Add counterparty-to short list and set
`
`
`
`PRICEFUNC(SlD), CR(SID),
`
`DR(SID), C-CXCHANG(SID),
`
` ricing and rates
`
`7
`offered by counterparty
`
`
`
`C-NCXCHANG(SID),
`
`C—C/EXCHANG(Sl"D),
`
`E—CXCHANG(SID),
`
`E—NCXCHANG(SID),
`
`
`
`E-C/EXCHANG(SID),
`
`
`ANON(SID), MANUAL(S1D
`
`
`1370
`
`Fig. 12
`
`Page 00015
`
`
`Page 00015
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 14 of 101
`
`5,970,479
`
`From "Get Product Counterparty Short List" (1240)
`
`
`
`For each counterparty
`in short list
`
`1400
`
`
`
`ext available
`
`counterp arty
`9
`
`(1255)
`
`
`
`PR1CE(SID) = CALC_FUNC(PRICEFUNC(SID), PAYFUNC, PAYPARAM)
`(Fig 14)
`
`
`
`
`
`MT_DAY = PMAT - CUR__DATE
`
`
`
`1440
`
`<®
`
`DIV = DIV * (1.0 + ((DR(SID)/100)/365))
`I = 1+ I
`
`
`
`PRlCE(SID) = PRICE(S1D) + ((CR(SID)/100) * PRICE(S[D))
`
`1480
`
`PR1CE(S1D)= PRICE(SID) /DIV
`
`Fig. 13
`
`Page 00016
`
`
`Page 00016
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 15 of 101
`
`5,970,479
`
`(From 1420)
`
`1490
`
` INDEX=PMHJ
`mcE@Hn=o
`
`PR1CE(SID) = PR1CE(S1D) *
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`E-CXCI-1ANG(SID) *
`
`E-NCXCHANG(SID) *
`
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`
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`
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`
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`
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`
`
`
`1550
`
`Fig. 14
`
`Page 00017
`
`
`Page 00017
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 16 of 101
`
`5,970,479
`
`(From 1260)
`
`
`
`1560
`NO
`
`
`counterparties in short list
`‘7
`
`Any potential
`
`Pick lowest priced counterpatty
`and store BPRICE and SID
`
`
`
`
`No match possible with
`
`current counterparty
`
`short list (SID = 0
`
`BPRICE >
`MAXCONSID
`?
`
`
`
`
`
`
`
`
`
`
`
`
`ALL2(SID), ELFUNC(SID), EVFUNC(SID), EVLl(SID)
`
`EL(SlD) = CALC_FUNC(ELFUNC(S]D), PAYFUNC, PAYPARAM)
`AL(SlD) = (PAYFUNC, PAYPARAM)
`
`EV(SID) = CALC_FUNC(EVFUNC(SID), PAYFUNC, PAYPARAM)
`
`Determine what part of the order will
`
`not violate any counterpatty limits
`
`Remove
`
` counterparty from
`'2
`short list
`
`1614
`
`SID set to identification
`
`of matching counterparty
`
`Queue part of
`order un—matched
`
`Fig. 15
`
`"Matched Order?"
`
`(1228)
`
`Page 00018
`
`
`
`Select counterparty limit details and set CEL2(SID),
`
`CEL3(SID), CEL4(SID), CELS(SID), ELLl(SID),
`
`ELL2(SID), ELL3(SlD), ELL4(SlD), ELL5(SID),
`
`MC(SID), MCC(SID), CAL2(SID), ALLl(SID),
`
`
`Page 00018
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 17 of 101
`
`5,970,479
`
`From “Order Matching"(640)
`1622
` Send manual
`
`
`
`authorisation requests
`
`Make consideration
`
`
`
`- y I'6]6CtlOI'1
`
`POFfl1JKEJ
`
`1628
`
`1629
`
`1641
`
`1640
`
`Page 00019
`
`
`
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`YES
`
`"payment"
`
`SPDMDOVV
`
`1 626
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`
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`YE
`
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`
`
`
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`current accumulated expected and
`absolute losses
`
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`
`
`oHucE=PRK£@H»
`SPRICE = s11)
`
`Order matched and
`
`confirmed
`
`1531
`
`1632
`
`1636
`
`1635
`
`1639
`
`matching counterparty,
`
`
` Repon to ordering party,
`
` guarantor, regulator,
`
`application promoter
`
` Report to
`
`ordering party
`
`Fig. 16
`
`
`Page 00019
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 18 of 101
`
`5,970,479
`
`S.5
`
`5906.605
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`
`Page 00020
`
`
`Page 00020
`
`
`
`
`
`
`
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 19 of 101
`
`5,970,479
`
`310
`
`410
`
`320
`
`327
`
`DEAL LIST TRANS-\
`
`332
`
`341
`
`347
`
`3 54
`
`Transaction
`
`
`
`updates
`
`430
`
`0
`
`460
`
`%
`
`470
`
`480
`
`490
`
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`
`500
`
`E
`
`520
`
`Fig. 18
`
`Page 00021
`
`
`Page 00021
`
`
`
`U.S. Patent
`
`Oct. 19, 1999
`
`Sheet20 0f101
`
`5,970,479
`
`1200
`
`START
`
`1210
`
`Order File Selection
`
`1250
`
`Order sequence management
`/Order authorisation
`
`
`
`PORD NEWI
`
`1220
`
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`
`1230
`
`1240
`
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`
`1340
`
`Order matching
`
`1390
`
`Matched order
`
`confirmation
`
`1290
`
`1300
`
`
`
`1310
`
`1320
`
`1330
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`
`1380
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`
`1260
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`
`1270
`
`1280
`
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`
`1350
`
`PORD RE]
`
`1360
`
`1370
`
`PORD RE]
`
`1400
`
`1410
`
`PAYACC
`
`SHADOW
`
`1420
`
`PORD CONF
`
`1430
`
`Fig. 19
`
`1440
`
`Page 00022
`
`
`Page 00022
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet21 0f101
`
`5,970,479
`
`1955
`
`G
`
`1956
`
`1957
`
`SPRODUCT|/|
`
`1960
`
`1958
`
`1959
`
`1964
`
`Order sequence management
`/Order authorisation
`
`
`
`1967
`
`SORD REJ
`
`SORD QUEUE
`
`1961
`
`SORD RE]
`
`1962
`
`1963
`
`SORD QUEUE
`
`1968
`
`1969
`
`1970
`
`SORD RE]
`
`1973
`
`PAYACC
`
`SHADOW
`
`1974
`
`SORD CONF
`
`1975
`
`1976
`
`Order matching P
`
`SDEAL LIST
`
`1965
`
`1966
`
`1972
`
`confirmation 1971
`
`Matched order
`
`Fig. 20
`
`Page 00023
`
`
`Page 00023
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 22 of 101
`
`5,970,479
`
`3060
`
`DPORD RE]
`
`3070
`
`3080
`
`3150
`
`-DPORD REJ
`
`3160
`
`‘
`
`3170
`
`3200
`
`3000
`
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`
`3010
`
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`
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`
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`
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`
`3020
`
`3030
`
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`
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`
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`
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`
`
`
`3100
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`
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`
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`
`@ 3”“ m
`
`3120
`
` confirmation
`
`Matched order
`
`/w
`
`3180
`
`0
`
`0
`
`3210
`
`PAYACC
`
`3220
`
`3230
`
`3250
`
`Fig. 21
`
`3240
`
`Page 00024
`
`
`Page 00024
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 23 of 101
`
`5,970,479
`
`4000
`
`0
`4010
`
`DSORD QUE
`
`DSORD NEW
`
`Order File Selection
`
`4060
`
`4020
`
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`
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`
`|/|
`
`4050
`
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`
`4030
`
`4090
`
`4100
`
`4110
`
`4070
`
`4080
`
`4130
`
`4140
`
`4150
`
`4180
`
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`
`4200
`
`4220
`
`Page 00025
`
`
`
`confinnanon
`
`w 4170
`
`HISTORY
`
`4210
`
`9
`
`Fig. 22
`
`
`Page 00025
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 24 of 101
`
`5,970,479
`
` MULTILAT
`
`OBLKENET
`4500
`
`4650
`
`PROCESS 6
`
`4660
`
`BEAT
`OBLKENET
`4640
`
`BILAT
`PYMTS NET
`
`4620
`
`4610
`
`VALUAHON
`
`4600
`
`4580
`
`4570
`
`Fig. 23
`
`MATPROD
`VALUES
`
`4520
`
`PAYACC
`SHADOW
`
`4530
`
`PAYACC FINAL
`
`4540
`
`HSTORY
`
`4550
`
`Page 00026
`
`
`Page 00026
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 25 of 101
`
`5,970,479
`
`5010
`
`START
`
`5022
`
`
` Applic
`"Start—of day"
`
`7
`
`5040
`
`Receipt of previous days
`matured contract actual
`product event value details
`
`5050
`
`MAT PROD
`VAL
`S
`
`5060
`
` 5030
`
`Product
`
`Sponsors
`
`5080
`
`5070
`
`Fig. 24
`
`Page 00027
`
`
`Page 00027
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 26 of 101
`
`5,970,479
`
`5200
`
`START
`
`5210 Applic
`"Start-of day"
`
`‘.7
`
`
`
`Consideration/
`
`Entitlement
`Transfer Entities
`
`PAYACC
`
`management
`
`5250
`
`5 260
`
`PAYACC
`
`SHADOW
`
`527 0
`
`5280
`
`Fig. 25
`
`Page 00028
`
`
`Page 00028
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 27 of 101
`
`5,970,479
`
`MAT PROD
`
`VAL
`
`S
`
`5420
`
`5450
`
`5460
`
`T
`
`5470
`
`PAYACC
`
`SHADOW
`
`5520
`
`T
`
`5530
`
`Contract maturity
`
`Fio. 26
`
`Page 00029
`
`MULTILAT
`
`OBLIG NET
`
`
`
`5480
`
`
`Page 00029
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 28 of 101
`
`5,970,479
`
`5700
`
`START
`
`5770
`
`Determine which
`
`file to process
`
`EQ
`
`5710
`
`5780
`
`
`confirmed contracts
`
`YES
`
`w
`
`5720
`
`SORD CON?
`
`processing 5730
`
`Confirmed contract
`
`5760
`
`5610
`
`5740
`
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`
`5750
`
`Figi27
`
`Page 00030
`
`
`Page 00030
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 29 of 101
`
`5,970,479
`
`SYSTEM
`
`OWNER/OPERATOR
`
`PARTIESLl
`
`ORDERING
`
`O OUNTERPARTIES
`
`5830
`
`5840
`
`5850
`
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`
`distribution
`
`Information
`
`5820
`
`APPLICATION
`PROMOTERS
`
`PRODUCT
`
`5810
`
`5860
`
`SPONSORSMl 5870
`
`COUN I ERPARTY
`
`GUARANTORS
`
`REGULATORS11
`
` ENTITLEMENT
`
`
`
`TRANSFER
`
`ENTITIES
`
`
`5880
`
`5890
`
`5900
`
`MISCELLANEOUS
`
`OTHER STAKEHOLDERSJ
`
`6000
`
`Fig. 28
`
`Page 00031
`
`
`Page 00031
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 30 of 101
`
`5,970,479
`
`6200
`
` 6210
`
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`
`
`
`order processing
`‘.7
`
`
`
`
`
`Information
`
`extraction from
`
`
`
` product orders
`
`6230
`
`F3g.29
`
`Page 00032
`
`
`Page 00032
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 31 of 101
`
`5,970,479
`
`6400
`
` 6420
`
`Contract
`
`
`
`revaluation required
`
`Contract valuation
`
`Fig. 30
`
`Page 00033
`
`
`Page 00033
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 32 of 101
`
`5,970,479
`
`6700
`
`START
`
`6710
`
`
`
`
`‘ollat obligation
`
`
`netting update required
`7
`
`
`
`67 20
`
`6 7 6 0
`
`6750
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`
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`
`
` collateralisation
`
`6730
`
`5770
`
`PAYACC
`
`SHADOW
`
`Fig. 31
`
`Page 00034
`
`
`Page 00034
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 33 of 101
`
`5,970,479
`
`7000
`
`determination required
`
`PAYACC
`
`0
`
`SHADOW
`
`7010
`
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`
`
`and payments
`
`7050
`
`7060
`
`7030
`
`Fig. 32
`
`Page 00035
`
`
`Page 00035
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 34 of 101
`
`5,970,479
`
`7300
`
`START
`
` 7310
`
`ilat obligations
`
`netting update required
`
`
`
`ADMIN
`
`\
`
`7
`
`7320
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`
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`
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`
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`
`netting
`
`PAYACC
`
`SHADOW‘\
`
`7350
`
`Fig. 33
`
`Page 00036
`
`
`Page 00036
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 35 of 101
`
`5,970,479
`
`[|
`
`7620
`
`7 6 3 0
`
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`
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`
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`7650
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`
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`
`Page 00037
`
`
`Page 00037
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 36 of 101
`
`5,970,479
`
`7800
`
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`
`:i1at payments
`
`
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`
`7
`
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`
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`
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`
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`
`
`
`F1g.35
`
`Page 00038
`
`
`Page 00038
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 37 of 101
`
`5,970,479
`
`8000
`
`START
`
`—
`
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`
`8010
`Multilat
`
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`
`8060
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`
`8070
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`
`
`8040
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`
`Page 00039
`
`
`Page 00039
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 38 of 101
`
`5,970,479
`
`8500
`
`START
`
`SHADOW
`
`PAYACC
`
`FINAL
`
`8560
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`8510
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`
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`.
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`
`8610
`
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`
`Fig. 37
`
`Page 00040
`
`
`Page 00040
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 39 of 101
`
`5,970,479
`
`8800
`
`START
`
`8810
`
`Non-Contract APP
`
`related obligation transfers
` required
`
`?
`
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`8820
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`
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`8870
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`
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`
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`
`PAYACC
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`8850
`
`8860
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`
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`
`Page 00041
`
`
`Page 00041
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 40 of 101
`
`5,970,479
`
`8950
`
`
`
`8960
`
`
`Specialist
`
`system shared access
`
`
`required
`7
`
`8970
`
`9000
`
` access transactions
`
`Specialist system shared
`
`processing
`
`9010
`
`8980
`
`8990
`
`Fig. 39
`
`Page 00042
`
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`Page 00042
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 41 of 101
`
`5,970,479
`
`9200
`
`START
`
`
`
`
`
`
`9210 . ded services shared acces
`
`
`required
`9
`
`’a1ue
`
`YES
`
`Value added services
`
`
`
`transaction processing
`
`9220
`
`9230
`
`9240
`
`Fig.=10
`
`Page 00043
`
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`Page 00043
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 42 of 101
`
`5,970,479
`
`FIG. 41
`
`APPLICATION SPECIFICATION
`
`
`
`
`
`Applicable Product 1D's
`Preferred/preferential dealing?
`Pre or Post Tax Matching?
`Tax deduction/subsidy at source?
`Degree of Trading transparency:
`Secondary trading allowed?
`Derivative trading allowed?
`Deferred Order Submissions possible?
`Partial Matches possible?
`Settlement
`terms:
`- considerations
`
`- entitlements
`
`
`
`
`Application ID:
`100
`Application Promoter:
`Demdata Inc
`Primary Application Use:
`Detect liability management
`Feasible Counterparty No's:
`Single counterparty
`Public/private use?:
`Public
`Acceptable comms mediums:
`Computer
`Retail/Wholesale Use:
`Wholesale
`Pricing and Matching
`Minimize consideration
`Process:
`payment under an EV/CE
`regime
`
`
`
`
`to computer
`
`
`
`
`
`Manual Approvals possible?
`Contract Revaluation Frequency:
`
`Ordering Party consideration credit?
`Collateralisation Payments?
`- Counterparties
`— Ordering Parties
`
`
`
`
`
`
`Bilateral Obligations Netting?
`Bilateral Payments Netting?‘
`Multilateral Obligations Netting?
`Multilateral Payments Netting?
`
` Ordering Parties allowed negative
`contract payoffs?
`22-—..¢;.
`Application Access Limitations:
`
`
`
`
`
`
`
`
`Collateralisation Details lit applicable)
`Trustee:
`Not Applicable
`
`Netting Details tit applicablel
`Not Applicable
`Applicable Discount Rate:
`Not Applicable
`Obligation Netting trigger:
`Not Applicable
`Min required settlements:
`
`
`
`
`Ordering Party Consideration-Credit Options
`
`
`
`
`—»Ord. Party-guarantor protected Counterparty provided? ——Participating Basis:
`
`
`
`Page 00044
`
`
`
`
`--Unprotected
`
`-—Unprotected
`——Ord. Party-guarantor protected --Non—Participating Basis:
`
`
` Ordering Party Guarantor provided?
`
`—-Participating Basis:
`--Non-Participating Basis:
`
`
`Page 00044
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 43 of 101
`
`5,970,479
`
`FIG. 41 com.
`
`1200-1250
`
`Application Access Limitations
`
`Contract Ordering Parties:
`
`Immediate
`
`Immediate
`
`Nil
`
`Nil
`
`Nil
`
`Contract Counterpartiesz
`
`Counterparty Guarantors:
`
`-Participating
`—Nnn-Participating
`
`-Participating
`4N0n—Participating
`
`Ordering Party Guarantor:
`Not Applicable
`
`Key:
`Cnunierpariy:
`
`1 Interest Ratei% pia.
`2 Participation ratei%i
`
`Order Party—quarant0r
`1 Interest Hatei% p.aJ
`2 Participation rate(%)
`
`Page 00045
`
`
`Page 00045
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 44 of 101
`
`5,970,479
`
`FIG. 42
`
`PRODUCT SPECIFICATION
`
`P R D D U C I
`
`I D :
`
`1210
`
`Product Summary
`Application ID:
`
`100
`
`Product Specification
`
`Market:
`
`Factory Output Quality Indices
`
`Sub-market:
`
`54-bit Microprocessor Fault Tolerance Index
`
`Market
`
`type:
`
`Spot
`
`Establishment date/time:
`
`85.02.10.t7 00.00 00
`
`Maturity date/time:
`
`9S.02.10.17.00.0D.U0
`
`Product Sponsor:
`
`Minimum Product Definition Value:
`
`.
`
`Maximum Product Definition Value:
`
`Product Details
`
`Conditional Payoff Dimensions ID:
`Market Phenomena Class Identifier:
`
`One
`Fault Tolerance Index
`
`ActuallPerceived Market Identifier:
`Specific Phenomenon:
`
`--
`Elemental/compound sub-market Identifier
`Future Period Dateltime Identifier:
`At Contract Maturity date/time
`Minimum Product Definition Value:
`0
`Product Establishment Dateltime:
`92.02 t0.17.00.00.00
`
`Sub—market Phenomenon Class Identifier:
`Event Type Identifier:
`Maximum Product Definition Value:
`Product Maturity Date/time:
`
`Currency type denomination of
`Money
`Consideration denomination of Product:
`Entitlement denom. of Product:
`Exclusive Production Warrants (XPW'sl
`PrDdUCt(if applic)
`
`Page 00046
`
`
`Page 00046
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 45 of 101
`
`5,970,479
`
`FIG. 42 CONT.
`
`AS AT
`
`32.02 10.17 00.00.00
`
`
`
`Demdata Inc
`
`Consideration denom.type:
`
`Money
`
`Entitlement denom.
`
`type : Exclusive Production Warrants(XPw'sl
`
`Currency type (if applic.l
`
`:
`
`Com Bnk Dep.
`
`National currency type (if applic.l:
`
`Product Step Value:
`
`Actual
`
`Elemental/compound
`
`Dept of Detense Reject Summaries
`
`Market Identitierzsingle Market
`
`Spot Value
`
`100
`9S.02.10.17.00.00.00
`
`Product Step Value:
`
`Com Bnk Dep.
`
`National currency type denomination
`of Product
`lif applic l
`
`AUD
`
`Page 00047
`
`
`Page 00047
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 46 of 101
`
`5,970,479
`
`FIG . 43
`
`PRIMARY ORDER SPECIFICATION
`
`Ordering Party:
`Own reference:
`
`Denisons
`5036253
`
`Application ID:
`
`ASAT:
`
`100
`
`Spot
`
`
`
`Application Promoter
`Product Sponsor
`Counterparty-guarantor
`
`
`
`
`
`
`
`(ID:
`
` PFOUUCI:
`
`Factory Output Ouality lndices
`Market
`Market Type
`64B.M.F.T.Index
`Sub-Market
`Estab.date/lime
`82.02.10.17.00.00.00
`
`
`
`
`
`
`
`Maturity date/time
`
`95 02 10 17 00.00.00
`
`“-1
`E--
`_
`
`
`
`
`ORDER SUPPORT DETAILS
`
`Communications medium:
`Computer-to—computer
`
`
`No
`Consideration Credit sought?
`Desired Form of Consideration Credittit app1.l
`
`
`Not Applicable
`
`No
`Counterparty Collateralisation payments required?
`Preparedness to make ‘own’ collateralisation paymentslif applicable)?
`Applicable Marginal Tax ratetit applicable)?
`~Consideration:
`-Entitlements:
`
`Not Applicable
`Not Applicable
`
`
`
`
`
`
`
`Netting System Participation?
`
`
`»Bilateral Obligations netting7(if applicl
`2222GOOD
`~Bilateral Payments netting?tit applicl
`—Multilateral Obligations netting7tif applici
`
`-Multilateral Payments netting?tit applic.l
`
`
`Not Applicable
`
`Page 00048
`
`
`Page 00048
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 47 of 101
`
`5,970,479
`
`FIG. 43 CONT.
`
`33I07)01I14525I3040U
`
`Considerationl
`Entitlement
`Denomination
`
`Consideration
`
`Entitlement
`
`Consideration type
`
`Entitlement
`
`type
`
`Currency typetit applici
`National Curr.type(it applicl
`Hax.C0nsid.Amount
`
`Pricing and Matching Process
`
`Minimize consideration payment under an EVICE regime
`
`SPECIAL
`
`DEAL TYPE: Not Applicable
`
`Unacceptable Counterparties and
`other 3takeh°1der5
`
`Partial Matches desired?
`Manual Approval of Matches desired?
`Desired degree of
`trading transparency
`(if applicable)
`
`Not Applicable
`
`Applicable Consid./Entitlement Transfer Entity
`Account details:
`ABC Banking Corp
`
`Operating A/c 1-1-502026—E17834—1(and H
`Desired date/time of Order Submission:
`
`Immediate
`
`Desired Order retention perid:
`Desired Max.time for counterparty
`
`manual order approvaltit applic.l:
`Preferred/Preferential Dealing:
`
`00 D0 01 00.00.00
`
`Not Applicable
`
`Page 00049
`
`
`Page 00049
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 48 of 101
`
`5,970,479
`
`FIG. 44
`
`ORDER SPECIFICATION PRICING
`
`By
`
`: Demdata Inc
`
`Defined
`Circumstances ID
`
`14
`
`Commission
`Rate:
`
`1.10%
`
`Discount
`Rate:
`
`
`
`Feasible
`Product
`Definition
`
`cg):ogoegegvcenqccgggaceoeccce
`
`§<%‘%(fi§E‘fi§§‘_5Ei‘5$§(5£§‘?§:3i§§
`
`
`
`1125.150)
`
`
`1131.280)
`1137.100)
`1143.530)
`1149.550)
`
`1155.780)
`
`1151.900)
`
`1137.400)
`1143.530)
`1143.650)
`1155.780)
`1151800)
`
`
`
`
`
`
`
`
`
`
`
`'K.DLE1111i$l$l$J§l5J3_JU-)O1G—33—JLI"L}1CJ-1L’1LJ-‘I
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`94 100
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`x Applic. Entitle. Exchange Rates
`te1‘1nEs)
`= Base contract hid pricetin Product Denom.
`Net Present Value tat .
`.
`.
`.
`,
`. ..
`9.30% p.a.
`1 Flat Commission 1
`.
`.
`.
`.
`.
`.
`.
`_ _.
`1.10%
`= Contract Bid Price (in Product Denom.
`terms)
`x Applic. Consid. Exchange Rates
`1
`.
`.
`.
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`:———————-—>
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`1
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`1 .
`Currency
`Nat Curr.
`
`
`.
`.
`CIE
`= Contract Bid Price 1in0P requested terms) (it applic.)
`Implied Base 'Hargin‘ on Contract
`+ Exchange Rate and Consideration Investment Margin
`= Implied Contract Value (to (JP)
`
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`
`Page 00050
`
`
`Page 00050
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 49 of 101
`
`5,970,479
`
`FIG. 44 CONT.
`
`AS Al 93.07.01.1-(.2E.40.00
`
`Consideration Exchange
`Rates (i( applifi
`
`Implied
`Contingent
`Entitlement
`Amounts
`
`Assessed
`Probaoilities
`of
`Occurence
`
`Entitlement
`(Valuation) Ants.
`
`Net Contingent
`Negative
`Entitlement
`(Valuation) Amounts
`
`Absolute
`Negative
`Entitlement Amounts
`
`(151,900)
`
`(161.900)
`
`Page 00051
`
`@$@©$$$©®@$©$
`
`0.000
`114.014)
`(0.55fl
`(0.873
`(0.80H
`(C.92$
`(1.04$
`(0.453
`(C.50H
`C.S4M
`(0.59U
`(0.531
`(:.57m
`(0.70H
`(C.7(M
`H.770}
`(0.81fl
`(C.B4M
`0.87%
`0.903
`0.32%
`3.353
`0.97%
`(1.003
`(3.159)
`
`(( ((
`
`(34.110l
`
`
`Page 00051
`
`
`
`U.S. Patent
`
`Oct. 19,1999
`
`Sheet 50 of 101
`
`5,970,479
`
`FIG. 45
`
`CONTRACT VALUATION
`
`C O N T R A C T
`
`S U M H A R Y
`
`T G R A P H I C A L
`
`Ordering Party:
`Counterparty:
`
`Denisons
`Demdata Inc
`
`Application ID:
`0.P Own reference:
`
`100
`5095263
`
`Product:
`
`(ID:
`
`Factory Output Ouality Indices
`Market
`Spot
`Sub—Harket E4B.M.F.I Index
`Market Type
`Estab date/time
`32 02.10 1